Investment Performance Review Period Ending September 30, 2019

Employees' Retirement System of the City of Baton Rouge Police Guarantee Trust Table of Contents

Market Environment 3 Total Fund 14 US Equity 26 International Equity 32 Fixed Income 38 Hedge Funds 43 Real Assets 45 Investment Manager Detail 47 Appendix 84 Market Environment

3 3rd Quarter 2019 Market Environment

4 The Market Environment Major Market Index Performance As of September 30, 2019 . Broad asset class returns were mixed during the 3rd quarter of 2019 with both US large cap equity and fixed income indices extending their year-to-date gains while US small cap and international indices declined. Volatility was high Quarter Performance during the period as investors weighed the effects of ongoing trade disruption MSCI ACWxUS -1.8% and slowing global economic data against the announcement of several new MSCI EAFE -1.1% central bank stimulus measures. US stocks continued their year-to-date MSCI Emerg Mkts -4.2% outperformance relative to international stocks during the period. US markets faced headwinds from continued escalation in the ongoing trade dispute with S&P 500 1.7% China, slowing economic data, particularly with regards to manufacturing, and Russell 3000 1.2% political uncertainty following a late quarter impeachment inquiry against Russell 1000 1.4% President Donald Trump. However, markets were supported by easing Russell MidCap 0.5% monetary policy from the Federal Reserve (Fed) which cut interest rates twice during the period. In general, lower risk assets performed better through the Russell 2000 -2.4% period as investors weighed the increased risk of a recession. Within domestic equity markets, large cap stocks outperformed small cap equities during the Bbg Barclays US Agg 2.3% quarter with the S&P 500 Index returning 1.7% versus a -2.4% return on the Bbg Barclays US Govt 2.4% small cap Russell 2000 Index. US equity returns over the 1-year period were Bbg Barclays US TIPS 1.3% positive for large and mid-cap stocks, returning 4.3% and 3.2% respectively, Bbg Barclays MBS 1.4% but small cap stocks posted a loss, falling -8.9%. Bbg Barclays Corp IG 3.0%

. International markets posted negative returns for the 3rd quarter. Similar to US 3-Month T-Bill 0.6% markets, international returns were impacted by continued weakness in -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% economic data, heightened geopolitical uncertainly around global trade and Brexit and newly announced stimulus measures from global central banks 1-Year Performance including the European Central Bank (ECB) and Peoples Bank of China MSCI ACWxUS -1.2% (PBoC). International returns also faced headwinds from a strengthening US MSCI EAFE -1.3% dollar (USD) which appreciated against most major currencies during the MSCI Emerg Mkts -2.0% period. Developed markets continued their outperformance relative to emerging markets during the period with the MSCI EAFE Index falling -1.1% S&P 500 4.3% versus a -4.2% decline for the MSCI Emerging Markets Index. Both developing Russell 3000 2.9% and emerging markets posted slight losses over the 1-year period, returning Russell 1000 3.9% -1.3% and -2.0% respectively. Russell MidCap 3.2% . Fixed income returns outperformed equities during the 3rd quarter as investors Russell 2000 -8.9% looked for relative safety amid the equity market volatility. The broad market Bloomberg Barclays Aggregate Index gained 2.3% as interest rates fell Bbg Barclays US Agg 10.3% following central bank stimulus from the Fed and other global central banks. Bbg Barclays US Govt 10.4% The US Treasury Yield Curve also inverted in August, contributing to growing Bbg Barclays US TIPS 7.1% concern around the potential for an upcoming recession. Investment grade Bbg Barclays MBS 7.8% corporate issues were the best performing securities for the third quarter in a Bbg Barclays Corp IG 13.0% row, returning 3.0%, outperforming Treasury and securitized issues. Corporate issues benefitted from their relatively high duration and yield. The bond market 3-Month T-Bill 2.4% has meaningfully outperformed the equity market over the trailing 1-year -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% period with the Bloomberg Barclays Aggregate posting a solid 10.3% return.

Source: Investment Metrics 5 The Market Environment Domestic Equity Style Index Performance As of September 30, 2019 . US equity returns were modestly positive during the 3rd quarter, but results varied considerably across the style and capitalization spectrum. Data released during the quarter showed signs that the US economy could be Quarter Performance - Russell Style Series

slowing down. Weakening metrics around manufacturing and sentiment were 3000 Value 1.2% particularly concerning and employment, typically a bright spot for the US 3000 Index 1.2% economy, missed expectations for the pace of new jobs and hours worked. A likely contributor to the softening economic data is the ongoing trade war 3000 Growth 1.1% between the US and China. Despite last quarter’s agreement to cease escalations following a meeting between President Trump and President 1000 Value 1.4% Jinping at the G20 summit, the 3rd quarter saw the announcement and 1000 Index 1.4% implementation of a series of new tariffs from both the US and China. 1000 Growth 1.5% Additionally, in response to new tariffs, the PBoC allowed the yuan to depreciate to its lowest level since 2008 leading US Treasury officials to accuse China of currency manipulation. Even with the apparent breakdown in MidCap Value 1.2% relations between the two sides, both China and the US agreed to continue MidCap Index 0.5% negotiations set to take place in October. Markets also reacted to the late MidCap Growth -0.7% quarter announcement of a formal impeachment inquiry against President Trump following a whistle blower report alleging that President Trump 2000 Value -0.6% pressured the government of Ukraine to investigate the son of political opponent Joe Biden. Despite these substantial headwinds, the US equity 2000 Index -2.4% market found support from Fed easing of monetary policy in the form of two 2000 Growth -4.2% separate interest rate cuts and ended the period with a gain. The Russell 3000 -5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% Index returned 1.2% and 2.9% for the quarter and 1-year period respectively. 1-Year Performance - Russell Style Series

. During the quarter, higher market cap stocks outperformed lower market cap 3000 Value 3.1% stocks across the style spectrum. The large cap Russell 1000 Index gained 3000 Index 2.9% 1.4% during the period versus a -2.4% return for the small cap Russell 2000 Index. Investors may have been attracted to large cap names as a result of the 3000 Growth 2.7% quarter’s volatility as large cap stocks are typically viewed as less risky than their small cap counterparts. When viewed over the most recent 1-year period, 1000 Value 4.0% large cap stocks significantly outperformed small cap stocks with the Russell 1000 Index 3.9% 1000 posting a 3.9% gain while the while the Russell 2000 had considerable 1000 Growth 3.7% losses, declining -8.9%.

. In general, value stocks outperformed growth stocks during the 3rd quarter as MidCap Value 1.6% investors gravitated toward the relative safety these securities typically provide. MidCap Index 3.2% However, large cap growth stocks slightly outperformed large cap value stocks MidCap Growth due to favorable holdings in the technology and industrials sectors as well as a 5.2% large underweight to the underperforming energy sector. The Russell 1000 2000 Value -8.2% Growth Index was the best performing style index for the period, returning 1.5%, with the small cap growth index posting the lowest relative return, a loss 2000 Index -8.9% of -4.2%. Results over the 1-year period are mixed with value stocks 2000 Growth -9.6% outperforming in large and small cap and growth stocks outperforming in mid- -12.0% -10.0% -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% cap.

Source: Investment Metrics 6 The Market Environment GICS Sector Performance & (Sector Weight) As of September 30, 2019

. Sector performance was mixed across large cap sectors for the 3rd quarter. There were gains for eight out of eleven sectors within the Russell 1000 Russell 1000 Quarter 1-Year Index during the period with six sectors outpacing the return of the index. Comm Services (9.8%) 2.0% Defensive sectors such as utilities, real estate and consumer staples were 5.6% the best performers through the quarter returning 8.3%, 7.8% and 5.9% Consumer Disc (10.4%) 0.5% respectively as investors looked toward these sectors for their higher yields 1.8% and lower historical volatility. Energy, health care and materials stocks were Consumer Staples (6.8%) 5.9% 16.0% the worst performers during the period. Energy stocks fell -6.9% as crude oil -6.9% prices fell during the period despite a sharp upward spike in September Energy (4.5%) -21.4% following a terrorist attack in Saudi Arabia that temporarily reduced the Financials (13.2%) 2.1% country’s oil production, causing a large disruption in supply. Health care 4.1% Health Care (13.7%) -2.8% stocks also lagged, declining -2.8%, as discussions in Washington around -4.0% the potential for increased regulation on drug pricing acted as a headwind. Industrials (9.7%) 0.8% Health care reform has also been a major topic of discussion among 1.1% candidates for the 2020 US Presidential election, creating additional Info Technology (22.0%) 2.6% uncertainty within the sector. Materials returned -0.2% as demand concerns 8.2% Materials (2.9%) -0.2% weighed on the economically sensitive sector. Returns over the 1-year period -0.2% were also generally positive with eight out of eleven sectors posting gains. Real Estate (3.8%) 7.8% Similar to the quarter’s results, defensive sectors outperformed by a 22.1% 26.3% considerable margin. Utilities, real estate and consumer staples performed Utilities (3.2%) 8.3% well returning 26.3%, 22.1% and 16.0% respectively. Technology returns were also strong gaining 8.2%. Energy, health care and materials were the -25.0% -20.0% -15.0% -10.0% -5.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% only sectors to post negative results over the 1-year period with energy falling Russell 2000 Quarter 1-Year -21.4%, health care dropping -4.0% and materials returning -0.2%. Comm Services (2.7%) -8.2% -19.4% . Quarterly results for small cap sectors were worse than their large Consumer Disc (11.3%) 0.5% capitalization counterparts with all eleven sectors trailing their corresponding -9.8% large cap equivalents. Five of eleven economic sectors produced gains Consumer Staples (2.9%) 4.3% -6.0% during the period with seven of eleven sectors outpacing the Russell 2000 -20.6% Index return for the quarter. Similar to large caps, defensive sectors Energy (3.4%) performed well as investors gravitated toward their relative safety and higher -48.8% Financials (17.9%) -0.5% yields. Utilities were the best performers, returning 5.4% followed closely by -5.2% REITs and consumer staples which returned 5.1% and 4.3% respectively. Health Care (16.3%) -9.2% -21.4% The cyclically oriented energy sector was the largest detractor for the period, Industrials (15.7%) -0.4% posting a loss of -20.6%. Health care and communication services stocks -5.3% also experienced notable declines, falling -9.2% and -8.2% respectively. Over Info Technology (14.2%) 1.0% the trailing 1-year period, returns were broadly negative. Utilities, real estate 6.1% Materials (3.8%) -5.5% and technology were the only sectors to post gains returning 20.1% 7.3% and -18.7% 6.1%. The energy sector was an outlier in terms of negative returns dropping Real Estate (7.7%) 5.1% -48.8% during the period. There were also notable losses in health care, 7.3% communication services and materials which declined -21.4%, -19.4% and - Utilities (4.0%) 5.4% 20.1% 18.7% respectively. -50.0% -40.0% -30.0% -20.0% -10.0% 0.0% 10.0% 20.0% 30.0%

Source: Morningstar Direct As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication 7 Services sector. The Market Environment Top 10 Index Weights & Quarterly Performance for the Russell 1000 & 2000 As of September 30, 2019

Top 10 Weighted Stocks Top 10 Weighted Stocks 1-Qtr 1-Year 1-Qtr 1-Year Russell 1000 Weight Sector Russell 2000 Weight Sector Return Return Return Return Microsoft Corp 3.82% 4.1% 22.9% Information Technology NovoCure Ltd 0.34% 18.3% 42.7% Health Care Apple Inc 3.68% 13.6% 0.8% Information Technology Haemonetics Corp 0.33% 4.8% 10.1% Health Care Amazon.com Inc 2.61% -8.3% -13.3% Consumer Discretionary Trex Co Inc 0.28% 26.8% 18.1% Industrials Facebook Inc A 1.55% -7.7% 8.3% Communication Services Science Applications International 0.27% 1.3% 10.4% Information Technology Berkshire Hathaway Inc B 1.48% -2.4% -2.8% Financials Portland General Electric Co 0.26% 4.8% 27.2% Utilities JPMorgan Chase & Co 1.36% 6.0% 7.4% Financials ONE Gas Inc 0.26% 7.0% 19.5% Utilities Alphabet Inc Class C 1.35% 12.8% 2.1% Communication Services First Industrial Realty Trust Inc 0.26% 8.3% 29.3% Real Estate Alphabet Inc A 1.33% 12.8% 1.2% Communication Services Southwest Gas Holdings Inc 0.26% 2.2% 18.2% Utilities Johnson & Johnson 1.25% -6.4% -3.8% Health Care Maximus Inc 0.25% 6.9% 20.4% Information Technology Procter & Gamble Co 1.12% 14.2% 54.0% Consumer Staples Teladoc Health Inc 0.25% 2.0% -21.6% Health Care

Top 10 Performing Stocks (by Quarter) Top 10 Performing Stocks (by Quarter) 1-Qtr 1-Year 1-Qtr 1-Year Russell 1000 Weight Sector Russell 2000 Weight Sector Return Return Return Return Insulet Corp 0.04% 38.2% 55.7% Health Care NextCure Inc 0.00% 105.9% N/A Health Care CyrusOne Inc 0.03% 37.9% 28.8% Real Estate Dova Pharmaceuticals Inc 0.01% 98.2% 33.3% Health Care KLA Corp 0.09% 35.7% 61.1% Information Technology WW International Inc 0.09% 98.0% -47.5% Consumer Discretionary New York Community Bancorp Inc 0.02% 27.6% 28.7% Financials R.R.Donnelley & Sons Co 0.01% 94.7% -27.6% Industrials Entegris Inc 0.02% 26.3% 63.9% Information Technology Infinera Corp 0.05% 87.3% -25.3% Information Technology Pilgrims Pride Corp 0.01% 26.2% 77.1% Consumer Staples Lannett Co Inc 0.02% 84.8% 135.8% Health Care Western Digital Corp 0.06% 25.4% 5.6% Information Technology Owens & Minor Inc 0.02% 81.6% -64.4% Health Care DocuSign Inc 0.03% 24.6% 17.8% Information Technology Allakos Inc 0.08% 81.5% 74.8% Health Care Target Corp 0.19% 24.4% 24.3% Consumer Discretionary Solid Biosciences Inc 0.01% 79.8% -78.1% Health Care XPO Logistics Inc 0.02% 23.8% -37.3% Industrials Ardelyx Inc 0.01% 74.7% 8.0% Health Care

Bottom 10 Performing Stocks (by Quarter) Bottom 10 Performing Stocks (by Quarter) 1-Qtr 1-Year 1-Qtr 1-Year Russell 1000 Weight Sector Russell 2000 Weight Sector Return Return Return Return 2U Inc 0.00% -56.7% -78.3% Information Technology Tocagen Inc 0.00% -90.1% -95.8% Health Care PG&E Corp 0.02% -56.4% -78.3% Utilities Waitr Holdings Inc Class A 0.00% -79.6% -88.1% Consumer Discretionary Covetrus Inc 0.00% -51.4% N/A Health Care McDermott International Inc 0.02% -79.1% -89.0% Energy Sarepta Therapeutics Inc 0.02% -50.4% -53.4% Health Care Sonim Technologies Inc 0.00% -77.0% N/A Information Technology Nektar Therapeutics Inc 0.01% -48.8% -70.1% Health Care Synlogic Inc 0.00% -74.8% -83.9% Health Care DXC Technology Co 0.03% -46.2% -67.9% Information Technology Mallinckrodt PLC 0.01% -73.7% -91.8% Health Care Antero Resources Corp 0.00% -45.4% -82.9% Energy Clovis Oncology Inc 0.01% -73.6% -86.6% Health Care Range Resources Corp 0.00% -45.0% -77.3% Energy Bloom Energy Corp Class A 0.01% -73.5% -90.5% Industrials Pluralsight Inc Class A 0.00% -44.6% -47.5% Information Technology Chaparral Energy Inc Class A 0.00% -71.5% -92.4% Energy Fluor Corp 0.01% -42.5% -66.1% Industrials Pacific Drilling SA 0.01% -69.3% -99.7% Energy

Source: Morningstar Direct 8 The Market Environment International and Regional Market Index Performance (Country Count) As September 30, 2019 . Broad international equity returns were negative in USD terms for the 3rd quarter as US investors in international markets faced a meaningful headwind from a USD that strengthened against most major currencies. In local currency Quarter Performance USD Local Currency

terms, developed markets were generally positive while emerging markets -1.8% AC World x US (48) posted losses. The MSCI ACWI ex US Index gained 0.7% in local currency 0.7% terms, but a USD investor experienced a loss of -1.8% due to the currency -0.9% WORLD x US (22) effect. Similar to US markets, international equity markets balanced headwinds 1.8% from slowing economic data and concerns around global trade with tailwinds -1.1% EAFE (21) from central bank shifts toward more accommodative policies. Among others, 1.8% the ECB and PBoC announced new stimulus measures during the quarter. -1.8% Europe & ME (16) The ECB cut its policy rate and committed to a new quantitative easing 2.0% program and the PBoC announced new stimulus measures designed to 0.2% Pacific (5) encourage bank lending and reduce borrowing costs as it tries to counteract a 1.4% cooling economy and the effects of its ongoing trade war with the US. The -4.2% Emerging Mkt (26) recent USD strength can also be seen over the 1-year period with USD returns -2.1% trailing most local currency returns. Returns for the MSCI ACWI ex US Index -7.0% EM EMEA (11) were 1.3% in local currency terms and -1.2% in USD terms for the trailing -3.3% year. -3.4% EM Asia (9) -2.3% . Results for developed market international indices were generally positive in -5.6% EM Latin Amer (6) local currency terms, but negative in USD terms for the 3rd quarter, with the 0.9% MSCI EAFE Index returning 1.8% and -0.9% respectively. Outside of central -8.0% -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% bank policy and trade, there were notable developments within the political USD Local Currency sphere. In Europe, Christine Lagarde was nominated to succeed Mario Draghi 1-Year Performance as the head of the ECB. Japanese stocks rose as election results appeared to -1.2% AC World x US (48) support continuity for Prime Minister Abe’s ongoing policy efforts. In the UK, 1.3% pro-Brexit Boris Johnson was appointed to prime minister, replacing Theresa -1.0% WORLD x US (22) May. The UK continues to face uncertainty around Brexit as its late October 1.9% deadline to agree to a withdrawal agreement with the European Union (EU) -1.3% EAFE (21) quickly approaches. Stocks in Hong Kong fell as the government dealt with 1.6% major pro-democracy protests throughout the quarter. The MSCI EAFE Index -0.9% Europe & ME (16) returned 1.6% and -1.3% for the last twelve months in local currency and USD 4.9% terms respectively. -2.2% Pacific (5) -4.0% . Emerging markets continued their trend of 2019 underperformance relative to -2.0% Emerging Mkt (26) developed markets during the 3rd quarter, posting negative returns in both -0.2% local currency and USD terms. The MSCI Emerging Markets Index fell -2.1% 0.9% EM EMEA (11) and -4.2% respectively. As expected, geopolitical tensions around trade 3.9% continued to put pressure on emerging market stocks. Countries with greater -3.9% EM Asia (9) sensitivities to commodity prices or a strong USD tended to underperform -2.9% during the period. Argentina’s stock market fell -46.8% as primary elections in 6.7% 12.9% EM Latin Amer (6) the country saw the defeat of the country’s current market friendly president. One year returns for the MSCI Emerging Market Index were -0.2% in local -6.0% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% currency terms and -2.0% in USD terms.

Source: MSCI Global Index Monitor (Returns are Net) 9 The Market Environment US Dollar International Index Attribution & Country Detail As of September 30, 2019

MSCI - EAFE Sector Weight Quarter Return 1-Year Return MSCI-EAFE MSCI-ACWIxUS Quarter 1- Year Country Weight Weight Return Return Communication Services 5.4% -0.9% -0.7% Japan 24.6% 16.5% 3.1% -4.7% Consumer Discretionary 11.5% 0.3% -2.0% United Kingdom 16.4% 11.0% -2.5% -2.9% Consumer Staples 12.0% 1.9% 6.9% France 11.4% 7.6% -1.7% -1.6% Switzerland 9.4% 6.3% 0.3% 12.0% Energy 5.1% -6.5% -14.5% Germany 8.5% 5.7% -4.0% -7.1% Financials 18.6% -2.6% -6.3% Australia 7.0% 4.7% -1.4% 6.1% Health Care 11.6% 2.4% 4.3% Netherlands 4.0% 2.7% 2.4% 9.5% Hong Kong 3.5% 2.4% -11.9% -1.8% Industrials 14.7% -2.0% -2.1% Spain 2.9% 2.0% -3.8% -3.5% Information Technology 6.7% -0.5% 1.8% Sweden 2.6% 1.7% -4.8% -8.0% Materials 7.0% -5.4% -5.7% Italy 2.3% 1.6% -0.1% 3.9% Denmark 1.8% 1.2% -1.0% 2.3% Real Estate 3.6% -1.3% 4.3% Singapore 1.3% 0.9% -5.8% -0.2% Utilities 3.8% 2.4% 13.2% Belgium 1.0% 0.7% 3.4% -0.8% Total 100.0% -1.1% -1.3% Finland 1.0% 0.7% -1.8% -9.3% Norway 0.7% 0.4% -3.4% -13.4% Israel 0.6% 0.4% -3.7% -12.5% MSCI - ACWIxUS Sector Weight Quarter Return 1-Year Return Ireland 0.5% 0.4% -0.6% -4.6% Communication Services 6.8% -2.9% -1.0% New Zealand 0.2% 0.2% -2.9% 10.0% Consumer Discretionary 11.4% -0.7% -1.6% Austria 0.2% 0.2% -3.1% -16.0% Portugal 0.2% 0.1% 1.6% -2.5% Consumer Staples 10.2% 1.5% 6.8% Total EAFE Countries 100.0% 67.0% -1.1% -1.3% Energy 6.7% -4.6% -9.8% Canada 7.0% 0.5% 3.0% Financials 21.6% -3.6% -3.2% Total Developed Countries 74.0% -0.9% -1.0% China 8.3% -4.7% -3.9% Health Care 8.5% 1.1% 0.9% Korea 3.2% -4.5% -13.8% Industrials 11.9% -2.5% -2.4% Taiwan 3.0% 5.2% -0.2% Information Technology 8.9% 2.2% 4.1% India 2.3% -5.2% 4.7% Brazil 2.0% -4.6% 25.4% Materials 7.3% -6.5% -7.2% South Africa 1.2% -12.6% -6.4% Real Estate 3.2% -3.1% 5.0% Russia 1.0% -1.4% 18.0% Utilities 3.5% 1.3% 12.6% Thailand 0.8% -6.0% -0.9% Saudi Arabia 0.7% -9.5% 4.0% Total 100.0% -1.8% -1.2% Mexico 0.7% -1.7% -14.8% Indonesia 0.5% -5.2% 11.9% MSCI - Emerging Mkt Sector Weight Quarter Return 1-Year Return Malaysia 0.5% -6.3% -10.4% Communication Services 11.6% -5.2% -2.5% Philippines 0.3% -4.6% 13.1% Poland 0.3% -12.1% -12.2% Consumer Discretionary 13.1% -3.1% 0.1% Qatar 0.3% -0.2% 5.0% Consumer Staples 6.9% -0.8% 3.0% Chile 0.3% -7.3% -16.8% Energy 7.7% -4.0% -2.3% United Arab Emirates 0.2% -0.2% -0.3% Turkey 0.2% 11.7% 16.5% Financials 24.7% -8.0% 1.6% Colombia 0.1% -6.1% -7.3% Health Care 2.6% -6.6% -24.2% Peru 0.1% -9.3% -4.0% Industrials 5.4% -5.2% -4.4% Greece 0.1% -3.1% 6.8% Hungary 0.1% -3.9% 3.4% Information Technology 15.1% 5.6% 3.9% Argentina 0.1% -46.8% -32.3% Materials 7.3% -10.7% -15.9% Czech Republic 0.0% -10.1% -12.6% Real Estate 2.9% -8.8% 6.8% Egypt 0.0% 7.4% 21.5% Pakistan 0.0% 1.1% -32.7% Utilities 2.8% -3.6% 7.2% Total Emerging Countries 26.0% -4.2% -2.0% Total 100.0% -4.2% -2.0% Total ACWIxUS Countries 100.0% -1.8% -1.2%

Source: Morningstar Direct, MSCI Global Index Monitor (Returns are Net in USD) As a result of the GICS classification changes on 9/28/2018 and certain associated reporting limitations, sector performance represents backward looking performance for the prior year of each sector’s current constituency, post creation of the Communication 10 Services sector. The Market Environment Domestic Bond Sector & Broad/Global Bond Market Performance (Duration) As of September 30, 2019

. Broad fixed income benchmarks continued their trend of 2019 gains during the 3rd quarter. Interest rates fell across the US Treasury Yield Curve through the Quarter Performance quarter as the Fed continued to shift toward an easing of monetary policy in an attempt to combat slowing economic data. The Fed cut short-term interest AAA (5.0) 2.0% rates twice during the period following their July and September meetings. In AA (6.6) 2.6% addition, it ended its balance sheet reduction plan in September which A (7.8) 2.9% represents a further easing of monetary policy. After its September meeting, the Fed issued a statement commenting that future changes to monetary Baa (7.9) 3.3% policy are not on a preset course and will be evaluated as the Fed receives U.S. High Yield (3.1) 1.3% new information on the state of the economy, but that Fed officials “will U.S. Treasury (6.6) 2.4% continue to monitor the implications of incoming information for the economic U.S. Mortgage (2.7) 1.4% outlook and will act as appropriate to sustain the expansion.” The Fed response provided market support in a quarter where we saw the formal U.S. Corporate IG (7.8) 3.0% inversion of the yield curve. Treasury yields on 2-year issues briefly surpassed U.S. TIPS (4.9) 1.3% the yield on 10-year issues in August. This inversion of the yield curve has historically preceded a recession within the next 6-24 months. However, the Aggregate (5.8) 2.3% magnitude of the inversion was mild and short in duration with rates on the 10- year Treasury rising above the yield of the 2-year by early September. The Intermediate Agg (3.6) 1.4% bellwether Bloomberg Barclays US Aggregate Index posted positive returns for Global Agg x US (8.4) -0.6%

both the 3rd quarter and the 1-year period, returning 2.3% and 10.3% Multiverse (7.0) 0.6% respectively. -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% . Within investment grade credit, lower quality issues outperformed higher 1-Year Performance quality issues during the quarter. Lower quality issues benefitted from their higher durations as interest rates fell during the quarter. On an absolute basis, AAA (5.0) 9.3% without negating the duration differences in the sub-indices, Baa rated credit AA (6.6) 11.0%

was the best performing investment grade credit quality segment returning A (7.8) 12.6% 3.3% for the quarter, while AAA was the worst performing, returning 2.0%. High yield issues returned 1.3% for the quarter as these issues did not Baa (7.9) 13.5% commensurately benefit from the drop in interest rates due to their relatively U.S. High Yield (3.1) 6.4% low durations. Returns over the 1-year period show lower quality securities U.S. Treasury (6.6) 10.5% outperforming higher quality issues with Baa rated issues returning 13.5% U.S. Mortgage (2.7) 7.8% versus a 9.3% return for AAA securities. U.S. Corporate IG (7.8) 13.0%

. Investment grade corporates outperformed the more defensive Treasury and U.S. TIPS (4.9) 7.1% mortgage backed sectors of the Bloomberg Barclays US Aggregate Index’s three broad sectors during the 3rd quarter. Investment grade corporate credit returned 3.0%, as they benefitted from their higher sensitivity to interest rates, Aggregate (5.8) 10.3% low credit spreads and high investor demand for yield. When viewed over the Intermediate Agg (3.6) 8.1% 1-year period, corporate credit outperformed both Treasuries and mortgage Global Agg x US (8.4) 5.3% backed securities. Corporate issues returned 13.0% versus a 7.8% return for Multiverse (7.0) 7.5% mortgages and 10.5% gain on Treasury securities. 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0%

Source: Bloomberg 11 The Market Environment Market Rate & Yield Curve Comparison As of September 30, 2019 . Global fixed income returns underperformed their domestic counterparts during the 3rd quarter. These indices have lower, or in some cases (Germany, Japan), negative yields, but have higher durations. Given their higher 1-Year Trailing Market Rates durations, these issues would be expected to perform relatively well during 4.00 periods of falling rates, however, the returns of these indices are also Fed Funds Rate TED Spread 3-Month Libor significantly influenced by fluctuations in their currency denomination relative 3.50 BAA OAS 10yr Treasury 10yr TIPS to the USD. As mentioned, the USD appreciated against most other developed currencies during the quarter, acting as a headwind to global bond indices. 3.00 The return on global bonds, as represented by the Bloomberg Barclays Global Aggregate ex US Index, was -0.6%. Global bonds also trailed over the 1-year 2.50 period with the Global Aggregate ex US Index returning 5.3% versus a 10.3% return on the domestically focused Bloomberg Barclays Aggregate Index. As global growth has shown signs of stalling, several international central banks 2.00 have started to step back from more restrictive postures. The ECB and the PBoC have moved toward an easing of monetary policy and implemented 1.50 various stimulus programs designed to support their respective economies. The Bank of England and the Bank of Japan made no major policy changes 1.00 during the quarter as they continue to review macroeconomic data within their respective countries. 0.50 . Much of the index performance detailed in the bar graphs on the previous page is visible on a time series basis by reviewing the line graphs to the right. 0.00 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 The ‘1-Year Trailing Market Rates’ chart illustrates that over the last year, the 10-year Treasury yield (green line) fell from high’s greater than 3.0%, to yields Treasury Yield Curve below 1.5% before ending the quarter at 1.68%. The blue line illustrates 3.50 changes in the BAA OAS (Option Adjusted Spread). This measure quantifies 12/31/2018 3/31/2019 6/30/2019 9/30/2019 the additional yield premium that investors require to purchase and hold non- 3.00 Treasury issues. This line illustrates an abrupt increase in credit spreads during the 4th quarter of 2018 as investors moved to higher quality assets during the quarter’s risk-off environment. Subsequently, spreads declined 2.50 steadily, remaining somewhat range bound with increases in May and August. There was little change through the quarter with spreads tightening by about 1 2.00 basis point. Spread tightening is equivalent to an interest rate decrease on corporate bonds, which produces an additional tailwind for corporate bond index returns. The green band across the graph illustrates the decrease in the 1.50 Federal Funds Rate due to the recent easing in US monetary policy. The rate cuts in July and September have pushed the Fed Funds Rate to 1-year lows. 1.00 . The lower graph provides a snapshot of the US Treasury yield curve at the end of each of the last four calendar quarters. The downward shift in interest rates 0.50 as well as a general flattening of the yield curve are clearly visible over the last quarter. As mentioned, the yield curve continues to invert as yields on shorter- 0.00 and middle-term maturities fell less than interest rates at the long-end of the 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr curve.

Source: US Department of Treasury, FRED (Federal Reserve of St. Louis) 12 Annual Asset Class Performance Market Indexes As of September 30, 2019

Annual Asset Class Performance 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 YTD

MSCI Emerging MSCI Emerging MSCI Emerging Blmbg. Barc. MSCI Emerging NCREIF Fund MSCI Emerging NCREIF Fund MSCI Emerging NCREIF Fund Russell 2000 Russell 2000 Russell 2000 Russell 1000 Markets (Net) Markets (Net) Markets (Net) U.S. Aggregate Markets (Net) Index-ODCE Markets (Net) S&P 500 Index Index-ODCE Markets (Net) Index-ODCE Growth Index Growth Index Value Index Growth Index Index Index Index Index Index (EW) (Net) Index 13.7 % (EW) (Net) Index (EW) (Net) 29.1 % 43.3 % 31.7 % 23.3 % 34.0 % 32.2 % 39.4 % 5.2 % 78.5 % 15.0 % 18.2 % 14.2 % 37.3 % 7.3 % Best Bloomberg 5 NCREIF Fund NCREIF Fund Blmbg. Barc. Blmbg. Barc. Blmbg. Barc. MSCI EAFE Barclays Global Russell 2000 Russell 2000 Russell 2000 Russell 1000 Russell 1000 Russell 2000 Russell 1000 Index-ODCE Index-ODCE U.S. Corp High U.S. Aggregate U.S. Aggregate S&P 500 Index (Net) Index Aggregate Ex Index Value Index Index Value Index Growth Index Index Growth Index (EW) (Net) (EW) (Net) Yield Index Index 20.6 % 26.3 % USD 26.9 % 18.1 % 38.8 % 13.5 % 5.7 % 21.3 % 30.2 % 19.0 % 15.0 % 58.2 % 7.8 % 0.0 % 4.4 %

NCREIF Fund Blmbg. Barc. MSCI EAFE Russell 2000 Russell 1000 Russell 1000 Russell 2000 Russell 1000 Russell 2000 Russell 1000 Russell 1000 MSCI EAFE Russell 1000 Russell 1000 Index-ODCE U.S. Corp High S&P 500 Index (Net) Index Value Index Growth Index Growth Index Value Index Value Index Value Index Growth Index Value Index (Net) Index Growth Index Value Index (EW) (Net) Yield 1.4 % 13.5 % 23.5 % 11.8 % 37.2 % 24.5 % 17.5 % 34.5 % 13.1 % 17.3 % 25.0 % -1.5 % 17.8 % -11.1 % 5.0 %

Bloomberg Blmbg. Barc. MSCI Emerging NCREIF Fund Blmbg. Barc. Blmbg. Barc. Blmbg. Barc. Russell 1000 Russell 1000 MSCI EAFE Russell 2000 Barclays Global MSCI EAFE Russell 1000 Russell 2000 Russell 2000 U.S. Corp High Markets (Net) Index-ODCE U.S. Aggregate U.S. Corp High U.S. Corp High Value Index Value Index (Net) Index Growth Index Aggregate Ex (Net) Index Growth Index Growth Index Growth Index Yield Index (EW) (Net) Index Yield Yield 7.1 % 22.2 % 11.2 % 34.5 % USD 17.3 % 33.5 % 22.2 % 15.3 % -26.2 % 18.9 % 11.4 % 0.5 % 17.1 % -2.1 % 4.4 % Bloomberg Bloomberg Blmbg. Barc. Russell 1000 Russell 2000 Barclays Global Russell 2000 MSCI EAFE Russell 1000 Russell 1000 Russell 2000 Russell 1000 MSCI EAFE Barclays Global Russell 2000 U.S. Aggregate S&P 500 Index S&P 500 Index Growth Index Index Aggregate Ex Value Index (Net) Index Growth Index Growth Index Index Value Index (Net) Index Aggregate Ex Index Index 12.0 % 21.8 % 5.3 % 18.4 % USD -28.9 % 31.8 % 16.7 % 2.6 % 16.3 % 32.5 % -0.8 % USD 14.2 % 6.0 % 11.0 % -2.1 %

Russell 2000 Russell 2000 Russell 2000 Russell 1000 Russell 2000 Russell 2000 Russell 2000 Russell 2000 Russell 2000 S&P 500 Index S&P 500 Index S&P 500 Index S&P 500 Index S&P 500 Index S&P 500 Index Growth Index Index Index Value Index Growth Index Growth Index Growth Index Index Value Index 4.9 % 15.8 % 2.1 % 16.0 % 32.4 % -4.4 % 7.0 % -33.8 % 27.2 % 15.5 % 5.6 % -1.4 % 11.3 % 14.6 % 12.8 %

NCREIF Fund Blmbg. Barc. Blmbg. Barc. Blmbg. Barc. MSCI Emerging Russell 2000 Russell 1000 Russell 1000 MSCI EAFE Russell 2000 Russell 1000 Russell 1000 Russell 1000 MSCI EAFE Index-ODCE U.S. Aggregate S&P 500 Index U.S. Corp High U.S. Corp High Markets (Net) Value Index Value Index Value Index (Net) Index Index Value Index Value Index Value Index (Net) Index (EW) (Net) Index 26.5 % Yield Yield Index 4.7 % -36.8 % 0.4 % 22.8 % 4.9 % -3.8 % 13.7 % -8.3 % 12.8 % 15.1 % 7.0 % 15.1 % 15.8 % 11.2 %

Bloomberg NCREIF Fund NCREIF Fund NCREIF Fund Blmbg. Barc. Russell 2000 Russell 2000 Russell 2000 Russell 2000 Russell 1000 Russell 2000 Russell 2000 Barclays Global Russell 2000 S&P 500 Index S&P 500 Index Index-ODCE Index-ODCE Index-ODCE U.S. Corp High Index Growth Index Value Index Growth Index Growth Index Value Index Index Aggregate Ex Growth Index 5.5 % -37.0 % (EW) (Net) (EW) (Net) (EW) (Net) Yield 4.6 % 13.3 % 20.6 % -2.9 % 15.3 % 4.2 % -4.4 % USD -9.3 % 15.1 % 12.4 % 8.4 % 11.4 % 10.5 %

Blmbg. Barc. Blmbg. Barc. Blmbg. Barc. Blmbg. Barc. Blmbg. Barc. Blmbg. Barc. Russell 2000 Russell 1000 Russell 1000 Russell 2000 Russell 2000 Russell 1000 Russell 2000 Russell 2000 U.S. Corp High U.S. Corp High S&P 500 Index U.S. Corp High U.S. Corp High U.S. Corp High U.S. Aggregate Growth Index Growth Index Value Index Index Growth Index Growth Index Value Index Index Yield Yield 15.1 % Yield Yield Yield Index 4.2 % -38.4 % 19.7 % -4.2 % 14.6 % 7.1 % 7.8 % -11.0 % 11.9 % 1.9 % 7.4 % 2.5 % -4.5 % 8.5 %

Bloomberg Bloomberg Blmbg. Barc. NCREIF Fund Blmbg. Barc. MSCI Emerging Blmbg. Barc. Blmbg. Barc. MSCI Emerging Russell 1000 Russell 1000 Russell 2000 Barclays Global MSCI EAFE Russell 2000 Barclays Global Russell 2000 U.S. Corp High Index-ODCE U.S. Aggregate Markets (Net) U.S. Aggregate U.S. Corp High Markets (Net) Growth Index Value Index Growth Index Aggregate Ex (Net) Index Value Index Aggregate Ex Value Index Yield (EW) (Net) Index Index Index Yield Index 9.1 % -0.2 % -38.5 % USD 7.8 % -5.5 % USD -12.9 % 2.7 % 9.9 % -2.0 % -2.2 % 2.6 % 7.5 % 5.9 % 7.5 % -6.0 % Bloomberg Bloomberg Bloomberg Bloomberg Blmbg. Barc. Blmbg. Barc. Blmbg. Barc. Blmbg. Barc. MSCI Emerging NCREIF Fund Barclays Global Russell 2000 MSCI EAFE MSCI EAFE Barclays Global Russell 2000 Barclays Global MSCI EAFE Barclays Global U.S. Aggregate U.S. Aggregate U.S. Aggregate U.S. Aggregate Markets (Net) Index-ODCE Aggregate Ex Index (Net) Index (Net) Index Aggregate Ex Value Index Aggregate Ex (Net) Index Aggregate Ex Index Index Index Index Index (EW) (Net) USD -1.6 % -43.4 % -12.1 % USD -7.5 % USD -13.8 % USD 2.4 % 5.9 % 6.5 % 4.2 % -2.6 % 6.9 % 6 8.2 % -3.1 % 1.5 % 4.4 % Worst Bloomberg Bloomberg Bloomberg Bloomberg Blmbg. Barc. MSCI Emerging NCREIF Fund MSCI Emerging MSCI Emerging Blmbg. Barc. MSCI Emerging NCREIF Fund Barclays Global Russell 2000 Barclays Global Barclays Global Barclays Global MSCI EAFE MSCI EAFE U.S. Aggregate Markets (Net) Index-ODCE Markets (Net) Markets (Net) U.S. Aggregate Markets (Net) Index-ODCE Aggregate Ex Value Index Aggregate Ex Aggregate Ex Aggregate Ex (Net) Index (Net) Index Index Index (EW) (Net) Index Index Index Index (EW) (Net) USD -9.8 % USD USD USD -4.9 % 1.0 % 4.3 % -53.3 % -31.3 % -18.4 % -14.9 % 3.5 % -14.6 % 3.8 % -8.7 % 4.9 % 4.1 % -3.1 %

Source: Investment Metrics Past performance is no guarantee of future results. This document is provided for informational purposes only and should not be regarded as investment advice or as a recommendation regarding any particular course of action. The material provided herein is valid as of the date of distribution and not as of any future date, and will not be updated or otherwise revised to reflect information that subsequently becomes available, or circumstances existing or changes occurring after such date. Certain information is based on sources and data believed to be reliable, but AndCo cannot guarantee the accuracy, adequacy or completeness of the information. AndCo Consulting is an investment adviser registered with the U.S. Securities and Exchange Commission (“SEC”). Registration as an 13 investment adviser does not constitute an endorsement of the firm by securities regulators nor does it indicate that the adviser has attained a particular level of skill or ability. Total Fund

14 Police Guarantee Trust Composite Asset Allocation & Gross of Fees Performance September 30, 2019 Performance (%) Asset $ Asset % Since Inception QTD CYTD 1 Year 3 Year 5 Year Inception Date Police Guarantee Trust 14,273,924 100.00 0.39 (80) 10.49 (88) 3.63 (68) 5.78 (94) 4.70 (94) 5.78 (67) Mar-2000 Police Total Policy Index 0.68 11.75 4.98 5.80 4.31 5.15 Excess Return -0.29 -1.26 -1.35 -0.02 0.39 0.63

Police Global Equity Policy 3,867,453 27.09 -0.93 14.84 -1.01 9.08 7.13 6.39 Mar-2000 Police Global Equity Policy Index -0.32 15.77 0.88 9.62 6.69 5.19 Excess Return -0.61 -0.93 -1.89 -0.54 0.44 1.20

Police US Equity Composite 2,060,560 14.44 0.99 (40) 20.55 (14) 2.00 (52) 12.52 (40) 10.49 (31) 8.07 (6) Mar-2000 Russell 3000 Index 1.16 20.09 2.92 12.83 10.44 6.22 Excess Return -0.17 0.46 -0.92 -0.31 0.05 1.85

Police International Equity Composite 1,806,893 12.66 -3.03 (92) 9.01 (89) -4.21 (93) 6.01 (81) 4.15 (44) 4.03 (48) Mar-2000 MSCI AC World ex USA (Net) -1.80 11.56 -1.23 6.33 2.90 3.62 Excess Return -1.23 -2.55 -2.98 -0.32 1.25 0.41

Police Fixed Income Composite 5,675,986 39.76 1.90 (62) 8.47 (55) 9.32 (54) 3.82 (41) 3.79 (47) 5.50 (57) Mar-2000 Blmbg. Barc. U.S. Aggregate 2.27 8.52 10.30 2.92 3.38 5.08 Excess Return -0.37 -0.05 -0.98 0.90 0.41 0.42

Police Risk Parity Composite 892,770 6.25 1.81 19.89 13.35 - - 10.18 Feb-2017 60% MSCI ACWI (Net)/ 40% Barclays Aggregate 0.92 13.31 5.25 - - 7.56 Excess Return 0.89 6.58 8.10 - - 2.62

Police Hedge Fund Composite 557,283 3.90 -0.30 4.84 2.29 4.04 3.93 4.67 Mar-2012 HFRI Fund of Funds Composite Index -0.89 5.22 0.02 3.16 1.95 2.95 Excess Return 0.59 -0.38 2.27 0.88 1.98 1.72

Police MLP Composite 743,710 5.21 -5.05 14.58 -9.04 -1.22 -5.71 -4.20 Aug-2014 S&P MLP Total Return Index -4.04 13.28 -6.88 -0.80 -8.02 -6.53 Excess Return -1.01 1.30 -2.16 -0.42 2.31 2.33

Police Cash 2,536,722 17.77

15 Police Guarantee Trust Manager Asset Allocation & Gross of Fees Performance September 30, 2019 Performance (%) Asset $ Asset % Since Inception QTD CYTD 1 Year 3 Year 5 Year Inception Date US Equity BlackRock Russell 1000 Index Fund 875,593 6.13 1.43 (55) 20.51 (42) 3.85 (44) 13.23 (38) 10.67 (43) 8.58 (51) Jan-2008 Russell 1000 Index 1.42 20.53 3.87 13.19 10.62 8.53 Excess Return 0.01 -0.02 -0.02 0.04 0.05 0.05

INTECH Investment Management 931,043 6.52 1.61 (48) 22.46 (20) 3.93 (43) 13.15 (41) 10.97 (33) 11.48 (38) Oct-2008 S&P 500 1.70 20.55 4.25 13.39 10.84 11.24 Excess Return -0.09 1.91 -0.32 -0.24 0.13 0.24

BlackRock Russell 2000 Value Fund 108,184 0.76 -0.52 (57) 12.96 (74) -8.07 (58) 6.88 (55) 7.45 (54) 9.15 (93) Mar-2000 Russell 2000 Value Index -0.57 12.82 -8.24 6.54 7.17 8.98 Excess Return 0.05 0.14 0.17 0.34 0.28 0.17

BlackRock Russell 2000 Growth Fund 145,740 1.02 -4.09 (52) 15.42 (66) -9.53 (71) 10.03 (76) 9.34 (76) 9.15 (80) Apr-2005 Russell 2000 Growth Index -4.17 15.34 -9.63 9.79 9.08 8.85 Excess Return 0.08 0.08 0.10 0.24 0.26 0.30

International Equity Sprucegrove Investment Management 358,381 2.51 -5.39 (98) 6.96 (85) -4.86 (62) 6.72 (32) 3.39 (42) 7.56 (41) Jan-2002 MSCI EAFE Value Index (Net) -1.74 7.67 -4.92 5.10 0.99 5.19 Excess Return -3.65 -0.71 0.06 1.62 2.40 2.37

Gryphon 395,140 2.77 -3.21 (91) 10.15 (90) -9.53 (90) 5.38 (83) 4.15 (81) 4.51 (91) Jan-2011 MSCI EAFE Growth Index (Net) -0.45 17.94 2.21 7.77 5.49 5.58 Excess Return -2.76 -7.79 -11.74 -2.39 -1.34 -1.07

Highclere 512,531 3.59 0.13 (7) 10.35 (63) -5.19 (35) 5.61 (57) 6.57 (39) 9.16 (29) Dec-2010 MSCI EAFE Small Cap (Net) -0.44 12.05 -5.93 5.94 6.02 7.52 Excess Return 0.57 -1.70 0.74 -0.33 0.55 1.64

City of London 324,150 2.27 -3.55 (47) 8.76 (45) 3.17 (29) 7.16 (34) 4.12 (30) 2.30 (55) Jan-2011 MSCI Emerging Markets (Net) -4.25 5.90 -2.02 5.97 2.33 0.88 Excess Return 0.70 2.86 5.19 1.19 1.79 1.42

Segall Bryant & Hamill 216,691 1.52 -5.12 (85) 7.64 (55) -1.38 (64) - - -8.10 (68) Apr-2018 MSCI Emerging Markets (Net) -4.25 5.90 -2.02 - - -7.34 Excess Return -0.87 1.74 0.64 - - -0.76

16 Police Guarantee Trust Manager Asset Allocation & Gross of Fees Performance September 30, 2019 Performance (%) Asset $ Asset % Since Inception QTD CYTD 1 Year 3 Year 5 Year Inception Date Fixed Income IR&M Core Fixed Income 2,157,271 15.11 2.39 (32) 9.10 (61) 10.69 (30) 3.42 (77) 3.80 (65) 4.13 (58) Oct-2013 Blmbg. Barc. U.S. Aggregate 2.27 8.52 10.30 2.92 3.38 3.47 Excess Return 0.12 0.58 0.39 0.50 0.42 0.66

Fidelity Institutional Asset Management 1,581,090 11.08 2.23 (56) 9.86 (33) 10.14 (60) 4.06 (33) 4.43 (20) 5.48 (51) Jul-2007 Blmbg. Barc. U.S. Aggregate 2.27 8.52 10.30 2.92 3.38 4.44 Excess Return -0.04 1.34 -0.16 1.14 1.05 1.04

Western Asset Management 1,526,705 10.70 1.03 (73) 6.47 (64) 7.27 (57) 4.76 (29) 3.60 (53) 4.94 (46) Jul-2007 90 Day Libor + 200bp 1.04 3.36 4.55 3.93 3.33 3.19 Excess Return -0.01 3.11 2.72 0.83 0.27 1.75

BlackRock TIPS 410,921 2.88 1.34 (44) 7.54 (64) 7.06 (55) 2.22 (72) 2.45 (60) 3.07 (54) Aug-2010 Blmbg. Barc. U.S. TIPS 1.35 7.58 7.13 2.21 2.45 3.08 Excess Return -0.01 -0.04 -0.07 0.01 0.00 -0.01

Risk Parity BlackRock 892,770 6.25 1.81 19.89 13.35 - - 10.18 Feb-2017 60% MSCI ACWI (Net)/ 40% Barclays Aggregate 0.92 13.31 5.25 - - 7.56 Excess Return 0.89 6.58 8.10 - - 2.62

Hedge Funds Magnitude 557,283 3.90 -0.30 4.84 2.29 4.04 3.93 4.67 Mar-2012 HFRI Fund of Funds Composite Index -0.89 5.22 0.02 3.16 1.95 2.95 Excess Return 0.59 -0.38 2.27 0.88 1.98 1.72

Real Assets Harvest MLP 743,710 5.21 -5.05 (73) 14.58 (22) -9.04 (66) -1.22 (50) -5.71 (23) -4.20 (13) Aug-2014 S&P MLP Total Return Index -4.04 13.28 -6.88 -0.80 -8.02 -6.53 Excess Return -1.01 1.30 -2.16 -0.42 2.31 2.33

Cash Police Cash 2,536,722 17.77

Police Guarantee Trust 14,273,924 100.00 0.39 10.49 3.63 5.78 4.70 5.78 Mar-2000

17 Employees' Retirement System of the City of Baton Rouge Asset Allocation vs. Target Allocation September 30, 2019

Police US Equity -5.56 % Police US Equity -4.80 %

Police International Equity -7.34 % Police International Equity -5.96 %

Police Fixed Income -2.74 % Police Fixed Income -1.82 %

Police Risk Parity Composite 1.25% Police Risk Parity Composite 1.08%

Police Hedge Funds Composite -1.10 % Police Hedge Funds Composite -0.91 %

Police MLP Composite 0.21% Police MLP Composite 0.44%

Police Cash Composite 15.27% Police Cash Composite 11.96%

-20.00 % -10.00 % 0.00% 10.00% 20.00% 30.00% -16.00 % -8.00 % 0.00% 8.00% 16.00% 24.00%

Allocation Differences Allocation Differences

September 30, 2019 June 30, 2019 Market Value Allocation Target Market Value Allocation Target ($) (%) (%) ($) (%) (%) Police US Equity 2,060,560 14.44 20.00 Police US Equity 2,191,128 15.20 20.00 Police International Equity 1,806,893 12.66 20.00 Police International Equity 2,024,157 14.04 20.00 Police Fixed Income 5,675,986 39.76 42.50 Police Fixed Income 5,863,832 40.68 42.50 Police Risk Parity Composite 892,770 6.25 5.00 Police Risk Parity Composite 876,915 6.08 5.00 Police Hedge Funds Composite 557,283 3.90 5.00 Police Hedge Funds Composite 588,904 4.09 5.00 Police MLP Composite 743,710 5.21 5.00 Police MLP Composite 784,738 5.44 5.00 Police Cash Composite 2,536,722 17.77 2.50 Police Cash Composite 2,084,836 14.46 2.50 Total Fund 14,273,924 100.00 100.00 Total Fund 14,414,512 100.00 100.00

18 Employees' Retirement System of the City of Baton Rouge Total Fund Attribution Year To Date Ending September 30, 2019 Total Fund Performance Total Value Added:-1.25 %

Total Value Added -1.25 % Asset Allocation -1.23 %

Total Fund Benchmark 11.75%

Manager Value Added -0.03 % Total Fund 10.49%

-5.00 % 0.00% 5.00% 10.00% 15.00% 20.00% -1.80 % -1.44 % -1.08 % -0.72 % -0.36 % 0.00%

Total Asset Allocation:-1.23 % Total Manager Value Added:-0.03 %

Police US Equity -4.35 % -0.38 % 0.05%

Police International Equity -5.29 % 0.01% -0.38 %

Police Fixed Income -0.08 % -0.23 % -0.06 %

Police Risk Parity Composite 0.96% 0.01% 0.36%

Police Hedge Funds Composite -0.79 % 0.04% -0.04 %

Police MLP Composite 0.38% -0.03 % 0.05%

Police Cash Composite 9.17% -0.65 % -0.02 %

-16.00 % -8.00 % 0.00% 8.00% 16.00% -1.20 % -0.80 % -0.40 % 0.00% 0.40% -0.80 % -0.40 % 0.00% 0.40% 0.80%

Average Active Weight Asset Allocation Value Added Manager Value Added

19 Employees' Retirement System of the City of Baton Rouge Plan Sponsor TF Asset Allocation (All Public Plans-Total Fund) September 30, 2019

76.0

68.0

60.0

52.0

44.0 )

% 36.0 ( n

o ti a c o l l 28.0 A

20.0

12.0

4.0

-4.0

-12.0 US Equity Intl. Equity US Fixed Income Intl. Fixed Income Alternative Inv. Real Estate Cash ˜ Police Guarantee Trust 14.44 (96) 12.66 (69) 39.76 (11) 0.00 15.37 (38) 0.00 17.77 (2)

5th Percentile 59.93 26.07 49.75 9.25 39.92 14.13 8.89 1st Quartile 48.79 19.38 34.14 4.89 19.95 10.23 2.55 Median 39.95 14.54 27.18 4.14 11.52 8.50 1.38 3rd Quartile 29.11 11.88 20.38 2.50 5.28 5.13 0.59 95th Percentile 16.17 6.35 13.16 0.05 1.35 2.56 0.06

Population 533 502 481 155 157 278 363 Parentheses contain percentile rankings.

20 All Public Plans-Total Fund Police Guarantee Trust vs. All Public Plans-Total Fund September 30, 2019

24.0

20.0

16.0

12.0

8.0 n r u t e R

4.0

0.0

-4.0

-8.0

-12.0 3 Month CYTD 1 Year 3 Year 5 Year 7 Year 10 Year 2018 2017 2016 ˜ Police Guarantee Trust 0.39 (80) 10.49 (88) 3.63 (68) 5.78 (94) 4.70 (94) 6.02 (92) 6.81 (92) -5.21 (76) 13.15 (78) 7.39 (52) p Police Total Policy Index 0.68 (61) 11.75 (69) 4.98 (29) 5.80 (94) 4.31 (97) 5.88 (92) 6.32 (94) -4.74 (65) 11.66 (86) 6.30 (75)

5th Percentile 1.62 15.22 6.76 9.36 7.64 9.12 9.31 -0.15 18.72 9.96 1st Quartile 1.12 13.93 5.16 8.44 6.95 8.31 8.67 -2.95 16.56 8.43 Median 0.83 12.78 4.27 8.00 6.44 7.74 8.18 -4.16 15.23 7.44 3rd Quartile 0.44 11.31 3.35 7.20 5.85 6.91 7.50 -5.20 13.52 6.29 95th Percentile -0.10 9.37 1.69 5.40 4.52 4.93 5.94 -6.76 6.71 4.20

Population 471 466 460 439 428 411 365 501 603 659

21 Employees' Retirement System of the City of Baton Rouge Police Guarantee Trust September 30, 2019

3 Year Rolling Return Rank Growth of $1 - Since Inception (03/01/00)

0 4.00

k 25 n 3.20 a R e l

ti n e c

r 50

e 2.40 P n

r u t e

R 75 1.60

100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 0.80

Police Guarantee Trust Police Total Policy Index 0.00 5-25 25-Median Median-75 75-95 Total Period Count Count Count Count 2/00 11/01 8/03 5/05 2/07 11/08 8/10 5/12 2/14 11/15 8/17 9/19 ˜ Police Guarantee Trust 20 0 (0%) 0 (0%) 0 (0%) 20 (100%) Police Guarantee Trust Police Total Policy Index p Police Total Policy Index 20 0 (0%) 0 (0%) 0 (0%) 20 (100%)

Risk vs. Return (10/01/16 - 09/30/19) Relative Performance vs. Police Total Policy Index

12.0 1.96

1.47 10.0

0.98 ) % ( n

r 8.0 u ) t

e 0.49 % ( R n

r u t e

6.0 R 0.00

-0.49 4.0 2.8 3.5 4.2 4.9 5.6 6.3 7.0 7.7 8.4 9.1 9.8 -0.98 Risk (Standard Deviation %) Standard Return Deviation -1.47 ˜ Police Guarantee Trust 5.78 5.40 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 p Police Total Policy Index 5.80 5.68 Cumulative Annualized Relative Performance Over/Under Performance ¾ Median 8.00 6.86

gross of fees 22 Employees' Retirement System of the City of Baton Rouge Police Guarantee Trust September 30, 2019

Peer Group Analysis: All Public Plans-Total Fund

Standard Sharpe Information Deviation Ratio Ratio 2.0 1.5 4.0

5.0 1.0

2.0 8.0

0.5

11.0 0.0 0.0 14.0

17.0 -0.5 -2.0 1 Year 3 Year 5 Year 1 Year 3 Year 5 Year 1 Year 3 Year 5 Year ˜ Police Guarantee Trust 7.83 (13) 5.40 (13) 5.79 (17) 0.20 (62) 0.79 (87) 0.66 (88) -1.39 (99) -0.04 (94) 0.39 (90) p Police Total Policy Index 8.32 (16) 5.68 (16) 6.05 (23) 0.35 (23) 0.76 (91) 0.57 (97) - - -

Median 10.33 6.86 6.91 0.23 0.92 0.81 -0.17 0.92 0.95

Monthly Distribution of Returns 3 Year Rolling Under/Over Performance

40 12.0 Over Performance

33 10.0 32 ) % (

t 8.0 s

u r T e

24 e y t c n

n 6.0 a e r a u u q e G r F e

c i

16 l 4.0

14 o P

2.0 8 Under 5 5 Performance 0.0 2 1 0 0 0 0 0 0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 0 Police Total Policy Index (%) < -10 -10 To -8 -8 To -6 -6 To -4 -4 To -2 -2 To 0 0 To 2 2 To 4 4 To 6 6 To 8 8 To 10 > 10 Returns (%) Over Under Dec-2014 Sep-2019

gross of fees 23 Employees' Retirement System of the City of Baton Rouge Financial Reconciliation 1 Quarter Ending September 30, 2019 Market Value Capital Market Value Net As of Contributions Distributions Fees Expenses Income Apprec./ As of Transfers 07/01/2019 Deprec. 09/30/2019

Police Guarantee Trust 14,414,512 - - -184,337 -10,616 - 18,536 35,830 14,273,924

Police Global Equity Policy 4,215,286 -303,300 - - -3,639 - - -40,893 3,867,453

Police US Equity Composite 2,191,128 -150,600 - - -727 - - 20,758 2,060,560 BlackRock Russell 1000 Index Fund 922,925 -60,000 - - - - - 12,668 875,593 INTECH Investment Management 976,807 -60,300 - - -727 - - 15,263 931,043 BlackRock Russell 2000 Value Fund 124,007 -15,000 ------823 108,184 BlackRock Russell 2000 Growth Fund 167,390 -15,300 ------6,349 145,740

Police International Equity Composite 2,024,157 -152,700 - - -2,913 - - -61,652 1,806,893 Sprucegrove Investment Management 411,493 -30,900 - - -569 - - -21,643 358,381 Gryphon 440,358 -30,600 - - -724 - - -13,893 395,140 Highclere 551,436 -37,500 - - -1,619 - - 214 512,531 City of London 364,875 -27,000 ------13,725 324,150 Segall Bryant & Hamill 255,995 -26,700 ------12,604 216,691

Police Fixed Income Composite 5,863,832 -290,400 - - -5,533 - - 108,087 5,675,986 IR&M Core Fixed Income 2,210,923 -103,800 - - -1,372 - - 51,519 2,157,271 Fidelity Institutional Asset Management 1,625,515 -78,000 - - -1,758 - - 35,333 1,581,090 Western Asset Management 1,591,892 -78,300 - - -2,403 - - 15,515 1,526,705 BlackRock TIPS 435,502 -30,300 - - - - - 5,719 410,921

Police Risk Parity Composite 876,915 ------15,855 892,770 BlackRock 876,915 ------15,855 892,770

Police Hedge Fund Composite 588,904 -30,000 ------1,621 557,283 Magnitude 588,904 -30,000 ------1,621 557,283

Police Real Assets Composite 784,738 - - - -1,444 - 6,013 -45,598 743,710 Harvest MLP 784,738 - - - -1,444 - 6,013 -45,598 743,710

Police Cash Composite 2,084,836 623,700 - -184,337 - - 12,523 - 2,536,722 Police Cash 2,084,836 623,700 - -184,337 - - 12,523 - 2,536,722

24 Employees' Retirement System of the City of Baton Rouge Financial Reconciliation Year To Date Ending September 30, 2019 Market Value Capital Market Value Net As of Contributions Distributions Fees Expenses Income Apprec./ As of Transfers 01/01/2019 Deprec. 09/30/2019

Police Guarantee Trust 13,121,415 - - -184,337 -35,004 - 56,167 1,315,682 14,273,924

Police Global Equity Policy 4,198,464 -909,900 - - -12,152 - - 591,042 3,867,453

Police US Equity Composite 2,106,923 -451,800 - - -2,861 - - 408,299 2,060,560 BlackRock Russell 1000 Index Fund 885,626 -180,000 - - -342 - - 170,309 875,593 INTECH Investment Management 918,514 -180,900 - - -2,279 - - 195,708 931,043 BlackRock Russell 2000 Value Fund 136,538 -45,000 - - -107 - - 16,753 108,184 BlackRock Russell 2000 Growth Fund 166,245 -45,900 - - -133 - - 25,529 145,740

Police International Equity Composite 2,091,541 -458,100 - - -9,291 - - 182,743 1,806,893 Sprucegrove Investment Management 422,380 -92,700 - - -1,815 - - 30,517 358,381 Gryphon 444,507 -91,800 - - -2,267 - - 44,700 395,140 Highclere 573,888 -112,500 - - -5,209 - - 56,352 512,531 City of London 375,764 -81,000 - - - - - 29,386 324,150 Segall Bryant & Hamill 275,002 -80,100 - - - - - 21,789 216,691

Police Fixed Income Composite 6,050,636 -836,600 - - -17,009 - - 478,958 5,675,986 IR&M Core Fixed Income 2,245,934 -276,800 - - -4,171 - - 192,307 2,157,271 Fidelity Institutional Asset Management 1,666,901 -234,000 - - -5,263 - - 153,452 1,581,090 Western Asset Management 1,668,108 -234,900 - - -7,392 - - 100,889 1,526,705 BlackRock TIPS 469,693 -90,900 - - -183 - - 32,311 410,921

Police Risk Parity Composite 746,119 - - - -1,640 - - 148,291 892,770 BlackRock 746,119 - - - -1,640 - - 148,291 892,770

Police Hedge Fund Composite 619,128 -90,000 - - - - - 28,155 557,283 Magnitude 619,128 -90,000 - - - - - 28,155 557,283

Police Real Assets Composite 652,689 - - - -4,203 - 25,637 69,587 743,710 Harvest MLP 652,689 - - - -4,203 - 25,637 69,587 743,710

Police Cash Composite 854,379 1,836,500 - -184,337 - - 30,531 -351 2,536,722 Police Cash 854,379 1,836,500 - -184,337 - - 30,531 -351 2,536,722

25 US Equity

26 Employees' Retirement System of the City of Baton Rouge Police US Equity Composite vs. Russell 3000 Index September 30, 2019

Manager Allocation Sector Allocation - Holdings Based

September 30, 2019 : $2,060,560

Communication Services

Consumer Discretionary

Consumer Staples

Energy

Financials

Health Care

Industrials

Information Technology

Materials

Real Estate

Utilities

Market Value Allocation Cash ($) (%) ¢ BlackRock Russell 2000 Value Fund 108,184 5.25 ¢ BlackRock Russell 2000 Growth Fund 145,740 7.07 -5.00 0.00 5.00 10.00 15.00 20.00 25.00 ¢ BlackRock Russell 1000 Index Fund 875,593 42.49 ¢ INTECH Investment Management 931,043 45.18 Police US Equity Composite Russell 3000 Index

27 Employees' Retirement System of the City of Baton Rouge Police US Equity Composite vs. Russell 3000 Index September 30, 2019

Style Analysis - Returns Based Style Analysis - Holdings Based

Large Cap Value Large Cap Growth Cash

Large Growth n o ti a z i l a t i p a

C Large Neutral

Large Value

Small Cap Value Small Cap Growth

Mid Growth Manager Style

Style History Sep-2019 Avg. Exposure

Mid Neutral 3 Year Style Analysis

100.0 Mid Value

75.0 Small Growth

50.0 Small Neutral

25.0 Small Value

0.0 4/03 10/04 4/06 10/07 4/09 10/10 4/12 10/13 4/15 10/16 4/18 9/19 Unclassified

Russell 1000 Growth Index Russell 1000 Value Index

-8.0 0.0 8.0 16.0 24.0 32.0 40.0 48.0 Russell 2000 Growth Index Russell 2000 Value Index

Russell Midcap Growth Index Russell Midcap Value Index Police US Equity Composite Russell 3000 Index

28 All Master Trust-US Equity Segment Police US Equity Composite vs. All Master Trust-US Equity Segment September 30, 2019

35.0

30.0

25.0

20.0

15.0

10.0 n r u t e R 5.0

0.0

-5.0

-10.0

-15.0

-20.0 3 Month CYTD 1 Year 3 Year 5 Year 7 Year 10 Year 2018 2017 2016 ˜ Police US Equity Composite 0.99 (40) 20.55 (14) 2.00 (52) 12.52 (40) 10.49 (31) 12.90 (37) 13.33 (24) -6.62 (70) 21.56 (34) 12.01 (57) p Russell 3000 Index 1.16 (28) 20.09 (25) 2.92 (36) 12.83 (32) 10.44 (35) 13.00 (33) 13.08 (36) -5.24 (42) 21.13 (43) 12.74 (45)

5th Percentile 2.18 21.57 6.12 14.25 11.86 14.20 14.64 -0.40 26.01 16.34 1st Quartile 1.22 20.09 3.71 13.05 10.68 13.17 13.30 -4.39 22.25 13.92 Median 0.72 18.50 2.18 12.06 9.80 12.40 12.68 -5.78 20.71 12.45 3rd Quartile 0.09 16.28 0.56 10.60 8.57 11.05 11.72 -6.90 19.03 10.36 95th Percentile -2.19 10.23 -2.90 7.45 6.28 8.04 9.45 -9.68 14.56 6.77

Population 292 281 275 246 238 211 149 267 336 372

29 Employees' Retirement System of the City of Baton Rouge Police US Equity Composite September 30, 2019

3 Year Rolling Return Rank Growth of $1 - Since Inception (03/01/00)

0 6.00

k 25 n 4.50 a R e l

ti n e c

r 50

e 3.00 P n

r u t e

R 75 1.50

100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 0.00

Police US Equity Composite Russell 3000 Index -1.50 5-25 25-Median Median-75 75-95 Total Period Count Count Count Count 2/00 11/01 8/03 5/05 2/07 11/08 8/10 5/12 2/14 11/15 8/17 9/19 ˜ Police US Equity Composite 20 5 (25%) 14 (70%) 1 (5%) 0 (0%) Police US Equity Composite Russell 3000 Index p Russell 3000 Index 20 1 (5%) 19 (95%) 0 (0%) 0 (0%)

Risk vs. Return (10/01/16 - 09/30/19) Relative Performance vs. Russell 3000 Index

18.0 3.00

2.25 15.0

1.50 ) % ( n

r 12.0 u ) t

e 0.75 % ( R n

r u t e

9.0 R 0.00

-0.75 6.0 6.0 7.0 8.0 9.0 10.0 11.0 12.0 13.0 14.0 15.0 16.0 -1.50 Risk (Standard Deviation %) Standard Return Deviation -2.25 ˜ Police US Equity Composite 12.52 12.55 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 p Russell 3000 Index 12.83 12.37 Cumulative Annualized Relative Performance Over/Under Performance ¾ Median 12.06 12.15

gross of fees 30 Employees' Retirement System of the City of Baton Rouge Police US Equity Composite September 30, 2019

Peer Group Analysis: All Master Trust-US Equity Segment

Standard Sharpe Information Deviation Ratio Ratio 5.0 1.5 1.7

0.8 10.0 1.0

-0.1

15.0 0.5

-1.0

20.0 0.0 -1.9

25.0 -0.5 -2.8 1 Year 3 Year 5 Year 1 Year 3 Year 5 Year 1 Year 3 Year 5 Year ˜ Police US Equity Composite 19.03 (71) 12.55 (65) 12.06 (58) 0.08 (51) 0.89 (48) 0.81 (35) -0.72 (65) -0.21 (42) 0.04 (33) p Russell 3000 Index 18.65 (60) 12.37 (58) 12.07 (58) 0.12 (36) 0.92 (38) 0.81 (39) - - -

Median 18.24 12.15 11.91 0.08 0.88 0.78 -0.42 -0.33 -0.31

Monthly Distribution of Returns 3 Year Rolling Under/Over Performance

30 24.0 Over Performance

25 24 20.0 ) % ( e

t i s

20 o p 16.0 m o y C c y n t

i e u

u 15 q q E

e 13 12.0 S r

F U e

c i l

10 o P 8.0 6 5 5 Under 3 3 Performance 2 2 4.0 1 1 0 0 4.0 8.0 12.0 16.0 20.0 24.0 0 Russell 3000 Index (%) < -10 -10 To -8 -8 To -6 -6 To -4 -4 To -2 -2 To 0 0 To 2 2 To 4 4 To 6 6 To 8 8 To 10 > 10 Returns (%) Over Under Dec-2014 Sep-2019

gross of fees 31 International Equity

32 Employees' Retirement System of the City of Baton Rouge Police International Equity Composite vs. MSCI AC World ex USA (Net) September 30, 2019

Manager Allocation Sector Allocation - Holdings Based

September 30, 2019 : $1,806,893

Communication Services

Consumer Discretionary

Consumer Staples

Energy

Financials

Health Care

Industrials

Information Technology

Materials

Real Estate

Utilities

Other

Market Value Allocation Cash ($) (%) ¢ Sprucegrove Investment Management 358,381 19.83 0.00 5.00 10.00 15.00 20.00 25.00 30.00 ¢ Highclere 512,531 28.37

¢ Gryphon 395,140 21.87 Police International Equity Composite ¢ City of London 324,150 17.94 ¢ Segall Bryant & Hamill 216,691 11.99 MSCI AC World ex USA (Net)

33 Employees' Retirement System of the City of Baton Rouge Police International Equity Composite vs. MSCI AC World ex USA (Net) September 30, 2019

Style Analysis - Returns Based Region Allocation - Holdings Based

MSCI EAFE Value Index MSCI EAFE Growth Index 13.55 EM Asia 15.19

3.57

n EM E + ME + A o

ti 3.57 a z i l a t i p a

C 2.95 EM Latin America 2.56

19.95 MSCI EAFE Small Cap Value MSCI EAFE Small Cap Growth EMU 24.12

Manager Style 25.07 Europe ex EMU Style History Sep-2019 Avg. Exposure 19.33

0.25 3 Year Style Analysis Middle East 0.36 100.0

2.24 North America 80.0 6.66

60.0 30.04 Pacific 27.86

40.0 1.06 Other 0.36 20.0

1.32 Cash 0.0 0.00 4/03 10/04 4/06 10/07 4/09 10/10 4/12 10/13 4/15 10/16 4/18 9/19

0.00 6.00 12.00 18.00 24.00 30.00 36.00 42.00 MSCI EAFE Growth Index MSCI EAFE Value Index

MSCI EAFE Small Cap Growth MSCI EAFE Small Cap Value Police International Equity Composite MSCI AC World ex USA (Net)

34 All Master Trust-Intl. Equity Segment Police International Equity Composite vs. All Master Trust-Intl. Equity Segment September 30, 2019

44.0

36.0

28.0

20.0

12.0 n r u t e R

4.0

-4.0

-12.0

-20.0

-28.0 3 Month CYTD 1 Year 3 Year 5 Year 7 Year 10 Year 2018 2017 2016 ˜ Police International Equity Composite -3.03 (92) 9.01 (89) -4.21 (93) 6.01 (81) 4.15 (44) 6.09 (63) 5.67 (68) -16.16 (89) 32.39 (12) 8.94 (9) p MSCI AC World ex USA (Net) -1.80 (70) 11.56 (69) -1.23 (62) 6.33 (70) 2.90 (86) 5.01 (90) 4.46 (93) -14.20 (60) 27.19 (63) 4.50 (47)

5th Percentile 0.69 19.41 5.45 9.49 6.59 8.84 7.63 -8.58 34.62 9.91 1st Quartile -0.87 14.35 0.78 7.58 4.66 6.93 6.60 -12.48 30.38 6.07 Median -1.41 12.53 -0.68 6.78 4.04 6.43 5.99 -13.71 28.21 4.35 3rd Quartile -1.94 11.06 -2.07 6.21 3.31 5.67 5.54 -15.05 25.72 2.42 95th Percentile -3.66 6.75 -5.89 4.65 2.00 4.53 4.26 -16.84 22.02 -1.17

Population 285 275 268 234 217 191 128 261 302 325

35 Employees' Retirement System of the City of Baton Rouge Police International Equity Composite September 30, 2019

3 Year Rolling Return Rank Growth of $1 - Since Inception (03/01/00)

0 4.00

k 25 n 3.00 a R e l

ti n e c

r 50

e 2.00 P n

r u t e

R 75 1.00

100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 0.00

Police International Equity Composite MSCI AC World ex USA (Net) -1.00 5-25 25-Median Median-75 75-95 Total Period Count Count Count Count 2/00 11/01 8/03 5/05 2/07 11/08 8/10 5/12 2/14 11/15 8/17 9/19 ˜ Police International Equity Composite 20 10 (50%) 2 (10%) 5 (25%) 3 (15%) Police International Equity Composite MSCI AC World ex USA (Net) p MSCI AC World ex USA (Net) 20 0 (0%) 0 (0%) 5 (25%) 15 (75%)

Risk vs. Return (10/01/16 - 09/30/19) Relative Performance vs. MSCI AC World ex USA (Net)

12.0 6.00

10.0 4.00

) 8.0 % ( n

r

u 2.00 ) t e % ( R 6.0 n

r u t e R 0.00 4.0

2.0 -2.00 9.0 9.6 10.2 10.8 11.4 12.0 12.6 13.2 13.8 14.4 Risk (Standard Deviation %) Standard Return Deviation -4.00 ˜ Police International Equity Composite 6.01 12.20 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 p MSCI AC World ex USA (Net) 6.33 11.29 Cumulative Annualized Relative Performance Over/Under Performance ¾ Median 6.78 11.42

gross of fees 36 Employees' Retirement System of the City of Baton Rouge Police International Equity Composite September 30, 2019

Peer Group Analysis: All Master Trust-Intl. Equity Segment

Standard Sharpe Information Deviation Ratio Ratio 8.0 1.0 4.0

12.0 0.5

2.0

16.0 0.0

0.0 20.0 -0.5

24.0 -1.0 -2.0 1 Year 3 Year 5 Year 1 Year 3 Year 5 Year 1 Year 3 Year 5 Year ˜ Police International Equity Composite 16.87 (82) 12.20 (84) 12.83 (82) -0.31 (91) 0.42 (85) 0.31 (53) -1.37 (96) -0.09 (78) 0.52 (42) p MSCI AC World ex USA (Net) 15.44 (38) 11.29 (42) 12.37 (66) -0.15 (66) 0.47 (67) 0.22 (86) - - -

Median 15.79 11.42 12.11 -0.11 0.50 0.31 0.33 0.22 0.44

Monthly Distribution of Returns 3 Year Rolling Under/Over Performance

18 16.0 Over Performance

15 ) % 12.0 15 ( e

14 t i s o p

m 8.0 12 o C y t

i u y q c E

n 4.0 l e a

u

9 n q 8 o e ti r a F n r 0.0 e 6 t n 6 I e

5 c i l

4 o -4.0 P 3 3 3 Under Performance 1 1 -8.0 0 0 -8.0 -4.0 0.0 4.0 8.0 12.0 16.0 0 MSCI AC World ex USA (Net) (%) < -10 -10 To -8 -8 To -6 -6 To -4 -4 To -2 -2 To 0 0 To 2 2 To 4 4 To 6 6 To 8 8 To 10 > 10 Returns (%) Over Dec-2014 Sep-2019

gross of fees 37 Fixed Income

38 Employees' Retirement System of the City of Baton Rouge Police Fixed Income Composite September 30, 2019

Manager Allocation Style Analysis - Returns Based

September 30, 2019 : $5,675,986

Blmbg. Barc. U.S. Interm. Treasury Blmbg. Barc. U.S. Long Treasury n o ti a z i l a t i p a C

Blmbg. Barc. U.S. Interm. Corporate Blmbg. Barc. U.S. Long Corporate

Manager Style

Style History Sep-2019 Avg. Exposure

3 Year Style Analysis

100.0

75.0

50.0

25.0

0.0 4/03 10/04 4/06 10/07 4/09 10/10 4/12 10/13 4/15 10/16 4/18 9/19

Market Value Allocation Bloomberg Barclays U.S. Intermediate Corporate Bond Index ($) (%) ¢ Fidelity Institutional Asset Management 1,581,090 27.86 Bloomberg Barclays U.S. Long Corporate Index

¢ Western Asset Management 1,526,705 26.90 Bloomberg Barclays U.S. Treasury: Long ¢ BlackRock TIPS 410,921 7.24 ¢ IR&M Core Fixed Income 2,157,271 38.01 Bloomberg Barclays U.S. Treasury: Intermediate

39 All Master Trust-US Fixed Income Segment Police Fixed Income Composite vs. All Master Trust-US Fixed Income Segment September 30, 2019

28.0

24.0

20.0

16.0

12.0 n r u

t 8.0 e R

4.0

0.0

-4.0

-8.0

-12.0 3 Month CYTD 1 Year 3 Year 5 Year 7 Year 10 Year 2018 2017 2016 ˜ Police Fixed Income Composite 1.90 (62) 8.47 (55) 9.32 (54) 3.82 (41) 3.79 (47) 3.51 (43) 5.09 (45) -0.80 (59) 5.63 (39) 5.08 (41) p Blmbg. Barc. U.S. Aggregate 2.27 (42) 8.52 (54) 10.30 (37) 2.92 (70) 3.38 (68) 2.72 (71) 3.75 (81) 0.01 (37) 3.54 (68) 2.65 (77)

5th Percentile 6.14 21.82 21.06 6.65 6.92 5.87 8.18 1.73 12.17 9.65 1st Quartile 3.27 12.22 12.53 4.73 5.07 4.39 5.94 0.48 7.12 6.68 Median 2.11 8.68 9.45 3.47 3.72 3.27 4.84 -0.38 4.74 4.18 3rd Quartile 1.49 7.23 7.66 2.80 3.24 2.58 3.88 -2.52 3.31 2.69 95th Percentile 0.61 3.73 4.32 1.77 2.25 1.60 2.67 -5.82 1.60 1.08

Population 292 289 282 254 236 207 146 269 322 354

40 Employees' Retirement System of the City of Baton Rouge Police Fixed Income Composite September 30, 2019

3 Year Rolling Return Rank Growth of $1 - Since Inception (03/01/00)

0 3.60

k 25 3.00 n a R e l

ti

n 2.40 e c

r 50 e P n

r

u 1.80 t e

R 75

1.20

100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 0.60

Police Fixed Income Composite Blmbg. Barc. U.S. Aggregate 0.00 5-25 25-Median Median-75 75-95 Total Period Count Count Count Count 2/00 11/01 8/03 5/05 2/07 11/08 8/10 5/12 2/14 11/15 8/17 9/19 ˜ Police Fixed Income Composite 20 0 (0%) 17 (85%) 3 (15%) 0 (0%) Police Fixed Income Composite Blmbg. Barc. U.S. Aggregate p Blmbg. Barc. U.S. Aggregate 20 0 (0%) 0 (0%) 11 (55%) 9 (45%)

Risk vs. Return (10/01/16 - 09/30/19) Relative Performance vs. Blmbg. Barc. U.S. Aggregate

8.0 2.67

1.78 6.0

0.89 ) % ( n

r 4.0 u ) t

e 0.00 % ( R n

r u t e

2.0 R -0.89

-1.78 0.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0 -2.67 Risk (Standard Deviation %) Standard Return Deviation -3.56 ˜ Police Fixed Income Composite 3.82 2.59 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 p Blmbg. Barc. U.S. Aggregate 2.92 3.30 Cumulative Annualized Relative Performance Over/Under Performance ¾ Median 3.47 3.15

gross of fees 41 Employees' Retirement System of the City of Baton Rouge Police Fixed Income Composite September 30, 2019

Peer Group Analysis: All Master Trust-US Fixed Income Segment

Standard Sharpe Information Deviation Ratio Ratio -1.0 3.5 4.0

2.0 2.6 2.0

5.0 1.7

0.0

8.0 0.8

-2.0 11.0 -0.1

14.0 -1.0 -4.0 1 Year 3 Year 5 Year 1 Year 3 Year 5 Year 1 Year 3 Year 5 Year ˜ Police Fixed Income Composite 2.72 (28) 2.59 (29) 2.58 (24) 2.47 (11) 0.90 (18) 1.10 (20) -0.51 (48) 0.60 (36) 0.23 (52) p Blmbg. Barc. U.S. Aggregate 3.57 (55) 3.30 (58) 3.05 (47) 2.13 (37) 0.44 (76) 0.80 (67) - - -

Median 3.42 3.15 3.07 2.00 0.61 0.86 -0.58 0.41 0.24

Monthly Distribution of Returns 3 Year Rolling Under/Over Performance

50 6.0 Over Performance

41 5.0 )

40 % ( e

t i s

o 4.0 p m o

30 C y e

c m

n 3.0 o e c u n I q e d r

e F x 20 i 18 F 2.0 e

c i l o P 1.0 10 Under Performance 0.0 1 0 0 0 0 0 0 0 0 0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 0 Blmbg. Barc. U.S. Aggregate (%) < -10 -10 To -8 -8 To -6 -6 To -4 -4 To -2 -2 To 0 0 To 2 2 To 4 4 To 6 6 To 8 8 To 10 > 10 Returns (%) Over Under Dec-2014 Sep-2019

gross of fees 42 Hedge Funds

43 Employees' Retirement System of the City of Baton Rouge Hedge Funds Composite September 30, 2019

Comparative Performance

9.0 7.8 6.8

6.0 5.2 4.8 4.4 4.0 3.9 3.2 3.2 2.7 ) 3.0 2.3 %

( 2.0 n

r 1.3 u t 0.5 e

R 0.0 0.0 -0.3 -0.9 -1.9 -3.0

-4.0

-6.0 3 Month CYTD 1 Year 3 Year 5 Year 7 Year 10 Year 2018 2017 2016

Hedge Funds Composite HFRI Fund of Funds Composite Index

Growth of $1 - Since Inception (03/01/12) Relative Performance vs. HFRI Fund of Funds Composite Index

1.60 12.00

9.00

1.40

6.00 ) % ( n

1.20 r 3.00 u t e R

0.00

1.00

-3.00

0.80 -6.00 2/12 11/12 8/13 5/14 2/15 11/15 8/16 5/17 2/18 11/18 9/19 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19

Hedge Funds Composite HFRI Fund of Funds Composite Index Cumulative Annualized Relative Performance Over/Under Performance

net of fees

44 Real Assets

45 Employees' Retirement System of the City of Baton Rouge MLP Composite vs. Master Limited Partnerships (SA+CF) September 30, 2019

52.0

44.0

36.0

28.0

20.0 n r u

t 12.0 e R

4.0

-4.0

-12.0

-20.0

-28.0 3 Month CYTD 1 Year 3 Year 5 Year 7 Year 10 Year 2018 2017 2016 ˜ MLP Composite -5.05 (70) 14.58 (24) -9.04 (67) -1.22 (50) -5.71 (24) - - -13.00 (26) -4.97 (53) 20.06 (73) p S&P MLP Total Return Index -4.04 (40) 13.28 (41) -6.88 (51) -0.80 (40) -8.02 (69) 0.15 (78) 7.08 (83) -11.67 (7) -5.58 (62) 21.95 (68)

5th Percentile -1.47 17.62 -1.11 2.00 -4.97 4.23 12.50 -10.56 -0.23 38.31 1st Quartile -3.20 14.39 -4.82 -0.37 -5.87 3.34 11.65 -12.99 -4.14 28.85 Median -4.60 12.62 -6.84 -1.22 -6.76 1.94 9.71 -13.48 -4.94 25.56 3rd Quartile -5.28 10.40 -9.87 -2.97 -8.20 0.90 8.26 -15.97 -7.00 18.74 95th Percentile -6.48 9.34 -10.72 -5.03 -9.14 -1.03 6.91 -18.63 -9.57 9.23

46 Investment Manager Detail

47 US Equity

48 Employees' Retirement System of the City of Baton Rouge BlackRock R1000 Index Fund vs. IM U.S. Large Cap Core Equity (SA+CF) September 30, 2019

Comparative Performance 1 Year Rolling Percentile Ranking

25.0 0

20.5 20.5 k 25 n a

20.0 R e l

ti 50 n e c r e 15.0 P 75

n 13.2 13.2 r u t e

R 10.7 10.6 100 10.0 8.6 8.5 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

BlackRock R1000 Index Fund Russell 1000 Index 5.0 3.8 3.9

1.4 1.4 3 Year Rolling Percentile Ranking 0.0 3 Month CYTD 1 Year 3 Year 5 Year Since 0 Inception (1/1/08)

k 25 n

BlackRock R1000 Index Fund Russell 1000 Index a R e l

ti 50 n e c r e Relative Performance vs Russell 1000 Index P 75

0.18 100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

0.12 BlackRock R1000 Index Fund Russell 1000 Index

5 Year Rolling Percentile Ranking

) 0.06 % ( n

r 0 u t e R 0.00

k 25 n a R e l

ti 50 n e

-0.06 c r e P 75

-0.12 100 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

Cumulative Annualized Relative Performance Over/Under Performance BlackRock R1000 Index Fund Russell 1000 Index

gross of fees

49 Employees' Retirement System of the City of Baton Rouge BlackRock Russell 1000 Index Fd September 30, 2019 Comparative Performance Top 10 Positions 3 Month CYTD 1 Year 3 Year 5 Year Portfolio Benchmark Active Quarterly BlackRock Russell 1000 Index Fd 1.43 20.51 3.85 13.23 10.67 Weight Weight Weight Return (%) (%) (%) (%) Russell 1000 Index 1.42 20.53 3.87 13.19 10.62 Microsoft Corp 3.82 3.82 0.00 4.14 IM U.S. Large Cap Core Equity (SA+CF) Median 1.54 19.93 3.02 12.74 10.36 Apple Inc 3.68 3.68 0.00 13.59 BlackRock Russell 1000 Index Fd Rank 55 42 44 38 43 Amazon.com Inc 2.61 2.61 0.00 -8.33 Facebook Inc 1.55 1.55 0.00 -7.73 Berkshire Hathaway Inc 1.48 1.48 0.00 -2.42 JPMorgan Chase & Co 1.36 1.36 0.00 6.01 Alphabet Inc 1.35 1.35 0.00 12.78 Alphabet Inc Class A 1.33 1.33 0.00 12.78 Johnson & Johnson 1.25 1.25 0.00 -6.42 Procter & Gamble Co (The) 1.12 1.12 0.00 14.17 Historical Statistics (3 Year) Portfolio Characteristics % of Portfolio 19.55 19.55 0.00 Standard Information Up Down Alpha Beta R-Squared Portfolio Benchmark Deviation Ratio Capture Capture Wtd. Avg. Mkt. Cap ($000) 224,127,621 224,127,624 BlackRock Russell 1000 Index Fd 0.06 1.00 12.13 1.00 0.44 100.11 99.87 Median Mkt. Cap ($000) 10,022,704 10,022,704 Russell 1000 Index 0.00 1.00 12.15 1.00 - 100.00 100.00 Price/Earnings ratio 20.62 20.62 Price/Book ratio 3.45 3.45 5 Yr. EPS Growth Rate (%) 15.93 15.93 Current Yield (%) 1.93 1.93 Beta (5 Years, Monthly) 1.00 1.00 Number of Stocks 1,002 1,002 Sector Allocation Sector Performance Total Sector Attribution

9.6 2.24 Communication Services 9.6 Communication Services 2.24 Communication Services 0.00 10.3 0.74 Consumer Discretionary Consumer Discretionary 0.74 10.3 Consumer Discretionary 0.00 6.7 5.98 Consumer Staples 6.7 Consumer Staples 5.98 0.00 4.8 -6.97 Consumer Staples Energy 4.8 Energy -6.97 13.3 2.07 Energy 0.00 Financials 13.3 Financials 2.07 13.9 -2.73 Health Care 13.9 Health Care -2.73 Financials 0.00 9.8 0.82 Industrials 9.8 Industrials 0.82 Health Care 0.00 21.8 2.85 Information Technology 21.8 Information Technology 2.85 Industrials 0.00 2.9 -0.18 Materials 2.9 Materials -0.18 Information Technology 0.00 3.7 7.74 Real Estate 3.7 Real Estate 7.74 3.2 8.25 Materials 0.00 Utilities 3.2 Utilities 8.25 0.0 7.61 Other 0.0 Other 7.61 Real Estate 0.00

0.0 6.0 12.0 18.0 24.0 30.0 -16.00 -8.00 0.00 8.00 16.00 Utilities 0.00

Other 0.00 BlackRock Russell 1000 Index Fd BlackRock Russell 1000 Index Fd

-0.02 -0.01 0.00 0.01 Russell 1000 Index Russell 1000 Index

gross of fees

50 Employees' Retirement System of the City of Baton Rouge INTECH Investment Mgmt. vs. IM U.S. Large Cap Core Equity (SA+CF) September 30, 2019

Comparative Performance 1 Year Rolling Percentile Ranking

25.0 0 22.5

20.6 k 25 n a

20.0 R e l

ti 50 n e c r e

15.0 P 13.4 75 n 13.1 r u t 11.5 e 11.0 10.8 11.2 R 100 10.0 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

INTECH Investment Mgmt. S&P 500 5.0 3.9 4.3

1.6 1.7 3 Year Rolling Percentile Ranking 0.0 3 Month CYTD 1 Year 3 Year 5 Year Since 0 Inception (10/1/08)

k 25 n

INTECH Investment Mgmt. S&P 500 a R e l

ti 50 n e c r e Relative Performance vs S&P 500 P 75

6.00 100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

4.00 INTECH Investment Mgmt. S&P 500

5 Year Rolling Percentile Ranking

) 2.00 % ( n

r 0 u t e R 0.00

k 25 n a R e l

ti 50 n e

-2.00 c r e P 75

-4.00 100 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

Cumulative Annualized Relative Performance Over/Under Performance INTECH Investment Mgmt. S&P 500

gross of fees

51 Employees' Retirement System of the City of Baton Rouge INTECH Investment Mgmt. September 30, 2019 Comparative Performance Top 10 Positions 3 Month CYTD 1 Year 3 Year 5 Year Portfolio Benchmark Active Quarterly INTECH Investment Mgmt. 1.61 22.46 3.93 13.15 10.97 Weight Weight Weight Return (%) (%) (%) (%) S&P 500 1.70 20.55 4.25 13.39 10.84 Microsoft Corp 3.43 4.30 -0.87 4.14 IM U.S. Large Cap Core Equity (SA+CF) Median 1.54 19.93 3.02 12.74 10.36 Apple Inc 3.03 3.85 -0.82 13.59 INTECH Investment Mgmt. Rank 48 20 43 41 33 Amazon.com Inc 2.12 2.92 -0.80 -8.33 Intel Corp 1.21 0.92 0.29 8.37 Intuitive Surgical Inc 1.06 0.25 0.81 2.93 Cisco Systems Inc 0.96 0.85 0.11 -9.16 Berkshire Hathaway Inc 0.94 1.65 -0.71 -2.42 Costco Wholesale Corp 0.92 0.51 0.41 9.26 The PNC Financial Services Group Inc 0.91 0.25 0.66 2.94 Facebook Inc 0.87 1.73 -0.86 -7.73 Historical Statistics (3 Year) Portfolio Characteristics % of Portfolio 15.45 17.23 -1.78 Standard Information Up Down Alpha Beta R-Squared Portfolio Benchmark Deviation Ratio Capture Capture Wtd. Avg. Mkt. Cap ($000) 170,900,195 246,599,139 INTECH Investment Mgmt. -0.03 0.99 12.09 0.96 -0.09 96.86 94.91 Median Mkt. Cap ($000) 24,249,294 22,714,386 S&P 500 0.00 1.00 12.01 1.00 - 100.00 100.00 Price/Earnings ratio 20.59 20.56 Price/Book ratio 3.43 3.48 5 Yr. EPS Growth Rate (%) 14.80 15.83 Current Yield (%) 1.88 1.98 Beta (5 Years, Monthly) 0.95 1.00 Number of Stocks 456 505 Sector Allocation Sector Performance Total Sector Attribution

4.6 -4.00 Communication Services 10.2 Communication Services 2.24 Communication Services -0.32 9.8 0.11 Consumer Discretionary Consumer Discretionary 0.51 10.2 Consumer Discretionary -0.03 5.8 7.61 Consumer Staples 7.3 Consumer Staples 6.12 0.02 6.0 -3.31 Consumer Staples Energy 5.0 Energy -6.35 14.9 2.43 Energy 0.11 Financials 13.1 Financials 2.01 16.1 -4.25 Health Care 14.2 Health Care -2.25 Financials 0.07 11.7 3.14 Industrials 9.4 Industrials 0.90 Health Care -0.40 21.6 2.59 Information Technology 21.5 Information Technology 3.38 Industrials 0.24 2.0 3.58 Materials 2.8 Materials -0.09 Information Technology -0.17 1.6 8.93 Real Estate 3.1 Real Estate 7.72 5.9 9.39 Materials 0.09 Utilities 3.3 Utilities 9.36 -0.1 0.00 Cash 0.0 Cash 0.00 Real Estate -0.07

-8.0 0.0 8.0 16.0 24.0 32.0 -16.00 -8.00 0.00 8.00 16.00 Utilities 0.20

Cash 0.00 INTECH Investment Mgmt. INTECH Investment Mgmt.

-0.60 -0.40 -0.20 0.00 0.20 0.40 0.60 S&P 500 S&P 500

gross of fees

52 Employees' Retirement System of the City of Baton Rouge BlackRock R2000 Value Fund vs. IM U.S. Small Cap Value Equity (SA+CF) September 30, 2019

Comparative Performance 1 Year Rolling Percentile Ranking

15.0 0 13.0 12.8

k 25 n a

10.0 9.2 9.0 R e l

7.5 7.2 ti 50 6.9 n

6.5 e c r e 5.0 P 75 n r u t e

R 100 0.0 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 -0.5 -0.6

BlackRock R2000 Value Fund Russell 2000 Value Index -5.0

-8.1 -8.2 3 Year Rolling Percentile Ranking -10.0 3 Month CYTD 1 Year 3 Year 5 Year Since 0 Inception (3/1/00)

k 25 n

BlackRock R2000 Value Fund Russell 2000 Value Index a R e l

ti 50 n e c r e Relative Performance vs Russell 2000 Value Index P 75

0.60 100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

BlackRock R2000 Value Fund Russell 2000 Value Index 0.40

5 Year Rolling Percentile Ranking ) % ( n

r 0.20 0 u t e R

k 25 n a R e l

0.00 ti 50 n e c r e P 75

-0.20 100 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

Cumulative Annualized Relative Performance Over/Under Performance BlackRock R2000 Value Fund Russell 2000 Value Index

gross of fees

53 Employees' Retirement System of the City of Baton Rouge BlackRock R2000 Value Fund September 30, 2019 Comparative Performance Top 10 Positions 3 Month CYTD 1 Year 3 Year 5 Year Portfolio Benchmark Active Quarterly BlackRock R2000 Value Fund -0.52 12.96 -8.07 6.88 7.45 Weight Weight Weight Return (%) (%) (%) (%) Russell 2000 Value Index -0.57 12.82 -8.24 6.54 7.17 Portland General Electric Co 0.52 0.52 0.00 4.77 IM U.S. Small Cap Value Equity (SA+CF) Median -0.27 15.73 -6.71 7.10 7.68 ONE Gas Inc 0.52 0.52 0.00 7.03 BlackRock R2000 Value Fund Rank 57 74 58 55 54 Rexford Industrial Realty Inc 0.50 0.50 0.00 9.50 Black Hills Corp 0.49 0.49 0.00 -1.20 Radian Group Inc. 0.48 0.48 0.00 -0.03 ALLETE Inc. 0.47 0.47 0.00 5.79 Blackstone Mortgage Trust Inc 0.47 0.47 0.00 2.51 Southwest Gas Holdings Inc 0.46 0.46 0.00 2.22 Sabra Health Care REIT Inc 0.45 0.45 0.00 19.04 Spire Inc 0.45 0.45 0.00 4.68 Historical Statistics (3 Year) Portfolio Characteristics % of Portfolio 4.81 4.81 0.00 Standard Information Up Down Alpha Beta R-Squared Portfolio Benchmark Deviation Ratio Capture Capture Wtd. Avg. Mkt. Cap ($000) 2,010,350 2,010,348 BlackRock R2000 Value Fund 0.34 1.00 17.37 1.00 1.70 100.24 98.71 Median Mkt. Cap ($000) 650,338 650,338 Russell 2000 Value Index 0.00 1.00 17.43 1.00 - 100.00 100.00 Price/Earnings ratio 14.01 14.01 Price/Book ratio 1.59 1.59 5 Yr. EPS Growth Rate (%) 9.48 9.48 Current Yield (%) 2.23 2.23 Beta (5 Years, Monthly) 1.00 1.00 Number of Stocks 1,402 1,402 Sector Allocation Sector Performance Total Sector Attribution

2.9 -8.38 Communication Services 2.9 Communication Services -8.38 Communication Services 0.00 8.5 3.66 Consumer Discretionary Consumer Discretionary 3.66 8.5 Consumer Discretionary 0.00 2.4 4.13 Consumer Staples 2.4 Consumer Staples 4.13 Consumer Staples 0.00 5.1 -18.92 Energy 5.1 Energy -18.92 29.4 0.28 Energy 0.00 Financials 29.4 Financials 0.28 -8.07 4.0 0.00 Health Care 4.0 Health Care -8.07 Financials 11.8 -1.18 Industrials 11.8 Industrials -1.18 Health Care 0.00 11.8 2.74 Information Technology 11.8 Information Technology 2.74 Industrials 0.00 4.2 -6.14 Materials 4.2 Materials -6.14 0.00 12.3 4.95 Information Technology Real Estate 12.3 Real Estate 4.95 7.6 5.45 Materials 0.00 Utilities 7.6 Utilities 5.45 0.00 0.0 8.0 16.0 24.0 32.0 40.0 -30.00 -20.00 -10.00 0.00 10.00 20.00 Real Estate

Utilities 0.00 BlackRock R2000 Value Fund BlackRock R2000 Value Fund

-0.02 -0.01 0.00 0.01 Russell 2000 Value Index Russell 2000 Value Index

gross of fees

54 Employees' Retirement System of the City of Baton Rouge BlackRock R2000 Growth Fund vs. IM U.S. Small Cap Growth Equity (SA+CF) September 30, 2019

Comparative Performance 1 Year Rolling Percentile Ranking

18.0 0 15.4 15.3

k 25 n a

12.0 R

10.0 e 9.8 l 9.3 9.1 9.2 8.8 ti 50 n e c r e 6.0 P 75 n r u t e

R 100 0.0 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

-4.1 -4.2 BlackRock R2000 Growth Fund Russell 2000 Growth Index -6.0

-9.5 -9.6 3 Year Rolling Percentile Ranking -12.0 3 Month CYTD 1 Year 3 Year 5 Year Since 0 Inception (4/1/05)

k 25 n

BlackRock R2000 Growth Fund Russell 2000 Growth Index a R e l

ti 50 n e c r e Relative Performance vs Russell 2000 Growth Index P 75

0.60 100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

BlackRock R2000 Growth Fund Russell 2000 Growth Index 0.40

5 Year Rolling Percentile Ranking ) % ( n

r 0.20 0 u t e R

k 25 n a R e l

0.00 ti 50 n e c r e P 75

-0.20 100 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

Cumulative Annualized Relative Performance Over/Under Performance BlackRock R2000 Growth Fund Russell 2000 Growth Index

gross of fees

55 Employees' Retirement System of the City of Baton Rouge BlackRock R2000 Growth Fund September 30, 2019 Comparative Performance Top 10 Positions 3 Month CYTD 1 Year 3 Year 5 Year Portfolio Benchmark Active Quarterly BlackRock R2000 Growth Fund -4.09 15.42 -9.53 10.03 9.34 Weight Weight Weight Return (%) (%) (%) (%) Russell 2000 Growth Index -4.17 15.34 -9.63 9.79 9.08 NovoCure Ltd 0.67 0.67 0.00 18.27 IM U.S. Small Cap Growth Equity (SA+CF) Median -3.90 17.99 -5.91 13.28 11.17 Haemonetics Corp 0.67 0.67 0.00 4.82 BlackRock R2000 Growth Fund Rank 52 66 71 76 76 Trex Co Inc 0.55 0.55 0.00 26.82 Science Applications International Corp 0.54 0.54 0.00 1.34 MAXIMUS Inc. 0.51 0.51 0.00 6.86 Teladoc Health Inc 0.50 0.50 0.00 1.97 Generac Holdings Inc 0.50 0.50 0.00 12.87 Silicon Laboratories Inc 0.50 0.50 0.00 7.69 Performance Food Group Co 0.49 0.49 0.00 14.94 Tetra Tech Inc 0.49 0.49 0.00 10.66 Historical Statistics (3 Year) Portfolio Characteristics % of Portfolio 5.42 5.42 0.00 Standard Information Up Down Alpha Beta R-Squared Portfolio Benchmark Deviation Ratio Capture Capture Wtd. Avg. Mkt. Cap ($000) 2,456,040 2,456,040 BlackRock R2000 Growth Fund 0.23 1.00 17.19 1.00 1.88 100.42 99.45 Median Mkt. Cap ($000) 857,165 857,165 Russell 2000 Growth Index 0.00 1.00 17.23 1.00 - 100.00 100.00 Price/Earnings ratio 24.82 24.82 Price/Book ratio 3.87 3.87 5 Yr. EPS Growth Rate (%) 13.73 13.73 Current Yield (%) 0.78 0.78 Beta (5 Years, Monthly) 1.00 1.00 Number of Stocks 1,164 1,164 Sector Allocation Sector Performance Total Sector Attribution

3.1 -7.16 Communication Services 3.1 Communication Services -7.16 Communication Services 0.00 14.6 -3.69 Consumer Discretionary Consumer Discretionary -3.69 14.6 Consumer Discretionary 0.00 2.9 4.92 Consumer Staples 2.9 Consumer Staples 4.92 Consumer Staples 0.00 1.7 -17.73 Energy 1.7 Energy -17.73 7.1 -3.62 Energy 0.00 Financials 7.1 Financials -3.62 -8.24 26.4 0.00 Health Care 26.4 Health Care -8.24 Financials 18.6 0.65 Industrials 18.6 Industrials 0.65 Health Care 0.00 18.5 -3.32 Information Technology 18.5 Information Technology -3.32 Industrials 0.00 3.4 -4.57 Materials 3.4 Materials -4.57 0.00 3.2 6.37 Information Technology Real Estate 3.2 Real Estate 6.37 0.5 12.40 Materials 0.00 Utilities 0.5 Utilities 12.40 0.00 0.0 8.0 16.0 24.0 32.0 40.0 -30.00 -15.00 0.00 15.00 30.00 Real Estate

Utilities 0.00 BlackRock R2000 Growth Fund BlackRock R2000 Growth Fund

-0.02 -0.01 0.00 0.01 Russell 2000 Growth Index Russell 2000 Growth Index

gross of fees

56 International Equity

57 Employees' Retirement System of the City of Baton Rouge Sprucegrove Investment Mgmt. vs. IM International Large Cap Value Equity (SA+CF) September 30, 2019

Comparative Performance 1 Year Rolling Percentile Ranking

9.0 0 7.7 7.6 7.0 6.7

k 25

6.0 n 5.1 5.2 a R e l

3.4 ti 50 n e

3.0 c r e 1.0 P 75 n r u

t 0.0 e

R 100 -1.7 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 -3.0

Sprucegrove Investment Mgmt. MSCI EAFE Value Index (Net) -4.9 -4.9 -6.0 -5.4

3 Year Rolling Percentile Ranking -9.0 3 Month CYTD 1 Year 3 Year 5 Year Since 0 Inception (1/1/02)

k 25 n

Sprucegrove Investment Mgmt. MSCI EAFE Value Index (Net) a R e l

ti 50 n e c r e Relative Performance vs MSCI EAFE Value Index (Net) P 75

9.00 100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

6.00 Sprucegrove Investment Mgmt. MSCI EAFE Value Index (Net)

5 Year Rolling Percentile Ranking

) 3.00 % ( n

r 0 u t e R 0.00

k 25 n a R e l

ti 50 n e

-3.00 c r e P 75

-6.00 100 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

Cumulative Annualized Relative Performance Over/Under Performance Sprucegrove Investment Mgmt. MSCI EAFE Value Index (Net)

gross of fees

58 Employees' Retirement System of the City of Baton Rouge Sprucegrove Investment Mgmt. September 30, 2019 Comparative Performance Top 10 Positions 3 Month CYTD 1 Year 3 Year 5 Year Portfolio Benchmark Active Quarterly Sprucegrove Investment Mgmt. -5.39 6.96 -4.86 6.72 3.39 Weight Weight Weight Return (%) (%) (%) (%) MSCI EAFE Value Index (Net) -1.74 7.67 -4.92 5.10 0.99 L'Air Liquide SA 2.58 0.00 2.58 1.70 IM Intl. Large Cap Value Equity (SA+CF) -1.52 10.20 -3.30 5.85 3.02 Novartis AG 2.31 1.00 1.31 -5.12 Sprucegrove Investment Mgmt. Rank 98 85 62 32 42 LafargeHolcim Ltd 2.29 0.13 2.16 0.77 Yara International ASA 2.27 0.00 2.27 -11.11 Diageo PLC 2.24 0.00 2.24 -3.47 CRH PLC 2.20 0.00 2.20 6.19 United Overseas Bank Ltd 2.14 0.13 2.01 -1.83 Denso Corp 2.06 0.29 1.77 6.00 Samsung Electronics Co Ltd 2.03 0.00 2.03 0.74 Tesco PLC 1.91 0.00 1.91 2.89 Historical Statistics (3 Year) Portfolio Characteristics % of Portfolio 22.03 1.55 20.48 Standard Information Up Down Portfolio Benchmark Alpha Beta R-Squared Deviation Ratio Capture Capture Wtd. Avg. Mkt. Cap ($000) 47,330,912 58,381,184 Sprucegrove Investment Mgmt. 1.64 1.00 12.21 0.90 0.41 104.45 94.87 Median Mkt. Cap ($000) 16,446,956 10,093,257 MSCI EAFE Value Index (Net) 0.00 1.00 11.61 1.00 - 100.00 100.00 Price/Earnings ratio 14.18 11.78 Price/Book ratio 1.70 1.56 5 Yr. EPS Growth Rate (%) 1.57 3.08 Current Yield (%) 3.47 4.99 Beta (5 Years, Monthly) 0.94 1.00 Number of Stocks 87 485 Region Allocation Region Performance Total Region Attribution

7.8 -10.1 -0.67 EM Asia 0.0 EM Asia 0.0 EM Asia 1.9 -22.2 EM E + ME + A 0.1 EM E + ME + A -28.0 EM E + ME + A -0.37 2.0 -16.5 EM Latin America EM Latin America 0.0 0.0 EM Latin America -0.30 20.2 -6.1 EMU 35.4 EMU -2.1 EMU -0.74 32.1 -4.8 Europe ex EMU 26.1 Europe ex EMU -2.3 Europe ex EMU -0.83 0.0 0.0 Middle East 0.6 Middle East -3.7 Middle East 0.01 2.4 0.4 North America 0.0 North America 0.0 0.05 26.0 -2.5 North America Pacific Pacific 37.3 -0.4 -0.69 4.4 -13.0 Pacific Other 0.6 Other -13.1 3.2 0.0 -0.43 Cash Cash Other 0.0 0.0

Cash 0.05 0.0 10.0 20.0 30.0 40.0 50.0 -40.0 -30.0 -20.0 -10.0 0.0 10.0

-1.20 -0.90 -0.60 -0.30 0.00 0.30 Sprucegrove Investment Mgmt. MSCI EAFE Value Index (Net) Sprucegrove Investment Mgmt. MSCI EAFE Value Index (Net)

gross of fees

59 Employees' Retirement System of the City of Baton Rouge Gryphon vs. IM International Growth Equity (SA+CF) September 30, 2019

Comparative Performance 1 Year Rolling Percentile Ranking

24.0 0

17.9

k 25 n a

16.0 R e l

ti 50 n

10.1 e c r

7.8 e 8.0 P 5.4 5.5 5.6 75 n r 4.1 4.5 u t

e 2.2

R 100 0.0 -0.4 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 -3.2 Gryphon MSCI EAFE Growth Index (Net) -8.0 -9.5 3 Year Rolling Percentile Ranking -16.0 3 Month CYTD 1 Year 3 Year 5 Year Since 0 Inception (1/1/11)

k 25 n

Gryphon MSCI EAFE Growth Index (Net) a R e l

ti 50 n e c r e Relative Performance vs MSCI EAFE Growth Index (Net) P 75

9.00 100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

6.00 Gryphon MSCI EAFE Growth Index (Net)

3.00 5 Year Rolling Percentile Ranking ) % ( n

r 0.00 0 u t e R

k 25 n

-3.00 a R e l

ti 50 n e c r

-6.00 e P 75

-9.00 100 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

Cumulative Annualized Relative Performance Over/Under Performance Gryphon MSCI EAFE Growth Index (Net)

gross of fees

60 Employees' Retirement System of the City of Baton Rouge Gryphon September 30, 2019 Comparative Performance Top 10 Positions 3 Month CYTD 1 Year 3 Year 5 Year Portfolio Benchmark Active Quarterly Gryphon -3.21 10.15 -9.53 5.38 4.15 Weight Weight Weight Return (%) (%) (%) (%) MSCI EAFE Growth Index -0.40 18.39 2.64 8.19 5.90 ING Groep NV 4.25 0.00 4.25 -7.30 IM International Growth Equity (SA+CF) Median -1.51 16.48 -0.81 7.79 5.54 AIA Group Ltd 4.06 1.58 2.48 -12.08 Gryphon Rank 91 90 90 83 81 Fresenius SE & Co KGAA 3.88 0.27 3.61 -13.80 DBS Group Holdings Ltd 3.83 0.29 3.54 -4.68 Shiseido Co Ltd 3.65 0.44 3.21 5.95 D S SmithPLC 3.63 0.00 3.63 -3.77 Porsche Automobil Holding SE 3.21 0.00 3.21 0.11 Nidec Corp 3.16 0.41 2.75 -1.30 Deutsche Lufthansa AG 3.07 0.00 3.07 -7.30 Novartis AG 3.03 1.67 1.36 -5.12 Historical Statistics (3 Year) Portfolio Characteristics % of Portfolio 35.77 4.66 31.11 Standard Information Up Down Portfolio Benchmark Alpha Beta R-Squared Deviation Ratio Capture Capture Wtd. Avg. Mkt. Cap ($000) 35,098,885 67,913,012 Gryphon -3.76 1.18 14.30 0.88 -0.41 109.39 135.64 Median Mkt. Cap ($000) 12,705,293 10,011,963 MSCI EAFE Growth Index 0.00 1.00 11.29 1.00 - 100.00 100.00 Price/Earnings ratio 14.15 20.78 Price/Book ratio 2.34 3.25 5 Yr. EPS Growth Rate (%) 14.13 11.34 Current Yield (%) 2.68 2.19 Beta (5 Years, Monthly) 1.11 1.00 Number of Stocks 42 535 Region Allocation Region Performance Total Region Attribution

0.0 0.0 0.00 EM E + ME + A 0.0 EM E + ME + A 9.2 EM E + ME + A

0.0 0.0 EM Latin America EM Latin America 0.1 -1.2 EM Latin America 0.00 46.5 -3.6 EMU EMU 32.8 -1.7 EMU -1.09 11.2 -9.3 Europe ex EMU 31.0 Europe ex EMU -0.4 Europe ex EMU -0.99 0.0 0.0 Middle East 0.6 Middle East -3.7 Middle East 0.02 0.0 0.0 North America 0.4 North America -5.6 North America 0.02 37.5 -2.2 Pacific Pacific 35.0 1.1 -1.23 0.0 0.0 Pacific Other 0.2 Other -3.7

4.8 0.0 Other 0.01 Cash 0.0 Cash 0.0

Cash 0.02 0.0 15.0 30.0 45.0 60.0 -18.0 -12.0 -6.0 0.0 6.0 12.0 18.0

-1.60 -1.20 -0.80 -0.40 0.00 0.40 Gryphon MSCI EAFE Growth Index Gryphon MSCI EAFE Growth Index

gross of fees

61 Employees' Retirement System of the City of Baton Rouge Highclere vs. IM International Small Cap Equity (SA+CF) September 30, 2019

Comparative Performance 1 Year Rolling Percentile Ranking

15.0 0

12.1

k 25

10.4 n a

10.0 9.2 R e l

7.5 ti 50 n

6.6 e

5.9 6.0 c

5.6 r e 5.0 P 75 n r u t e R 0.1 100 0.0 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 -0.4

Highclere MSCI EAFE Small Cap (Net) -5.0 -5.2 -5.9 3 Year Rolling Percentile Ranking -10.0 3 Month CYTD 1 Year 3 Year 5 Year Since 0 Inception (12/1/10)

k 25 n

Highclere MSCI EAFE Small Cap (Net) a R e l

ti 50 n e c r e Relative Performance vs MSCI EAFE Small Cap (Net) P 75

9.00 100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

6.00 Highclere MSCI EAFE Small Cap (Net)

3.00 5 Year Rolling Percentile Ranking ) % ( n

r 0.00 0 u t e R

k 25 n

-3.00 a R e l

ti 50 n e c r

-6.00 e P 75

-9.00 100 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

Cumulative Annualized Relative Performance Over/Under Performance Highclere MSCI EAFE Small Cap (Net)

gross of fees

62 Employees' Retirement System of the City of Baton Rouge Highclere September 30, 2019 Comparative Performance Top 10 Positions 3 Month CYTD 1 Year 3 Year 5 Year Portfolio Benchmark Active Quarterly Highclere 0.13 10.35 -5.19 5.61 6.57 Weight Weight Weight Return (%) (%) (%) (%) MSCI EAFE Small Cap (Net) -0.44 12.05 -5.93 5.94 6.02 Soitec 1.08 0.09 0.99 -9.75 IM International Small Cap Equity (SA+CF) Median -1.76 12.32 -7.10 6.12 5.98 Ste Virbac SA 1.00 0.04 0.96 19.63 Highclere Rank 7 63 35 57 39 Shizuoka Gas Co Ltd 1.00 0.02 0.98 11.25 Getinge AB 0.97 0.14 0.83 -11.04 Grainger PLC 0.91 0.08 0.83 -3.05 C&C Group PLC 0.90 0.06 0.84 1.70 Ckd Corp 0.89 0.03 0.86 17.61 Applus Services SA 0.85 0.08 0.77 -3.39 Tokyo Seimitsu Co Ltd 0.84 0.05 0.79 15.69 RichWave Technology Corp 0.83 0.00 0.83 84.90 Historical Statistics (3 Year) Portfolio Characteristics % of Portfolio 9.27 0.59 8.68 Standard Information Up Down Portfolio Benchmark Alpha Beta R-Squared Deviation Ratio Capture Capture Wtd. Avg. Mkt. Cap ($000) 1,094,216 2,582,657 Highclere 0.08 0.93 11.24 0.96 -0.17 94.04 94.03 Median Mkt. Cap ($000) 803,469 983,031 MSCI EAFE Small Cap (Net) 0.00 1.00 11.89 1.00 - 100.00 100.00 Price/Earnings ratio 14.60 14.82 Price/Book ratio 1.86 2.13 5 Yr. EPS Growth Rate (%) 3.83 10.10 Current Yield (%) 2.92 2.87 Beta (5 Years, Monthly) 0.92 1.00 Number of Stocks 189 2,337 Region Allocation Region Performance Total Region Attribution

9.8 -4.6 -0.42 EM Asia 0.1 EM Asia 0.1 EM Asia 0.8 -11.2 EM E + ME + A 0.0 EM E + ME + A 0.0 EM E + ME + A -0.08 1.2 -1.5 EM Latin America EM Latin America 0.0 0.0 EM Latin America -0.01 17.5 -1.8 EMU 23.9 EMU -3.0 EMU 0.39 21.3 -2.0 Europe ex EMU 31.6 Europe ex EMU -2.5 Europe ex EMU 0.32 1.3 12.4 Middle East 1.6 Middle East 9.6 Middle East 0.00 0.4 -4.4 North America 0.3 North America 4.1 -0.03 46.3 3.1 North America Pacific Pacific 42.4 2.4 0.47 0.0 0.0 Pacific Other 0.1 Other -7.8 1.5 0.0 0.01 Cash Cash Other 0.0 0.0

Cash 0.01 0.0 15.0 30.0 45.0 60.0 -24.0 -16.0 -8.0 0.0 8.0 16.0 24.0

-0.90 -0.60 -0.30 0.00 0.30 0.60 0.90 Highclere MSCI EAFE Small Cap (Net) Highclere MSCI EAFE Small Cap (Net)

gross of fees

63 Employees' Retirement System of the City of Baton Rouge City of London vs. IM Emerging Markets Equity (SA+CF) September 30, 2019

Comparative Performance 1 Year Rolling Percentile Ranking

12.0 0

8.8 k 25 n a

8.0 7.2 R e l

5.9 6.0 ti 50 n e c r

4.1 e 4.0 3.2 P 75 n

r 2.3 2.3 u t

e 0.9 R 100 0.0 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

-2.0 City of London MSCI Emerging Markets (Net) -4.0 -3.5 -4.2

3 Year Rolling Percentile Ranking -8.0 3 Month CYTD 1 Year 3 Year 5 Year Since 0 Inception (1/1/11)

k 25 n

City of London MSCI Emerging Markets (Net) a R e l

ti 50 n e c r e Relative Performance vs MSCI Emerging Markets (Net) P 75

9.00 100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

6.00 City of London MSCI Emerging Markets (Net)

5 Year Rolling Percentile Ranking

) 3.00 % ( n

r 0 u t e R 0.00

k 25 n a R e l

ti 50 n e

-3.00 c r e P 75

-6.00 100 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

Cumulative Annualized Relative Performance Over/Under Performance City of London MSCI Emerging Markets (Net)

gross of fees

64 Employees' Retirement System of the City of Baton Rouge City of London September 30, 2019 Comparative Performance Top 10 Positions 3 Month CYTD 1 Year 3 Year 5 Year Portfolio Benchmark Active Quarterly City of London -3.55 8.76 3.17 7.16 4.12 Weight Weight Weight Return (%) (%) (%) (%) MSCI Emerging Markets (Net) -4.25 5.90 -2.02 5.97 2.33 Genesis Emerging Markets Fund Ltd 9.30 0.00 9.30 -2.32 IM Emerging Markets Equity (SA+CF) Median -3.64 8.12 0.05 5.96 3.07 Templeton Emerging Markets Investment Trust PLC 7.39 0.00 7.39 -3.21 City of London Rank 47 45 29 34 30 Jpmorgan Fleming Indian Investment Trust PLC 6.49 0.00 6.49 -6.84 JPMorgan Emerging Markets Investment Trust 4.66 0.00 4.66 -4.56 JP Morgan Russian Securities PLC 4.10 0.00 4.10 4.07 Templeton Dragon Fund Inc 4.07 0.00 4.07 0.58 Edinburgh Dragon Trust PLC 3.01 0.00 3.01 -4.16 Aberdeen Emerging Markets Investment Co Ltd 2.86 0.00 2.86 -4.63 Naspers Ltd 2.51 1.24 1.27 -5.86 iShares MSCI China ETF 2.44 0.00 2.44 -5.67 Historical Statistics (3 Year) Portfolio Characteristics % of Portfolio 46.83 1.24 45.59 Standard Information Up Down Portfolio Benchmark Alpha Beta R-Squared Deviation Ratio Capture Capture Wtd. Avg. Mkt. Cap ($000) 3,604,211 79,063,970 City of London 1.39 0.95 13.37 0.97 0.46 99.86 93.14 Median Mkt. Cap ($000) 417,750 5,158,258 MSCI Emerging Markets (Net) 0.00 1.00 13.84 1.00 - 100.00 100.00 Price/Earnings ratio 12.26 12.70 Price/Book ratio 1.15 2.32 5 Yr. EPS Growth Rate (%) -5.71 11.62 Current Yield (%) 2.92 3.01 Beta (5 Years, Monthly) 0.92 1.00 Number of Stocks 72 1,202 Region Allocation Region Performance Total Region Attribution

7.2 -8.5 -0.85 EM Asia 59.2 EM Asia -3.0 EM Asia

2.3 -5.9 EM E + ME + A EM E + ME + A 15.3 -6.3 EM E + ME + A 0.33 2.8 -6.2 EM Latin America EM Latin America 11.9 -4.5 EM Latin America 0.00 1.2 -4.4 EMU 0.2 EMU 0.7 EMU -0.01 58.6 -5.1 Europe ex EMU 0.1 Europe ex EMU 2.8 Europe ex EMU -0.74 15.2 -3.7 North America 0.1 North America -16.7 North America 0.03 6.4 1.4 Pacific Pacific 12.8 -4.5 0.41 4.1 7.5 Pacific Other 0.3 Other -4.2

2.1 0.0 Other 0.47 Cash 0.0 Cash 0.0

Cash 0.08 0.0 15.0 30.0 45.0 60.0 75.0 -24.0 -16.0 -8.0 0.0 8.0 16.0

-1.20 -0.80 -0.40 0.00 0.40 0.80 City of London MSCI Emerging Markets (Net) City of London MSCI Emerging Markets (Net)

gross of fees

65 Employees' Retirement System of the City of Baton Rouge Segall Bryant & Hamill vs. IM Emerging Markets Equity (SA+CF) September 30, 2019

Comparative Performance 1 Year Rolling Percentile Ranking

12.0 0

7.6 k 25 8.0 n a 5.9 6.0 R e l

ti 50 n e

4.0 c r

2.3 e P 75 n r u

t 0.0 e

R 100 -1.4 -2.0 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 -4.0 -4.2 -5.1 Segall Bryant & Hamill MSCI Emerging Markets (Net)

-8.0 -7.3 -8.1 3 Year Rolling Percentile Ranking -12.0 3 Month CYTD 1 Year 3 Year 5 Year Since 0 Inception (4/1/18)

k 25 n

Segall Bryant & Hamill MSCI Emerging Markets (Net) a R e l

ti 50 n e c r e Relative Performance vs MSCI Emerging Markets (Net) P 75

4.00 100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

2.00 Segall Bryant & Hamill MSCI Emerging Markets (Net)

5 Year Rolling Percentile Ranking

) 0.00 % ( n

r 0 u t e R -2.00

k 25 n a R e l

ti 50 n e

-4.00 c r e P 75

-6.00 100 4/18 7/18 10/18 1/19 4/19 7/19 9/19 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

Cumulative Annualized Relative Performance Over/Under Performance Segall Bryant & Hamill MSCI Emerging Markets (Net)

gross of fees

66 Employees' Retirement System of the City of Baton Rouge Segall Bryant & Hamill September 30, 2019 Comparative Performance Top 10 Positions 3 Month CYTD 1 Year 3 Year 5 Year Portfolio Benchmark Active Quarterly Segall Bryant & Hamill -5.12 7.64 -1.38 - - Weight Weight Weight Return (%) (%) (%) (%) MSCI Emerging Markets (Net) -4.25 5.90 -2.02 5.97 2.33 Tencent Holdings LTD 3.84 4.49 -0.65 -6.71 IM Emerging Markets Equity (SA+CF) Median -3.64 8.12 0.05 5.96 3.07 Alibaba Group Holding Ltd 3.52 4.44 -0.92 -1.31 Segall Bryant & Hamill Rank 85 55 64 - - Samsung Electronics Co Ltd 3.25 3.65 -0.40 1.48 Taiwan Semiconductor Manufacturing Co Ltd 2.95 4.03 -1.08 19.51 iShares MSCI Saudi Arabia ETF 2.62 0.00 2.62 -7.69 Naspers Ltd 1.64 1.24 0.40 -5.86 China Mobile Ltd 1.58 0.95 0.63 -7.07 Samsung Electronics Co Ltd 1.36 0.51 0.85 0.59 Gazprom PJSC 1.34 0.69 0.65 1.41 JBS SA 1.26 0.16 1.10 41.86 Historical Statistics (3 Year) Portfolio Characteristics % of Portfolio 23.36 20.16 3.20 Standard Information Up Down Portfolio Benchmark Alpha Beta R-Squared Deviation Ratio Capture Capture Wtd. Avg. Mkt. Cap ($000) 58,121,287 79,063,970 Segall Bryant & Hamill ------Median Mkt. Cap ($000) 1,256,581 5,158,258 MSCI Emerging Markets (Net) 0.00 1.00 13.84 1.00 - 100.00 100.00 Price/Earnings ratio 8.77 12.70 Price/Book ratio 1.78 2.32 5 Yr. EPS Growth Rate (%) 12.79 11.62 Current Yield (%) 4.29 3.01 Beta - 1.00 Number of Stocks 488 1,202 Region Allocation Region Performance Total Region Attribution

53.1 -3.8 -0.51 EM Asia 59.2 EM Asia -3.0 EM Asia

16.1 -5.3 EM E + ME + A EM E + ME + A 15.3 -6.3 EM E + ME + A 0.14 12.0 -1.6 EM Latin America EM Latin America 11.9 -4.5 EM Latin America 0.34 0.0 0.0 EMU 0.2 EMU 0.7 EMU -0.01 0.1 9.4 Europe ex EMU 0.1 Europe ex EMU 2.8 Europe ex EMU 0.00 1.4 -7.7 North America 0.1 North America -16.7 North America -0.04 17.2 -6.9 Pacific Pacific 12.8 -4.5 -0.44 0.0 0.0 Pacific Other 0.3 Other -4.2

0.3 0.0 Other 0.00 Cash 0.0 Cash 0.0

Cash 0.01 0.0 15.0 30.0 45.0 60.0 75.0 -30.0 -20.0 -10.0 0.0 10.0 20.0

-0.90 -0.60 -0.30 0.00 0.30 0.60 Segall Bryant & Hamill MSCI Emerging Markets (Net) Segall Bryant & Hamill MSCI Emerging Markets (Net)

gross of fees

67 Fixed Income

68 Employees' Retirement System of the City of Baton Rouge IR&M Core Fixed Income vs. IM U.S. Broad Market Core+ Fixed Income (SA+CF) September 30, 2019

Comparative Performance 1 Year Rolling Percentile Ranking

12.0 0 10.7 10.3

k 25 n a

9.1 R e l 9.0 8.5 ti 50 n e c r e P 75 n r u

t 6.0 e

R 100 4.1 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 3.8 3.4 3.4 3.5 2.9 3.0 IR&M Core Fixed Income Blmbg. Barc. U.S. Aggregate 2.4 2.3

3 Year Rolling Percentile Ranking 0.0 3 Month CYTD 1 Year 3 Year 5 Year Since 0 Inception (10/1/13)

k 25 n

IR&M Core Fixed Income Blmbg. Barc. U.S. Aggregate a R e l

ti 50 n e c r e Relative Performance vs Blmbg. Barc. U.S. Aggregate P 75

0.90 100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

0.60 IR&M Core Fixed Income Blmbg. Barc. U.S. Aggregate

5 Year Rolling Percentile Ranking

) 0.30 % ( n

r 0 u t e R 0.00

k 25 n a R e l

ti 50 n e

-0.30 c r e P 75

-0.60 100 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

Cumulative Annualized Relative Performance Over/Under Performance IR&M Core Fixed Income Blmbg. Barc. U.S. Aggregate

gross of fees

69 Employees' Retirement System of the City of Baton Rouge IR&M Core Fixed Income September 30, 2019 Comparative Performance Portfolio Characteristics 3 Month CYTD 1 Year 3 Year 5 Year Portfolio Benchmark IR&M Core Fixed Income 2.39 9.10 10.69 3.42 3.80 Modified Duration 5.70 5.78 Blmbg. Barc. U.S. Aggregate 2.27 8.52 10.30 2.92 3.38 Yield To Maturity (%) 2.44 2.26 IM U.S. Broad Market Core+ Fixed Income (SA+CF) Median 2.30 9.42 10.34 3.85 3.95 Avg. Maturity 8.23 7.92 IR&M Core Fixed Income Rank 32 61 30 77 65 Avg. Quality Aa2 AA2 Coupon Rate (%) 3.62 3.21

Historical Statistics (3 Year) Sharpe Information Standard Ratio Ratio Deviation IR&M Core Fixed Income 0.63 1.46 3.09 Blmbg. Barc. U.S. Aggregate 0.44 - 3.30 FTSE 3 Month T-Bill - -0.44 0.21

Duration Distribution (%) Credit Quality Distribution (%) Sector Distribution (%)

50.0 90.0 48.0

75.0 40.0 40.0

60.0 32.0

30.0

24.0 45.0

20.0 16.0 30.0

10.0 8.0 15.0

0.0 0.0 0.0 y d e d g S S S l h r s r l O a s e n u te d e in B B B p a h a A A A B B d s a ra i g M A M M ci t rs rs rs rs rs rs B B e a l Y r C i C Lo Y Y Y Y Y Y A A t e e G h e C n O A B B a r R v g u k 1 3 4 6 8 + < R T t n i m n o o o o o 8 t v I H E M a t t t t t o o B 0 1 3 4 6 N G

IR&M Core Fixed Income Blmbg. Barc. U.S. Aggregate

gross of fees 70 Employees' Retirement System of the City of Baton Rouge Fidelity Institutional Asset Management vs. IM U.S. Broad Market Core+ Fixed Income (SA+CF) September 30, 2019

Comparative Performance 1 Year Rolling Percentile Ranking

12.0 0

10.1 10.3 9.9 k 25 n a R e l 9.0 8.5 ti 50 n e c r e P 75 n r u t 6.0 5.5 e

R 100 4.4 4.4 4.1 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 3.4 2.9 3.0 Fidelity Institutional Asset Management Blmbg. Barc. U.S. Aggregate 2.2 2.3

3 Year Rolling Percentile Ranking 0.0 3 Month CYTD 1 Year 3 Year 5 Year Since 0 Inception (7/1/07)

k 25 n

Fidelity Institutional Asset Management Blmbg. Barc. U.S. Aggregate a R e l

ti 50 n e c r e Relative Performance vs Blmbg. Barc. U.S. Aggregate P 75

2.79 100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

1.86 Fidelity Institutional Asset Management Blmbg. Barc. U.S. Aggregate

0.93 5 Year Rolling Percentile Ranking ) % ( n

r 0.00 0 u t e R

k 25 n

-0.93 a R e l

ti 50 n e c r

-1.86 e P 75

-2.79 100 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

Cumulative Annualized Relative Performance Over/Under Performance Fidelity Institutional Asset Management Blmbg. Barc. U.S. Aggregate

gross of fees

71 Employees' Retirement System of the City of Baton Rouge Fidelity Institutional Asset Management September 30, 2019 Comparative Performance Portfolio Characteristics 3 Month CYTD 1 Year 3 Year 5 Year Portfolio Benchmark Fidelity Institutional Asset Management 2.23 9.86 10.14 4.06 4.43 Modified Duration 5.32 5.78 Blmbg. Barc. U.S. Aggregate 2.27 8.52 10.30 2.92 3.38 Yield To Maturity (%) 3.30 2.26 IM U.S. Broad Market Core+ Fixed Income (SA+CF) Median 2.30 9.42 10.34 3.85 3.95 Avg. Maturity 11.74 7.92 Fidelity Institutional Asset Management Rank 56 33 60 33 20 Avg. Quality A AA2 Coupon Rate (%) 3.88 3.21

Historical Statistics (3 Year) Sharpe Information Standard Ratio Ratio Deviation Fidelity Institutional Asset Management 0.88 1.00 2.94 Blmbg. Barc. U.S. Aggregate 0.44 - 3.30 FTSE 3 Month T-Bill - -0.44 0.21

Duration Distribution (%) Credit Quality Distribution (%) Sector Distribution (%)

50.0 90.0 48.0

75.0 40.0 40.0

60.0 32.0

30.0

24.0 45.0

20.0 16.0 30.0

10.0 8.0 15.0

0.0 0.0 0.0 y d e d g S S S h r s r l O s e n u te d e in B B B a h a A A A B B d s a ra i g M A M M t rs rs rs rs rs rs B B e a l Y r C C Lo Y Y Y Y Y Y A A t e e G h e C O A B B a r R v g k 1 3 4 6 8 + < R T t n i m n o o o o o 8 t v I H E a t t t t t o o B 0 1 3 4 6 N G

Fidelity Institutional Asset Management Blmbg. Barc. U.S. Aggregate

gross of fees 72 Employees' Retirement System of the City of Baton Rouge Western Asset Management September 30, 2019

Peer Group Analysis - IM U.S. Fixed Income (SA+CF)

28.0

20.0

12.0 n r u t e R 4.0

-4.0

-12.0

3 Month CYTD 1 Year 3 Year 5 Year 7 Year 10 Year 2018 2017 2016 ˜ Western Asset Management 1.03 (73) 6.47 (64) 7.27 (57) 4.76 (29) 3.60 (53) 3.84 (39) 5.13 (40) -2.75 (88) 9.86 (10) 5.88 (35) p 90 Day Libor + 200bp 1.04 (72) 3.36 (89) 4.55 (80) 3.93 (41) 3.33 (60) 3.03 (57) 2.83 (81) 4.37 (2) 3.30 (66) 2.76 (63)

Median 1.49 7.86 7.88 3.43 3.69 3.31 4.42 0.41 4.19 3.72

Growth of $1 - Since Inception (07/01/07) Relative Performance vs. 90 Day Libor + 200bp

2.40 9.00

6.00 2.00

3.00

1.60 ) % ( n

r 0.00 u t e 1.20 R -3.00

0.80 -6.00

0.40 -9.00 6/07 6/08 6/09 6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 6/18 9/19 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19

Western Asset Management 90 Day Libor + 200bp Cumulative Annualized Relative Performance Over/Under Performance

gross of fees

73 Employees' Retirement System of the City of Baton Rouge Western Asset Management Portfolio Characteristics September 30, 2019 Portfolio Characteristics Sector Distribution (%)

Portfolio 40.0 Modified Duration 1.83 Yield To Maturity (%) 4.71 Avg. Maturity 8.53 32.0 Avg. Quality A Coupon Rate (%) 1.95 24.0

16.0

8.0

0.0 y d e d g S S S h r s r l O s e n u te d e in B B B a h a s a ra i g M A M M t a l Y r C C Lo e e G h e C O r R v g k T t n i m n v I H E a o B G

Duration Distribution (%) Credit Quality Distribution (%)

40.0 40.0

32.0 32.0

24.0 24.0

16.0 16.0

8.0 8.0

0.0 0.0 s s s s s s A A A B B d r r r r r r A A B B te Y Y Y Y Y Y A B B a 1 3 4 6 8 + < R o o o o o 8 t t t t t t o 0 1 3 4 6 N

74 Employees' Retirement System of the City of Baton Rouge BlackRock TIPS vs. IM U.S. TIPS (SA+CF) September 30, 2019

Comparative Performance 1 Year Rolling Percentile Ranking

10.0 0

k 25 n a

8.0 7.5 7.6 R e l 7.1 7.1 ti 50 n e c r e 6.0 P 75 n r u t e

R 100 4.0 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19 3.1 3.1 2.5 2.4 2.2 2.2 BlackRock TIPS Blmbg. Barc. U.S. TIPS 2.0 1.3 1.3

3 Year Rolling Percentile Ranking 0.0 3 Month CYTD 1 Year 3 Year 5 Year Since 0 Inception (8/1/10)

k 25 n

BlackRock TIPS Blmbg. Barc. U.S. TIPS a R e l

ti 50 n e c r e Relative Performance vs Blmbg. Barc. U.S. TIPS P 75

0.24 100 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

0.16 BlackRock TIPS Blmbg. Barc. U.S. TIPS

0.08 5 Year Rolling Percentile Ranking ) % ( n

r 0.00 0 u t e R

k 25 n

-0.08 a R e l

ti 50 n e c r

-0.16 e P 75

-0.24 100 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19 12/14 6/15 12/15 6/16 12/16 6/17 12/17 6/18 12/18 9/19

Cumulative Annualized Relative Performance Over/Under Performance BlackRock TIPS Blmbg. Barc. U.S. TIPS

gross of fees

75 Employees' Retirement System of the City of Baton Rouge BlackRock TIPS September 30, 2019 Comparative Performance Portfolio Characteristics 3 Month CYTD 1 Year 3 Year 5 Year Portfolio Benchmark BlackRock TIPS 1.34 7.54 7.06 2.22 2.45 Modified Duration 7.74 7.75 Blmbg. Barc. U.S. TIPS 1.35 7.58 7.13 2.21 2.45 Yield To Maturity (%) 1.65 1.65 IM U.S. TIPS (SA+CF) Median 1.30 7.60 7.09 2.25 2.47 Avg. Maturity 8.37 8.38 BlackRock TIPS Rank 44 64 55 72 60 Avg. Quality Aaa AAA Coupon Rate (%) 0.79 0.75

Historical Statistics (3 Year) Sharpe Information Standard Ratio Ratio Deviation BlackRock TIPS 0.23 0.35 3.23 Blmbg. Barc. U.S. TIPS 0.23 - 3.24 FTSE 3 Month T-Bill - -0.23 0.21

Duration Distribution (%) Credit Quality Distribution (%) Sector Distribution (%)

48.0 120.0 120.0

40.0 100.0 100.0

32.0 80.0 80.0

24.0 60.0 60.0

16.0 40.0 40.0

8.0 20.0 20.0

0.0 0.0 0.0 d s s s s s s A y h r r r r r r A te r s Y Y Y Y Y Y A a u a 1 3 4 6 8 + R s C o o o o o 8 t a t t t t t o re 0 1 3 4 6 N T

BlackRock TIPS Blmbg. Barc. U.S. TIPS

gross of fees 76 Risk Parity

77 Employees' Retirement System of the City of Baton Rouge BlackRock September 30, 2019

Comparative Performance

25.0

20.0 19.7

15.4 15.0 13.3 13.0

) 10.0 % ( n

7.1 r 6.5 6.7 u t 5.3 5.5 5.9 e

R 5.0 1.8 0.9 0.0

-5.0 -4.3 -5.5

-10.0 3 Month CYTD 1 Year 3 Year 5 Year 7 Year 10 Year 2018 2017 2016

BlackRock 60% MSCI ACWI (Net)/ 40% Barclays Aggregate

Growth of $1 - Since Inception (02/01/17) Relative Performance vs. 60% MSCI ACWI (Net)/ 40% Barclays Aggregate

1.40 6.00

4.00 1.30

2.00

1.20 ) % ( n

r 0.00 u t e 1.10 R -2.00

1.00 -4.00

0.90 -6.00 1/17 4/17 7/17 10/17 1/18 4/18 7/18 10/18 1/19 4/19 7/19 9/19 2/17 5/17 8/17 11/17 2/18 5/18 8/18 11/18 2/19 5/19 9/19

BlackRock 60% MSCI ACWI (Net)/ 40% Barclays Aggregate Cumulative Annualized Relative Performance Over/Under Performance

net of fees

78 Hedge Funds

79 Employees' Retirement System of the City of Baton Rouge Magnitude September 30, 2019

Comparative Performance

9.0 7.8 6.8

6.0 5.2 4.8 4.4 4.0 3.9 3.2 3.2 2.7 ) 3.0 2.3 %

( 2.0 n

r 1.3 u t 0.5 e

R 0.0 0.0 -0.3 -0.9 -1.9 -3.0

-4.0

-6.0 3 Month CYTD 1 Year 3 Year 5 Year 7 Year 10 Year 2018 2017 2016

Magnitude HFRI Fund of Funds Composite Index

Growth of $1 - Since Inception (03/01/12) Relative Performance vs. HFRI Fund of Funds Composite Index

1.60 12.00

9.00

1.40

6.00 ) % ( n

1.20 r 3.00 u t e R

0.00

1.00

-3.00

0.80 -6.00 2/12 11/12 8/13 5/14 2/15 11/15 8/16 5/17 2/18 11/18 9/19 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19

Magnitude HFRI Fund of Funds Composite Index Cumulative Annualized Relative Performance Over/Under Performance

net of fees

80 Real Assets

81 Employees' Retirement System of the City of Baton Rouge Harvest MLP September 30, 2019

Peer Group Analysis - Master Limited Partnerships (SA+CF)

50.0

35.0

20.0 n r u

t 5.0 e R

-10.0

-25.0

-40.0

3 Month CYTD 1 Year 3 Year 5 Year 7 Year 10 Year 2018 2017 2016 ˜ Harvest MLP -5.05 (70) 14.58 (24) -9.04 (67) -1.22 (50) -5.71 (24) - - -13.00 (26) -4.97 (53) 20.06 (73) p S&P MLP Total Return Index -4.04 (40) 13.28 (41) -6.88 (51) -0.80 (40) -8.02 (69) 0.15 (78) 7.08 (83) -11.67 (7) -5.58 (62) 21.95 (68)

Median -4.60 12.62 -6.84 -1.22 -6.76 1.94 9.71 -13.48 -4.94 25.56

Growth of $1 - Since Inception (08/01/14) Relative Performance vs. S&P MLP Total Return Index

1.40 20.00

1.20 15.00

1.00 10.00 ) % ( n

0.80 r 5.00 u t e R

0.60 0.00

0.40 -5.00

0.20 -10.00 7/14 1/15 7/15 1/16 7/16 1/17 7/17 1/18 7/18 1/19 9/19 10/14 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 9/19

Harvest MLP S&P MLP Total Return Index Cumulative Annualized Relative Performance Over/Under Performance

gross of fees

82 HARVEST FUND ADVISORS: MLP Model Portfolio Quarter Ending: September 30, 2019

General Strategy Information Energy Type Allocation (% of Portfolio) Market Cap. Allocation (% of Port.)

Account Type Separate Account 55% 90.0%

Strategy Inception Date 5/1/2008 50% Portfolio 80.0% Portfolio L/T Return Objective 10‐15% 45% Alerian Index Alerian Index 70.0% Strategy AUM ($) $9,900,000,000 40% 35% 60.0%

Fund Summary 30% 50.0% 25% Quarter‐Beginning NAV $6,967,514,012 40.0% 20% Quarter‐Ending NAV $6,670,226,663 30.0% 15% Since Inception Annualized RoR 9.3% 20.0% 10% 75 bps for accounts < $100M; 5 bp less 5% 10.0% Fee Schedule for every $50M over this threshhold 0% 0.0% Shipping Coal E&P Propane Other Gath. / Natural Gas Refined / <$0.5 B $0.5 $1.0 $5.0 >$10.0 B Proc. Oil ‐ $1.0 B ‐ $5.0 B ‐ $10.0 B

Fund Characteristics Performance (%, gross of fees) Quarterly Portfolio Sector Perf Portfolio Alerian Index Portfolio (gross) Alerian MLP Index Return % Port # of Securities 28 36 Income Apprec Total Income Apprec Total Best Three Wtd. Average Yield 7.4% 8.6% Quarter 1.9% ‐6.8% ‐4.9% 1.9% ‐6.9% ‐5.0% Other 8.3% 1.7% Distribution Growth (last 12 mo.) 4.9% 5.8% YTD 5.1% 9.6% 14.7% 6.5% 4.6% 11.1% Propane 0.0% 0.0% Annual Turnover Rate 28.4% 0.0% 1‐Year 7.2% ‐16.1% ‐8.9% 7.1% ‐15.2% ‐8.1% G&P ‐0.3% 17.1% Wtd. Avg. Market Cap ($M) $30,126 $18,453 3‐Years 7.2% ‐8.3% ‐1.1% 7.2% ‐9.6% ‐2.5% Worst Three Smallest Market Cap ($M) $934 $176 5‐Years 6.9% ‐12.5% ‐5.6% 6.6% ‐15.2% ‐8.6% E&P ‐41.8% 0.4% 3‐Year Sharpe Ratio ‐0.1 ‐0.15 Oil & R/P ‐2.2% 33.4% Ten Largest Holdings Natural Gas ‐1.6% 47.5% Contact Information MLP Name Mkt Cap ($M) % of Portfolio Yield Portfolio Manager Eric Conklin Enterprise Products $62,562 15.6% 6.2% Quarterly Portfolio Security Perf PM Tenure July 2006 Energy Transfer $34,361 15.0% 9.3% Return % Port Address 100 West Lancaster Avenue Plains All American $15,107 9.1% 6.9% Best Three Wayne, PA 19087 Global X $29,612 8.3% 9.5%Marathon Petro 10.3% 0.7% Phone 610.293.7849 Targa Resources $9,351 5.4% 9.1%NuStar Energy 6.3% 3.5% Email [email protected] Williams Companies $29,161 5.3% 6.3%ONEOK Inc 6.0% 2.2% Enbridge Inc $70,998 4.3% 6.3% Worst Three General Firm Information Kinder Morgan $46,657 4.0% 4.9%Antero Resources ‐41.8% 0.4% Founded 2005 Cheniere Energy $16,193 4.0% 0.0%Antero Midstream ‐32.4% 1.8% AUM $10,400,000,000 NuStar Energy $3,052 3.5% 8.5%Noble Midstream ‐23.3% 0.5%

83 Appendix

84 Benchmark Composition Historical Hybrid Composition Police Total Fund Policy Index (%) (%) Jan-2017 Dec-1990 Russell 3000 Index 20.0 S&P 500 33.0 MSCI AC World ex USA (Net) 20.0 Russell 2000 Value Index 16.0 Blmbg. Barc. U.S. Aggregate 42.5 MSCI EAFE Index (Net) 16.0 HFRI Fund of Funds Composite Index 5.0 Blmbg. Barc. U.S. Aggregate 35.0 S&P MLP Total Return Index 5.0 FTSE 3 Month T-Bill 2.5 60% MSCI ACWI (Net)/ 40% Barclays Aggregate 5.0

Jul-2014 Russell 3000 Index 22.5 MSCI AC World ex USA (Net) 22.5 Blmbg. Barc. U.S. Aggregate 42.5 HFRI Fund of Funds Composite Index 5.0 S&P MLP Total Return Index 5.0 FTSE 3 Month T-Bill 2.5

Apr-2012 Russell 3000 Index 30.0 MSCI AC World ex USA (Net) 30.0 Blmbg. Barc. U.S. Aggregate 30.0 HFRI Fund of Funds Composite Index 5.0 FTSE 3 Month T-Bill 5.0

Jan-2011 Russell 3000 Index 32.5 MSCI AC World ex USA (Net) 32.5 Blmbg. Barc. U.S. Aggregate 30.0 FTSE 3 Month T-Bill 5.0

Aug-2006 Russell 3000 Index 40.0 MSCI EAFE Index (Net) 25.0 Blmbg. Barc. U.S. Aggregate 30.0 FTSE 3 Month T-Bill 5.0

85 Report Statistics Definitions and Descriptions

Active Return - Arithmetic difference between the manager’s performance and the designated benchmark return over a specified time period.

Alpha - A measure of the difference between a portfolio's actual performance and its expected return based on its level of risk as determined by beta. It determines the portfolio's non-systemic return, or its historical performance not explained by movements of the market.

Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of the portfolio's systematic risk.

Consistency - The percentage of quarters that a product achieved a rate of return higher than that of its benchmark. Higher consistency indicates the manager has contributed more to the product’s performance.

Distributed to Paid In (DPI) - The ratio of money distributed to Limited Partners by the fund, relative to contributions. It is calculated by dividing cumulative distributions by paid in capital. This multiple shows the investor how much money they got back. It is a good measure for evaluating a fund later in its life because there are more distributions to measure against.

Down Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of negative returns. A lower value indicates better product performance

Downside Risk - A measure similar to standard deviation that utilizes only the negative movements of the return series. It is calculated by taking the standard deviation of the negative quarterly set of returns. A higher factor is indicative of a riskier product.

Excess Return - Arithmetic difference between the manager’s performance and the risk-free return over a specified time period.

Excess Risk - A measure of the standard deviation of a portfolio's performance relative to the risk free return.

Information Ratio - This calculates the value-added contribution of the manager and is derived by dividing the active rate of return of the portfolio by the tracking error. The higher the Information Ratio, the more the manager has added value to the portfolio.

Public Market Equivalent (PME) - Designs a set of analyses used in the Private Equity Industry to evaluate the performance of a Private Equity Fund against a public benchmark or index.

R-Squared - The percentage of a portfolio's performance that can be explained by the behavior of the appropriate benchmark. A high R-Squared means the portfolio's performance has historically moved in the same direction as the appropriate benchmark.

Return - Compounded rate of return for the period.

Sharpe Ratio - Represents the excess rate of return over the risk free return divided by the standard deviation of the excess return. The result is an absolute rate of return per unit of risk. A higher value demonstrates better historical risk-adjusted performance.

Standard Deviation - A statistical measure of the range of a portfolio's performance. It represents the variability of returns around the average return over a specified time period.

Total Value to Paid In (TVPI) - The ratio of the current value of remaining investments within a fund, plus the total value of all distributions to date, relative to the total amount of capital paid into the fund to date. It is a good measure of performance before the end of a fund’s life

Tracking Error - This is a measure of the standard deviation of a portfolio's returns in relation to the performance of its designated market benchmark.

Treynor Ratio - Similar to Sharpe ratio but utilizes beta rather than excess risk as determined by standard deviation. It is calculated by taking the excess rate of return above the risk free rate divided by beta to derive the absolute rate of return per unit of risk. A higher value indicates a product has achieved better historical risk-adjusted performance.

Up Market Capture - The ratio of average portfolio performance over the designated benchmark during periods of positive returns. A higher value indicates better product performance.

86

Disclosures

AndCo compiled this report for the sole use of the client for which it was prepared. AndCo is responsible for evaluating the performance results of the Total Fund along with the investment advisors by comparing their performance with indices and other related peer universe data that is deemed appropriate. AndCo uses the results from this evaluation to make observations and recommendations to the client.

AndCo uses time-weighted calculations which are founded on standards recommended by the CFA Institute. The calculations and values shown are based on information that is received from custodians. AndCo analyzes transactions as indicated on the custodian statements and reviews the custodial market values of the portfolio. As a result, this provides AndCo with a reasonable basis that the investment information presented is free from material misstatement. This methodology of evaluating and measuring performance provides AndCo with a practical foundation for our observations and recommendations. Nothing came to our attention that would cause AndCo to believe that the information presented is significantly misstated.

This performance report is based on data obtained by the client’s custodian(s), investment fund administrator, or other sources believed to be reliable. While these sources are believed to be reliable, the data providers are responsible for the accuracy and completeness of their statements. Clients are encouraged to compare the records of their custodian(s) to ensure this report fairly and accurately reflects their various asset positions.

The strategies listed may not be suitable for all investors. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. Past performance is not an indication of future performance. Any information contained in this report is for informational purposes only and should not be construed to be an offer to buy or sell any securities, investment consulting, or investment management services.

Additional information included in this document may contain data provided by from index databases, public economic sources and the managers themselves.

This document may contain data provided by Bloomberg Barclays. Bloomberg Barclays Index data provided by way of Barclays Live.

This document may contain data provided by Standard and Poor’s. Nothing contained within any document, advertisement or presentation from S&P Indices constitutes an offer of services in jurisdictions where S&P Indices does not have the necessary licenses. All information provided by S&P Indices is impersonal and is not tailored to the needs of any person, entity or group of persons. Any returns or performance provided within any document is provided for illustrative purposes only and does not demonstrate actual performance. Past performance is not a guarantee of future investment results.

This document may contain data provided by MSCI, Inc. Copyright MSCI, 2017. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used to create any financial instruments or products or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire risk of any use it may make or permit to be made of this information. Neither MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information makes any express or implied warranties or representations with respect to such information or the results to be obtained by the use thereof, and MSCI, its affiliates and each such other person hereby expressly disclaim all warranties (including, without limitation, all warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling, computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits) even if notified of, or if it might otherwise have anticipated, the possibility of such damages.

This document may contain data provided by Russell Investment Group. Russell Investment Group is the source owner of the data contained or reflected in this material and all trademarks and copyrights related thereto. The material may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is a user presentation of the data. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof.

This document may contain data provided by Morningstar. All rights reserved. Use of this content requires expert knowledge. It is to be used by specialist institutions only. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied, adapted or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information, except where such damages or losses cannot be limited or excluded by law in your jurisdiction. Past financial performance is not guarantee of future results.

87