PERIOD ENDING: SEPTEMBER 30, 2017 Investment Performance Review for Tulare County Employees’ Retirement Association Table of Contents

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Investment Landscape TAB I

Investment Performance TAB II Review 4TH QUARTER 2017 Investment Landscape Table of contents

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Economic environment 5

Fixed income rates & credit 19

Equity 25

Other assets 37

Appendix 40

2 3rd quarter summary

THE ECONOMIC CLIMATE THE INVESTMENT CLIMATE We believe a —Growth strengthened across developed and — Global interest rates are still at historic lows, and moderate emerging economies. Business surveys suggest very little monetary tightening is priced in across overweight to conditions are improving in both manufacturing and developed markets over the next few years. Even in risk is service industries. p. 17 the U.S., the market is only expecting two rate hikes warranted through the end of next year. p. 20 —The U.S. job market tightened as unemployment dropped from 4.4 to 4.2%, despite disappointing job — Valuations across global equities and credit are growth data. Unemployment has not been this low elevated, and have been so for the past few years. since March of 2001. p. 9 Further price appreciation through equity multiple —An independence movement in Catalonia has expansion or credit spread contraction is unlikely. p. 23 & 34 received little attention from the financial community, and risk premiums may not reflect the ASSET ALLOCATION ISSUES negative possible knock‐on effects on the EU. p. 16 — Equity performance remains strong. Year‐to‐date PORTFOLIO IMPACTS returns have been fundamentally driven, supported by earnings growth rather than valuation expansion. — Improving economic growth, low inflation, low p. 29 unemployment, and supportive monetary policy across most markets has created a positive — Equity volatility is near historic lows. Stable economic environment for global risk assets, justifying a growth and inflation have likely contributed to the moderate overweight risk position. p. 16 muted volatility environment. Investors should monitor leverage in strategies with a specific — Within risk assets, we believe opportunities exist in volatility target. p. 35 emerging markets. p. 33

Investment Landscape 3 4th Quarter 2017 What drove the market in Q3?

“Traders keep bets on Fed rate hike in December after jobs report” DECEMBER RATE HIKE PROBABILITY DECEMBER RATE HIKE PROBABILITY BASED ON MARKET PRICING 90% Apr 30th May 31st Jun 30th Jul 31st Aug 31st Oct 6th 60% 47% 43% 52% 42% 34% 80% Article Source: Bloomberg, September 27th 2017 30%

0% “U.S.‐North Korea tensions fuel flight to safety” Jan‐17 Apr‐17 Jul‐17 Oct‐17 Source: Bloomberg, as of 10/6/17, based on Fed fund futures prices DAILY PRICE REACTION DURING NORTH KOREA EVENTS Fire & fury comments 8/28 missile launch 9/15 missile launch MARKET REACTION DURING NORTH KOREA EVENTS

S&P 500 Gold S&P 500 Gold S&P 500 Gold 2% ‐1.5% 1.3% ‐0.1% 1.5% ‐0.1% 0.6% 1% Change

th Article Source: Financial Times, August 9 2017 0% Price

‐1% Daily ‐2% “Strong earnings lift U.S. stocks” Fire and Fury comments 8/28 missile launch 9/15 missile launch MSCI U.S. INDEX EARNINGS GROWTH (YOY) S&P 500 10‐Year U.S. Treasury Gold Q3 16 Q4 16 Q1 17 Q2 17 Source: Bloomberg ‐7.3% ‐3.2% 2.2% 9.2% EQUITY EARNINGS GROWTH (YOY) Article Source: Wall Street Journal, July 25th 2017 20% 10% “S&P 500 volatility hits 50‐year low” 0% S&P 500 30‐DAY ANNUALIZED TRAILING VOLATILITY ‐10% th st th st st th ‐20% Apr 30 May 31 Jun 30 Jul 31 Aug 31 Sep 30 Q3 16 Q4 16 Q1 17 Q2 17 7.3% 7.8% 6.8% 7.1% 8.1% 5.8% U.S. EAFE Emerging Markets Article Source: Forbes, August 1st 2017 Source: Bloomberg, MSCI, as of 9/30/17

Investment Landscape 4 4th Quarter 2017 Economic environment

Investment Landscape 5 4th Quarter 2017 U.S. economics summary

—U.S. real GDP grew 2.2% YoY in Q2, —The U3 unemployment rate Most Recent 12 Months Prior consistent with the trend of slow, (unaffected by the hurricanes) fell but steady growth in the current 0.2% to a 17‐year low of 4.2% over GDP (YoY) 2.2% 1.2% expansion. Consumer spending the quarter. The broader U6 6/30/17 6/30/16 and business investment were the unemployment rate also primary drivers of growth. tightened, dropping 0.3% to 8.3%. Inflation 2.2% 1.5% (CPI YoY, Headline) 9/30/17 9/30/16 —Purchasing manager indexes —Year‐over‐year headline CPI (PMIs) moved higher to above accelerated from 1.6% in June to Expected Inflation 2.0% 1.8% average levels, indicating a likely 2.2% in September, while the core (5yr‐5yr forward) 9/30/17 9/30/16 acceleration in economic growth inflation rate was unchanged over over the coming quarters. The ISM the quarter at 1.7%. Outside of Manufacturing and Services PMIs volatile energy prices inflationary Fed Funds Rate 1.25% 0.50% for September were 60.8 and pressures still appear absent, and 9/30/17 9/30/16 59.8, respectively. core inflation remains below the Fed’s 2% target. 10 Year Rate 2.3% 1.6% —The economy added an average of 9/30/17 9/30/16 91,000 jobs per month to payrolls —The Fed paused from raising in the third quarter. The interest rates following three U‐3 Unemployment 4.2% 4.9% September employment data was consecutive quarters with hikes. 9/30/17 9/30/16 heavily influenced by hurricanes Core inflation that has persistently Harvey and Irma, which resulted in been below the Fed’s 2% target U‐6 Unemployment 8.3% 9.7% a decline of 33,000 jobs from was the primary reason given to 9/30/17 9/30/16 payrolls, the first drop since 2010. delay further tightening. The Due to the calculation market is expecting the Fed to methodology, a bounce back raise interest rates again in should be expected in October. December based on fed fund futures prices.

Investment Landscape 6 4th Quarter 2017 U.S. economics – GDP growth

Real GDP grew by 2.2% YoY in Q2 (3.1% quarterly Business investment has picked up in recent quarters, and The economy annualized rate), the fastest pace of expansion since Q3 was the second largest contributor to GDP in Q2, while experienced 2015. The economic recovery is nearly in its eighth year, residential investment was a slight drag on growth. Trade but the level of growth remains low relative to history. also had a positive impact on growth, as exports increased another quarter Despite the length of the expansion, we do not see many of at a quicker rate than imports. of moderate the typical signs that the economy is overheating. growth in Q2 Moderate growth is expected throughout the rest of the with few signs After slowing in the first quarter, consumer spending year –the Atlanta Fed GDP Now forecast for Q3 was 2.5% of overheating accelerated to 3.3%, and contributed 2.2% to the overall as of October 6th. Hurricanes Harvey and Irma disrupted quarterly growth rate. A tight labor market and moderate growth in September, but the economy is likely to see a wage gains should create a positive environment for boost in Q4 once rebuilding begins. consumer spending moving forward.

U.S. REAL GDP GROWTH (YOY) U.S. GDP COMPONENTS 3% 15% 4% 2% 12% 1% 3% 2.6% 2.8% 3.1% 0% 9% 2% 2.0% 2.2% Dec‐15 Sep‐16 Jun‐17 1.8% 0.9% 1.2% 6% 1% 0.6% 3% 0%

0% ‐1%

‐3% ‐2%

‐6% ‐3% Dec‐55 Sep‐69 May‐83 Jan‐97 Oct‐10 Q2 15 Q3 15 Q4 15 Q1 16 Q2 16 Q3 16 Q4 16 Q1 17 Q2 17

Real GDP % Change YoY Consumption Investment Government Exports Imports Inventories

Source: FRED, as of 6/30/17 Source: BEA, annualized quarterly rate, as of 6/30/17

Investment Landscape 7 4th Quarter 2017 How long can expansions continue?

Australia (since 1991)

Ireland (1986 to 2007) Poland (since 1995) Still in progress Netherlands (1981 to 2003)

South Korea (since 1998)

Canada (1991 to 2008)

U.S. (1991 to 2008)

Japan (1975 to 1993)

U.K. (1992 to 2008)

Spain (1993 to 2008)

France (1993 to 2008)

Sweden (1993 to 2008)

Italy (1983 to 1992) U.S. (2009 to current) We are here Germany (1981 to 1991)

Switzerland (1983 to 1990)

0 5 10 15 20 25 30 # Years without recession

Source: Australia Trade and Investment Commission

Investment Landscape 8 4th Quarter 2017 U.S. economics – Labor market

The U.S. job market tightened as unemployment dropped important to note that the types of jobs created during an from 4.4 to 4.2% ‐ the lowest level since March of 2001. economic recovery is partly a product of the types of jobs Job creation data disappointed in September, though this lost during the initial downturn. Examining unemployment may largely be attributed to the effects of hurricanes by education level and age group suggests that the Harvey and Irma. downturn disproportionately impacted the jobs of younger workers and those with less education. This implies that Labor growth throughout the current U.S. expansion has the job creation seen lately is natural and not necessarily tended to be tilted towards lower‐skill and lower‐pay jobs. an indication of weakness. It is reasonable to ask whether this indicates that the recovery is weak or unbalanced. To arrive at an answer it is

U.S. UNEMPLOYMENT UNEMPLOYMENT BY EDUCATION LEVEL UNEMPLOYMENT BY AGE GROUP

20% 9% 16% 20% 7%8% 5% 16% 4%3% 12% 16% DecSep‐16 JunJan‐17

12% 8% 12%

4% 8% 8%

0% 4% 4% Dec‐92 Dec‐98 Dec‐04 Dec‐10 Dec‐16

0% Less than a High School Diploma, 25 years and over 0% Jun‐05 Jun‐07 Jun‐09 May‐11 May‐13 May‐15 Apr‐17 High School Graduates, No College, 25 years and over Dec‐92 Dec‐98 Dec‐04 Dec‐10 Dec‐16 Some College or Associate Degree, 25 years and over U3 U6 Aged 15‐24 Aged 25‐54 Aged 55‐64 College Graduates: Bachelor's Degree and Higher, 25 years and over

Source: FRED, as of 8/31/17 Source: FRED, as of 8/31/17 Source: FRED, as of 8/31/17

Investment Landscape 9 4th Quarter 2017 U.S. economics – The consumer

Consumer spending remained within a normal range. burden of debt is lower due to the lower interest rate Savings rates, in aggregate, have declined over the past environment. year and are now at levels consistent with past economic expansions. The fundamental picture for consumers is still U.S. auto sales spiked in September, reversing a recent positive. Low inflation, low unemployment, and moderate trend of weaker purchase activity. Hurricanes Irma and wage gains should provide a backdrop for further Harvey were estimated to have affected hundreds of spending growth. thousands of vehicles, which contributed to buying activity throughout the month. However, the spike in sales Total consumer debt has surpassed pre‐crisis levels, will likely result in a drag on activity in future years. fueled by student loans and auto loans. However, the

CONSUMER SPENDING (YOY GROWTH) CONSUMER DEBT & DEBT BURDEN U.S. AUTO SALES

5% $4,000 7.0% 16 2 14 4% 6.5% $2,000 12 6.0% 3% 1 10

Jan‐16 Nov‐16 $1,000 5.5% (annual) 8 2% 5.0% 6

$500 Millions 1% 4.5% 4 2 $250 4.0% 0% Jan‐80 Jan‐86 Jan‐92 Jan‐98 Jan‐04 Jan‐10 Jan‐16 0 Dec‐85 Jun‐91 Dec‐96 Jun‐02 Nov‐07 May‐13 Feb‐82 Oct‐95 Jul‐09 Total Consumer Credit Owned and Securitized (LHS) US Light Truck Sales US Car Sales Consumer Spending YoY Change Consumer Debt Service as % of Disposable Income (RHS)

Source: Bloomberg, as of 8/31/17 Source: FRED, as of 4/30/17 Source: Bloomberg, as of 9/30/17

Investment Landscape 10 4th Quarter 2017 U.S. economics – Sentiment

Consumer sentiment measures are above average, November, but there has yet to be a material increase in Consumers reflecting Americans’ overall positive view of the consumer spending. and small economy. In the preliminary reading for October, The businesses University of Michigan Consumer Sentiment Survey Other measures of sentiment, such as the NFIB Small unexpectedly increased from 95.1 to 101.1, the highest Business Optimism Index, remain high by historical have a level since 2004, which placed it in the 91st percentile standards, but have dropped so far this year. Small positive since 1978. According to the survey, the elevated level of businesses are still expecting to benefit from tax reform outlook on the confidence is primarily due to consumers anticipating low and deregulation, although significant uncertainty economy unemployment, low inflation, small increases in interest remains surrounding the timing and nature of these rates, and moderate gains in income. Consumer changes. sentiment has been high since the election last

CONSUMER COMFORT INDEX CONSUMER SENTIMENT U.S. ECONOMIC SURPRISE 105 70 140 80

85 60 120 50 Mar‐17 Aug‐17 20 50 100 ‐10

40 80 ‐40

‐70 30 60 ‐100

20 40 ‐130 Jul‐87 Jul‐92 Jul‐97 Jul‐02 Jul‐07 Jul‐12 Jul‐17 Jun‐85 Jun‐90 Jun‐95 Jun‐00 Jun‐05 Jun‐10 Jun‐15 Jan‐03 Jan‐06 Jan‐09 Jan‐12 Jan‐15 Bloomberg US Weekly Consumer Comfort Index U of Michigan Consumer Sentiment Survey Citigroup Economic Surprise

Source: Bloomberg, as of 9/24/17 (see Appendix) Source: University of Michigan, as of 9/30/17 (see Appendix) Source: Bloomberg, as of 9/29/17 (see Appendix for details)

Investment Landscape 11 4th Quarter 2017 U.S. economics – Housing

U.S. home prices continued to climb higher with 5.9% Owning a home remains affordable relative to history. A growth YoY in July according to the S&P/Case‐Shiller U.S. scenario of higher interest rates and further home price National Home Price Index. New and existing home sales appreciation would result in affordability falling towards have decelerated and are flat year‐over‐year, though not the historical average. Materially higher interest rates necessarily worrying given the volatility of sales activity. A would make home ownership much more expensive, surge in housing starts and permit applications is possible given the low current level of interest rates. A 1% rise in as areas of the south and southeast rebuild following mortgage interest rates for a $400,000 loan results in a hurricane damage. roughly $4,000 rise in annual cost for homeowners.

CASE‐SHILLER HOME PRICE INDEX HOME AFFORDABILITY HOUSING SALES

20% 320 250 100% 10% 230 80% 0% 210 60% ‐10% 160 Homes more affordable Dec‐16 Jul‐17 190 40% scale)

170 80 20%

(log 150 0% 130

Price ‐20% 40 110 90 ‐40% Oct‐95 Dec‐99 Jan‐04 Feb‐08 Apr‐12 May‐16 70 Homes less affordable 20 50 Jan‐75 May‐83 Sep‐91 Jan‐00 May‐08 Sep‐16 US New One Family Houses Sold Mar‐86 Mar‐91 Mar‐96 Mar‐01 Mar‐06 Mar‐11 Mar‐16 US Existing Homes Sales YoY SA

Source: FRED, as of 6/30/17 Source: National Association of Realtors, as of 6/30/17 (see appendix) Source: Bloomberg, as of 8/31/17

Investment Landscape 12 4th Quarter 2017 U.S. economics – Inflation

Headline CPI inflation was 2.2% from the previous year in believe below target inflation is transitory, continued Pressures on September, up from 1.6% in June, driven mainly by increases softness in price levels may result in a slower pace of core inflation in gasoline prices following hurricanes Harvey and Irma. monetary tightening. Core inflation was unchanged at 1.7%. are still low Market based inflation expectations increased modestly Although the Fed has belabored the “low inflation throughout the quarter with the 10‐year TIPS breakeven environment”, inflation measures are not extreme from a inflation rate up 10 bps to 1.83%. Expectations are still low, historical perspective. The perception of low inflation is and investors are receiving a low inflation premium on likely being impacted by the long duration of the current nominal Treasuries. economic expansion since rising inflation typically occurs in the late cycle. Although several Fed officials have stated they

U.S. CPI (YOY) U.S. TIPS BREAKEVEN RATES INFLATION EXPECTATIONS

16% 3% 6% 3% 5% 12% 0% Dec‐15 May‐17 2% 4% 8% 3% 4% 1% 2%

0% 1% 0% ‐4% Dec‐09 May‐11 Sep‐12 Feb‐14 Jun‐15 Nov‐16 0% Jun‐68 Feb‐82 Oct‐95 Jul‐09 Apr‐01 Apr‐04 Mar‐07 Mar‐10 Feb‐13 Jan‐16 US Breakeven 2 Year US Breakeven 10 Year US CPI Ex Food & Energy US CPI US Breakeven 5 Year US Breakeven 30 Year US Breakeven 10 Year UMich Expected Change in Price

Source: FRED, as of 9/30/17 Source: FRED, as of 9/30/17 Source: Bloomberg, as of 9/30/17

Investment Landscape 13 4th Quarter 2017 Is geopolitical risk abnormally high?

Several events over the quarter, especially increased geopolitical risk and how it will affect financial markets, we tensions on the Korean peninsula, have led to heightened do not recommend making any significant changes to concerns over the impact of geopolitical risk on financial portfolios. markets. The unique nature of each geopolitical event makes it difficult to determine whether the apparent risks While the concerns over a nuclear attack from North Korea are greater than past events. have recently escalated, the threat is not a new one. Many political experts believe the probability of an attack by North The Geopolitical Risk Index (GPR) uses automated text‐ Korea against the U.S. or its allies is low because it would search results of 11 U.S. and international newspapers to jeopardize the existence of the current regime. Additionally, give some indication of how the current environment relates China’s support of North Korea has waned in recent months to history. While the GPR is above average, it is not after it agreed to two new rounds of sanctions through the abnormally high. Further, given the unpredictability of United Nations Security Council.

GEOPOLITICAL RISK INDEX

600 Second Gulf War Long‐term average 500 September 11th First Gulf War terrorist attacks 400

300 Balanced Budget Act ISIS Paris attacks Russian financial crisis 200 Iran nuclear tensions escalations

100

0 Jan‐85 Jul‐87 Jan‐90 Jul‐92 Jan‐95 Jul‐97 Jan‐00 Jul‐02 Jan‐05 Jul‐07 Jan‐10 Jul‐12 Jan‐15 Jul‐17

Source: The Geopolitical Risk Index ‐ Caldarra, Iacoviello, Federal Reserve Board, as of 8/31/17

Investment Landscape 14 4th Quarter 2017 North Korea – Market reactions

U.S. EQUITY (CUMULATIVE PRICE MOVEMENT) SOUTH KOREAN EQUITY (CUMULATIVE PRICE MOVEMENT)

3% 3% Missile launch Guam threats, “fire and fury” over Japan 2% 2% comments

1% 1% Missile launch Guam threats, over Japan “fire and fury” 0% 0% comments ‐1% ‐1%

‐2% ‐2%

‐3% ‐3% 7/11 7/25 8/8 8/25 7/11 7/25 8/8 8/25

U.S. 10‐YEAR TREASURY YIELD GOLD PRICES 2.4% Guam threats, $1,340 “fire and fury” $1,320 2.3% comments Missile launch Missile launch over Japan over Japan $1,300 $1,280 2.2% $1,260

2.1% $1,240 Guam threats, “fire $1,220 and fury” comments 2.0% $1,200 7/11 7/25 8/8 8/25 7/11 7/25 8/8 8/25

Source: Bloomberg, S&P 500, KOSPI, 7/11/17‐9/6/17

Investment Landscape 15 4th Quarter 2017 International economics summary

—International economic growth —Inflation in developed countries GDP Inflation advanced in the second quarter in has yet to see much pressure Area (Real, YoY) (CPI, YoY) Unemployment both developed and emerging outside of the U.K., and remains markets. PMIs are above 50 well below central bank targets. United States 2.2% 2.2% 4.2% (indicating expansion) in nearly 6/30/17 9/30/17 9/30/17 every country across the world, —Inflation in the U.K. (headline CPI) pointing towards a continuation in rose 3.0% YoY in September, driven Western 2.0% 1.5% 7.9% the recent global growth pickup. partly by a weaker pound, while Europe 6/30/17 9/30/17 6/30/17 wages only increased by 2.2%. The —The IMF raised its projections for Bank of England stated that a rate Japan 1.4% 0.7% 2.8% global GDP growth 0.1% for both hike may be necessary before the 6/30/17 8/31/17 8/31/17 2018 to 3.6% and 3.7%, 2017 and end of the year to slow price BRICS 5.6% 2.0% 5.8% respectively. For comparison, increases. Nations 6/30/17 6/30/17 6/30/17 global GDP growth was 3.2% in —On October 1st, Catalonia passed a 2016. Brazil 0.3% 2.5% 12.7% referendum to declare 6/30/17 9/30/17 9/30/17 —Economic conditions in emerging independence from Spain, which markets have improved. Several the Spanish government declared Russia 2.5% 3.0% 4.9% 6/30/17 9/30/17 8/31/17 countries, such as Brazil and illegal. Although the Catalan prime Russia, are still at the beginning minister accepted the vote as a India 5.7% 3.3% 8.4% stages of a recovery. Lower mandate to declare independence, 6/30/17 9/30/17 12/31/16 inflation has allowed emerging he immediately suspended this central banks to pursue looser declaration with the goal of China 6.9% 1.6% 4.0% monetary policy, which should bringing the Spanish government 6/30/17 9/30/17 6/30/17 provide a tailwind to further to the negotiating table. economic growth.

Investment Landscape 16 4th Quarter 2017 International economics

Global surveys indicate a synchronized rise in global growth foreseeable future, and will continue to be a tailwind for the which may have begun to materialize in Q2. Second quarter Japanese economy. GDP growth improved across most countries, especially in Europe and emerging markets. Developed market inflation remains low, with the exception of the U.K. The latest headline CPI reading for the Eurozone and Real GDP in the Eurozone was 2.3% YoY in Q2, the fastest pace Japan was 1.5% and 0.7%, respectively. Inflation in emerging of growth in more than six years. While the ECB has discussed economies has trended downwards, allowing central banks to tapering monetary stimulus beginning next year, this will likely cut interest rates to provide monetary stimulus. Many be a slow and delicate process. Eurozone financial conditions emerging markets are well behind developed markets in the should continue to be supportive over the next few years. current economic cycle. Monetary policy is not expected to change in Japan for the

INFLATION (CPI) REAL GDP GROWTH (YOY) UNEMPLOYMENT

10% 4% 14% 2% 10% 8% 12% 0% 10% 6% Dec‐16 Jun‐17 6% 4% 8%

2% 2% 6%

0% 4% ‐2% ‐2% 2% 0% ‐4% ‐6% Dec‐03 Aug‐06 Mar‐09 Oct‐11 May‐14 Jan‐17 Jun‐00 Apr‐04 Feb‐08 Dec‐11 Oct‐15 Mar‐95 Apr‐99 Jun‐03 Jul‐07 Aug‐11 Oct‐15 U‐3 US Unemployment Rate Total Europe Unemployment U.S. Japan China U.K. Eurozone U.S. Japan Eurozone BRICS Japan Unemployment BRICS Unemployment

Source: Bloomberg, as of 8/31/17 Source: Bloomberg, as of 6/30/17 Source: Bloomberg, as of 8/31/17 or most recent release

Investment Landscape 17 4th Quarter 2017 Global PMIs

PMI 1 YEAR (CROSS SECTION) –BLUE HIGH / ORANGE LOW

Row Labels Oct‐16 Nov‐16 Dec‐16 Jan‐17 Feb‐17 Mar‐17 Apr‐17 May‐17 Jun‐17 Jul‐17 Aug‐17 Sep‐17 Manufacturing Global 52 52 53 53 53 53 53 53 53 53 53 53 Developed535354545454545454545455 US 52 54 55 56 58 57 55 55 58 56 59 61 UK 54 53 56 55 55 54 57 56 54 55 57 56 Eurozone 54 54 55 55 55 56 57 57 57 57 57 58 Germany555456565758586060585961 Japan 515152535352535352525253 EM 51 51 51 51 51 52 51 51 51 51 52 51 Services

Global 53 53 53 54 53 54 54 54 54 54 54 54 Developed 54 54 54 55 54 54 54 54 55 55 55 55 US 55 56 57 57 58 55 58 57 57 54 55 60 UK 55 55 56 55 53 55 56 54 53 54 53 54 Eurozone 53 54 54 54 56 56 56 56 55 55 55 56 Germany 54 55 54 53 54 56 55 55 54 53 54 56 Japan 51 52 52 52 51 53 52 53 53 52 52 51 EM 53 54 54 54 56 56 56 56 55 55 55 56

Source: Bloomberg, as of 9/30/17 –PMIs are based on survey data compiled from purchasing and supply managers. Survey questions are asked about several different components of each sector, such as new orders, employment, prices, etc. The final PMI reading is based on the percentage of respondents with a positive view on the sector. A reading above 50 indicates expansion in the sector while a reading below 50 indicates contraction. Historically, PMIs have had a relatively strong positive relationship with actual economic activity.

Investment Landscape 18 4th Quarter 2017 Fixed income rates & credit

Investment Landscape 19 4th Quarter 2017 Interest rate environment

—After bottoming out to a post‐ —U.K. sovereign yields experienced Area Short Term (3M) 10 Year election low of 2.04% on the biggest increase among September 7th following developed countries after the United States 1.02% 2.33% increased tensions with North Bank of England acknowledged Korea, the U.S. 10‐year rose to that a rate hike may be necessary Germany (0.70%) 0.46% finish the quarter slightly higher at by the end of the year to slow 2.33%. inflation. France (0.59%) 0.74%

—The Fed kept interest rates —Very little monetary tightening is Spain (0.45%) 1.60% unchanged over the quarter, priced into short‐term developed citing concerns over the lack of market interest rates over the Italy (0.39%) 2.11% inflation. However, Fed officials next few years. Although we have communicated that they expect central banks to be Greece 2.02% 5.66% believe recent low inflation is cautious, faster than expected transitory. An additional rate hike increases in interest rates U.K. 0.28% 1.37% in December appears likely based represents a potential risk. on market implied probabilities. —Our underweight position to both Japan (0.17%) 0.07% —The Fed will begin to reduce its U.S. and developed sovereign balance sheet in October. The rates (currency hedged) was Australia 1.71% 2.84% central bank’s plan is to runoff $6 unchanged over the quarter, billion of Treasuries and $4 billion primarily due to the low carry. China 3.04% 3.62% of mortgage‐backed securities per However, Treasuries still play an month. This will be scaled up important role in portfolios by Brazil 7.46% 9.77% commensurately every 3 months offering equity risk diversification. to $50 billion per month. At this Russia 7.76% 7.66% pace it will take more than seven years to return the balance sheet to pre‐crisis levels. Source: Bloomberg, as of 9/30/17

Investment Landscape 20 4th Quarter 2017 Fed monetary tightening

The market’s expectation of a rate hike in December During this tightening cycle the Fed has continually The market is increased considerably throughout the quarter to 90%. undelivered on projected rate increases. We believe it is expecting the Although core inflation remained below the official 2% reasonable to think this trend will continue since the risk of target, several Fed officials have stated they believe the tightening too quickly outweighs the risk of moving too Fed to move factors dampening inflation are transitory and prices should slowly. cautiously with gradually increase along with wages. According to its own further forecast, the Fed is expecting one additional hike this year, Balance sheet reduction, which began in October also monetary three hikes in 2018, and two more in 2019. However, market represents a form of gradual tightening. Based on the current tightening expectations are much more conservative, pricing in one plan, the balance sheet will fall by $1.7 trillion to $2.8 trillion more hike this year, and only two additional hikes through at the end of 2020. According to the Fed, the runoff will 2019. continue as scheduled unless interest rates are brought back down to 0%.

FED RATE HIKE EXPECTATIONS FED BALANCE SHEET REDUCTION EXPECTATIONS

3.0% $5 Other Fed dot plot 2.5% $4 2.0% MBS $3 1.5%

Market expectations Trillions $2 1.0%

$1 Treasuries 0.5%

0.0% $0 Feb‐15 Feb‐16 Feb‐17 Feb‐18 Feb‐19 Jan‐07 Jan‐09 Jan‐11 Jan‐13 Jan‐15 Jan‐17 Jan‐19

Source: Bloomberg, as of 10/6/17 Source: Federal Reserve, as of 9/29/17, projections are based on the Fed’s announced reduction plan

Investment Landscape 21 4th Quarter 2017 Yield environment

U.S. YIELD CURVE GLOBAL GOVERNMENT YIELD CURVES 5 5%

4 4%

3 3%

2 2%

1 1%

0 0%

‐1 ‐1% 1M 2M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 12Y 15Y 20Y 30Y 1M3M6M 1Y 2Y 3Y 4Y 5Y 7Y 9Y 10Y 12Y 15Y 20Y 30Y US Treasury Curve 9/30/17 Japan Curve 9/30/17 US Treasury Curve 9/30/17 US Treasury Curve 9/30/16 Canada Curve 9/30/17 Germany Curve 9/30/17 US Treasury Curve 9/30/15 US Treasury Curve 9/30/10 United Kingdom Curve 9/30/17 France Curve 9/30/17 US Treasury Curve 9/30/05 Italy Curve 9/30/17 China Curve 9/30/17

YIELD CURVE CHANGES OVER LAST FIVE YEARS IMPLIED CHANGES OVER NEXT YEAR

2% 1.0

1% 0.8

0% (%) 0.6 ‐1% Change 0.4 ‐2% Yield

‐3% 0.2

‐4% 0.0 1M 3M 6M 1Y 2Y 3Y 4Y 5Y 7Y 9Y 10Y 12Y 15Y 20Y 30Y 1M 3M 6M 1Y 2Y 3Y 4Y 5Y 7Y 9Y 10Y 12Y 15Y 20Y 30Y US Japan Canada US Treasury UK Treasury Japan Treasury Germany United Kingdom France Germany Treasury Canada Treasury Australia Treasury Italy China Italy Treasury

Source: Bloomberg, as of 9/30/17

Investment Landscape 22 4th Quarter 2017 Credit environment

Credit spreads fell slightly over the quarter, remaining at low Q3. High yield spreads began the year at 4.0% and have levels. U.S. high yield option‐adjusted spreads compressed in tightened by 51 bps year‐to‐date. Credit spreads have the third quarter to 3.5%, and the asset class generated a historically been a good indicator of future performance 2.0% total return (BBgBarc U.S. Corp. High Yield Index). High relative to Treasuries. yield spreads are tighter than those of bank loans on a duration neutral basis. High yield energy spreads compressed over the quarter by 55 bps to 4.8% ‐ a very moderate compression following the Credit spreads have continued to tighten close to multi‐year 2014 commodity drawdown. Year‐to‐date, the best lows, driven by strong corporate fundamentals and general performing sectors were financials and utilities. Industrials macroeconomic improvement. The combination of tighter had weaker performance, most specifically consumer credit spreads and additional carry (greater yield) over cyclical and the energy sector, which has been recovering Treasuries led credit to broadly outperform U.S. Treasuries in from the recent commodity crisis.

HIGH YIELD SECTOR SPREADS SPREADS

20 Credit Spread Credit Spread 5 1300 Market (9/30/17) (1 Year Ago) 15 Long US 1000 1.5% 2.0% 0 Corporate (%)

Dec‐16 Apr‐17 Aug‐17 10 700 US Aggregate 1.0% 1.4%

Percent 400 5 US High Yield 3.5% 4.8% 100 Apr‐12 Aug‐13 Dec‐14 May‐16 Sep‐17 US High Yield 0 4.4% 6.1% Dec‐95 Dec‐99 Dec‐03 Dec‐07 Dec‐11 Dec‐15 Bloomberg US HY Energy USD HY ConsDisc. OAS Energy USD HY Financials Snr OAS USD HY Comm. OAS Barclays Long US Corp. Barclays US Agg. USD HY Comm. OAS USD HY Materials OAS Barclays US HY Bloomberg US HY Energy USD HY Technology OAS USD HY Industrial OAS US Bank Loans 3.6% 3.9% IG Energy USD HY HealthCare OAS USD HY ConsStaple OAS

Source: Barclays, Bloomberg, as of 9/30/17 Source: Bloomberg, as of 9/30/17 Source: Barclays, Credit Suisse, Bloomberg, as of 9/30/17

Investment Landscape 23 4th Quarter 2017 Issuance and default

Default activity continued to stabilize in U.S. and Rolling default rates are currently running below long‐ The effects of international credit markets. Only one U.S. company term averages. Active management may offer value to commodity defaulted in September, the third consecutive month with investors in the high yield space. only one or no defaults, which was the first time this related occurred since May 2011. Default volume in the third defaults are quarter was the lowest since Q4 2013. subsiding

Senior loan and high yield markets stabilized further with the majority of par defaults last year coming from the energy and metals/mining sectors. The retail sector has accounted for the second most defaults.

HY DEFAULT TRENDS (ROLLING 1 YEAR) ENERGY DEFAULT TRENDS GLOBAL ISSUANCE

20 30 450 400 25 15 350 20 300 (%) (%)

10 15 250 Billion 200 $ Default Default 10 5 150 5 100 50 0 0 Jan‐98 Jan‐01 Jan‐04 Jan‐07 Jan‐10 Jan‐13 Jan‐16 Jan‐98 Jan‐01 Jan‐04 Jan‐07 Jan‐10 Jan‐13 Jan‐16 0 Developed Market High Yield US High Yield 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 US High Yield High Yield Energy US ex‐Commodities Global Bank Loan Issuance Global HY Issuance

Source: BofA Merrill Lynch, as of 9/30/17 Source: BofA Merrill Lynch, as of 9/30/17 Source: Bloomberg, BofA Merrill Lynch, as of 9/30/17

Investment Landscape 24 4th Quarter 2017 Equity

Investment Landscape 25 4th Quarter 2017 Equity environment

—We maintain a moderate — Equity volatility remains 1 YEAR TOTAL QTD TOTAL RETURN YTD TOTAL RETURN RETURN overweight to equities with a unusually low. Lower volatility preference for emerging markets. has historically indicated less (unhedged) (hedged) (unhedged) (hedged) (unhedged) (hedged) Emerging markets have downside risk in equity markets. US Large Cap 4.5% 14.2% 18.5% historically delivered outsized (Russell 1000) economic growth and — According to FactSet as of US Small Cap performance during strong global October 6th, the estimated Q3 5.7% 10.9% 20.7% growth environments. These earnings growth rate of the S&P (Russell 2000) markets remain attractively 500 was 2.8% YoY, a materially US Large Value valued relative to developed weaker figure than the 7.5% (Russell 1000 3.1% 7.9% 15.1% Value) markets, though valuations rose which was expected as of June 30. Much of the weakness was US Large Growth over the quarter. (Russell 1000 5.9% 20.7% 21.9% caused by expected insurance Growth) —U.S. equities moved upward in industry losses due to hurricane International Q3, setting record highs. damage. Excluding the insurance Large 5.4% 3.7% 20.0% 12.3% 19.1% 20.5% Performance has been fueled by sector, earnings are expected to (MSCI EAFE) earnings growth. grow by 4.9% YoY. Eurozone 8.5% 5.2% 25.2% 13.2% 29.2% 24.9% (Euro Stoxx 50) —The possibility of U.S. corporate —U.S. dollar weakness year‐to‐date U.K. 4.8% 2.1% 15.7% 7.2% 14.9% 11.9% tax reform has led the market to has caused significant earnings (FTSE 100) price in greater expectations for differences between companies Japan future equity earnings growth. with greater international sales 2.0% 2.7% 12.1% 9.4% 13.4% 27.0% Significant uncertainty remains focus and companies that are (NIKKEI 225) around the timing and nature of more domestically‐focused. Emerging the reform, and the outcome will Overall, U.S. dollar movement Markets 7.9% 7.2% 27.8% 22.1% 22.5% 19.6% (MSCI Emerging have a material impact on equity has acted as a tailwind to Markets) prices in the short‐term. earnings growth.

Source: Russell Investments, MSCI, STOXX, FTSE, Nikkei, as of 9/30/17

Investment Landscape 26 4th Quarter 2017 Domestic equity

U.S. equities moved upward over the quarter (S&P 500 materially weaker figure than the 7.5% which was expected We maintain +4.5%), reaching record highs, but underperformed as of June 30. Most of the weakness was caused by insurance a neutral international markets (MSCI EAFE +5.4%). Earnings growth industry losses due to hurricane damage. Excluding this weight to remained the primary driver of robust equity performance, sector would result in a current estimate of 4.9% overall U.S. equities though Q3 earnings growth expectations have fallen due to growth rather than 2.8%. hurricane‐related insurance industry losses. The possibility of U.S. tax reform has likely contributed to a positive domestic U.S. domestically‐facing business in aggregate are expected to equity outlook. face flat sales and revenue growth, while externally‐facing businesses are expected to produce strong growth. U.S. dollar According to FactSet, as of October 6th the estimated Q3 depreciation and international growth have created a tailwind earnings growth rate of the S&P 500 was 2.8% YoY, a to the performance of externally‐focused U.S. businesses.

U.S. EQUITIES S&P 500 EPS GROWTH Q3 EXPECTATIONS

8000 20% 10% IT 10.5% 7.9% 7.7% 8%Financials 8.2% 7000 15% S&P 500 6.8% 6% 4.9% 10% Materials 4.7% 6000 3.8% 4%Real Estate 2.8% 3.7% 5% CS 3.2% 5000 2% Industrials 2.5% 0% 0% Telecom 0.8% 4000 ‐0.1% ‐2%Healthcare 0.5% ‐5% Utilities Earnings Growth Revenue Growth 3000 ‐0.2% Jul‐12 Jul‐13 Jul‐14 Jul‐15 Jul‐16 Jul‐17 CD ‐2.0%S&P 500 companies w/ > 50% sales in U.S. ‐10% All S&P 500 companies ‐5% 0% 5% 10% 15% Russell 3000 Dec‐12 Dec‐13 Dec‐14 Dec‐15 Dec‐16 S&P 500 companies w/ < 50% sales in U.S.

Source: Russell Investments, as of 9/29/17 Source: Bloomberg, as of 9/30/17 Source: FactSet, as of 10/6/17

Investment Landscape 27 4th Quarter 2017 Record highs

The teal bars represent a closing Equity market record high on the highs are S&P 500 1024 reached on 5% of market trading days

256 Scale)

(Log

Level 64

Price

500

S&P 16

4

1 Dec‐27 Dec‐33 Dec‐39 Dec‐45 Dec‐51 Dec‐57 Dec‐63 Dec‐69 Dec‐75 Dec‐81 Dec‐87 Dec‐93 Dec‐99 Dec‐05 Dec‐11

Source: Verus, Bloomberg, as of 9/29/17, based on the closing price

Investment Landscape 28 4th Quarter 2017 What is driving U.S. equities?

14% S&P 500 price appreciation 12% has been driven by earnings growth so far 10% this year

8% Change

Price 6%

500

S&P 4%

2%

0%

‐2% Jan‐17 Feb‐17 Mar‐17 Apr‐17 May‐17 Jun‐17 Jul‐17 Aug‐17 Sep‐17

P/E Expansion Earnings Growth

Source: Verus, Bloomberg, as of 9/29/17

Investment Landscape 29 4th Quarter 2017 Domestic equity size and style

Large cap equities led small cap equities through July and Large cap equities were led by the technology sector, from August. However, small cap equities rallied in September which the strongest contributors were semiconductor and (+6.2% in the month) and outperformed large cap equities internet software companies. The top three individual over the quarter. The move in September was partially contributors were Apple, Facebook and Microsoft. Small cap attributed to an increased focus on U.S. tax reform. If equities were mainly driven by producer durables passed, tax cuts will likely provide a greater marginal benefit companies. to smaller companies. Expectations of lower taxes and deregulation have contributed to small cap price Growth outperformed value in Q3 due to a higher relative appreciation that has outpaced earnings. The relative P/E weighting to technology companies. Financial services, the ratio between large and small companies is at its highest most heavily weighted sector in value, returned a positive level since the financial crisis. 5.0%, but still underperformed technology by 3.2%.

U.S. LARGE VS. SMALL RELATIVE SMALL CAP VS LARGE CAP (YOY) VALUE VS GROWTH (YOY) VALUATIONS

50 50 2.5 Relative P/E (Small/Large) (Left) 15% Relative Valuation Average (Left) 40 40 Subsequent 5 Yr Rolling Excess Returns (Small‐Large) (Right) 2.2 10% 30 30 (%) (%)

20 20 1.9 5% 10 10 1.6 0% Difference

Difference 0 0

‐10 ‐10 1.3 ‐5% Return ‐20 Return ‐20 ‐30 ‐30 1.0 ‐10% ‐40 ‐40 0.7 ‐15% Jan‐80 Jan‐86 Jan‐92 Jan‐98 Jan‐04 Jan‐10 Jan‐16 Jan‐80 Jan‐86 Jan‐92 Jan‐98 Jan‐04 Jan‐10 Jan‐16

Russell 2000 minus Russell 1000 R3000 Value minus R3000 Growth

Source: Russell Investments, as of 9/30/17 Source: Russell Investments, as of 9/30/17 Source: Russell, Bloomberg, as of 9/30/17

Investment Landscape 30 4th Quarter 2017 International equity

International equities outperformed domestic equities sales remain attractive relative to those in Europe and the during the third quarter. The MSCI ACWI ex U.S. returned United Kingdom. 6.2% (+4.6% hedged) while the S&P 500 returned 4.5%. Consistent with the first half of 2017, emerging markets MSCI EAFE valuations have remained relatively stable in outperformed (MSCI EM +7.9% unhedged) both the EAFE 2017 as earnings and sales growth have kept pace with price Small Cap Index (+7.5%) and the broad EAFE Index (+5.4%). appreciation.

Japanese equities were the largest contributors to the EAFE Currency effects added a positive 1.7% to the unhedged index in Q3, particularly companies within the industrials MSCI EAFE in Q3 (+7.6% year‐to‐date), as the U.S. dollar fell and consumer discretionary sectors. Despite the positive for a third consecutive quarter against a trade weighted moves, Japanese equity valuations based on earnings and basket of currencies.

GLOBAL EQUITY PERFORMANCE VALUATIONS EFFECT OF CURRENCY (1 YEAR ROLLING)

140 25 23.2 30% 21.7 130 19.6 EAFE 20 17.9 20% 120 United States 15.8

$100 Emerging Markets 110 14.1 10%

of 15

100 0% 10 Growth 90 6.3 5.1 80 4.6 ‐10% 5 3.1 3.1 1.7 1.7 2.02.4 70 ‐20% Mar‐14 Mar‐15 Mar‐16 Mar‐17 0 Jan‐09 Jul‐10 Jan‐12 Jul‐13 Dec‐14 Jun‐16 MSCI EAFE MSCI EAFE Small Cap P/BV P/E Price/FCF Dividend Earnings MSCI Emerging Markets Yield (%) Yield (%) MSCI EAFE MSCI ACWI ex USA MSCI EM

Source: Bloomberg, as of 9/30/17 Source: Bloomberg, as of 9/30/17 Source: MSCI, as of 9/30/17

Investment Landscape 31 4th Quarter 2017 Emerging market equity

We maintain an overweight to emerging market equities, emerging market underperformance during this time, and Accelerating which have historically delivered outsized economic the recent reversal in currency trends has been additive global growth growth and performance during stronger global growth to the outperformance of these markets. environments. should have a Valuations have risen off of low levels, bolstering returns. positive effect Emerging market equities have outperformed developed These markets are no longer cheap relative to history on emerging markets over the quarter (7.9% vs. 4.8%) and the past though strong earnings growth and mean reversion of economies year (22.5% vs 18.2%), reversing an extended period of currencies could likely fuel further outsized equity gains. underperformance following the global financial crisis. Currency movement was a significant contributor to

EMERGING MARKET FX & RELATIVE PERFORMANCE (7YR CUMULATIVE) EQUITY PERFORMANCE (3YR ROLLING) FORWARD P/E RATIOS

20% Unhedged currency exposure losses (blue line) have 50 25 explained much of recent EM equity underperformance 40 Emerging markets may 0% provide higher exposure (%) 30 to global growth 20 ‐20% 20 Return 15 ‐40% 10 0 ‐60% 10 Annualized ‐10

‐80% ‐20 5 Sep‐10 Sep‐12 Sep‐14 Sep‐16 Dec‐03 Dec‐06 Dec‐09 Dec‐12 Dec‐15 Nov‐05 Nov‐07 Oct‐09 Oct‐11 Oct‐13 Sep‐15 Sep‐17 EM equity unhedged currency return US Large International Developed EM equity relative performance (MSCI EM minus MSCI ACWI) Emerging Markets MSCI EAFE Emerging Markets MSCI EAFE Small

Source: MSCI, JP Morgan EM Currency Index, as of 9/30/17 Source: Standard & Poor’s, MSCI, as of 9/30/17 Source: Bloomberg as of 9/30/17

Investment Landscape 32 4th Quarter 2017 Emerging markets – High “growth beta”

During Q3 the trend of coordinated global economic The relationship between emerging market equities and growth continued. Emerging market equities materially world economic growth has historically exhibited a beta outperformed global equities over the quarter (7.9% of 9.6. This suggests that, on average, investors might MSCI EM vs. 5.2% MSCI ACWI) and year‐to‐date (27.8% expect a 1% improvement in global growth to result in vs. 17.3%). emerging market equity outperformance of 9.6%.

Emerging markets have historically performed well during It is important to note that this relationship has also held periods of global growth acceleration, in terms of both on the downside, as emerging markets tend to produce equity performance and underlying economic growth. poor returns during weak growth environments.

EM GROWTH RELATIONSHIP TO GLOBAL GROWTH EM EQUITY PERFORMANCE RELATIONSHIP TO GLOBAL GROWTH

12% 100% Historical data implies a beta 80% (YoY) of 9.6x to World GDP Growth 10% R² = 0.42 Growth 60% R² = 0.22 Returns GDP 40%

8% 20% Equity

6% Market 0% 4% ‐20% Market

Emerging ‐40% 2% ‐60% Emerging 0% ‐80% ‐6% ‐4% ‐2% 0% 2% 4% 6% ‐6% ‐4% ‐2% 0% 2% 4% 6% World GDP Growth World GDP Growth

Source: Bloomberg, since 1996 –BRICS used to represent emerging market economic growth Source: Bloomberg, since 1996 ‐ MSCI

Investment Landscape 33 4th Quarter 2017 Equity valuations

Equity valuations remain elevated compared to history, also indicate equity prices are rich, especially in the U.S. The Valuations although recent price appreciation has been driven by P/S ratio at the end of September was 2.1, the highest level are elevated, earnings growth as opposed to multiple expansion. In since 2000. During this cycle, sales growth has lagged international developed markets (EAFE), earnings growth earnings growth (per share), influenced by expanding profit but relative over the past two quarters has outpaced price appreciation, margins and an increase in equity buybacks. opportunities leading to a slight decline in P/E ratios. The opposite has exist occurred in emerging markets where strong price gains have Historically, higher valuations have led to lower future resulted in higher valuations. Relative to developed returns over the medium‐term, on average. However, countries, emerging equities still appear attractive from a valuations can remain elevated for long periods of time and valuation perspective but are no longer considered cheap. may be partially justified given the current environment of Other valuation measures such as price‐to‐sales (P/S) ratios low interest rates and inflation.

TRAILING P/E RATIOS TRAILING PRICE‐TO‐SALES RATIOS CURRENT VALUATION METRICS

50 2.5 25 23.2 21.7 EAFE 19.6 United States 40 2.0 20 17.9 Emerging Markets 15.8 14.1 30 1.5 15

20 1.0 10 6.3 5.1 10 0.5 4.6 5 3.1 3.1 1.7 1.7 2.02.4 0 0.0 0 Jan‐96 May‐99 Sep‐02 Jan‐06 May‐09 Sep‐12 Jan‐16 Jan‐96 May‐99 Sep‐02 Jan‐06 May‐09 Sep‐12 Jan‐16 P/BV P/E Price/FCF Dividend Earnings U.S. EAFE EM U.S. EAFE EM Yield (%) Yield (%)

Source: Bloomberg, as of 9/30/17 Source: Bloomberg, as of 9/30/17 Source: Bloomberg, as of 9/30/17

Investment Landscape 34 4th Quarter 2017 Equity volatility

Despite a rise in geopolitical risks, including tensions on volatility targets, such as risk parity, it is important to be Equity the Korean peninsula, realized volatility in equities over aware of rising equity exposure and leverage. A spike in volatility has the quarter was extremely low, consistent with recent volatility may lead to forced equity selling during a trends. In September, S&P 500 annualized volatility was downturn in order to maintain the risk target. trended 5%, the lowest level for a calendar month on record. downwards While many market participants have voiced concern over The CBOE Skew Index, which looks at the steepness of the complacency, low volatility generally accompanies bull volatility curve, is above its historical average. This markets. We continue to watch volatility trends closely, indicates investors are still paying a premium for but at this time do not view the current environment as a downside protection. bearish signal. For investors in strategies with specific

U.S. IMPLIED VOLATILITY REALIZED 1‐YEAR ROLLING VOLATILITY U.S. VOLATILITY SKEW

80 50% 150 70 40% 140 60

50 30% 130 40 120 30 20% 20 10% 110 10 100 0 0% Jan‐96 Jan‐99 Jan‐02 Jan‐05 Jan‐08 Jan‐11 Jan‐14 Jan‐17 Jun‐90 May‐95 May‐00 Apr‐05 Mar‐10 Feb‐15 Oct‐05 Jul‐09 Apr‐13 Jan‐17 VIX U.S. EAFE EM CBOE SKEW INDEX Average

Source: CBOE, as of 9/30/17 Source: Bloomberg, as of 9/30/17 Source: CBOE, as of 9/30/17

Investment Landscape 35 4th Quarter 2017 Long-term equity performance

2400

2200

2000

1800 $1,000

1600 of

1400 Growth

1200

1000

800

600

400 Sep‐07 Sep‐10 Sep‐13 Sep‐16

S&P 500 Russell 2000 MSCI EAFE MSCI EAFE Small Cap MSCI EM MSCI ACWI

Source: MPI, as of 9/30/17

Investment Landscape 36 4th Quarter 2017 Other assets

Investment Landscape 37 4th Quarter 2017 Hedge funds

In aggregate, hedge funds returned 2.2% during Q3 and 5.5% 16.5% YTD) were particularly strong performers. Those year‐to‐date per HFRI. Equity hedge strategies were the top markets rallied due in part to a combination of pro‐business performer for both periods as they gained 3.5% and 9.6%, politicians retaining power, improving economic growth respectively. Short biased funds stood out as the only prospects and stabilizing commodity markets. negative sub strategy during Q3, which is typical during equity rallies. Funds with greater net‐long market exposure We are closely monitoring volatility levels because we benefited from strong year‐to‐date equity market returns. understand that sudden changes in volatility regimes can negatively impact high gross leverage strategies. Our Emerging market hedge funds were notable winners this year concerns are somewhat balanced due to more normal net as HFRI reported performance of 4.8% for Q3 and 14.7% leverage levels. year‐to‐date. Funds focused on Latin America (+10.2% for Q3,

3‐YEAR ROLLING STYLE PERFORMANCE Q3 & YTD STYLE PERFORMANCE LEVERAGE (PERCENTILE RANK SINCE 2010)

16% 16% 14.7% 100%

80% 12% 12% 9.6% 60% 8% 8% 5.9% 4.8% 40% 3.5% 4.1% 4% 4% 1.8% 1.4% 20% 0.2% 0% 0% 0% ‐0.5% ‐4% ‐4% Dec‐10 Jun‐12 Dec‐13 Jun‐15 Dec‐16 Event Equity Emerging Macro RV Driven Hedge Markets HFRI Equity Hedge HFRI Event‐Driven Gross Net HFRI Macro HFRI Relative Value Q3 YTD

Source: HFRI, as of 9/30/17 Source: HFRI, as of 9/30/17 Source: Morgan Stanley, as of 9/30/17

Investment Landscape 38 4th Quarter 2017 Currency

The U.S. dollar depreciated an additional 2.7% in Q3 against currencies have stabilized. Improved current account a trade weighted basket of developed currencies, which balances and economic growth conditions have provided a brought the year‐to‐date decline to 8.0%. The downward positive backdrop for these currencies moving forward. trend partially reversed in September after prospects of However, a quicker than expected rise in U.S. interest rates another interest rate hike in December from the Fed helped could represent a headwind to further appreciation. lead to the first month of dollar appreciation so far this year. The euro appreciated 3.4% against the dollar over the Currency losses from unhedged exposure to developed quarter, influenced by improving economic conditions and international equities has begun to reverse due to recent the possibility of ECB tightening monetary policy. dollar weakness, although currency exposure has still resulted in materially higher volatility. After several years of depreciation, emerging market

U.S. DOLLAR TRADE WEIGHTED INDEX EFFECT OF CURRENCY (1‐YEAR ROLLING) JPM EM CURRENCY INDEX

140 30% 110

20% 100 120

10% 90 100 0% 80 ‐10% 80 70 ‐20% Jan‐09 Sep‐10 May‐12 Jan‐14 Aug‐15 Apr‐17 60 60 Jun‐74 Jun‐88 Jun‐02 Jun‐16 MSCI EAFE MSCI ACWI ex USA MSCI EM Jul‐10 Jul‐12 Jul‐14 Jul‐16

Source: Federal Reserve, as of 9/30/17 Source: MPI, as of 9/30/17 Source: JPMorgan, as of 9/30/17

Investment Landscape 39 4th Quarter 2017 Appendix

Investment Landscape 40 4th Quarter 2017 Periodic table of returns

BEST 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 YTD 5‐Year 10‐Year Emerging Markets Equity 16.6 38.4 23.2 35.2 38.7 66.4 31.8 14.0 25.9 56.3 26.0 34.5 32.6 39.8 5.2 79.0 29.1 14.3 18.6 43.3 13.5 13.3 31.7 27.8 15.3 9.1

Large Cap Growth 8.1 37.8 23.1 32.9 27.0 43.1 22.8 8.4 10.3 48.5 22.2 21.4 26.9 16.2 1.4 37.2 26.9 7.8 18.1 38.8 13.2 5.7 21.3 20.7 14.3 8.5

International Equity 6.4 37.2 22.4 31.8 20.3 33.2 12.2 7.3 6.7 47.3 20.7 20.1 23.5 15.8 ‐6.5 34.5 24.5 2.6 17.9 34.5 13.0 0.9 17.3 20.0 14.3 7.8

Small Cap Growth 4.4 31.0 21.6 30.5 19.3 27.3 11.6 3.3 1.6 46.0 18.3 14.0 22.2 11.8 ‐21.4 32.5 19.2 1.5 17.5 33.5 11.8 0.6 12.1 16.8 13.8 7.5

Large Cap Equity 3.2 28.5 21.4 22.4 16.2 26.5 7.0 2.8 1.0 39.2 16.5 7.5 18.4 11.6 ‐25.9 28.4 16.8 0.4 16.4 33.1 6.0 0.0 11.8 14.2 13.3 7.1

60/40 Global Portfolio 2.6 25.7 16.5 16.2 15.6 24.3 6.0 2.5 ‐5.9 30.0 14.5 7.1 16.6 10.9 ‐28.9 27.2 16.7 0.1 16.3 32.5 5.6 ‐0.4 11.3 12.7 13.2 6.4

Small Cap Equity 0.4 19.6 14.4 13.9 8.7 21.3 4.1 ‐2.4 ‐6.0 29.9 14.3 6.3 15.5 10.3 ‐33.8 23.3 16.1 ‐2.1 15.3 23.3 4.9 ‐0.8 11.2 10.9 10.5 5.9

Large Cap Value ‐1.5 18.5 11.3 12.9 4.9 20.9 ‐3.0 ‐5.6 ‐11.4 29.7 12.9 5.3 15.1 7.0 ‐35.6 20.6 15.5 ‐2.9 14.6 12.1 4.2 ‐1.4 8.0 7.9 8.4 4.3

Small Cap Value ‐1.8 15.2 10.3 10.6 1.2 13.2 ‐7.3 ‐9.1 ‐15.5 25.2 11.4 4.7 13.3 7.0 ‐36.8 19.7 13.1 ‐4.2 11.5 11.0 3.4 ‐2.5 7.1 5.7 6.3 4.0

Hedge Funds of Funds ‐2.0 11.6 9.9 9.7 ‐2.5 11.4 ‐7.8 ‐9.2 ‐15.7 23.9 9.1 4.6 10.4 5.8 ‐37.6 18.9 10.2 ‐5.5 10.5 9.0 2.8 ‐3.8 5.7 5.5 4.0 1.3

Real Estate ‐2.4 11.1 6.4 5.2 ‐5.1 7.3 ‐14.0 ‐12.4 ‐20.5 11.6 6.9 4.6 9.1 4.4 ‐38.4 11.5 8.2 ‐5.7 4.8 0.1 0.0 ‐4.4 2.6 3.3 3.8 1.3

US Bonds ‐2.9 7.5 6.0 2.1 ‐6.5 4.8 ‐22.4 ‐19.5 ‐21.7 9.0 6.3 4.2 4.8 ‐0.2 ‐38.5 5.9 6.5 ‐11.7 4.2 ‐2.0 ‐1.8 ‐7.5 1.0 3.1 2.1 1.1

Cash ‐3.5 5.7 5.1 ‐3.4 ‐25.3 ‐0.8 ‐22.4 ‐20.4 ‐27.9 4.1 4.3 3.2 4.3 ‐1.6 ‐43.1 0.2 5.7 ‐13.3 0.1 ‐2.3 ‐4.5 ‐14.9 0.5 0.6 0.2 0.4

Commodities ‐7.3 ‐5.2 3.6 ‐11.6 ‐27.0 ‐1.5 ‐30.6 ‐21.2 ‐30.3 1.0 1.4 2.4 2.1 ‐9.8 ‐53.2 ‐16.9 0.1 ‐18.2 ‐1.1 ‐9.5 ‐17.0 ‐24.7 0.3 ‐2.9 ‐10.5 ‐6.8

Large Cap Equity Small Cap Growth Commodities WORST

Large Cap Value International Equity Real Estate

Large Cap Growth Emerging Markets Equity Hedge Funds of Funds

Small Cap Equity US Bonds 60% MSCI ACWI/40% BBgBarc Global Bond Small Cap Value Cash

Source Data: Morningstar, Inc., Hedge Fund Research, Inc. (HFR), National Council of Real Estate Investment Fiduciaries (NCREIF). Indices used: Russell 1000, Russell 1000 Value, Russell 1000 Growth, Russell 2000, Russell 2000 Value, Russell 2000 Growth, MSCI EAFE, MSCI EM, BBgBarc US Aggregate, T‐Bill 90 Day, Bloomberg Commodity, NCREIF Property, HFRI FOF, MSCI ACWI, BBgBarc Global Bond. NCREIF Property Index performance data as of 6/30/17.

Investment Landscape 41 4th Quarter 2017 Major asset class returns

ONE YEAR ENDING SEPTEMBER TEN YEARS ENDING SEPTEMBER

22.5% MSCI EM 9.1% Russell 1000 Growth

21.9% Russell 1000 Growth 8.5% Russell 2000 Growth

21.0% Russell 2000 Growth 7.8% BBgBarc US Corp. High Yield

20.7% Russell 2000 7.8% Russell 2000

20.5% Russell 2000 Value 7.4% S&P 500

19.1% MSCI EAFE 7.1% Russell 2000 Value

18.6% S&P 500 5.9% Russell 1000 Value

15.1% Russell 1000 Value 5.6% Wilshire US REIT

8.9% BBgBarc US Corp. High Yield 5.5% BBgBarc US Credit

2.0% BBgBarc US Credit 4.3% BBgBarc US Agg Bond

0.3% BBgBarc US Agency Interm 3.7% BBgBarc US Treasury

0.1% BBgBarc US Agg Bond 2.8% BBgBarc US Agency Interm

0.1% Wilshire US REIT 1.3% MSCI EM

‐0.3% Bloomberg Commodity 1.3% MSCI EAFE

‐1.7% BBgBarc US Treasury ‐6.8% Bloomberg Commodity

‐15% ‐5% 5% 15% 25% 35% ‐10% ‐5% 0% 5% 10% 15%

Source: Morningstar, as of 9/30/17 Source: Morningstar, as of 9/30/17

Investment Landscape 42 4th Quarter 2017 S&P 500 sector returns

3RD QUARTER ONE YEAR ENDING SEPTEMBER

8.6% Information Technology 36.2% Financials

6.8% Energy 28.9% Information Technology

6.8% Telecom 22.4% Industrials

6.0% Materials 21.3% Materials

5.2% Financials 18.6% S&P 500

4.5% S&P 500 15.5% Health Care

4.2% Industrials 14.5% Consumer Discretionary

3.7% Health Care 12.0% Utilities

2.9% Utilities 4.4% Consumer Staples

0.9% Real Estate 2.7% Real Estate

0.8% Consumer Discretionary 0.2% Energy

‐1.3% Consumer Staples ‐0.1% Telecom

‐5% 0% 5% 10% ‐20% ‐10% 0% 10% 20% 30% 40%

Source: Morningstar, as of 9/30/17 Source: Morningstar, as of 9/30/17

Investment Landscape 43 4th Quarter 2017 Detailed index returns DOMESTIC EQUITY FIXED INCOME Month QTD YTD 1 Year 3 Year 5 Year 10 Year Month QTD YTD 1 Year 3 Year 5 Year 10 Year Core Index Broad Index

S&P 500 2.1 4.5 14.2 18.6 10.8 14.2 7.4 BBgBarc US Treasury US TIPS (0.6) 0.9 1.7 (0.7) 1.6 0.0 3.9 S&P 500 Equal Weighted 2.9 3.6 11.9 16.2 10.1 15.0 8.9 BBgBarc US Treasury Bills 0.1 0.3 0.6 0.6 0.3 0.2 0.5 DJ Industrial Average 2.2 5.6 15.5 25.5 12.3 13.6 7.7 BBgBarc US Agg Bond (0.5) 0.8 3.1 0.1 2.7 2.1 4.3 Russell Top 200 1.9 4.9 15.1 19.8 11.1 14.3 7.3 Duration Russell 1000 2.1 4.5 14.2 18.5 10.6 14.3 7.5 BBgBarc US Treasury 1‐3 Yr (0.2) 0.2 0.7 0.2 0.8 0.6 1.7 Russell 2000 6.2 5.7 10.9 20.7 12.2 13.8 7.8 BBgBarc US Treasury Long (2.2) 0.6 6.0 (6.4) 4.9 2.8 6.9 Russell 3000 2.4 4.6 13.9 18.7 10.7 14.2 7.6 BBgBarc US Treasury (0.9) 0.4 2.3 (1.7) 2.0 1.2 3.7 Russell Mid Cap 2.8 3.5 11.7 15.3 9.5 14.3 8.1 Issuer Style Index BBgBarc US MBS (0.2) 1.0 2.3 0.3 2.4 2.0 4.1 Russell 1000 Growth 1.3 5.9 20.7 21.9 12.7 15.3 9.1 BBgBarc US Corp. High Yield 0.9 2.0 7.0 8.9 5.8 6.4 7.8 Russell 1000 Value 3.0 3.1 7.9 15.1 8.5 13.2 5.9 BBgBarc US Agency Interm (0.3) 0.3 1.4 0.3 1.5 1.1 2.8 Russell 2000 Growth 5.4 6.2 16.8 21.0 12.2 14.3 8.5 BBgBarc US Credit (0.2) 1.3 5.1 2.0 3.9 3.2 5.5 Russell 2000 Value 7.1 5.1 5.7 20.5 12.1 13.3 7.1

INTERNATIONAL EQUITY OTHER

Broad Index Index MSCI ACWI 1.9 5.2 17.3 18.6 7.4 10.2 3.9 Bloomberg Commodity (0.1) 2.5 (2.9) (0.3) (10.4) (10.5) (6.8) MSCI ACWI ex US 1.9 6.2 21.1 19.6 4.7 7.0 1.3 Wilshire US REIT (0.1) 0.6 2.4 0.1 9.7 9.5 5.6 MSCI EAFE 2.5 5.4 20.0 19.1 5.0 8.4 1.3 CS Leveraged Loans 0.4 1.1 3.0 5.4 4.0 4.4 4.4 MSCI EM (0.4) 7.9 27.8 22.5 4.9 4.0 1.3 Regional Index MSCI EAFE Small Cap 2.9 7.5 25.4 21.8 11.1 12.8 4.6 JPM EMBI Global Div 0.0 2.6 9.0 4.6 6.5 4.9 7.5 Style Index JPM GBI‐EM Global Div (0.3) 3.6 14.3 7.3 0.3 (0.9) 3.8 MSCI EAFE Growth 1.9 4.9 22.4 15.7 6.5 8.9 2.1 Hedge Funds MSCI EAFE Value 3.1 5.9 17.6 22.5 3.5 7.8 0.5 HFRI Composite 0.5 2.1 5.7 6.9 3.3 4.7 3.1 Regional Index HFRI FOF Composite 0.4 2.2 5.5 6.4 2.2 3.8 1.1 MSCI UK 3.3 5.2 15.7 14.6 0.8 4.9 0.7 Currency (Spot) MSCI Japan 2.0 4.0 14.3 14.1 7.7 10.6 1.7 Euro (0.6) 3.7 12.1 5.2 (2.2) (1.7) (1.8) MSCI Euro 3.9 8.0 25.9 28.4 5.6 9.9 (0.0) Pound 4.1 3.3 8.6 3.3 (6.1) (3.6) (4.1) MSCI EM Asia (0.0) 7.0 31.8 23.8 8.0 7.4 2.7 Yen (2.2) (0.2) 3.6 (10.0) (0.9) (7.1) 0.2 MSCI EM Latin American 1.6 15.1 26.7 25.6 (0.3) (1.9) (0.8) Source: Morningstar, as of 9/30/17

Investment Landscape 44 4th Quarter 2017 Definitions Bloomberg US Weekly Consumer Comfort Index ‐ tracks the public’s economic attitudes each week, providing a high‐frequency read on consumer sentiment. The index, based on cell and landline telephone interviews with a random, representative national sample of U.S. adults, tracks Americans' ratings of the national economy, their personal finances and the buying climate on a weekly basis, with views of the economy’s direction measured separately each month. (www.langerresearch.com)

University of Michigan Consumer Sentiment Index ‐ A survey of consumer attitudes concerning both the present situation as well as expectations regarding economic conditions conducted by the University of Michigan. For the preliminary release approximately three hundred consumers are surveyed while five hundred are interviewed for the final figure. The level of consumer sentiment is related to the strength of consumer spending. (www.Bloomberg.com)

Citi Economic Surprise Index ‐ objective and quantitative measures of economic news. Defined as weighted historical standard deviations of data surprises (actual releases vs Bloomberg survey median). A positive reading of the Economic Surprise Index suggests that economic releases have on balance been beating consensus. The indices are calculated daily in a rolling three‐month window. The weights of economic indicators are derived from relative high‐frequency spot FX impacts of 1 standard deviation data surprises. The indices also employ a time decay function to replicate the limited memory of markets. (www.Bloomberg.com)

NFIB Small Business Outlook ‐ Small Business Economic Trends (SBET) is a monthly assessment of the U.S. small‐business economy and its near‐term prospects. Its data are collected through mail surveys to random samples of the National Federal of Independent Business (NFIB) membership. The survey contains three broad question types: recent performance, near‐term forecasts, and demographics. The topics addressed include: outlook, sales, earnings, employment, employee compensation, investment, inventories, credit conditions, and single most important problem. (http://www.nfib‐sbet.org/about/)

Notices & disclosures Past performance is no guarantee of future results. This report or presentation is provided for informational purposes only and is directed to institutional clients and eligible institutional counterparties only and should not be relied upon by retail investors. Nothing herein constitutes investment, legal, accounting or tax advice, or a recommendation to buy, sell or hold a security or pursue a particular investment vehicle or any trading strategy. The opinions and information expressed are current as of the date provided or cited only and are subject to change without notice. This information is obtained from sources deemed reliable, but there is no representation or warranty as to its accuracy, completeness or reliability. Verus Advisory Inc. and Verus Investors, LLC expressly disclaim any and all implied warranties or originality, accuracy, completeness, non‐ infringement, merchantability and fitness for a particular purpose. This report or presentation cannot be used by the recipient for advertising or sales promotion purposes.

The material may include estimates, outlooks, projections and other “forward‐looking statements.” Such statements can be identified by the use of terminology such as “believes,” “expects,” “may,” “will,” “should,” “anticipates,” or the negative of any of the foregoing or comparable terminology, or by discussion of strategy, or assumptions such as economic conditions underlying other statements. No assurance can be given that future results described or implied by any forward looking information will be achieved. Actual events may differ significantly from those presented. Investing entails risks, including possible loss of principal. Risk controls and models do not promise any level of performance or guarantee against loss of principal.

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Investment Landscape 45 4th Quarter 2017 Tulare County Employees' Retirement Association Investment Performance Review Period Ending: September 30, 2017 Total Fund Portfolio Reconciliation Period Ending: September 30, 2017

Fiscal Year-To-Date

_

Beginning Market Value $1,252,296,144

Net Cash Flow -$3,009,448

Net Investment Change $44,541,697

Ending Market Value $1,293,828,393

_

Contributions and withdrawals may include intra-account transfers between managers/funds.

Tulare County Employees' Retirement Association 1 Total Fund Executive Summary (Gross of Fees) Period Ending: September 30, 2017

Fiscal 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 15 Yrs 20 Yrs YTD

_ Total Fund 3.6 10.6 3.6 12.0 5.8 7.8 4.1 7.8 7.1 Policy Index 3.3 10.2 3.3 11.0 5.8 7.1 4.9 8.0 -- InvestorForce Public DB Gross 34 63 34 55 87 72 94 55 20 Rank Total Fund x Clifton 3.6 10.5 3.6 11.9 5.7 7.7 ------Policy Index 3.3 10.2 3.3 11.0 5.8 7.1 ------InvestorForce Public DB Gross 35 65 35 56 88 74 ------Rank Total Domestic Equity 5.4 15.1 5.4 20.4 11.2 14.9 8.0 11.1 9.6 Russell 3000 4.6 13.9 4.6 18.7 10.7 14.2 7.6 10.4 7.2 InvestorForce Public DB US Eq 5 16 5 13 19 7 22 15 1 Gross Rank Total International Equity 6.3 21.5 6.3 21.0 5.4 7.9 0.2 8.3 5.3 MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 1.7 9.4 5.4 InvestorForce Public DB ex-US 46 76 46 28 69 65 93 81 67 Eq Gross Rank Total Global Equity 6.1 22.9 6.1 20.0 ------MSCI ACWI Gross 5.3 17.8 5.3 19.3 ------InvestorForce Public DB Glbl Eq 16 2 16 37 ------Gross Rank Total Fixed Income 1.1 4.0 1.1 3.4 3.1 2.7 5.1 5.1 -- BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 2.7 2.1 4.3 4.2 -- InvestorForce Public DB US Fix 39 40 39 21 48 42 37 32 -- Inc Gross Rank Total Real Estate 1.5 2.7 1.5 4.6 10.2 10.9 3.4 8.4 9.0 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 9.0 -- NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.3 9.1 Total Alternatives 2.4 3.3 2.4 5.8 -1.2 -0.2 0.8 -- -- CPI + 5% 2.0 6.0 2.0 7.3 6.3 6.4 6.8 -- -- Total Opportunistic 1.6 2.1 1.6 4.5 6.0 13.8 ------

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New Policy Index as of 10/1/2016: 20% Russell 3000, 20% MSCI ACWI ex US, 27% BBgBarc US Aggregate, 3% MSCI ACWI, 10% NCREIF Property, 5% Bloomberg Commodity, 5% CPI +500 bps, 5% Russell 3000 +300 bps, 5% BBgBarc High Yield +2% Lagged. All return periods greater than 1-year are rolling annualized returns. Effective 1/1/2017, only traditional asset class (public equity, public fixed income, REITs) investment management fees will be included in the gross of fee return calculation.

Tulare County Employees' Retirement Association 2 Total Fund Executive Summary (Net of Fees) Period Ending: September 30, 2017

Fiscal 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 15 Yrs 20 Yrs YTD

_ Total Fund 3.5 10.4 3.5 11.6 5.3 7.4 3.8 7.4 6.7 Policy Index 3.3 10.2 3.3 11.0 5.8 7.1 4.9 8.0 -- Total Fund x Clifton 3.5 10.3 3.5 11.5 5.3 7.3 ------Policy Index 3.3 10.2 3.3 11.0 5.8 7.1 ------Total Domestic Equity 5.3 14.7 5.3 19.9 10.8 14.5 7.6 10.7 9.2 Russell 3000 4.6 13.9 4.6 18.7 10.7 14.2 7.6 10.4 7.2 Total International Equity 6.3 21.2 6.3 20.6 5.0 7.6 -0.1 7.9 4.9 MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 1.7 9.4 5.4 Total Global Equity 5.8 22.2 5.8 19.0 ------MSCI ACWI Gross 5.3 17.8 5.3 19.3 ------Total Fixed Income 1.0 3.8 1.0 3.1 2.8 2.4 4.8 4.9 -- BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 2.7 2.1 4.3 4.2 -- Total Real Estate 1.5 2.7 1.5 4.3 9.6 10.4 3.2 7.5 8.1 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 9.0 -- NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.3 9.1 Total Alternatives 2.4 3.3 2.4 5.5 -1.9 -0.9 0.4 -- -- CPI + 5% 2.0 6.0 2.0 7.3 6.3 6.4 6.8 -- -- Total Opportunistic 1.6 2.1 1.6 4.1 4.7 12.7 ------

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New Policy Index as of 10/1/2016: 20% Russell 3000, 20% MSCI ACWI ex US, 27% BBgBarc US Aggregate, 3% MSCI ACWI, 10% NCREIF Property, 5% Bloomberg Commodity, 5% CPI +500 bps, 5% Russell 3000 +300 bps, 5% BBgBarc High Yield +2% Lagged. All return periods greater than 1-year are rolling annualized returns.

Tulare County Employees' Retirement Association 3 Total Fund Risk Analysis - 3 Years (Gross of Fees) Period Ending: September 30, 2017

Anlzd Std Tracking Sharpe Up Mkt Cap Down Mkt Anlzd Ret Anlzd Alpha Beta R-Squared Info Ratio Dev Error Ratio Ratio Cap Ratio

_ Total Fund 5.77% 5.12% -0.21% 1.04 0.71% 0.98 1.07 0.00 101.25% 104.36%

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Tulare County Employees' Retirement Association 4 Total Fund Risk Analysis - 5 Years (Gross of Fees) Period Ending: September 30, 2017

Anlzd Std Tracking Sharpe Up Mkt Cap Down Mkt Anlzd Ret Anlzd Alpha Beta R-Squared Info Ratio Dev Error Ratio Ratio Cap Ratio

_ Total Fund 7.77% 5.17% 0.47% 1.03 0.95% 0.97 1.46 0.75 107.40% 91.45%

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Tulare County Employees' Retirement Association 5 Total Fund Rolling Risk Statistics (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 6 Total Fund Performance Summary (Gross of Fees) Period Ending: September 30, 2017

% of Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 Portfolio YTD Total Fund 1,293,828,393 100.0 3.6 10.6 3.6 12.0 5.8 7.8 4.1 7.6 -1.2 4.2 15.8 12.8 Policy Index 3.3 10.2 3.3 11.0 5.8 7.1 4.9 8.0 -1.1 4.6 12.6 11.6 InvestorForce Public DB Gross Rank 34 63 34 55 87 72 94 53 80 83 49 43 Total Fund x Clifton 1,286,699,943 99.4 3.6 10.5 3.6 11.9 5.7 7.7 -- 7.6 -1.1 4.1 15.8 12.4 Policy Index 3.3 10.2 3.3 11.0 5.8 7.1 -- 8.0 -1.1 4.6 12.6 11.6 InvestorForce Public DB Gross Rank 35 65 35 56 88 74 -- 53 80 87 48 50 Total Domestic Equity 277,818,261 21.5 5.4 15.1 5.4 20.4 11.2 14.9 8.0 11.5 1.6 12.4 35.9 16.8 Russell 3000 4.6 13.9 4.6 18.7 10.7 14.2 7.6 12.7 0.5 12.6 33.6 16.4 InvestorForce Public DB US Eq Gross Rank 5 16 5 13 19 7 22 77 10 17 24 30 SSGA S&P 500 Flagship Fund 51,579,683 4.0 4.5 14.3 4.5 18.7 10.9 14.3 -- 12.0 1.5 13.7 32.4 16.1 S&P 500 4.5 14.2 4.5 18.6 10.8 14.2 -- 12.0 1.4 13.7 32.4 16.0 eA US Large Cap Core Equity Gross Rank 54 48 54 49 34 39 -- 31 40 42 58 39 QMA Large Cap Core 52,096,343 4.0 5.8 14.0 5.8 19.0 11.2 15.2 -- 12.5 2.1 15.6 34.3 18.1 S&P 500 4.5 14.2 4.5 18.6 10.8 14.2 -- 12.0 1.4 13.7 32.4 16.0 eA US Large Cap Core Equity Gross Rank 18 51 18 45 26 17 -- 25 31 20 37 18 Ivy Large Cap Growth 53,054,164 4.1 7.8 22.4 7.8 20.9 12.1 15.7 -- 2.1 7.6 12.8 37.3 13.0 Russell 1000 Growth 5.9 20.7 5.9 21.9 12.7 15.3 -- 7.1 5.7 13.0 33.5 15.3 eA US Large Cap Growth Equity Gross Rank 9 35 9 53 42 27 -- 72 26 40 25 78 Boston Partners Large Cap Value 51,067,958 3.9 4.9 12.1 4.9 21.3 9.2 14.0 8.1 14.7 -3.9 11.8 37.0 21.5 Russell 1000 Value 3.1 7.9 3.1 15.1 8.5 13.2 5.9 17.3 -3.8 13.5 32.5 17.5 eA US Large Cap Value Equity Gross Rank 26 29 26 16 45 40 20 54 65 58 26 6 SSGA Russell Small Cap Completeness Index 22,276,497 1.7 5.0 12.7 5.0 19.2 10.5 -- -- 16.5 -3.5 7.4 -- -- Russell Small Cap Completeness 5.0 12.7 5.0 19.2 10.5 -- -- 16.6 -3.4 7.4 -- -- eA US Small Cap Core Equity Gross Rank 58 27 58 67 79 -- -- 84 68 37 -- -- William Blair SMID Cap Growth 24,838,713 1.9 5.4 23.1 5.4 26.7 15.6 17.5 10.9 8.2 6.1 9.8 43.1 13.8 Russell 2500 Growth 5.8 17.0 5.8 20.1 11.3 14.5 8.7 9.7 -0.2 7.1 40.7 16.1 eA US Mid Cap Growth Equity Gross Rank 27 15 27 2 1 3 9 22 7 33 11 68 Lee Munder Small Value 22,904,904 1.8 3.2 5.4 3.2 19.0 13.6 14.6 -- 28.4 0.4 5.1 33.1 15.7 Russell 2000 Value 5.1 5.7 5.1 20.5 12.1 13.3 -- 31.7 -7.5 4.2 34.5 18.1 eA US Small Cap Value Equity Gross Rank 87 69 87 63 26 54 -- 38 9 60 85 61

BlackRock Commodities liquidated 12/24/13. Gresham MTAP Commodities funded 12/31/13. Wellington Commodity funded 1/3/14. KBI Water Strategy funded 10/28/14. Research Affiliates converted to PIMCO RAE Fundamental Global Ex US Fund on 6/5/15 (performance prior to this date represents previously held Enhanced RAFI Global ex US). MacKay Shields and Doubleline funded 12/1/15. UBP liquidated 12/31/2015. Titan Advisors funded 2/1/2016. Effective 1/1/2017, only traditional asset class (public equity, public fixed income, REITs) investment management fees will be included in the gross of fee return calculation.

Tulare County Employees' Retirement Association 7 Total Fund Performance Summary (Gross of Fees) Period Ending: September 30, 2017

% of Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 Portfolio YTD Total International Equity 283,976,020 21.9 6.3 21.5 6.3 21.0 5.4 7.9 0.2 6.2 -5.9 -4.8 18.5 15.7 MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 1.7 5.0 -5.3 -3.4 15.8 17.4 InvestorForce Public DB ex-US Eq Gross Rank 46 76 46 28 69 65 93 13 85 83 44 91 SSGA MSCI ACWI Ex US Index Fund 93,479,010 7.2 6.2 21.5 6.2 20.0 5.0 7.2 -- 4.8 -5.5 -3.6 15.5 17.1 MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 -- 5.0 -5.3 -3.4 15.8 17.4 eA All EAFE Equity Gross Rank 45 57 45 54 86 96 -- 17 96 49 90 81 Fidelity International Growth 95,159,529 7.4 5.1 21.7 5.1 17.9 5.6 7.8 1.8 1.2 -1.5 -5.3 18.5 19.4 MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 1.7 5.0 -5.3 -3.4 15.8 17.4 Tulare International Custom 5.9 21.6 5.9 20.2 5.6 8.2 1.9 3.1 -2.6 -4.0 19.1 18.1 eA All EAFE Equity Gross Rank 79 53 79 76 74 91 80 52 77 75 85 59 PIMCO RAE Fundamental Global Ex US Fund 95,337,481 7.4 7.8 21.2 7.8 25.2 5.4 9.1 -- 13.5 -10.9 -5.7 24.5 -- MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 -- 5.0 -5.3 -3.4 15.8 -- eA All EAFE Equity Gross Rank 22 61 22 14 76 67 -- 1 99 79 51 -- Total Global Equity 43,587,445 3.4 6.1 22.9 6.1 20.0 ------16.1 -11.5 ------MSCI ACWI Gross 5.3 17.8 5.3 19.3 ------8.5 -1.8 ------InvestorForce Public DB Glbl Eq Gross Rank 16 2 16 37 ------2 99 ------KBI Water Strategy 43,587,445 3.4 6.1 22.9 6.1 20.0 ------16.1 -11.5 ------MSCI ACWI Gross 5.3 17.8 5.3 19.3 ------8.5 -1.8 ------eA Global All Cap Equity Gross Rank 32 20 32 44 ------6 96 ------Total Fixed Income 384,002,856 29.7 1.1 4.0 1.1 3.4 3.1 2.7 5.1 5.5 -0.8 4.6 -0.9 8.4 BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 2.7 2.1 4.3 2.6 0.6 6.0 -2.0 4.2 InvestorForce Public DB US Fix Inc Gross Rank 39 40 39 21 48 42 37 37 77 69 49 35 Total Domestic Fixed Income BlackRock Fixed Income 134,036,262 10.4 0.9 3.4 0.9 0.5 3.1 2.5 4.8 3.1 1.1 6.2 -1.5 5.5 BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 2.7 2.1 4.3 2.6 0.6 6.0 -2.0 4.2 eA All US Fixed Inc Gross Rank 53 51 53 79 49 54 46 53 39 29 75 56 Doubleline Core Plus 70,423,182 5.4 0.9 3.7 0.9 1.4 ------4.8 ------BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 ------2.6 ------eA US Core Plus Fixed Inc Gross Rank 91 86 91 71 ------52 ------MacKay Shields Core Plus 70,217,101 5.4 1.1 4.3 1.1 1.8 ------5.1 ------BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 ------2.6 ------eA US Core Plus Fixed Inc Gross Rank 58 54 58 61 ------46 ------

BlackRock Commodities liquidated 12/24/13. Gresham MTAP Commodities funded 12/31/13. Wellington Commodity funded 1/3/14. KBI Water Strategy funded 10/28/14. Research Affiliates converted to PIMCO RAE Fundamental Global Ex US Fund on 6/5/15 (performance prior to this date represents previously held Enhanced RAFI Global ex US). MacKay Shields and Doubleline funded 12/1/15. UBP liquidated 12/31/2015. Titan Advisors funded 2/1/2016.Effective 1/1/2017, only traditional asset class (public equity, public fixed income, REITs) investment management fees will be included in the gross of fee return calculation.

Tulare County Employees' Retirement Association 8 Total Fund Performance Summary (Gross of Fees) Period Ending: September 30, 2017

% of Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 Portfolio YTD Shenkman High Yield 33,241,508 2.6 2.1 6.5 2.1 8.3 5.1 5.4 -- 12.3 -2.4 2.5 6.3 12.3 BofA Merrill Lynch US High Yield Master II TR 2.0 7.0 2.0 9.1 5.9 6.4 -- 17.5 -4.6 2.5 7.4 15.6 eA US High Yield Fixed Inc Gross Rank 39 61 39 56 69 83 -- 65 51 52 81 89 SSGA TIPS 11,029,208 0.9 0.9 1.7 0.9 -0.7 1.6 0.0 -- 4.7 -1.4 3.6 -8.6 6.9 BBgBarc US TIPS TR 0.9 1.7 0.9 -0.7 1.6 0.0 -- 4.7 -1.4 3.6 -8.6 7.0 eA TIPS / Infl Indexed Fixed Inc Gross Rank 67 70 67 84 62 88 -- 50 63 44 77 67 Total Global Fixed Income Franklin Templeton Global Bond Plus 65,055,595 5.0 1.3 4.4 1.3 11.1 2.1 3.3 -- 6.8 -3.5 2.4 3.0 -- JPM GBI Global TR USD 1.6 5.8 1.6 -3.0 1.2 -0.3 -- 1.6 -2.6 0.7 -4.5 -- eA Global Fixed Inc Unhedged Gross Rank 87 88 87 3 55 36 -- 24 67 50 23 -- Total Real Assets 157,695,853 12.2 2.3 2.0 2.3 4.3 3.1 -- -- 10.4 0.4 ------Real Assets Composite Benchmark 2.0 2.4 2.0 4.5 2.9 -- -- 9.4 -0.7 ------Total Real Estate 118,909,611 9.2 1.5 2.7 1.5 4.6 10.2 10.9 3.4 9.0 16.0 13.1 11.5 7.8 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9 RREEF 103,426 0.0 -0.4 -27.6 -0.4 -27.6 -2.5 2.6 2.2 11.9 13.0 8.0 12.3 4.5 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 RREEF America II 107,906,316 8.3 1.5 2.8 1.5 5.6 10.5 12.1 4.8 9.3 16.7 13.0 15.5 12.5 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 TA Associates Realty 10,899,869 0.8 1.5 2.3 1.5 1.3 8.8 9.0 2.3 4.6 16.7 15.1 5.2 2.2 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9

BlackRock Commodities liquidated 12/24/13. Gresham MTAP Commodities funded 12/31/13. Wellington Commodity funded 1/3/14. KBI Water Strategy funded 10/28/14. Research Affiliates converted to PIMCO RAE Fundamental Global Ex US Fund on 6/5/15 (performance prior to this date represents previously held Enhanced RAFI Global ex US). MacKay Shields and Doubleline funded 12/1/15. UBP liquidated 12/31/2015. Titan Advisors funded 2/1/2016.Effective 1/1/2017, only traditional asset class (public equity, public fixed income, REITs) investment management fees will be included in the gross of fee return calculation.

Tulare County Employees' Retirement Association 9 Total Fund Performance Summary (Gross of Fees) Period Ending: September 30, 2017

% of Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 Portfolio YTD Total Commodities 38,786,242 3.0 4.7 0.5 4.7 3.5 -9.4 -- -- 14.5 -26.3 ------Bloomberg Commodity Index TR USD 2.5 -2.9 2.5 -0.3 -10.4 -- -- 11.8 -24.7 ------Commodities Broad Basket MStar MF Rank 29 20 29 19 48 -- -- 27 80 ------Gresham MTAP Commodity Builder 18,793,313 1.5 3.7 -0.5 3.7 3.4 -10.0 -- -- 12.3 -25.4 -16.1 -- -- Bloomberg Commodity Index TR USD 2.5 -2.9 2.5 -0.3 -10.4 -- -- 11.8 -24.7 -17.0 -- -- Commodities Broad Basket MStar MF Rank 54 28 54 19 53 -- -- 53 71 34 -- -- Wellington Commodity 19,992,929 1.5 5.7 1.4 5.7 3.3 -8.6 -- -- 15.8 -25.7 ------Bloomberg Commodity Index TR USD 2.5 -2.9 2.5 -0.3 -10.4 -- -- 11.8 -24.7 ------Commodities Broad Basket MStar MF Rank 17 9 17 20 31 -- -- 13 73 ------Total Liquid Alts/HFoF 61,100,786 4.7 2.1 4.4 2.1 5.9 2.3 4.7 -- 0.3 0.7 5.4 11.0 8.3 CPI + 5% 2.0 6.0 2.0 7.3 6.3 6.4 -- 7.2 5.8 5.8 6.6 6.8 Aetos Capital 31,279,647 2.4 1.3 5.8 1.3 6.9 3.7 5.5 3.5 2.6 1.2 5.2 11.4 7.9 BofA ML 90 DAY T-BILLS + 400 bps 1.0 2.8 1.0 3.7 3.3 3.6 4.2 3.3 3.1 3.5 4.1 4.1 Titan Advisors 29,821,139 2.3 2.9 3.0 2.9 4.8 ------0.6 ------BofA ML 90 DAY T-BILLS + 400 bps 1.0 2.8 1.0 3.7 ------3.3 ------

BlackRock Commodities liquidated 12/24/13. Gresham MTAP Commodities funded 12/31/13. Wellington Commodity funded 1/3/14. KBI Water Strategy funded 10/28/14. Research Affiliates converted to PIMCO RAE Fundamental Global Ex US Fund on 6/5/15 (performance prior to this date represents previously held Enhanced RAFI Global ex US). MacKay Shields and Doubleline funded 12/1/15. UBP liquidated 12/31/2015. Titan Advisors funded 2/1/2016.Effective 1/1/2017, only traditional asset class (public equity, public fixed income, REITs) investment management fees will be included in the gross of fee return calculation.

Tulare County Employees' Retirement Association 10 Total Fund Performance Summary (Net of Fees) Period Ending: September 30, 2017

% of Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 Portfolio YTD Total Fund 1,293,828,393 100.0 3.5 10.4 3.5 11.6 5.3 7.4 3.8 7.1 -1.6 3.8 15.4 12.4 Policy Index 3.3 10.2 3.3 11.0 5.8 7.1 4.9 8.0 -1.1 4.6 12.6 11.6 Total Fund x Clifton 1,286,699,943 99.4 3.5 10.3 3.5 11.5 5.3 7.3 -- 7.0 -1.6 3.7 15.5 12.0 Policy Index 3.3 10.2 3.3 11.0 5.8 7.1 -- 8.0 -1.1 4.6 12.6 11.6 Total Domestic Equity 277,818,261 21.5 5.3 14.7 5.3 19.9 10.8 14.5 7.6 11.1 1.2 12.0 35.3 16.2 Russell 3000 4.6 13.9 4.6 18.7 10.7 14.2 7.6 12.7 0.5 12.6 33.6 16.4 SSGA S&P 500 Flagship Fund 51,579,683 4.0 4.5 14.2 4.5 18.6 10.8 14.3 -- 12.0 1.4 13.7 32.4 16.0 S&P 500 4.5 14.2 4.5 18.6 10.8 14.2 -- 12.0 1.4 13.7 32.4 16.0 QMA Large Cap Core 52,096,343 4.0 5.7 13.7 5.7 18.6 10.8 14.9 -- 12.1 1.8 15.2 33.9 17.8 S&P 500 4.5 14.2 4.5 18.6 10.8 14.2 -- 12.0 1.4 13.7 32.4 16.0 Ivy Large Cap Growth 53,054,164 4.1 7.7 21.9 7.7 20.2 11.5 15.2 -- 1.6 7.1 12.3 36.6 12.5 Russell 1000 Growth 5.9 20.7 5.9 21.9 12.7 15.3 -- 7.1 5.7 13.0 33.5 15.3 Boston Partners Large Cap Value 51,067,958 3.9 4.7 11.7 4.7 20.8 8.8 13.5 7.6 14.2 -4.4 11.4 36.4 21.0 Russell 1000 Value 3.1 7.9 3.1 15.1 8.5 13.2 5.9 17.3 -3.8 13.5 32.5 17.5 SSGA Russell Small Cap Completeness Index 22,276,497 1.7 4.9 12.6 4.9 19.1 10.4 -- -- 16.5 -3.5 7.3 -- -- Russell Small Cap Completeness 5.0 12.7 5.0 19.2 10.5 -- -- 16.6 -3.4 7.4 -- -- William Blair SMID Cap Growth 24,838,713 1.9 5.2 22.3 5.2 25.6 14.6 16.4 9.9 7.2 5.2 8.8 42.0 12.8 Russell 2500 Growth 5.8 17.0 5.8 20.1 11.3 14.5 8.7 9.7 -0.2 7.1 40.7 16.1 Lee Munder Small Value 22,904,904 1.8 2.9 4.7 2.9 17.9 12.6 13.6 -- 27.3 -0.5 4.1 31.8 14.6 Russell 2000 Value 5.1 5.7 5.1 20.5 12.1 13.3 -- 31.7 -7.5 4.2 34.5 18.1 Total International Equity 283,976,020 21.9 6.3 21.2 6.3 20.6 5.0 7.6 -0.1 5.9 -6.2 -5.0 18.3 15.3 MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 1.7 5.0 -5.3 -3.4 15.8 17.4 SSGA MSCI ACWI Ex US Index Fund 93,479,010 7.2 6.2 21.4 6.2 19.9 4.9 7.2 -- 4.7 -5.5 -3.7 15.5 17.1 MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 -- 5.0 -5.3 -3.4 15.8 17.4 Fidelity International Growth 95,159,529 7.4 4.9 21.3 4.9 17.3 5.1 7.3 1.3 0.7 -1.9 -5.7 17.9 18.6 MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 1.7 5.0 -5.3 -3.4 15.8 17.4 Tulare International Custom 5.9 21.6 5.9 20.2 5.6 8.2 1.9 3.1 -2.6 -4.0 19.1 18.1 PIMCO RAE Fundamental Global Ex US Fund 95,337,481 7.4 7.6 20.7 7.6 24.6 4.9 8.6 -- 13.0 -11.4 -5.9 23.7 -- MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 -- 5.0 -5.3 -3.4 15.8 -- Total Global Equity 43,587,445 3.4 5.8 22.2 5.8 19.0 ------15.1 -12.3 ------MSCI ACWI Gross 5.3 17.8 5.3 19.3 ------8.5 -1.8 ------KBI Water Strategy 43,587,445 3.4 5.8 22.2 5.8 19.0 ------15.1 -12.3 ------MSCI ACWI Gross 5.3 17.8 5.3 19.3 ------8.5 -1.8 ------

BlackRock Commodities liquidated 12/24/13. Gresham MTAP Commodities funded 12/31/13. Wellington Commodity funded 1/3/14. KBI Water Strategy funded 10/28/14. Research Affiliates converted to PIMCO RAE Fundamental Global Ex US Fund on 6/5/15 (performance prior to this date represents previously held Enhanced RAFI Global ex US). MacKay Shields and Doubleline funded 12/1/15. UBP liquidated 12/31/2015. Titan Advisors funded 2/1/2016.

Tulare County Employees' Retirement Association 11 Total Fund Performance Summary (Net of Fees) Period Ending: September 30, 2017

% of Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 Portfolio YTD Total Fixed Income 384,002,856 29.7 1.0 3.8 1.0 3.1 2.8 2.4 4.8 5.1 -1.1 4.3 -1.2 8.0 BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 2.7 2.1 4.3 2.6 0.6 6.0 -2.0 4.2 Total Domestic Fixed Income BlackRock Fixed Income 134,036,262 10.4 0.8 3.2 0.8 0.3 2.9 2.2 4.6 2.9 0.8 6.0 -1.8 5.2 BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 2.7 2.1 4.3 2.6 0.6 6.0 -2.0 4.2 Doubleline Core Plus 70,423,182 5.4 0.9 3.5 0.9 1.1 ------4.6 ------BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 ------2.6 ------MacKay Shields Core Plus 70,217,101 5.4 1.0 4.0 1.0 1.4 ------4.7 ------BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 ------2.6 ------Shenkman High Yield 33,241,508 2.6 1.9 6.1 1.9 7.8 4.5 4.9 -- 11.7 -2.9 2.0 5.8 11.7 BofA Merrill Lynch US High Yield Master II TR 2.0 7.0 2.0 9.1 5.9 6.4 -- 17.5 -4.6 2.5 7.4 15.6 SSGA TIPS 11,029,208 0.9 0.9 1.7 0.9 -0.8 1.5 0.0 -- 4.6 -1.5 3.6 -8.6 6.9 BBgBarc US TIPS TR 0.9 1.7 0.9 -0.7 1.6 0.0 -- 4.7 -1.4 3.6 -8.6 7.0 Total Global Fixed Income Franklin Templeton Global Bond Plus 65,055,595 5.0 1.1 3.9 1.1 10.4 1.5 2.7 -- 6.1 -4.1 1.9 2.5 -- JPM GBI Global TR USD 1.6 5.8 1.6 -3.0 1.2 -0.3 -- 1.6 -2.6 0.7 -4.5 -- Total Real Assets 157,695,853 12.2 2.3 2.0 2.3 4.0 2.5 -- -- 9.5 -0.4 ------Real Assets Composite Benchmark 2.0 2.4 2.0 4.5 2.9 -- -- 9.4 -0.7 ------Total Real Estate 118,909,611 9.2 1.5 2.7 1.5 4.3 9.6 10.4 3.2 8.0 15.1 12.5 11.5 7.8 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9 RREEF 103,426 0.0 -0.4 -27.6 -0.4 -27.6 -3.1 1.9 2.3 11.6 11.7 6.6 12.1 3.8 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 RREEF America II 107,906,316 8.3 1.5 2.8 1.5 5.3 9.8 11.3 4.4 8.2 15.7 12.0 15.0 11.6 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 TA Associates Realty 10,899,869 0.8 1.5 2.3 1.5 1.1 7.9 8.5 1.0 3.7 15.4 14.6 5.1 2.1 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9

BlackRock Commodities liquidated 12/24/13. Gresham MTAP Commodities funded 12/31/13. Wellington Commodity funded 1/3/14. KBI Water Strategy funded 10/28/14. Research Affiliates converted to PIMCO RAE Fundamental Global Ex US Fund on 6/5/15 (performance prior to this date represents previously held Enhanced RAFI Global ex US). MacKay Shields and Doubleline funded 12/1/15. UBP liquidated 12/31/2015. Titan Advisors funded 2/1/2016.

Tulare County Employees' Retirement Association 12 Total Fund Performance Summary (Net of Fees) Period Ending: September 30, 2017

% of Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 Portfolio YTD Total Commodities 38,786,242 3.0 4.7 0.5 4.7 3.3 -9.9 -- -- 13.6 -26.8 ------Bloomberg Commodity Index TR USD 2.5 -2.9 2.5 -0.3 -10.4 -- -- 11.8 -24.7 ------Gresham MTAP Commodity Builder 18,793,313 1.5 3.7 -0.5 3.7 3.3 -10.5 -- -- 11.5 -25.9 -16.8 -- -- Bloomberg Commodity Index TR USD 2.5 -2.9 2.5 -0.3 -10.4 -- -- 11.8 -24.7 -17.0 -- -- Wellington Commodity 19,992,929 1.5 5.7 1.4 5.7 3.1 -9.1 -- -- 14.9 -26.3 ------Bloomberg Commodity Index TR USD 2.5 -2.9 2.5 -0.3 -10.4 -- -- 11.8 -24.7 ------Total Liquid Alts/HFoF 61,100,786 4.7 2.1 4.4 2.1 5.7 1.7 4.0 -- -0.5 0.0 4.6 9.9 7.6 CPI + 5% 2.0 6.0 2.0 7.3 6.3 6.4 -- 7.2 5.8 5.8 6.6 6.8 Aetos Capital 31,279,647 2.4 1.3 5.8 1.3 6.7 3.1 4.8 3.2 1.8 0.5 4.5 10.4 7.2 BofA ML 90 DAY T-BILLS + 400 bps 1.0 2.8 1.0 3.7 3.3 3.6 4.2 3.3 3.1 3.5 4.1 4.1 Titan Advisors 29,821,139 2.3 2.9 3.0 2.9 4.6 ------0.1 ------BofA ML 90 DAY T-BILLS + 400 bps 1.0 2.8 1.0 3.7 ------3.3 ------

BlackRock Commodities liquidated 12/24/13. Gresham MTAP Commodities funded 12/31/13. Wellington Commodity funded 1/3/14. KBI Water Strategy funded 10/28/14. Research Affiliates converted to PIMCO RAE Fundamental Global Ex US Fund on 6/5/15 (performance prior to this date represents previously held Enhanced RAFI Global ex US). MacKay Shields and Doubleline funded 12/1/15. UBP liquidated 12/31/2015. Titan Advisors funded 2/1/2016.

Tulare County Employees' Retirement Association 13 Total Fund Performance Analysis - 5 Years (Gross of Fees) Period Ending: September 30, 2017

Up Mkt Cap Down Mkt Cap Anlzd Ret Anlzd Std Dev Anlzd Alpha Beta Tracking Error R-Squared Sharpe Ratio Info Ratio Ratio Ratio

_ SSGA S&P 500 Flagship Fund 14.28% 7.58% 0.07% 1.00 0.03% 1.00 1.86 1.79 100.35% 99.07% QMA Large Cap Core 15.24% 7.86% 0.73% 1.02 1.40% 0.97 1.91 0.73 107.51% 91.77% Ivy Large Cap Growth 15.75% 9.73% -1.86% 1.15 3.18% 0.91 1.60 0.15 102.26% 87.11% Boston Partners Large Cap Value 13.95% 8.69% 1.09% 0.97 2.88% 0.89 1.58 0.26 104.80% 91.26% William Blair SMID Cap Growth 17.45% 9.97% 4.97% 0.86 3.77% 0.88 1.73 0.79 109.84% 62.68% Lee Munder Small Value 14.61% 10.38% 3.64% 0.83 3.43% 0.93 1.39 0.39 96.45% 65.75% SSGA MSCI ACWI Ex US Index Fund 7.25% 10.61% -0.21% 1.00 0.07% 1.00 0.67 -3.13 98.78% 101.27% Fidelity International Growth 7.79% 9.97% 0.98% 0.91 2.47% 0.95 0.76 0.14 97.23% 90.56% PIMCO RAE Fundamental Global Ex US 9.07% 11.95% 1.18% 1.06 4.15% 0.88 0.74 0.39 101.64% 77.61% Fund BlackRock Fixed Income 2.50% 3.05% 0.46% 0.99 0.24% 0.99 0.76 1.79 108.84% 91.78% Shenkman High Yield 5.39% 4.41% 0.30% 0.80 1.50% 0.94 1.18 -0.66 80.75% 81.66% SSGA TIPS 0.01% 4.90% -0.01% 1.00 0.03% 1.00 -0.04 -0.36 99.75% 100.05% Franklin Templeton Global Bond Plus 3.32% 5.16% 3.26% -0.24 9.50% 0.09 0.61 0.38 13.74% -56.57% RREEF 2.60% 13.81% -46.59% 4.25 13.23% 0.20 0.17 -0.68 18.75% -- RREEF America II 12.07% 2.55% -4.84% 1.46 1.58% 0.69 4.65 0.31 105.19% -- TA Associates Realty 9.05% 3.41% -11.78% 2.01 2.76% 0.46 2.60 -0.47 85.23% --

Tulare County Employees' Retirement Association 14 Illiquid Alternative Investments Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 15 Total Fund Asset Allocation History Period Ending: September 30, 2017

Net Cash flow history prior to 4Q 2010 is not available due to lack of data from previous consultant.

Tulare County Employees' Retirement Association 16 Total Fund Asset Allocation vs. Policy Period Ending: September 30, 2017

Current Current Within IPS Policy Difference Policy Range Balance Allocation Range?

_ Domestic Equity $277,818,261 21.5% 20.0% $19,052,583 10.0% - 30.0% Yes International Equity $283,976,020 21.9% 20.0% $25,210,341 10.0% - 30.0% Yes Global Equity $43,587,445 3.4% 3.0% $4,772,593 0.0% - 5.0% Yes Domestic Fixed Income $318,947,260 24.7% 22.0% $34,305,014 20.0% - 45.0% Yes Global Fixed Income $65,055,595 5.0% 5.0% $364,176 0.0% - 10.0% Yes Real Estate $118,909,611 9.2% 10.0% -$10,473,229 0.0% - 15.0% Yes Hedge Funds $61,100,786 4.7% 5.0% -$3,590,634 0.0% - 10.0% Yes Private Equity $43,695,699 3.4% 5.0% -$20,995,721 0.0% - 10.0% Yes Private Credit $23,707,864 1.8% 5.0% -$40,983,556 0.0% - 10.0% Yes Commodities $38,786,242 3.0% 5.0% -$25,905,177 0.0% - 10.0% Yes Cash and Equivalents $4,147,804 0.3% -- $4,147,804 -- No Other $14,095,805 1.1% -- $14,095,805 -- No Total $1,293,828,393 100.0% 100.0%

XXXXX

Tulare County Employees' Retirement Association 17 Investment Fund Fee Analysis Period Ending: September 30, 2017

Market Value Estimated Annual Estimated Annual Account Fee Schedule % of Portfolio As of 9/30/2017 Fee ($) Fee (%) _ Aetos Capital 0.75% of Assets $31,279,647 2.4% $234,597 0.75% BlackRock Alternative Advisors $120,000 Annually $6,644,097 0.5% $120,000 1.81% BlackRock Fixed Income 0.25% of First $100.0 Mil, $134,036,262 10.4% $335,091 0.25% 0.25% of Next $100.0 Mil Boston Partners Large Cap Value 0.45% of First $50.0 Mil, $51,067,958 3.9% $228,738 0.45% 0.35% of Next $50.0 Mil, 0.30% Thereafter Doubleline Core Plus 0.28% of First $100.0 Mil, $70,423,182 5.4% $197,185 0.28% 0.25% Thereafter Fidelity International Growth 0.70% of First $25.0 Mil, $95,159,529 7.4% $435,479 0.46% 0.50% of Next $25.0 Mil, 0.30% Thereafter Franklin Templeton Global Bond Plus 0.62% of First $50.0 Mil, $65,055,595 5.0% $386,784 0.59% 0.51% of Next $50.0 Mil, 0.45% Thereafter Gresham MTAP Commodity Builder 0.75% of Assets $18,793,313 1.5% $140,950 0.75% Ivy Large Cap Growth 0.60% of First $25.0 Mil, $53,054,164 4.1% $287,217 0.54% 0.50% of Next $25.0 Mil, 0.40% Thereafter KBI Water Strategy 0.85% of Assets $43,587,445 3.4% $370,493 0.85% Kohlberg Kravis Roberts & Co. Mezzanine Partners I 0.38% of Assets $6,212,224 0.5% $23,296 0.38% Lee Munder Small Value 0.90% of First $25.0 Mil, $22,904,904 1.8% $206,144 0.90% 0.85% of Next $75.0 Mil, 0.30% Thereafter MacKay Shields Core Plus 0.40% of Assets $70,217,101 5.4% $280,868 0.40% Mellon Capital Cash Account No Fee $4,147,804 0.3% -- -- Ocean Avenue Fund III 0.85% of Assets $3,815,436 0.3% $32,431 0.85% Pantheon Ventures 0.47% of Assets $5,413,227 0.4% $25,659 0.47% Pathway Private Equity Fund Investors 8 0.45% of Assets $8,017,696 0.6% $36,080 0.45% PIMCO Bravo 1.60% of Assets $755,131 0.1% $48,328 6.40% PIMCO RAE Fundamental Global Ex US Fund 0.78% of First $25.0 Mil, $95,337,481 7.4% $497,451 0.52% 0.43% of Next $75.0 Mil, 0.38% Thereafter

Tulare County Employees' Retirement Association 18 Investment Fund Fee Analysis Period Ending: September 30, 2017

Market Value Estimated Annual Estimated Annual Account Fee Schedule % of Portfolio As of 9/30/2017 Fee ($) Fee (%) _ QMA Large Cap Core 0.35% of First $50.0 Mil, $52,096,343 4.0% $181,289 0.35% 0.30% of Next $50.0 Mil, 0.25% Thereafter RREEF Management Fee: 7% of Net Operating $103,426 0.0% -- -- Income Incentive Fee: 15% of excess returns over a 6% hurdle rate RREEF America II 0.95% of Assets $107,906,316 8.3% $1,025,110 0.95% Shenkman High Yield 0.50% of Assets $33,241,508 2.6% $166,208 0.50% SSGA MSCI ACWI Ex US Index Fund 0.08% of First $25.0 Mil, $93,479,010 7.2% $63,587 0.07% 0.07% of Next $25.0 Mil, 0.06% Thereafter SSGA Russell Small Cap Completeness Index 0.05% of First $25.0 Mil, $22,276,497 1.7% $11,138 0.05% 0.05% of Next $25.0 Mil, 0.04% Thereafter SSGA S&P 500 Flagship Fund 0.03% of Assets $51,579,683 4.0% $15,474 0.03% SSGA TIPS 0.06% of First $50.0 Mil, $11,029,208 0.9% $6,618 0.06% 0.05% of Next $50.0 Mil, 0.04% Thereafter Stepstone Secondary Opportunities Fund II $343,750 Annually $19,805,243 1.5% $343,750 1.74% TA Associates Realty 0.60% of Assets $10,899,869 0.8% $65,399 0.60% The Clifton Group Asset Based Fee: 0.0375% (Quarterly) $7,128,450 0.6% -- -- Retainer Fee: $4,500 (Quarterly) Minimum Expense: $50,000 (Annual) Titan Advisors .75% on AUM, 10% on performance, 5% $29,821,139 2.3% -- -- hurdle rate. TPG Diversified Credit No Fee $23,707,864 1.8% -- -- Wellington Commodity 0.75% of Assets $19,992,929 1.5% $149,947 0.75% William Blair SMID Cap Growth 0.95% of First $10.0 Mil, $24,838,713 1.9% $213,710 0.86% 0.80% of Next $20.0 Mil, 0.75% of Next $20.0 Mil, 0.70% of Next $50.0 Mil, 0.65% of Next $100.0 Mil, 0.60% Thereafter Investment Management Fee $1,293,828,393 100.0% $6,129,020 0.47% XXXXX

*TPG fee schedule is as follows: No management fee at SMA level. Subject to the annual fees of each of the underlying TSSP funds. (1) TAO 65bps on unfunded commitments and 1.35% on remaining capital contributions (long-term investor designation) (2) TSLE 1.5% on commitments, 1.25% on remaining capital contributions post commitment period (3) TICP 30bps on remaining capital contributions.

Tulare County Employees' Retirement Association 19 Total Fund Peer Universe Comparison: Cumulative Performance (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 20 Total Fund Peer Universe Comparison: Consecutive Periods (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 21 Total Fund Rolling Return Analysis (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 22 Total Domestic Equity Asset Class Overview (Gross of Fees) Period Ending: September 30, 2017

Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 YTD

_ Total Domestic Equity 277,818,261 5.4 15.1 5.4 20.4 11.2 14.9 8.0 11.5 1.6 12.4 35.9 16.8 Russell 3000 4.6 13.9 4.6 18.7 10.7 14.2 7.6 12.7 0.5 12.6 33.6 16.4 InvestorForce Public DB US Eq Gross Rank 5 16 5 13 19 7 22 77 10 17 24 30 SSGA S&P 500 Flagship Fund 51,579,683 4.5 14.3 4.5 18.7 10.9 14.3 -- 12.0 1.5 13.7 32.4 16.1 S&P 500 4.5 14.2 4.5 18.6 10.8 14.2 -- 12.0 1.4 13.7 32.4 16.0 eA US Large Cap Core Equity Gross Rank 54 48 54 49 34 39 -- 31 40 42 58 39 QMA Large Cap Core 52,096,343 5.8 14.0 5.8 19.0 11.2 15.2 -- 12.5 2.1 15.6 34.3 18.1 S&P 500 4.5 14.2 4.5 18.6 10.8 14.2 -- 12.0 1.4 13.7 32.4 16.0 eA US Large Cap Core Equity Gross Rank 18 51 18 45 26 17 -- 25 31 20 37 18 Ivy Large Cap Growth 53,054,164 7.8 22.4 7.8 20.9 12.1 15.7 -- 2.1 7.6 12.8 37.3 13.0 Russell 1000 Growth 5.9 20.7 5.9 21.9 12.7 15.3 -- 7.1 5.7 13.0 33.5 15.3 eA US Large Cap Growth Equity Gross Rank 9 35 9 53 42 27 -- 72 26 40 25 78

Effective 1/1/2017, only traditional asset class (public equity, public fixed income, REITs) investment management fees will be included in the gross of fee return calculation.

Tulare County Employees' Retirement Association 23 Total Domestic Equity Asset Class Overview (Gross of Fees) Period Ending: September 30, 2017

Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 YTD

_ Boston Partners Large Cap Value 51,067,958 4.9 12.1 4.9 21.3 9.2 14.0 8.1 14.7 -3.9 11.8 37.0 21.5 Russell 1000 Value 3.1 7.9 3.1 15.1 8.5 13.2 5.9 17.3 -3.8 13.5 32.5 17.5 eA US Large Cap Value Equity Gross Rank 26 29 26 16 45 40 20 54 65 58 26 6 SSGA Russell Small Cap Completeness Index 22,276,497 5.0 12.7 5.0 19.2 10.5 -- -- 16.5 -3.5 7.4 -- -- Russell Small Cap Completeness 5.0 12.7 5.0 19.2 10.5 -- -- 16.6 -3.4 7.4 -- -- eA US Small Cap Core Equity Gross Rank 58 27 58 67 79 -- -- 84 68 37 -- -- William Blair SMID Cap Growth 24,838,713 5.4 23.1 5.4 26.7 15.6 17.5 10.9 8.2 6.1 9.8 43.1 13.8 Russell 2500 Growth 5.8 17.0 5.8 20.1 11.3 14.5 8.7 9.7 -0.2 7.1 40.7 16.1 eA US Mid Cap Growth Equity Gross Rank 27 15 27 2 1 3 9 22 7 33 11 68 Lee Munder Small Value 22,904,904 3.2 5.4 3.2 19.0 13.6 14.6 -- 28.4 0.4 5.1 33.1 15.7 Russell 2000 Value 5.1 5.7 5.1 20.5 12.1 13.3 -- 31.7 -7.5 4.2 34.5 18.1 eA US Small Cap Value Equity Gross Rank 87 69 87 63 26 54 -- 38 9 60 85 61

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Effective 1/1/2017, only traditional asset class (public equity, public fixed income, REITs) investment management fees will be included in the gross of fee return calculation.

Tulare County Employees' Retirement Association 24 Total Domestic Equity Asset Class Overview (Net of Fees) Period Ending: September 30, 2017

Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 YTD

_ Total Domestic Equity 277,818,261 5.3 14.7 5.3 19.9 10.8 14.5 7.6 11.1 1.2 12.0 35.3 16.2 Russell 3000 4.6 13.9 4.6 18.7 10.7 14.2 7.6 12.7 0.5 12.6 33.6 16.4 SSGA S&P 500 Flagship Fund 51,579,683 4.5 14.2 4.5 18.6 10.8 14.3 -- 12.0 1.4 13.7 32.4 16.0 S&P 500 4.5 14.2 4.5 18.6 10.8 14.2 -- 12.0 1.4 13.7 32.4 16.0 QMA Large Cap Core 52,096,343 5.7 13.7 5.7 18.6 10.8 14.9 -- 12.1 1.8 15.2 33.9 17.8 S&P 500 4.5 14.2 4.5 18.6 10.8 14.2 -- 12.0 1.4 13.7 32.4 16.0 Ivy Large Cap Growth 53,054,164 7.7 21.9 7.7 20.2 11.5 15.2 -- 1.6 7.1 12.3 36.6 12.5 Russell 1000 Growth 5.9 20.7 5.9 21.9 12.7 15.3 -- 7.1 5.7 13.0 33.5 15.3 Boston Partners Large Cap Value 51,067,958 4.7 11.7 4.7 20.8 8.8 13.5 7.6 14.2 -4.4 11.4 36.4 21.0 Russell 1000 Value 3.1 7.9 3.1 15.1 8.5 13.2 5.9 17.3 -3.8 13.5 32.5 17.5 SSGA Russell Small Cap Completeness Index 22,276,497 4.9 12.6 4.9 19.1 10.4 -- -- 16.5 -3.5 7.3 -- -- Russell Small Cap Completeness 5.0 12.7 5.0 19.2 10.5 -- -- 16.6 -3.4 7.4 -- -- William Blair SMID Cap Growth 24,838,713 5.2 22.3 5.2 25.6 14.6 16.4 9.9 7.2 5.2 8.8 42.0 12.8 Russell 2500 Growth 5.8 17.0 5.8 20.1 11.3 14.5 8.7 9.7 -0.2 7.1 40.7 16.1 Lee Munder Small Value 22,904,904 2.9 4.7 2.9 17.9 12.6 13.6 -- 27.3 -0.5 4.1 31.8 14.6 Russell 2000 Value 5.1 5.7 5.1 20.5 12.1 13.3 -- 31.7 -7.5 4.2 34.5 18.1

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Tulare County Employees' Retirement Association 25 Total Domestic Equity Common Holdings Matrix Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 26 Total Domestic Equity Correlation Matrix Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 27 SSGA S&P 500 Flagship Fund Manager Portfolio Overview Period Ending: September 30, 2017

Characteristics Portfolio S&P 500 Number of Holdings 505 505 Weighted Avg. Market Cap. ($B) 163.89 163.13 Median Market Cap. ($B) 20.71 20.66 Price To Earnings 25.17 24.57 Price To Book 5.34 4.78 Price To Sales 3.65 3.38 Return on Equity (%) 21.08 19.95 Yield (%) 1.96 1.95 Beta 1.00 1.00

*Unclassified includes Cash

Top Holdings Top Contributors Bottom Contributors Ending Period Weight Avg Wgt Return Contribution Avg Wgt Return Contribution

_ APPLE 3.70% APPLE 3.62 7.45 0.27 GENERAL ELECTRIC 1.13 -9.58 -0.11 MICROSOFT 2.67% FACEBOOK CLASS A 1.71 13.17 0.23 ALTRIA GROUP 0.70 -13.94 -0.10 FACEBOOK CLASS A 1.88% MICROSOFT 2.56 8.64 0.22 MEDTRONIC 0.58 -11.40 -0.07 AMAZON.COM 1.78% BOEING 0.53 29.33 0.16 ALLERGAN 0.40 -15.43 -0.06 BERKSHIRE HATHAWAY 'B' 1.64% ABBVIE 0.56 23.64 0.13 WALT DISNEY 0.74 -6.53 -0.05 JOHNSON & JOHNSON 1.62% CHEVRON 0.95 13.76 0.13 NIKE 'B' 0.38 -11.82 -0.04 EXXON MOBIL 1.61% BERKSHIRE HATHAWAY 'B' 1.55 8.24 0.13 PHILIP MORRIS INTL. 0.88 -4.58 -0.04 VERIZON STARBUCKS 0.41 -7.47 -0.03 JP MORGAN CHASE & CO. 1.56% 0.88 12.29 0.11 COMMUNICATIONS INTERNATIONAL ALPHABET 'A' 1.35% 0.64 -4.69 -0.03 INTEL 0.77 13.71 0.11 BUS.MCHS. ALPHABET 'C' 1.34% VISA 'A' 0.83 12.40 0.10 NEWELL BRANDS 0.12 -20.04 -0.02 Total 19.17%

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Tulare County Employees' Retirement Association 28 SSGA S&P 500 Flagship Fund Cumulative Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 29 SSGA S&P 500 Flagship Fund Consecutive Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 30 QMA Large Cap Core Manager Portfolio Overview Period Ending: September 30, 2017

Characteristics Portfolio S&P 500 Number of Holdings 212 505 Weighted Avg. Market Cap. ($B) 142.36 163.13 Median Market Cap. ($B) 22.29 20.66 Price To Earnings 23.74 24.57 Price To Book 5.57 4.78 Price To Sales 3.08 3.38 Return on Equity (%) 22.65 19.95 Yield (%) 1.95 1.95 Beta 0.99 1.00

*Unclassified includes Cash

Top Holdings Top Contributors Bottom Contributors Ending Period Weight Avg Wgt Return Contribution Avg Wgt Return Contribution

_ APPLE 2.79% ABBVIE 1.11 23.64 0.26 ALLERGAN 1.13 -15.43 -0.17 JP MORGAN CHASE & CO. 2.24% FACEBOOK CLASS A 1.84 13.17 0.24 ALTRIA GROUP 1.19 -13.94 -0.17 FACEBOOK CLASS A 2.20% APPLIED MATS. 0.89 26.38 0.23 VIACOM 'B' 0.56 -16.46 -0.09 ALPHABET 'C' 1.98% CHEMOURS 0.65 33.55 0.22 MEDTRONIC 0.51 -11.40 -0.06 BANK OF AMERICA 1.67% APPLE 2.76 7.45 0.21 MALLINCKRODT 0.31 -16.60 -0.05 VERIZON HCA HEALTHCARE 0.59 -8.73 -0.05 MICROSOFT 1.63% 1.52 12.29 0.19 COMMUNICATIONS VERIZON COMMUNICATIONS 1.59% KIMBERLY-CLARK 0.61 -8.11 -0.05 GAP 0.54 34.29 0.19 WELLS FARGO & CO 1.48% GENERAL ELECTRIC 0.50 -9.58 -0.05 TEXAS INSTRUMENTS 1.06 17.24 0.18 UNITEDHEALTH GROUP 1.36% ORACLE 1.47 -3.21 -0.05 INTEL 1.23 13.71 0.17 PROSHARES ULTRA ORACLE 1.34% -0.11 26.99 -0.03 MICROSOFT 1.89 8.64 0.16 SEMICS. Total 18.28%

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Tulare County Employees' Retirement Association 31 QMA Large Cap Core Cumulative Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 32 QMA Large Cap Core Consecutive Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 33 QMA Large Cap Core Risk vs Return Three & Five Year (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 34 QMA Large Cap Core Rolling Return Analysis (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 35 Ivy Large Cap Growth Manager Portfolio Overview Period Ending: September 30, 2017

Characteristics Russell Portfolio 1000 Growth Number of Holdings 41 550 Weighted Avg. Market Cap. ($B) 179.48 181.93 Median Market Cap. ($B) 59.59 10.82 Price To Earnings 32.34 28.62 Price To Book 8.22 7.91 Price To Sales 5.98 4.39 Return on Equity (%) 24.40 27.51 Yield (%) 0.99 1.37 Beta 1.17 1.00

*Unclassified includes Cash

Top Holdings Top Contributors Bottom Contributors Ending Period Weight Avg Wgt Return Contribution Avg Wgt Return Contribution

_ MASTERCARD 4.65% LAM RESEARCH 3.71 31.18 1.16 DEXCOM 1.09 -33.12 -0.36 APPLE 4.63% MASTERCARD 4.23 16.47 0.70 ALLERGAN 1.53 -15.43 -0.24 MICROSOFT 4.41% FACEBOOK CLASS A 3.97 13.17 0.52 PHILIP MORRIS INTL. 4.09 -4.58 -0.19 FACEBOOK CLASS A 4.21% MICROCHIP TECH. 3.02 16.84 0.51 EDWARDS LIFESCIENCES 1.49 -7.55 -0.11 CELGENE 4.16% PAYPAL HOLDINGS 2.53 19.30 0.49 SHIRE SPN.ADR 1:3 1.46 -7.25 -0.11 HOME DEPOT 4.14% CELGENE 3.85 12.28 0.47 ULTA BEAUTY 0.47 -21.33 -0.10 LAM RESEARCH 4.06% VISA 'A' 3.75 12.40 0.46 PRICELINE GROUP 2.73 -2.12 -0.06 PROSHARES ULTRA STARBUCKS 0.38 -7.47 -0.03 VISA 'A' 4.05% 1.70 26.99 0.46 SEMICS. AMAZON.COM 3.82% AMAZON.COM 4.14 -0.69 -0.03 FERRARI 1.37 28.44 0.39 PAYPAL HOLDINGS 3.77% COMCAST 'A' 2.03 -1.13 -0.02 MICROSOFT 4.24 8.64 0.37 Total 41.91%

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Tulare County Employees' Retirement Association 36 Ivy Large Cap Growth Cumulative Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 37 Ivy Large Cap Growth Consecutive Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 38 Ivy Large Cap Growth Risk vs Return Three & Five Year (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 39 Ivy Large Cap Growth Rolling Return Analysis (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 40 Boston Partners Large Cap Value Manager Portfolio Overview Period Ending: September 30, 2017

Characteristics Russell Portfolio 1000 Value Number of Holdings 82 716 Weighted Avg. Market Cap. ($B) 142.55 112.84 Median Market Cap. ($B) 37.28 8.54 Price To Earnings 21.39 21.28 Price To Book 2.93 2.61 Price To Sales 2.36 2.85 Return on Equity (%) 16.22 12.04 Yield (%) 1.98 2.42 Beta 1.02 1.00

*Unclassified includes Cash

Top Holdings Top Contributors Bottom Contributors Ending Period Weight Avg Wgt Return Contribution Avg Wgt Return Contribution _ UNITED CONTINENTAL JP MORGAN CHASE & CO. 4.80% CHEVRON 2.49 13.76 0.34 0.78 -19.10 -0.15 HDG. BANK OF AMERICA 4.57% CITIGROUP 3.67 9.27 0.34 INTERPUBLIC GROUP 0.74 -14.72 -0.11 CITIGROUP 3.81% BERKSHIRE HATHAWAY 'B' 3.64 8.24 0.30 DELTA AIR LINES 1.01 -9.70 -0.10 BERKSHIRE HATHAWAY 'B' 3.75% JP MORGAN CHASE & CO. 4.98 5.06 0.25 TWENTY-FIRST CENTURY GILEAD SCIENCES 1.51 15.19 0.23 1.22 -6.27 -0.08 CHEVRON 3.43% FOX CL.A BANK OF AMERICA 4.59 4.98 0.23 JOHNSON & JOHNSON 3.00% UNITED TECHNOLOGIES 1.42 -4.37 -0.06 KONINKLIJKE PHILIPS ADR WELLS FARGO & CO 2.66% 1.47 15.02 0.22 1:1 ORACLE 1.89 -3.21 -0.06 PFIZER 2.48% BORGWARNER 1.02 21.32 0.22 SOUTHWEST AIRLINES 0.53 -9.70 -0.05 MERCK & COMPANY 2.30% DXC TECHNOLOGY 1.67 12.18 0.20 CBS 'B' 0.57 -8.79 -0.05 ORACLE 2.29% CISCO SYSTEMS 2.20 8.45 0.19 NAVIENT 0.51 -8.70 -0.04 Total 33.08% DAVITA 0.49 -8.29 -0.04 _

Tulare County Employees' Retirement Association 41 Boston Partners Large Cap Value Cumulative Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 42 Boston Partners Large Cap Value Consecutive Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 43 Boston Partners Large Cap Value Risk vs Return Three & Five Year (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 44 Boston Partners Large Cap Value Rolling Return Analysis (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 45 William Blair SMID Cap Growth Manager Portfolio Overview Period Ending: September 30, 2017

Characteristics Russell Portfolio 2500 Growth Number of Holdings 74 1,432 Weighted Avg. Market Cap. ($B) 7.15 5.00 Median Market Cap. ($B) 5.53 1.30 Price To Earnings 37.67 31.46 Price To Book 6.55 6.21 Price To Sales 4.22 3.43 Return on Equity (%) 23.84 19.33 Yield (%) 0.63 0.68 Beta 0.80 1.00

*Unclassified includes Cash

Top Holdings Top Contributors Bottom Contributors Ending Period Weight Avg Wgt Return Contribution Avg Wgt Return Contribution

_ BWX TECHNOLOGIES 2.79% TAKE TWO INTACT.SFTW. 1.51 39.32 0.59 J2 GLOBAL 2.29 -12.71 -0.29 COSTAR GP. 2.77% EXACT SCIS. 1.40 33.22 0.47 WABTEC 1.58 -17.08 -0.27 COPART 2.71% ARISTA NETWORKS 1.60 26.58 0.43 GLAUKOS 1.18 -20.42 -0.24 SIX FLAGS ENTM. 2.33% BWX TECHNOLOGIES 2.57 15.15 0.39 SIGNATURE BANK 1.48 -10.79 -0.16 GUIDEWIRE SOFTWARE 2.27% CENTENE 1.82 21.14 0.38 MAXLINEAR 1.05 -14.84 -0.16 SBA COMMS. 2.25% ALIGN TECHNOLOGY 1.54 24.08 0.37 TORO 1.30 -10.18 -0.13 AXALTA COATING CENTENE 2.08% LIGAND PHARMS.'B' 2.88 12.15 0.35 1.29 -9.74 -0.13 SYSTEMS BOOZ ALLEN HAMILTN.HLDG. 2.01% OLD DOMINION FGT.LINES 2.18 15.73 0.34 AMEDISYS 1.15 -10.91 -0.13 TAKE TWO INTACT.SFTW. 1.99% 2U 1.73 19.44 0.34 VEEVA SYSTEMS CL.A 1.55 -7.99 -0.12 LIGAND PHARMS.'B' 1.97% GUIDEWIRE SOFTWARE 2.40 13.32 0.32 COLLIERS INTL.GP. (NAS) 0.93 -11.96 -0.11 Total 23.16%

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Tulare County Employees' Retirement Association 46 William Blair SMID Cap Growth Cumulative Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 47 William Blair SMID Cap Growth Consecutive Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 48 William Blair SMID Cap Growth Risk vs Return Three & Five Year (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 49 William Blair SMID Cap Growth Rolling Return Analysis (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 50 Lee Munder Small Value Manager Portfolio Overview Period Ending: September 30, 2017

Characteristics Russell Portfolio 2000 Value Number of Holdings 93 1,396 Weighted Avg. Market Cap. ($B) 3.01 1.96 Median Market Cap. ($B) 2.64 0.70 Price To Earnings 25.43 20.69 Price To Book 2.88 1.79 Price To Sales 2.37 2.72 Return on Equity (%) 10.40 7.49 Yield (%) 1.73 1.60 Beta 0.77 1.00

*Unclassified includes Cash

Top Holdings Top Contributors Bottom Contributors Ending Period Weight Avg Wgt Return Contribution Avg Wgt Return Contribution

_ STERLING BANCORP 2.34% ALLEGHENY TECHS. 1.00 40.51 0.41 TEAM 1.10 -43.07 -0.47 MURPHY USA 2.24% SRC ENERGY 0.70 43.69 0.31 TREEHOUSE FOODS 2.70 -17.09 -0.46 FNB 1.94% VIRTUSA 1.00 28.50 0.29 ENVISION HEALTHCARE 1.40 -28.28 -0.40 IBERIABANK 1.94% TRIMAS 0.90 29.50 0.27 PATTERSON COMPANIES 1.40 -17.18 -0.24 BLACKSTONE MGE.TST.CL.A 1.83% GENERAC HOLDINGS 0.90 27.12 0.24 DIEBOLD NIXDORF 1.30 -17.97 -0.23 ENPRO INDS. 1.83% STANDEX 1.30 17.29 0.22 HURON CNSL.GP. 1.10 -20.60 -0.23 KORN FERRY MACOM TECH.SLTN.HDG. 1.00 -20.01 -0.20 BANKUNITED 1.73% 1.50 14.49 0.22 INTERNATIONAL SLM 1.73% MURPHY USA 2.50 -6.90 -0.17 ENPRO INDS. 1.60 13.19 0.21 FIRST HORIZON NATIONAL 1.63% WORLD FUEL SVS. 1.20 -11.81 -0.14 MKS INSTRUMENTS 0.50 40.65 0.20 HORACE MANN EDUCATORS 1.63% HOSTESS BRANDS CL.A 0.80 -15.16 -0.12 BROADSOFT 1.00 16.84 0.17 Total 18.86%

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Tulare County Employees' Retirement Association 51 Lee Munder Small Value Cumulative Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 52 Lee Munder Small Value Consecutive Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 53 Lee Munder Small Value Risk vs Return Three & Five Year (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 54 Lee Munder Small Value Rolling Return Analysis (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 55 SSGA Russell Small Cap Completeness Index Manager Portfolio Overview Period Ending: September 30, 2017

Characteristics Russell Small Portfolio Cap Completeness Number of Holdings 2,465 2,476 Weighted Avg. Market Cap. ($B) 6.27 6.24 Median Market Cap. ($B) 1.18 1.18 Price To Earnings 27.73 26.10 Price To Book 4.12 3.65 Price To Sales 3.52 3.28 Return on Equity (%) 14.36 11.98 Yield (%) 1.40 1.15 Beta 1.00 1.00

*Unclassified includes Cash

Top Holdings Top Contributors Bottom Contributors Ending Period Weight Avg Wgt Return Contribution Avg Wgt Return Contribution

_ TESLA 0.96% KITE PHARMA 0.11 73.44 0.08 TESLA 1.05 -5.67 -0.06 NXP SEMICONDUCTORS 0.84% DELL TECHNOLOGIES 0.28 26.35 0.07 DEXCOM 0.14 -33.12 -0.05 LAS VEGAS SANDS 0.50% TAKE TWO INTACT.SFTW. 0.16 39.32 0.06 UNITI GROUP 0.09 -39.30 -0.04 ALNYLAM MEDNAX 0.12 -28.57 -0.04 SERVICENOW 0.43% 0.13 47.30 0.06 PHARMACEUTICALS T-MOBILE US 0.39% JETBLUE AIRWAYS 0.17 -18.83 -0.03 ALCOA 0.13 42.79 0.06 FIRST REPUBLIC BANK 0.35% WABTEC 0.17 -17.08 -0.03 SPIRIT AEROSYSTEMS CL.A 0.16 34.31 0.05 BIOMARIN PHARM. 0.35% SPIRIT AIRLINES 0.08 -35.31 -0.03 CHEMOURS 0.16 33.55 0.05 DELL TECHNOLOGIES 0.34% DICK'S SPORTING GOODS 0.08 -31.76 -0.02 LEAR 0.22 22.24 0.05 YUM CHINA HOLDINGS 0.32% NUVASIVE 0.09 -27.90 -0.02 ARISTA NETWORKS 0.18 26.58 0.05 MARKEL 0.32% ALKERMES 0.20 -12.30 -0.02 COGNEX 0.16 30.00 0.05 Total 4.81%

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Tulare County Employees' Retirement Association 56 SSGA Russell Small Cap Completeness Index Cumulative Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 57 Total International Equity Asset Class Overview (Gross of Fees) Period Ending: September 30, 2017

Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 YTD

_ Total International Equity 283,976,020 6.3 21.5 6.3 21.0 5.4 7.9 0.2 6.2 -5.9 -4.8 18.5 15.7 MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 1.7 5.0 -5.3 -3.4 15.8 17.4 InvestorForce Public DB ex-US Eq Gross Rank 46 76 46 28 69 65 93 13 85 83 44 91 SSGA MSCI ACWI Ex US Index Fund 93,479,010 6.2 21.5 6.2 20.0 5.0 7.2 -- 4.8 -5.5 -3.6 15.5 17.1 MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 -- 5.0 -5.3 -3.4 15.8 17.4 eA All EAFE Equity Gross Rank 45 57 45 54 86 96 -- 17 96 49 90 81 Fidelity International Growth 95,159,529 5.1 21.7 5.1 17.9 5.6 7.8 1.8 1.2 -1.5 -5.3 18.5 19.4 MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 1.7 5.0 -5.3 -3.4 15.8 17.4 eA All EAFE Equity Gross Rank 79 53 79 76 74 91 80 52 77 75 85 59 PIMCO RAE Fundamental Global Ex US Fund 95,337,481 7.8 21.2 7.8 25.2 5.4 9.1 -- 13.5 -10.9 -5.7 24.5 -- MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 -- 5.0 -5.3 -3.4 15.8 -- eA All EAFE Equity Gross Rank 22 61 22 14 76 67 -- 1 99 79 51 --

Research Affiliates converted to PIMCO RAE Fundamental Global Ex US Fund on 6/5/15 (performance prior to this date represents previously held Enhanced RAFI Global ex US). Effective 1/1/2017, only traditional asset class (public equity, public fixed income, REITs) investment management fees will be included in the gross of fee return calculation.

Tulare County Employees' Retirement Association 58 Total International Equity Asset Class Overview (Net of Fees) Period Ending: September 30, 2017

Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 YTD

_ Total International Equity 283,976,020 6.3 21.2 6.3 20.6 5.0 7.6 -0.1 5.9 -6.2 -5.0 18.3 15.3 MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 1.7 5.0 -5.3 -3.4 15.8 17.4 SSGA MSCI ACWI Ex US Index Fund 93,479,010 6.2 21.4 6.2 19.9 4.9 7.2 -- 4.7 -5.5 -3.7 15.5 17.1 MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 -- 5.0 -5.3 -3.4 15.8 17.4 Fidelity International Growth 95,159,529 4.9 21.3 4.9 17.3 5.1 7.3 1.3 0.7 -1.9 -5.7 17.9 18.6 MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 1.7 5.0 -5.3 -3.4 15.8 17.4 PIMCO RAE Fundamental Global Ex US Fund 95,337,481 7.6 20.7 7.6 24.6 4.9 8.6 -- 13.0 -11.4 -5.9 23.7 -- MSCI ACWI ex USA Gross 6.3 21.6 6.3 20.2 5.2 7.5 -- 5.0 -5.3 -3.4 15.8 --

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Research Affiliates converted to PIMCO RAE Fundamental Global Ex US Fund on 6/5/15 (performance prior to this date represents previously held Enhanced RAFI Global ex US).

Tulare County Employees' Retirement Association 59 PIMCO RAE Fundamental Global Ex US Fund Cumulative Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 60 PIMCO RAE Fundamental Global Ex US Fund Consecutive Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 61 PIMCO RAE Fundamental Global Ex US Fund Risk vs Return Three Years (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 62 SSGA MSCI ACWI Ex US Index Fund Cumulative Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 63 SSGA MSCI ACWI Ex US Index Fund Consecutive Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 64 SSGA MSCI ACWI Ex US Index Fund Risk vs Return Three & Five Year (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 65 Fidelity International Growth Cumulative Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 66 Fidelity International Growth Consecutive Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 67 Fidelity International Growth Risk vs Return Three & Five Year (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 68 Fidelity International Growth Rolling Return Analysis (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 69 Total Fixed Income Asset Class Overview (Gross of Fees) Period Ending: September 30, 2017

Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 YTD

_ Total Fixed Income 384,002,856 1.1 4.0 1.1 3.4 3.1 2.7 5.1 5.5 -0.8 4.6 -0.9 8.4 BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 2.7 2.1 4.3 2.6 0.6 6.0 -2.0 4.2 InvestorForce Public DB US Fix Inc Gross Rank 39 40 39 21 48 42 37 37 77 69 49 35 Total Domestic Fixed Income BlackRock Fixed Income 134,036,262 0.9 3.4 0.9 0.5 3.1 2.5 4.8 3.1 1.1 6.2 -1.5 5.5 BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 2.7 2.1 4.3 2.6 0.6 6.0 -2.0 4.2 eA All US Fixed Inc Gross Rank 53 51 53 79 49 54 46 53 39 29 75 56 Doubleline Core Plus 70,423,182 0.9 3.7 0.9 1.4 ------4.8 ------BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 ------2.6 ------eA US Core Plus Fixed Inc Gross Rank 91 86 91 71 ------52 ------MacKay Shields Core Plus 70,217,101 1.1 4.3 1.1 1.8 ------5.1 ------BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 ------2.6 ------eA US Core Plus Fixed Inc Gross Rank 58 54 58 61 ------46 ------Shenkman High Yield 33,241,508 2.1 6.5 2.1 8.3 5.1 5.4 -- 12.3 -2.4 2.5 6.3 12.3 BofA Merrill Lynch US High Yield Master II TR 2.0 7.0 2.0 9.1 5.9 6.4 -- 17.5 -4.6 2.5 7.4 15.6 eA US High Yield Fixed Inc Gross Rank 39 61 39 56 69 83 -- 65 51 52 81 89 SSGA TIPS 11,029,208 0.9 1.7 0.9 -0.7 1.6 0.0 -- 4.7 -1.4 3.6 -8.6 6.9 BBgBarc US TIPS TR 0.9 1.7 0.9 -0.7 1.6 0.0 -- 4.7 -1.4 3.6 -8.6 7.0 eA TIPS / Infl Indexed Fixed Inc Gross Rank 67 70 67 84 62 88 -- 50 63 44 77 67 Total Global Fixed Income Franklin Templeton Global Bond Plus 65,055,595 1.3 4.4 1.3 11.1 2.1 3.3 -- 6.8 -3.5 2.4 3.0 -- JPM GBI Global TR USD 1.6 5.8 1.6 -3.0 1.2 -0.3 -- 1.6 -2.6 0.7 -4.5 -- eA Global Fixed Inc Unhedged Gross Rank 87 88 87 3 55 36 -- 24 67 50 23 --

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Vertas Transition Account used to liquidated PIMCO Core Plus on 11/15/15, remaining balance is residual cash. MacKay Shields and Doubleline funded 12/1/15. Effective 1/1/2017, only traditional asset class (public equity, public fixed income, REITs) investment management fees will be included in the gross of fee return calculation.

Tulare County Employees' Retirement Association 70 Total Fixed Income Asset Class Overview (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 71 Total Fixed Income Asset Class Overview (Net of Fees) Period Ending: September 30, 2017

Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 YTD

_ Total Fixed Income 384,002,856 1.0 3.8 1.0 3.1 2.8 2.4 4.8 5.1 -1.1 4.3 -1.2 8.0 BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 2.7 2.1 4.3 2.6 0.6 6.0 -2.0 4.2 Total Domestic Fixed Income BlackRock Fixed Income 134,036,262 0.8 3.2 0.8 0.3 2.9 2.2 4.6 2.9 0.8 6.0 -1.8 5.2 BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 2.7 2.1 4.3 2.6 0.6 6.0 -2.0 4.2 Doubleline Core Plus 70,423,182 0.9 3.5 0.9 1.1 ------4.6 ------BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 ------2.6 ------MacKay Shields Core Plus 70,217,101 1.0 4.0 1.0 1.4 ------4.7 ------BBgBarc US Aggregate TR 0.8 3.1 0.8 0.1 ------2.6 ------Shenkman High Yield 33,241,508 1.9 6.1 1.9 7.8 4.5 4.9 -- 11.7 -2.9 2.0 5.8 11.7 BofA Merrill Lynch US High Yield Master II TR 2.0 7.0 2.0 9.1 5.9 6.4 -- 17.5 -4.6 2.5 7.4 15.6 SSGA TIPS 11,029,208 0.9 1.7 0.9 -0.8 1.5 0.0 -- 4.6 -1.5 3.6 -8.6 6.9 BBgBarc US TIPS TR 0.9 1.7 0.9 -0.7 1.6 0.0 -- 4.7 -1.4 3.6 -8.6 7.0 Total Global Fixed Income Franklin Templeton Global Bond Plus 65,055,595 1.1 3.9 1.1 10.4 1.5 2.7 -- 6.1 -4.1 1.9 2.5 -- JPM GBI Global TR USD 1.6 5.8 1.6 -3.0 1.2 -0.3 -- 1.6 -2.6 0.7 -4.5 --

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Vertas Transition Account used to liquidated PIMCO Core Plus on 11/15/15, remaining balance is residual cash. MacKay Shields and Doubleline funded 12/1/15.

Tulare County Employees' Retirement Association 72 BlackRock Fixed Income Cumulative Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 73 BlackRock Fixed Income Consecutive Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 74 BlackRock Fixed Income Risk vs Return Three & Five Year (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 75 BlackRock Fixed Income Rolling Return Analysis (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 76 Shenkman High Yield Cumulative Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 77 Shenkman High Yield Consecutive Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 78 Shenkman High Yield Risk vs Return Three & Five Year (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 79 SSGA TIPS Cumulative Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 80 SSGA TIPS Consecutive Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 81 SSGA TIPS Risk vs Return Three & Five Year (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 82 Franklin Templeton Global Bond Plus Cumulative Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 83 Franklin Templeton Global Bond Plus Consecutive Performance Comparison (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 84 Franklin Templeton Global Bond Plus Risk vs Return Three Year (Gross of Fees) Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 85 Total Real Estate Asset Class Overview (Gross of Fees) Period Ending: September 30, 2017

Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 YTD

_ Total Real Estate 118,909,611 1.5 2.7 1.5 4.6 10.2 10.9 3.4 9.0 16.0 13.1 11.5 7.8 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9 RREEF 103,426 -0.4 -27.6 -0.4 -27.6 -2.5 2.6 2.2 11.9 13.0 8.0 12.3 4.5 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 RREEF America II 107,906,316 1.5 2.8 1.5 5.6 10.5 12.1 4.8 9.3 16.7 13.0 15.5 12.5 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 TA Associates Realty 10,899,869 1.5 2.3 1.5 1.3 8.8 9.0 2.3 4.6 16.7 15.1 5.2 2.2 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9

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Effective 1/1/2017, only traditional asset class (public equity, public fixed income, REITs) investment management fees will be included in the gross of fee return calculation.

Tulare County Employees' Retirement Association 86 Total Real Estate Asset Class Overview (Net of Fees) Period Ending: September 30, 2017

Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 YTD

_ Total Real Estate 118,909,611 1.5 2.7 1.5 4.3 9.6 10.4 3.2 8.0 15.1 12.5 11.5 7.8 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9 RREEF 103,426 -0.4 -27.6 -0.4 -27.6 -3.1 1.9 2.3 11.6 11.7 6.6 12.1 3.8 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 RREEF America II 107,906,316 1.5 2.8 1.5 5.3 9.8 11.3 4.4 8.2 15.7 12.0 15.0 11.6 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 TA Associates Realty 10,899,869 1.5 2.3 1.5 1.1 7.9 8.5 1.0 3.7 15.4 14.6 5.1 2.1 NCREIF Property Index 1.7 5.1 1.7 6.9 9.8 10.3 6.2 8.0 13.3 11.8 11.0 10.5 NCREIF-ODCE 1.9 5.4 1.9 7.7 10.8 11.6 5.0 8.8 15.0 12.5 13.9 10.9

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Tulare County Employees' Retirement Association 87 Total Commodities Asset Class Overview (Gross of Fees) Period Ending: September 30, 2017

Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 YTD

_ Total Commodities 38,786,242 4.7 0.5 4.7 3.5 -9.4 -- -- 14.5 -26.3 ------Bloomberg Commodity Index TR USD 2.5 -2.9 2.5 -0.3 -10.4 -- -- 11.8 -24.7 ------Commodities Broad Basket MStar MF Rank 29 20 29 19 48 -- -- 27 80 ------Gresham MTAP Commodity Builder 18,793,313 3.7 -0.5 3.7 3.4 -10.0 -- -- 12.3 -25.4 -16.1 -- -- Bloomberg Commodity Index TR USD 2.5 -2.9 2.5 -0.3 -10.4 -- -- 11.8 -24.7 -17.0 -- -- Commodities Broad Basket MStar MF Rank 54 28 54 19 53 -- -- 53 71 34 -- -- Wellington Commodity 19,992,929 5.7 1.4 5.7 3.3 -8.6 -- -- 15.8 -25.7 ------Bloomberg Commodity Index TR USD 2.5 -2.9 2.5 -0.3 -10.4 -- -- 11.8 -24.7 ------Commodities Broad Basket MStar MF Rank 17 9 17 20 31 -- -- 13 73 ------

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Effective 1/1/2017, only traditional asset class (public equity, public fixed income, REITs) investment management fees will be included in the gross of fee return calculation.

Tulare County Employees' Retirement Association 88 Total Commodities Asset Class Overview (Net of Fees) Period Ending: September 30, 2017

Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 YTD

_ Total Commodities 38,786,242 4.7 0.5 4.7 3.3 -9.9 -- -- 13.6 -26.8 ------Bloomberg Commodity Index TR USD 2.5 -2.9 2.5 -0.3 -10.4 -- -- 11.8 -24.7 ------Gresham MTAP Commodity Builder 18,793,313 3.7 -0.5 3.7 3.3 -10.5 -- -- 11.5 -25.9 -16.8 -- -- Bloomberg Commodity Index TR USD 2.5 -2.9 2.5 -0.3 -10.4 -- -- 11.8 -24.7 -17.0 -- -- Wellington Commodity 19,992,929 5.7 1.4 5.7 3.1 -9.1 -- -- 14.9 -26.3 ------Bloomberg Commodity Index TR USD 2.5 -2.9 2.5 -0.3 -10.4 -- -- 11.8 -24.7 ------

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Tulare County Employees' Retirement Association 89 Total Liquid Alts/HFoF Asset Class Overview (Gross of Fees) Period Ending: September 30, 2017

Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 YTD

_ Total Liquid Alts/HFoF 61,100,786 2.1 4.4 2.1 5.9 2.3 4.7 -- 0.3 0.7 5.4 11.0 8.3 CPI + 5% 2.0 6.0 2.0 7.3 6.3 6.4 -- 7.2 5.8 5.8 6.6 6.8 Aetos Capital 31,279,647 1.3 5.8 1.3 6.9 3.7 5.5 3.5 2.6 1.2 5.2 11.4 7.9 BofA ML 90 DAY T-BILLS + 400 bps 1.0 2.8 1.0 3.7 3.3 3.6 4.2 3.3 3.1 3.5 4.1 4.1 Titan Advisors 29,821,139 2.9 3.0 2.9 4.8 ------0.6 ------BofA ML 90 DAY T-BILLS + 400 bps 1.0 2.8 1.0 3.7 ------3.3 ------

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UBP liquidated 12/31/2015. Titan Advisors funded 2/1/2016. Effective 1/1/2017, only traditional asset class (public equity, public fixed income, REITs) investment management fees will be included in the gross of fee return calculation.

Tulare County Employees' Retirement Association 90 Total Liquid Alts/HFoF Asset Class Overview (Net of Fees) Period Ending: September 30, 2017

Fiscal Market Value 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs 2016 2015 2014 2013 2012 YTD

_ Total Liquid Alts/HFoF 61,100,786 2.1 4.4 2.1 5.7 1.7 4.0 -- -0.5 0.0 4.6 9.9 7.6 CPI + 5% 2.0 6.0 2.0 7.3 6.3 6.4 -- 7.2 5.8 5.8 6.6 6.8 Aetos Capital 31,279,647 1.3 5.8 1.3 6.7 3.1 4.8 3.2 1.8 0.5 4.5 10.4 7.2 BofA ML 90 DAY T-BILLS + 400 bps 1.0 2.8 1.0 3.7 3.3 3.6 4.2 3.3 3.1 3.5 4.1 4.1 Titan Advisors 29,821,139 2.9 3.0 2.9 4.6 ------0.1 ------BofA ML 90 DAY T-BILLS + 400 bps 1.0 2.8 1.0 3.7 ------3.3 ------

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UBP liquidated 12/31/2015. Titan Advisors funded 2/1/2016.

Tulare County Employees' Retirement Association 91 Data Sources & Methodology Period Ending: September 30, 2017

Tulare County Employees' Retirement Association 92 Glossary

Allocation Effect: An attribution effect that describes the amount attributable to the managers' asset allocation decisions, relative to the benchmark. Alpha: The excess return of a portfolio after adjusting for market risk. This excess return is attributable to the selection skill of the portfolio manager. Alpha is calculated as: Portfolio Return - [Risk-free Rate + Portfolio Beta x (Market Return - Risk-free Rate)]. Benchmark R-squared: Measures how well the Benchmark return series fits the manager's return series. The higher the Benchmark R-squared, the more appropriate the benchmark is for the manager. Beta: A measure of systematic, or market risk; the part of risk in a portfolio or security that is attributable to general market movements. Beta is calculated by dividing the covariance of a security by the variance of the market. Book-to-Market: The ratio of book value per share to market price per share. Growth managers typically have low book-to-market ratios while value managers typically have high book-to-market ratios. Capture Ratio: A statistical measure of an investment manager's overall performance in up or down markets. The capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen (up market) or fallen (down market). The capture ratio is calculated by dividing the manager's returns by the returns of the index during the up/down market, and multiplying that factor by 100. Correlation: A measure of the relative movement of returns of one security or asset class relative to another over time. A correlation of 1 means the returns of two securities move in lock step, a correlation of -1 means the returns of two securities move in the exact opposite direction over time. Correlation is used as a measure to help maximize the benefits of diversification when constructing an investment portfolio. Excess Return: A measure of the difference in appreciation or depreciation in the price of an investment compared to its benchmark, over a given time period. This is usually expressed as a percentage and may be annualized over a number of years or represent a single period. Information Ratio: A measure of a manager's ability to earn excess return without incurring additional risk. Information ratio is calculated as: excess return divided by tracking error. Interaction Effect: An attribution effect that describes the portion of active management that is contributable to the cross interaction between the allocation and selection effect. This can also be explained as an effect that cannot be easily traced to a source. Portfolio Turnover: The percentage of a portfolio that is sold and replaced (turned over) during a given time period. Low portfolio turnover is indicative of a buy and hold strategy while high portfolio turnover implies a more active form of management. Price-to-Earnings Ratio (P/E): Also called the earnings multiplier, it is calculated by dividing the price of a company's stock into earnings per share. Growth managers typically hold stocks with high price-to-earnings ratios whereas value managers hold stocks with low price-to-earnings ratios. R-Squared: Also called the coefficient of determination, it measures the amount of variation in one variable explained by variations in another, i.e., the goodness of fit to a benchmark. In the case of investments, the term is used to explain the amount of variation in a security or portfolio explained by movements in the market or the portfolio's benchmark. Selection Effect: An attribution effect that describes the amount attributable to the managers' stock selection decisions, relative to the benchmark. Sharpe Ratio: A measure of portfolio efficiency. The Sharpe Ratio indicates excess portfolio return for each unit of risk associated with achieving the excess return. The higher the Sharpe Ratio, the more efficient the portfolio. Sharpe ratio is calculated as: Portfolio Excess Return / Portfolio Standard Deviation. Sortino Ratio: Measures the risk-adjusted return of an investment, portfolio, or strategy. It is a modification of the Sharpe Ratio, but penalizes only those returns falling below a specified benchmark. The Sortino Ratio uses downside deviation in the denominator rather than standard deviation, like the Sharpe Ratio. Standard Deviation: A measure of volatility, or risk, inherent in a security or portfolio. The standard deviation of a series is a measure of the extent to which observations in the series differ from the arithmetic mean of the series. For example, if a security has an average annual rate of return of 10% and a standard deviation of 5%, then two-thirds of the time, one would expect to receive an annual rate of return between 5% and 15%. Style Analysis: A return based analysis designed to identify combinations of passive investments to closely replicate the performance of funds Style Map: A specialized form or scatter plot chart typically used to show where a Manager lies in relation to a set of style indices on a two-dimensional plane. This is simply a way of viewing the asset loadings in a different context. The coordinates are calculated by rescaling the asset loadings to range from -1 to 1 on each axis and are dependent on the Style Indices comprising the Map. Disclaimer

This report contains confidential and proprietary information and is subject to the terms and conditions of the Consulting Agreement. It is being provided for use solely by the customer. The report may not be sold or otherwise provided, in whole or in part, to any other person or entity without written permission from Verus Advisory, Inc., (hereinafter Verus) or as required by law or any regulatory authority. The information presented does not constitute a recommendation by Verus and cannot be used for advertising or sales promotion purposes. This does not constitute an offer or a solicitation of an offer to buy or sell securities, commodities or any other financial instruments or products.

The information presented has been prepared using data from third party sources that Verus believes to be reliable. While Verus exercised reasonable professional care in preparing the report, it cannot guarantee the accuracy of the information provided by third party sources. Therefore, Verus makes no representations or warranties as to the accuracy of the information presented. Verus takes no responsibility or liability (including damages) for any error, omission, or inaccuracy in the data supplied by any third party. Nothing contained herein is, or should be relied on as a promise, representation, or guarantee as to future performance or a particular outcome. Even with portfolio diversification, asset allocation, and a long-term approach, investing involves risk of loss that the investor should be prepared to bear.

The information presented may be deemed to contain forward-looking information. Examples of forward looking information include, but are not limited to, (a) projections of or statements regarding return on investment, future earnings, interest income, other income, growth prospects, capital structure and other financial terms, (b) statements of plans or objectives of management, (c) statements of future economic performance, and (d) statements of assumptions, such as economic conditions underlying other statements. Such forward-looking information can be identified by the use of forward looking terminology such as believes, expects, may, will, should, anticipates, or the negative of any of the foregoing or other variations thereon comparable terminology, or by discussion of strategy. No assurance can be given that the future results described by the forward-looking information will be achieved. Such statements are subject to risks, uncertainties, and other factors which could cause the actual results to differ materially from future results expressed or implied by such forward looking information. The findings, rankings, and opinions expressed herein are the intellectual property of Verus and are subject to change without notice. The information presented does not claim to be all-inclusive, nor does it contain all information that clients may desire for their purposes. The information presented should be read in conjunction with any other material provided by Verus, investment managers, and custodians.

Verus will make every reasonable effort to obtain and include accurate market values. However, if managers or custodians are unable to provide the reporting period's market values prior to the report issuance, Verus may use the last reported market value or make estimates based on the manager's stated or estimated returns and other information available at the time. These estimates may differ materially from the actual value. Hedge fund market values presented in this report are provided by the fund manager or custodian. Market values presented for private equity investments reflect the last reported NAV by the custodian or manager net of capital calls and distributions as of the end of the reporting period. These values are estimates and may differ materially from the investments actual value. Private equity managers report performance using an internal rate of return (IRR), which differs from the time-weighted rate of return (TWRR) calculation done by Verus. It is inappropriate to compare IRR and TWRR to each other. IRR figures reported in the illiquid alternative pages are provided by the respective managers, and Verus has not made any attempts to verify these returns. Until a partnership is liquidated (typically over 10-12 years), the IRR is only an interim estimated return. The actual IRR performance of any LP is not known until the final liquidation.

Verus receives universe data from InvestorForce, eVestment Alliance, and Morningstar. We believe this data to be robust and appropriate for peer comparison. Nevertheless, these universes may not be comprehensive of all peer investors/managers but rather of the investors/managers that comprise that database. The resulting universe composition is not static and will change over time. Returns are annualized when they cover more than one year. Investment managers may revise their data after report distribution. Verus will make the appropriate correction to the client account but may or may not disclose the change to the client based on the materiality of the change.