Cambridge Retirement Board Analysis of Investment Performance Period Ending June 30, 2021

Rafik Ghazarian, Vice President

© 2021 by The Segal Group, Inc. Segal Marco Advisors Financial Market Conditions Q2 2021 In Review

Summary of Investment Returns

QTD 1-Year 60%

44.2% 45.6% 45% 39.0% 40.9% 32.4% 30% 21.6% 18.2% 13.3% 15% 7.7% 8.2% 8.8% 5.2% 5.1% 4.4% 7.2% 1.8% 0.5% 3.1% 2.8% 0% -0.3% -15% World Equities* U.S. Equities International EM U.S. Fixed International Commodities Real Estate Private Equity** Hedge Fund of Equities* Equities* Income Fixed Income Funds Quarterly Synopsis

• World equity markets rose in Q2. Worldwide economic reopenings helped power stocks higher. • U.S. equity was solidly positive. The U.S. economy picked up speed in Q2, as vaccinations continued to rise and businesses reopened. • International equities also rose, but more moderately than the US as some European countries were slower to reopen. • Emerging market equity increased as hopes for global growth grew. A weaker USD also helped. • U.S. fixed income rose. Longer-term yields were lower as economic activity in the U.S. rebounded. • Non-U.S. fixed income eked out a gain. A weaker USD helped unhedged non-US debt. • Hedge funds increased. Equity hedge strategies performed best in the quarter. • Commodities posted a strong gain amid high global demand.

* Net Dividends Reinvested ** Performance as of Q4 2020 because more recent performance data is not yet available. Sources: Investment Metrics, Thomson One, FactSet

1 Q2 2021 Index Returns

Asset Class Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

World Equity MSCI World1 7.74 13.05 39.04 14.99 14.83 10.65

U.S. Equity Russell 3000 8.24 15.11 44.16 18.73 17.89 14.70

Non-U.S. Equity MSCI EAFE1 5.17 8.83 32.35 8.27 10.28 5.89

Emerging Market Equity MSCI EM1 5.05 7.45 40.90 11.27 13.03 4.28

Bloomberg Barclays U.S. U.S. Fixed Income Aggregate 1.83 -1.60 -0.33 5.34 3.03 3.39 FTSE2 Non-U.S. WGBI Non-U.S. Fixed Income (Unhedged) 0.45 -6.00 3.06 2.81 1.28 0.79 Bloomberg Commodity Commodities Index 13.30 21.15 45.61 3.90 2.40 -4.44

Real Estate NFI-ODCE3 4.39 6.74 8.81 6.06 6.97 9.79

Thomson Reuters US Private Equity Private Equity4 7.2 21.6 21.6 19.4 17.0 14.4 HFRI Fund of Funds Hedge Funds Composite 2.8 4.9 18.2 6.3 6.1 3.8

1 Net Dividends Reinvested 2 Formerly Citigroup Non-U.S. WGBI. Citigroup’s fixed income indices were purchased by London Stock Exchange Group (LSEG) and were all rebranded to FTSE by July 31, 2018. FTSE Russell is a unit of LSEG’s Information Services Division and a wholly owned subsidiary of LSEG. 3 NCREIF Fund Index (NFI) – Open End Diversified Core Equity (ODCE) 4 Performance as of Q4 2020 because more recent performance data is not yet available. Sources: Investment Metrics, Thomson One, FactSet

2 Q2 2021 Index Returns Equity Indices QTD YTD 1-Year 3-Year 5-Year 10-Year S&P 500® 8.55 15.25 40.79 18.67 17.65 14.84 Russell 1000 8.54 14.95 43.07 19.16 17.99 14.90 Russell 1000 Growth 11.93 12.99 42.50 25.14 23.66 17.87 Russell 1000 Value 5.21 17.05 43.68 12.42 11.87 11.61 Russell 2000 4.29 17.54 62.03 13.52 16.47 12.34 Russell 2000 Growth 3.92 8.98 51.36 15.94 18.76 13.52 Russell 2000 Value 4.56 26.69 73.28 10.27 13.62 10.85 Russell 3000 8.24 15.11 44.16 18.73 17.89 14.70 MSCI EAFE* 5.17 8.83 32.35 8.27 10.28 5.89 MSCI World* 7.74 13.05 39.04 14.99 14.83 10.65 MSCI EM* 5.05 7.45 40.90 11.27 13.03 4.28

Fixed-Income Indices QTD YTD 1-Year 3-Year 5-Year 10-Year Blbg Bar U.S. Aggregate 1.83 -1.60 -0.33 5.34 3.03 3.39 Blbg Bar U.S. Govt/Credit 2.42 -1.96 -0.39 5.95 3.31 3.71 Blbg Bar U.S. Intermediate Govt/Credit 0.98 -0.90 0.19 4.70 2.63 2.76 Blbg Bar U.S. L/T Govt/Credit 6.44 -4.64 -1.86 9.92 5.45 7.30 Blbg Bar U.S. Government 1.71 -2.51 -3.10 4.66 2.19 2.78 Blbg Bar U.S. Credit 3.32 -1.28 2.99 7.42 4.63 4.92 Blbg Bar U.S. Mortgage-Backed Securities 0.33 -0.77 -0.42 3.78 2.27 2.65 Blbg Bar U.S. Corporate High Yield 2.74 3.62 15.37 7.45 7.48 6.66 FTSE Non-U.S. WGBI (Unhedged)*** 0.45 -6.00 3.06 2.81 1.28 0.79 FTSE 3-Month T-Bill*** 0.01 0.03 0.08 1.31 1.14 0.60

Other Indices QTD YTD 1-Year 3-Year 5-Year 10-Year Hueler Stable Value 0.43 0.90 1.98 2.29 2.16 2.05 Bloomberg Commodity 13.30 21.15 45.61 3.90 2.40 -4.44 HFRI Fund of Funds Composite 2.80 4.87 18.2 6.29 6.11 3.85 NCREIF NFI-ODCE 4.39 6.74 8.81 6.06 6.97 9.79 Thomson Reuters Private Equity** 7.2 21.6 21.6 19.4 17.0 14.4

* Net Dividends Reinvested ** Performance reported as of Q4 2020 because more recent performance data is not yet available. ***Formerly Citigroup Non-U.S. WGBI. Citigroup’s fixed income indices were purchased by London Stock Exchange Group (LSEG) and were all rebranded to FTSE by July 31, 2018. FTSE Russell is a unit of LSEG’s Information Services Division and a wholly owned subsidiary of LSEG Sources: eVestment Alliance, Hueler Analytics, Investment Metrics, Thomson One, FactSet

3 Q2 2021 In Review: U.S. Economy

GDP Growth • U.S. GDP growth rose 6.5% in Q2 over the prior quarter. YOY GDP rose 12.2%. • Growth was led by strong consumer spending and solid business investment. • Nevertheless, the level of Q2 growth fell short of economists’ forecasts, as labor shortages and supply chain issues have plagued businesses. • The emergence of the highly contagious Delta variant of the coronavirus may lead to a slower recovery than expected during the second half of 2021.

Employment Picture • The unemployment rate was 5.9% in June, a slight decline from its Q1 level. Nonfarm payrolls rose by 1.7 million over the quarter. The job market continued to recover from its COVID- related losses last year, though unemployment remains solidly above its pre-pandemic level and labor shortages persist in some sectors. • The leisure and hospitality sector gained the most in June (343k), as bars and restaurants continue to reopen. Public and private education (269k) and professional and business services (72k) were sectors where jobs grew. • Despite these gains, the U.S. remains about 6.8 million jobs short of its February 2020 level.

Source this page: FactSet

4 Q2 2021 In Review: U.S. Economy

Consumer Confidence and Spending • Sentiment rose in Q2 as consumer optimism ramped up along with COVID vaccinations. The Conference Board’s Consumer Confidence Index increased from 109.7 at the end of March to 128.9 at the end of June. • Personal consumption expenditures rose in May*.

Retail Sales U.S. Retail Sales (% 1YR) Retail Sales, Total, SA • Retail sales were up 15.6% from one year ago. (% 1YR) Retail Sales, Ex. Motor Vehicle & Parts Dealers, SA • Demand for goods was strong as the economic picture in the 60.0 U.S. continued to improve. Even as motor vehicle sales were hit 50.0 by lack of supply, demand for used cars and trucks surged. 40.0 • The bar and restaurant industry surged 40% YOY since June 2020, as many of those establishments continue to reopen. 30.0

% 20.0

10.0

0.0

-10.0

-20.0 Jun-12 Mar-13 Jun-15 Mar-16 Jun-18 Mar-19 Jun-21 *The most recent data available. Sep-11 Dec-13 Sep-14 Dec-16 Sep-17 Dec-19 Sep-20 Source this page: FactSet

5 Q2 2021 In Review: Global Economy

World GDP Growth • Eurozone GDP rose 2% quarter over quarter (QoQ), a gain after two straight quarters of contraction. Germany, France and Spain all returned to positive growth in the quarter. • China’s GDP grew at a rate of 1.3 % in Q2, as that country’s economy continues to steadily recover from a pandemic- related downturn. The country’s annual growth rate rose 7.9%. • Japan’s GDP shrank -1% QOQ in Q1**, its first contraction since Q2 2020 amid a resurgence of COVID cases and a slow vaccine rollout. • U.S. GDP rose 6.5 in Q2. Note that the figures in the graph above represent the percent change in real GDP from the previous quarter, not the annual growth rate of these economies.

Global Employment Picture • Eurozone unemployment fell to 7.7%, the lowest level since May 2020. • Germany and Netherlands had two of the lowest unemployment rates in the EU, with higher rates seen in Spain (15%) and Italy (9.7%). • Japan’s unemployment rate was 2.9% in June, the level where it has stayed for much of 2021.

*Quarter over quarter data calculations began in 2011. **Most recent data available. Source this page: FactSet

6 Q2 2021 In Review: Global Equity Overview

Equity Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

S&P 500 8.55 15.25 40.79 18.67 17.65 14.84

MSCI Europe, Australasia and Far East (EAFE)* 5.17 8.83 32.35 8.27 10.28 5.89

MSCI Emerging Markets (EM)* 5.05 7.45 40.90 11.27 13.03 4.28

All data in the table are percentages. * Net dividends reinvested

Global Equity Performance and Valuations • As Covid-19 vaccination rates climb, the global reopening remains on track. All markets experienced positive returns for the second quarter. U.S. markets led (+8.6%), followed by developed international (+5.2%) and emerging markets (+5.1%). • Equity markets have continued to show strong performance coinciding with the increasing vaccine rates. Vaccination rates for both the U.S. and U.K. are over 50%. Meanwhile, Japan has shown to be the laggard with only 15% of its population being vaccinated. There are concerns regarding new variants of Covid-19, but so far the vaccines have been effective against these as well. • Valuations, using price-to-earnings as a proxy, are down slightly in most regions. Despite the slight drop, US equities still are close to 20-year highs. UK and Canadian equities remain near their long-term

median. 10Y AVG 16.3 15.9 15.5 13.9 11.7 15.3 13.1 14.0 14.5

Data range is from 3/31/00-6/30/21. P/E ratios are forward 12 months. Source this page: FactSet

7 Q2 2021 In Review: U.S. Equity

U.S. Equity Indices QTD YTD 1-Year 3-Year 5-Year 10-Year S&P 500 8.55 15.25 40.79 18.67 17.65 14.84 Russell 1000 8.54 14.95 43.07 19.16 17.99 14.90 Russell 1000 Growth 11.93 12.99 42.50 25.14 23.66 17.87 Russell 1000 Value 5.21 17.05 43.68 12.42 11.87 11.61 Russell 2000 4.29 17.54 62.03 13.52 16.47 12.34 Russell 2000 Growth 3.92 8.98 51.36 15.94 18.76 13.52 Russell 2000 Value 4.56 26.69 73.28 10.27 13.62 10.85 Russell Midcap 7.50 16.25 49.80 16.45 15.62 13.24 Russell 3000 8.24 15.11 44.16 18.73 17.89 14.70

All data in the tables are percentages.

Performance S&P 500 Sector Returns QTD 1-Year • With US market volatility falling to its lowest level since 2019, US markets closed the first half of 2021 at record highs despite fears over Cons. Disc. 6.95 37.08 inflation and the end of the Federal Reserve stimulus. Cons. Staples 3.83 23.29 • The value recovery in large caps appeared to be short-lived as large cap growth (+11.9%) more than doubled the returns of large cap value Energy 11.30 49.38 (+5.2%). Small cap value (+4.6%) continued to beat small cap growth Financials 8.36 61.77 (+3.9%). With concerns around the economic recovery hitting a peak and outlook for future economic growth being less certain, large cap Healthcare 8.40 27.92 experienced a reversal from the previous quarters and led against small cap, as the Russell 1000 (+8.5%) outperformed the Russell 2000 (+4.3). Industrials 4.48 51.45 • Almost all sectors within the S&P saw positive returns in Q2, with IT 11.56 42.40 Utilities (-0.4%) being the exception. The Real Estate sector (+13.1%) Materials 4.97 48.51 came out the strongest after being boosted by the decline in mortgage rates. Other sectors that did well were Tech (+11.6%) and Energy Telecom 10.72 48.38 (+11.3), where restored demand for oil increased prices. Real Estate 13.09 31.88 Utilities -0.41 15.77 Sources this page: Investment Metrics, FactSet

8 Q2 2021 In Review: International Equity

MSCI International Equity Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

World ex. U.S. 5.65 9.92 33.60 8.57 10.36 5.70 EAFE 5.17 8.83 32.35 8.27 10.28 5.89 EAFE Local Currency 4.79 12.75 27.08 7.53 10.01 8.09 Europe 7.42 11.80 35.09 8.66 10.34 5.58 Europe ex U.K. 7.85 11.58 36.17 10.97 11.96 6.16 U.K. 5.97 12.52 31.29 1.90 5.70 3.68 Japan -0.28 1.28 24.84 7.24 10.19 7.15 Pacific Asia ex Japan 4.76 9.60 34.19 8.16 10.43 5.54

All data in the tables are percentages and net dividends reinvested.

Performance MSCI EAFE Sector Returns QTD 1-Year • International developed markets returned 5.7% during the second quarter, Consumer Disc. 5.47 49.83 driven by a strong rebound in economic activity throughout Europe as the Eurozone composite PMI rose to 59.2 in June, its highest level since June Cons. Staples 8.46 17.92 2006. Energy 2.74 29.12 • The UK market outperformed broad international developed indices as the country continued to reopen. However, the market fell 2.4% during the Financials 3.19 40.21 month of June as Covid-19 cases rose significantly as the Delta variant has Healthcare become more prominent. 9.30 12.32 • The Japanese market trailed other developed markets as the country Industrials 3.61 39.59 struggled to vaccinate its population. A rise in Covid-19 cases during the IT 8.31 40.21 first half of the second quarter led the government to delay lifting the country’s state of emergency until June 20. This was subsequently re- Materials 5.08 47.16 imposed in mid-July until late August. Telecom 0.27 26.07 • Healthcare (+9.3%), Consumer Staples (+8.5%) and Information Technology (+8.3%) led EAFE sectors during the quarter, while Utilities (- Utilities -1.14 12.70 1.1%) and Telecom (+0.3%) notably trailed. Real Estate 5.30 27.60

Sources this page: Investment Metrics, FactSet

9 Q2 2021 In Review: Emerging Market Equity

MSCI EM Equity Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

Emerging Markets 5.05 7.45 40.90 11.27 13.03 4.28

EM Local Currency 3.83 7.95 36.07 11.99 13.57 7.64

Asia 3.77 6.02 41.03 13.06 15.26 7.03

EMEA 7.39 16.05 37.43 5.60 7.02 -0.45

Latin America 15.01 8.89 44.92 5.05 5.89 -2.45

All data in the tables are percentages and net dividends reinvested.

MSCI EM Sector Returns QTD 1-Year Performance • Emerging markets returned 5.1% during the second quarter despite Cons. Disc. 3.56 36.82 continued concerns regarding Covid-19 and its variants. Cons. Staples 4.50 23.67 • Latin America rebounded following a negative first quarter, driven Energy 12.06 31.79 largely by a 22.9% return for Brazil as the country’s local currency, the Real, appreciated significantly against the US dollar. Financials 4.16 33.03 • Asian markets lagged the EM index as regulatory actions taken by Healthcare 14.10 32.31 the Chinese government and renewed Covid-19 lockdowns caused concern among investors and led to muted returns for the Chinese Industrials 13.17 45.15 equity markets. IT 3.84 75.79 • Healthcare (+14.1%) was the top performing sector, while more Materials 8.40 71.39 value oriented sectors such as Industrials (+13.2%) and Energy (+12.1%) followed closely behind. Real Estate (-6.0%) was the only Telecom 1.93 23.02 negative sector. Utilities 2.00 20.30 Real Estate -6.01 6.58

Sources this page: Investment Metrics, FactSet

10 Q2 2021 In Review: Fixed Income Overview

United States Treasury Yield Curve 3.0% Yield Curve

• The yield curve flattened, with modest rate increases at the front 03/31/2021 2.5% end of the curve and more dramatic declines at the tail end. 12/31/2019 06/30/2021 • Shorter-maturity yields rose, with the 1- and 6-month Treasuries 2.0% rising by 4 basis points and 1 basis point respectively over the prior quarter. The 1-year Treasury yield remained constant, while 1.5% the 2- and 3-year Treasuries ended the quarter at 0.25% and 0.46% respectively, representing a 9 basis point and 11 basis point 1.0% increase over the prior quarter. 0.5% • Yields began to fall across the curve starting at the 5-year point, with the 20-year yield showing a decrease of 31 basis points over 0.0% the prior quarter. The 30-year yield ended the quarter at 2.06%, a 35 basis point decrease over end of Q1 2021.

Monetary Policies/Global Interest Rates • Central bank deposit rates remained negative in Japan and Europe. • Despite rate cuts in 2020, the Fed continues to eschew negative rates. The U.S. policy rate hovers above those of the Eurozone and Japan, at 0-0.25%. • Rates in the U.S. remain unchanged since the prior quarter despite the decline of the pandemic.

Interest Rates Fed Funds Rate EZ Deposit Facility Rate Average 5.04 0.86 Max 20.00 3.75 Min 0.25 -0.50

Source this page: FactSet

11 Q2 2021 In Review: U.S. Fixed Income

U.S. Fixed Income Indices* QTD YTD 1-Year 3-Year 5-Year 10-Year

U.S. Aggregate 1.83 -1.60 -0.33 5.34 3.03 3.39 Government/Credit 2.42 -1.96 -0.39 5.95 3.31 3.71 Government 1.71 -2.51 -3.10 4.66 2.19 2.78 Investment Grade Corporate 3.55 -1.27 3.30 7.79 4.90 5.17 Investment Grade CMBS 1.92 -0.22 2.94 5.92 3.51 4.08 U.S. Corporate High Yield 2.74 3.62 15.37 7.45 7.48 6.66 FTSE** 3-Month T-Bill 0.01 0.03 0.08 1.31 1.14 0.60 Hueler Stable Value 0.55 1.73 2.37 2.34 2.14 2.13 * Bloomberg Barclays Indices, unless otherwise noted. ** Formerly Citigroup. Citigroup’s fixed income indices were purchased by London Stock Exchange Group (LSEG) and were rebranded to FTSE by July 31, 2018. FTSE Russell is a unit of LSEG’s Information Services Division and a wholly owned subsidiary of LSEG. All data in the table are percentages.

Performance and Spreads • The U.S. Aggregate Index was positive in Q2 across all sectors. • IG Corporates had the strongest sector performance of 3.55% followed by U.S. High Yield at 2.74% and Government/Credit at 2.42%. The 3-month T-Bill experienced the weakest performance in Q2 at 0.01%. • Domestic fixed income spreads tightened across all sectors relative to the prior quarter except for MBS, with U.S. High Yield showing the largest decrease.

Sources this page: Investment Metrics, Hueler Analytics, FactSet Data range is from 9/29/00-6/30/21

12 Q2 2021 In Review: International Fixed Income

Global Fixed Income Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

Bloomberg Barclays Global Aggregate 1.31 -3.21 2.63 4.23 2.34 2.05 Bloomberg Barclays Global Aggregate (Hgd) 0.98 -1.52 0.08 4.59 2.98 3.87 FTSE Non-U.S. WGBI* 0.45 -6.00 3.06 2.81 1.28 0.79

FTSE Non-U.S. WGBI (Hgd) 0.08 -2.31 -0.45 3.96 2.69 4.25

JPM EMBI Global Diversified** 4.06 -0.66 7.53 6.71 4.86 5.65

JPM GBI-EM Global Diversified*** 3.54 -3.38 6.57 4.12 3.25 0.47

All data in the table are percentages. * Formerly Citigroup. The FTSE Non-U.S. World Government Bond Index (WGBI) measures the performance of fixed-rate, local currency, investment grade sovereign bonds excluding the U.S. ** The JP Morgan Emerging Market Bond Index (EMBI) Global Diversified index measures government bonds in hard currencies. *** The JP Morgan Government Bond Index – Emerging Markets (GBI-EM) Global Diversified index measures government bonds in local currencies.

Global Performance and Yields • Government yields rose in Q2 in the U.S., Japan, UK, and Canada. • Central banks globally have implemented more stimulus measures as economic consequences of the pandemic linger. Interest rates remain low worldwide. • The U.S. dollar depreciated relative to the yen, euro, and British pound. • Positive returns in Q2 for emerging markets were insufficient to recover from Q1, with returns remaining negative on a YTD basis.

Sources this page: FactSet, Investment Metrics

13 Q2 2021 In Review: Absolute Return Strategies

HFRI Indices QTD YTD 1-Year 3-Year 5-Year 10-Year

Fund of Funds Composite 2.8 4.9 18.2 6.3 6.1 3.8

Fund Weighted Composite 4.1 10.1 27.5 8.7 7.9 5.1

Event Driven 3.8 11.6 30.0 7.9 8.3 5.5

Equity Hedge 5.1 12.3 36.9 11.4 10.9 6.5

Macro 3.7 8.0 14.6 5.8 3.2 2.0

Emerging Markets 6.4 9.9 29.6 8.6 9.0 4.1

Relative Value 2.4 6.2 15.1 4.9 5.3 4.7

Hedge Fund Performance HFR Fund Weighted and Fund of Funds Composite • The HFRI Fund Weighted Composite Index gained 4.1% in Q2. Funds focused on Growth of $100 | January 2008 - June 2021 emerging markets were the strongest performers (up 6.4% in Q2), although Equity Hedge was the strongest performing strategy (up 5.1% in Q2). Relative Value 60% MSCI ACWI-GD/40% Bloomberg Barclays Global Agg funds were the weakest performers, albeit posting a positive result (up 2.4% in Q2). FOF Composite Fund Weighted Composite • In regards to emerging markets, funds focused on investing in India led peers, $250 posting a return of over 15% in the quarter. Funds focused on Russia/Eastern Europe and Latin America posted strong results as well. $200 • Within Equity Hedge, funds focused on investing across the energy and basic materials sectors were the strongest performers. Funds focused on investing in healthcare posted the weakest results. $150

• Fixed Income Convertible Arbitrage-focused funds posted the weakest results $100 within Relative Value, up less than one percent in the quarter. The RV category experienced relatively muted performance across the board with the exception of yield-alternative focused strategies, which seek to capitalize on spread $50 opportunities through primarily non-fixed income securities. $0 • The Fund of Funds Composite Index gained 2.8% in Q2. The peer group underperformed the 60% MSCI ACWI / 40% Bloomberg Barclays Global Aggregate Jun-08 Jun-09 Jun-10 Jun-11 Jun-12 Jun-13 Jun-14 Jun-15 Jun-16 Jun-17 Jun-18 Jun-19 Jun-20 Jun-21 blended index, which gained 5.0%. Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17 Dec-18 Dec-19 Dec-20

Sources this page: eVestment

14 Q2 2021 In Review: Private Equity

Performance Private Equity Performance by Investment Horizon and Vintage Year All PE Venture Capital Buyout • The total return for private equity funds, comprising performance 50.0% across all strategies, was 21.6% over the 1-year period ending Q4 40.0% 2020. 30.0% • The 3- , 5-, 10-, and 20-year returns for US private equity funds were 20.0% 19.4%, 17.0%, 14.4% and 11.0%, respectively, as of 12/31/2020. 10.0% • There was a slight pull back in performance during the first quarter of 0.0% 2020 due to the pandemic, but private equity managers continued to 1 Yr. 3 Yr. 5 Yr. 10 Yr. 20 Yr. 2019 2018 2017 2016 2015 perform in the fourth quarter. Recent vintages of venture capital Performance is pooled IRR of the peer group as reported by ThomsonOne/Cambridge Associates. All PE managers continue to outperform buyout and growth managers. includes BO, VC, Growth, Fund of Funds, and Secondary funds.

Global Quarterly Private Equity Fundraising, Q1 2016 – Q2 2021

Fundraising 1000 350 Capital Aggregate

800 300 ($bn) Raised • 250 Globally, private equity funds raised approximately $241.5 billion 600 200 across 510 funds in Q2 2021. It is below the average number of funds 400 150 over the past 21 quarters. 100 200 50 • As of July 2021, there were 5,248 private equity funds raising capital 0 0 targeting an aggregate $899 billion. Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2

No. of Funds Closed No. of Funds 2016 2017 2018 2019 2020 2021

No. of Funds Closed Aggregate Capital Raised ($bn)

Global Private Equity Exits Exit Activity Buyout Exit Value VC Exit Value No. of Buyout Exits No. of VC Exits 200 600 • Both buyout and venture activity and value saw a dramatic rebound in 150 3Q and 4Q 2020 while tapering off in Q1 and Q2 2021. 400 100 ($bn)

• The value of exits increased quarter over quarter for buyouts and Exits of No. 200 50 venture. The number of buyout exits stayed stable, while the number 0 0 of VC exits decreased. Deal Value Aggregate

Sources this page: Thomson Reuters, Preqin. All data is as of the latest available. Performance data was final as of 12/31/20 and fundraising and exit data as of Q2 2021.

15 Q2 2021 In Review: Real Estate

NCREIF Fund Index (NFI) Open-End Diversified Core Real Estate Performance* (ODCE) Real Estate Performance1 • NFI-ODCE returned 3.93% (Gross) for the quarter, while the NCREIF-NPI returned 3.59% and the NAREIT Equity REIT Index Income Appreciation returned 12.03%. 10.0% • Income for the NFI-ODCE was 98 bps for the quarter. Appreciation of assets accounted for 294 bps return1. • In the U.S., for the second quarter of 2021 retail sector appreciation was -0.24%, apartment sector appreciation was 2.71%, office sector 5.0% appreciation was 0.31% and industrial sector appreciation was 7.81%. For the same time period, retail sector income was 1.14%, apartment sector income was 0.92%, office sector income was 1.12% and industrial sector income was 1.06%.

• In the U.S., the return for the second quarter of 2021 by region was: 0.0% East (2.70%), Midwest (3.02%), South (3.83%) and West (4.28%). 2Q '21 1-Year 3-Year 5-Year 10-Year

The NFI-ODCE (Open-end Diversified Core Equity) is defined by NCREIF as a fund-level cap-weighted, gross of fee, time-weighted return index with an inception date of December 31, 1977. 1. The sum of income and appreciation returns may not equal total return due to rounding and/or the compounding of individual component returns to each other.

Real Estate Capitalization Rates* vs. Treasuries Capitalization Rates & 10-Year U.S. Treasury Rates • Cap rates compressed 1 basis point in the second quarter to 4.02%, and operating income improved, and was positive in the quarter at 6.0% 1.37%. 5.0% • The 10-year Treasury averaged 1.59% in the second quarter, and ended the quarter at 1.45%. As a result, the Q2 2021 spread 4.0% between the 10-year Treasury rate and cap-rates at the end of the 3.0% second quarter expanded 33 bps from the previous quarter to 257 bps. 2.0% 1.0%

*A cap rate is the potential rate of return on a real estate investment. Assuming no change in net operating income, real estate 0.0% valuations rise when cap rates fall. Comparing cap rates to the10-year U.S. Treasury provides investors with an estimated spreadfor 2011 2013 2015 2017 2019 2Q'2021 expected returns from real estate (higher risk) vs. fixed rate bond (lower risk) investments. NFI-ODCE returns are preliminary performance. NCREIF-NPI Cap Rate 10-Year Treasury Rate Sources this page: NCREIF, NPI, FRED Economic Data (Federal Reserve Bank of St Louis) 1. The sum of income and appreciation returns may not equal total return due to rounding and/or the compounding of individual component returns to each other.

16 Q2 2021 In Review: Infrastructure Performance Burgiss Infrastructure Performance by Investment Horizon and Region • The total return for U.S. private infrastructure funds was 1.5% in Q3 2020* and 2.5% over the 1-year period ending 9/30/2020. 15.0% • On a relative basis, U.S. private infrastructure had the weakest returns 10.0% in the third quarter (1.5%) while European funds posted a strong positive return of 5.1% and the global composite return was 2.6% in 5.0% Q3. • 0.0% The 3-, 5-, 10-, 15-, and 20-year returns for U.S. private infrastructure 3Q 2020 1 Yr. 3 Yr. 5 Yr. 10 Yr. 15 Yr. 20 Yr. funds were 1.8%, 3.3%, 6.0%, 5.6%, 5.9%, respectively, at the end of -5.0% Q3 2020. • Public infrastructure registered a 2.2% return in Q3 2020 and -11.0% -10.0% YTD, as per the FTSE Global Core Infrastructure 50/50 Index. Trailing 1-, 3-, 5-year returns are -7.6%, 3.5% and 7.7%, respectively, Global U.S. Europe with trailing volatility of 27.7%, 17.1%, and 14.2%.

Fundraising Global Quarterly Unlisted Infrastructure Fundraising, Q1 2016 - Q1 2021 Aggregate Capital Raised

• Fundraising fell 15% in 2020 relative to 2019. 50 50 40 40 • In Q1 of 2021, six funds closed above $1bn in fund size, with a strong 30 30 ($bn) focus in Europe raising just shy of $9bn relative to North Americas 20 20 $3bn. 10 10 0 0 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 • Funds continue to have longer duration fundraises as the proportion of Closed No. of Funds funds taking 19 months or longer to close in 2020 increased by 27 2016 2017 2018 2019 2020 2021 percent when compared to 2019. No. of Funds Closed Aggregate Capital Raised ($bn) Deal Activity Global Quarterly Infrastructure Deals, Q1 2016 - Q1 2021 Aggregate Deal Value ($bn) • The asset class showed its resilience in Q4, with deal activity 1,200 250 rebounding to its pre-pandemic levels. 1,000 200 800 • 2020 exemplified that more established markets are better equipped 150 at handling market disruptions as Europe maintained momentum of 600 100 deal flow, increasing its share of 38% in 2019 to 41% of deals in 2020 400 No. of Deals whereas Asia and ROW saw a 25% drop in 2019 and 2020. 200 50 • Telecom had the strongest demand growth, doubling its average 0 0 share of quarterly deal growth (from 4% to 9%) as the pandemic Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 continues to keep workers remote. 2016 2017 2018 2019 2020 2021 No. of Deals Aggregate Deal Value ($bn)

*Most recent data available from Burgiss PrivateI as of 3Q 2020. Preliminary returns Source: Preqin

17 Q2 2021 In Review: Commodities and Currencies

BCOM Indices QTD YTD 1-Year 3-Year 5-Year 10-Year Bloomberg Commodity Index (BCOM) 13.30 21.15 45.61 3.90 2.40 -4.44

Energy 23.23 44.58 54.19 -10.49 -3.80 -12.22

Agriculture 12.77 20.44 63.57 10.56 0.38 -3.13

Industrial Metals 9.41 17.60 49.37 7.56 10.99 -1.62

Precious Metals 3.93 -5.70 4.11 11.65 4.80 -0.46

Livestock -1.46 8.83 26.91 -6.72 -4.88 -4.02

Commodity and Currency Highlights • The Bloomberg Commodity Index surged in Q2 2021. Energy (+23.2%) made the biggest gain. Prices for Brent crude and gasoline rose with higher global demand. • Agriculture (+12.8%) and industrial metals (+9.4%) also rose. Agriculture was higher with prices for sugar and coffee rising in the quarter. Industrial metals were up on strong performance by aluminum and nickel. • The US dollar was lower in Q2 and depreciated relative to the euro, yen and British pound.

Source this page: FactSet

18 Total Fund Composite

19 Cambridge Contributory Retirement System Asset Allocation Comparison as of June 30, 2021

TARGET ALLOCATIONS CURRENT ALLOCATIONS DIFF.

EQUITIES TARGET RhumbLine - Russell 1000* 22.75% $392,904,984 BNY Mellon - Russell 2000 8.42% $145,382,652 Cambridge Bancorp 1.23% $21,240,793 Domestic Equity 28.00% $483,489,616 Domestic Equity 32.40% $559,528,429 4.40%

RBC Global Asset Mgmt - International Equity 3.12% $53,957,335 RhumbLine - EAFE Index 6.52% $112,613,684 International Equity 10.00% $172,674,863 International Equity 9.65% $166,571,019 -0.35%

Lazard Asset Management 3.64% $62,912,708 Aberdeen 5.77% $99,667,423 BNY Mellon - EM Index 1.18% $20,337,402 Emerging Equity Market 10.00% $172,674,863 Emerging Equity Market 10.59% $182,917,533 0.59%

EQUITIES TOTAL 48.00% $828,839,342 EQUITIES TOTAL 52.64% $909,016,981 4.64%

FIXED INCOME Fidelity 2.93% $50,623,487 Income Research Management 2.69% $46,431,585 Garcia Hamilton 0.00% $0 pending contract Core Fixed Income 7.00% $120,872,404 Core Fixed Income 5.62% $97,055,072 -1.38%

Loomis 4.15% $71,745,980 High Yield Fixed Income 4.00% $69,069,945 High Yield Fixed Income 4.15% $71,745,980 0.15%

Brandywine 2.97% $51,228,171 International Fixed Income 3.00% $51,802,459 International Fixed Income 2.97% $51,228,171 -0.03%

Fidelity 1.20% $20,779,366 Wellington 1.16% $19,978,970 Emerging Markets Debt 3.00% $51,802,459 Emerging Markets Debt 2.36% $40,758,336 -0.64%

Pinebridge 2.52% $43,558,386 Bank Loans 3.00% $51,802,459 Bank Loans 2.52% $43,558,386 -0.48%

FIXED INCOME TOTAL 20.00% $345,349,726 FIXED INCOME TOTAL 17.63% $304,345,945 -2.37%

20 Cambridge Contributory Retirement System Asset Allocation Comparison as of June 30, 2021

REAL ESTATE Committed Contributions Distributions UBS Trumbull Property Fund 3.32% $57,374,659 JP Morgan SPF 2.28% $39,289,138 Intercontinental US REIF 2.24% $38,708,651 Rockwood IX1 $18,000,000 $16,583,722 $18,655,920 0.20% $3,476,490 Landmark Real Estate Fund VI2 $5,500,000 $4,842,191 $7,248,999 0.01% $225,086 Penn Square Global RE Fund II1 $5,500,000 $3,355,000 $5,647,641 0.02% $346,375 REAL ESTATE TOTAL 11.00% $189,942,349 REAL ESTATE TOTAL 8.07% $139,420,399 -2.93%

ALTERNATIVE INVESTMENTS Committed Contributions Distributions Ascent Venture III2 $5,000,000 $4,650,000 $5,779,896 0.00% $236 Ascent Venture IV1 $3,000,000 $3,000,000 $501,166 0.00% $10,505 Ascent Ventures V1 $5,000,000 $4,850,000 $3,202,048 0.24% $4,199,976 BlackRock Diversified II PE1 $10,000,000 $9,086,249 $16,433,445 0.02% $371,340 BlackRock Diversified V PE2 $6,500,000 $5,321,268 $1,938,892 0.41% $7,061,106 Hamilton Lane VI2 $10,000,000 $8,991,511 $12,468,291 0.09% $1,542,165 Hamilton Lane VIII2 $6,500,000 $4,985,732 $2,114,777 0.27% $4,612,992 Landmark Equity Partners XV2 $10,000,000 $8,027,332 $6,422,530 0.27% $4,718,554 Lexington Capital VIII2 $20,000,000 $18,292,948 $13,543,998 0.83% $14,390,101 PRIM Private Equity 2015 $33,000,000 $31,530,215 $18,803,312 3.22% $55,516,054 PRIM Private Equity 2016 $22,000,000 $18,555,888 $5,673,914 1.44% $24,921,563 PRIM Private Equity 2017 $40,000,000 $27,449,836 $3,380,122 2.20% $38,074,258 PRIM Private Equity 2018 $32,000,000 $20,761,208 $2,541,705 1.48% $25,630,823 PRIM Private Equity 2019 $28,000,000 $14,168,031 $2,202,681 1.02% $17,557,976 PRIM Private Equity 2020 $45,000,000 $6,236,242 $34,660 0.43% $7,501,058 PRIM Private Equity 2021 $30,000,000 $2,206,599 $0 0.13% $2,177,247 Private Eq/Venture 10.00% $172,674,863 Private Eq/Venture $306,000,000 $188,113,059 $95,041,437 12.06% $208,285,954 2.06%

PRIM Hedge Fund 3.82% $65,934,126 Hedge Fund 5.00% $86,337,431 Hedge Fund 3.82% $65,934,126 -1.18%

ALTERNATIVE TOTAL 15.00% $259,012,294 ALTERNATIVE TOTAL 15.88% $274,220,080 0.88%

IFM 3.77% $65,138,025 Infrastructure 3.00% $51,802,459 Infrastructure 3.77% $65,138,025 0.77%

Hancock Timberland X2 $6,000,000 $6,000,000 $2,137,251 0.51% $8,791,084 Hancock Timber & Farmland $15,000,000 0.92% $15,872,514 Campbell Global Timber Fund2 $15,000,000 $14,540,045 $9,926,500 0.44% $7,651,508 Timber 3.00% $51,802,459 Timber $36,000,000 $20,540,045 $12,063,751 1.87% $32,315,106 -1.13%

REAL ASSETS TOTAL 6.00% $103,604,918 REAL ASSETS TOTAL 5.64% $97,453,131 -0.36%

21 Cambridge Contributory Retirement System Asset Allocation Comparison as of June 30, 2021

CASH Internal Account 0.13% $2,292,092 CASH TOTAL 0.00% $0 CASH TOTAL 0.13% $2,292,092

TOTAL 100% $1,726,748,628 TOTAL 100% $1,726,748,628

1 Market value as of 03/31/21 2 Market value as of 03/31/21 net of cashflows through 06/30/21

*Rhumbline which is a minority owned business is approximately 29% of the total fund. Note: The total committed amount to Private Equity is $306M which is approximately 18% of the Fund Note: The total contributed amount into Private Equity was approximately $188M which is 11% of the Fund

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22 Cambridge Contributory Retirement System Asset Allocation Comparison as of June 30, 2021

NEW TARGET ALLOCATIONS CURRENT ALLOCATIONS DIFF.

EQUITIES TARGET RhumbLine - Russell 1000* 22.75% $392,904,984 BNY Mellon - Russell 2000 8.42% $145,382,652 Cambridge Bancorp 1.23% $21,240,793 Domestic Equity 27.00% $466,222,130 Domestic Equity 32.40% $559,528,429 5.40%

RBC Global Asset Mgmt - International Equity 3.12% $53,957,335 RhumbLine - EAFE Index 6.52% $112,613,684 International Equity 11.00% $189,942,349 International Equity 9.65% $166,571,019 -1.35%

Lazard Asset Management 3.64% $62,912,708 Aberdeen 5.77% $99,667,423 BNY Mellon - EM Index 1.18% $20,337,402 Emerging Equity Market 10.00% $172,674,863 Emerging Equity Market 10.59% $182,917,533 0.59%

EQUITIES TOTAL 48.00% $828,839,342 EQUITIES TOTAL 52.64% $909,016,981 4.64%

FIXED INCOME Fidelity 2.93% $50,623,487 Income Research Management 2.69% $46,431,585 Garcia Hamilton 0.00% $0 pending contract Core Fixed Income 8.00% $138,139,890 Core Fixed Income 5.62% $97,055,072 -2.38%

Loomis 4.15% $71,745,980 High Yield Fixed Income 5.00% $86,337,431 High Yield Fixed Income 4.15% $71,745,980 -0.85%

Brandywine 2.97% $51,228,171 International Fixed Income 0.00% $0 International Fixed Income 2.97% $51,228,171 2.97%

Fidelity 1.20% $20,779,366 Wellington 1.16% $19,978,970 Emerging Markets Debt 3.00% $51,802,459 Emerging Markets Debt 2.36% $40,758,336 -0.64%

Pinebridge 2.52% $43,558,386 Bank Loans 3.00% $51,802,459 Bank Loans 2.52% $43,558,386 -0.48%

FIXED INCOME TOTAL 19.00% $328,082,239 FIXED INCOME TOTAL 17.63% $304,345,945 -1.37%

23 Cambridge Contributory Retirement System Asset Allocation Comparison as of June 30, 2021

REAL ESTATE Committed Contributions Distributions UBS Trumbull Property Fund 3.32% $57,374,659 JP Morgan SPF 2.28% $39,289,138 Intercontinental US REIF 2.24% $38,708,651 Rockwood IX1 $18,000,000 $16,583,722 $18,655,920 0.20% $3,476,490 Landmark Real Estate Fund VI2 $5,500,000 $4,842,191 $7,248,999 0.01% $225,086 Penn Square Global RE Fund II1 $5,500,000 $3,355,000 $5,647,641 0.02% $346,375 REAL ESTATE TOTAL 10.00% $172,674,863 REAL ESTATE TOTAL 8.07% $139,420,399 -1.93%

ALTERNATIVE INVESTMENTS Committed Contributions Distributions Ascent Venture III2 $5,000,000 $4,650,000 $5,779,896 0.00% $236 Ascent Venture IV1 $3,000,000 $3,000,000 $501,166 0.00% $10,505 Ascent Ventures V1 $5,000,000 $4,850,000 $3,202,048 0.24% $4,199,976 BlackRock Diversified II PE1 $10,000,000 $9,086,249 $16,433,445 0.02% $371,340 BlackRock Diversified V PE2 $6,500,000 $5,321,268 $1,938,892 0.41% $7,061,106 Hamilton Lane VI2 $10,000,000 $8,991,511 $12,468,291 0.09% $1,542,165 Hamilton Lane VIII2 $6,500,000 $4,985,732 $2,114,777 0.27% $4,612,992 Landmark Equity Partners XV2 $10,000,000 $8,027,332 $6,422,530 0.27% $4,718,554 Lexington Capital VIII2 $20,000,000 $18,292,948 $13,543,998 0.83% $14,390,101 PRIM Private Equity 2015 $33,000,000 $31,530,215 $18,803,312 3.22% $55,516,054 PRIM Private Equity 2016 $22,000,000 $18,555,888 $5,673,914 1.44% $24,921,563 PRIM Private Equity 2017 $40,000,000 $27,449,836 $3,380,122 2.20% $38,074,258 PRIM Private Equity 2018 $32,000,000 $20,761,208 $2,541,705 1.48% $25,630,823 PRIM Private Equity 2019 $28,000,000 $14,168,031 $2,202,681 1.02% $17,557,976 PRIM Private Equity 2020 $45,000,000 $6,236,242 $34,660 0.43% $7,501,058 PRIM Private Equity 2021 $30,000,000 $2,206,599 $0 0.13% $2,177,247 Private Eq/Venture 12.00% $207,209,835 Private Eq/Venture $306,000,000 $188,113,059 $95,041,437 12.06% $208,285,954 0.06%

PRIM Hedge Fund 3.82% $65,934,126 Hedge Fund 3.00% $51,802,459 Hedge Fund 3.82% $65,934,126 0.82%

ALTERNATIVE TOTAL 15.00% $259,012,294 ALTERNATIVE TOTAL 15.88% $274,220,080 0.88%

IFM 3.77% $65,138,025 Infrastructure 4.00% $69,069,945 Infrastructure 3.77% $65,138,025 -0.23%

Hancock Timberland X2 $6,000,000 $6,000,000 $2,137,251 0.51% $8,791,084 Hancock Timber & Farmland $15,000,000 0.92% $15,872,514 Campbell Global Timber Fund2 $15,000,000 $14,540,045 $9,926,500 0.44% $7,651,508 Timber 4.00% $69,069,945 Timber $36,000,000 $20,540,045 $12,063,751 1.87% $32,315,106 -2.13%

REAL ASSETS TOTAL 8.00% $138,139,890 REAL ASSETS TOTAL 5.64% $97,453,131 -2.36%

24 Cambridge Contributory Retirement System Asset Allocation Comparison as of June 30, 2021

CASH Internal Account 0.13% $2,292,092 CASH TOTAL 0.00% $0 CASH TOTAL 0.13% $2,292,092

TOTAL 100% $1,726,748,628 TOTAL 100% $1,726,748,628

1 Market value as of 03/31/21 2 Market value as of 03/31/21 net of cashflows through 06/30/21

*Rhumbline which is a minority owned business is approximately 29% of the total fund. Note: The total committed amount to Private Equity is $306M which is approximately 18% of the Fund Note: The total contributed amount into Private Equity was approximately $188M which is 11% of the Fund

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25 City of Cambridge Total Fund Assets As of June 30, 2021

1 1 3 5 7 10 Quarter YTD Year Years Years Years Years

Beginning Market Value 1,655,834,076 1,594,827,525 1,322,928,843 1,310,659,677 1,094,406,592 1,081,685,585 788,824,392 Net Cash Flows -18,115,201 -36,737,365 -21,342,595 -78,855,780 -119,147,336 -146,532,339 -159,633,633 Net Investment Change 89,029,753 168,658,468 425,162,380 494,944,730 751,489,372 791,595,382 1,097,557,869 Ending Market Value 1,726,748,628 1,726,748,628 1,726,748,628 1,726,748,628 1,726,748,628 1,726,748,628 1,726,748,628

Performance (%) 5.4 10.7 32.9 11.9 11.6 8.7 9.5

26 City of Cambridge Investment Managers Cash Flow 1 Quarter Ending June 30, 2021

Beginning Net Cash Net Investment Ending Market Value Flows Change Market Value ($) ($) ($) ($) Total Fund Composite 1,655,834,076 -18,115,201 89,029,753 1,726,748,628 Domestic Equity 541,139,116 -19,156,405 37,545,717 559,528,429 RhumbLine Russell 1000 Pooled Index Fund 368,723,975 -7,000,279 31,181,288 392,904,984 Mellon Russell 2000 Index 150,833,943 -12,000,000 6,548,709 145,382,652 Cambridge Bancorp 21,581,198 -156,126 -184,280 21,240,793 International Equity 160,066,849 6,504,169 166,571,019 RBC Capital International Equity 53,063,858 893,477 53,957,335 Rhumbline International Pooled Index Trust 107,002,991 5,610,692 112,613,684 Emerging Markets Equity 173,284,157 9,633,375 182,917,533 Lazard 59,387,214 3,525,494 62,912,708 Aberdeen 94,555,197 5,112,226 99,667,423 Mellon Emerging Markets Stock Index 19,341,747 995,655 20,337,402 Core Fixed Income 94,752,062 2,303,010 97,055,072 FIAM Broad Market Duration 49,522,779 1,100,708 50,623,487 Income Research Management 45,229,283 1,202,302 46,431,585 High Yield Fixed Income 69,870,771 1,875,209 71,745,980 Loomis Sayles High Yield 69,870,771 1,875,209 71,745,980 International Fixed Income 50,368,847 -56,619 915,943 51,228,171 Brandywine 50,368,847 -56,619 915,943 51,228,171 Emerging Markets Debt 39,279,999 1,478,337 40,758,336 Wellington Emerging Debt 19,266,760 712,210 19,978,970 FIAM Emerging Markets Debt 20,013,239 766,127 20,779,366 Real Estate 135,781,121 -646,433 4,285,712 139,420,399 UBS Realty 56,290,695 -548,113 1,632,078 57,374,659 JP Morgan SPF Fund 38,267,869 1,021,269 39,289,138 AEW Partners V Landmark Real Estate Fund VI 242,685 -17,599 225,086 Penn Square Global Real Estate II 346,375 346,375 Rockwood Capital Real Estate Partners Fund IX, LP 3,476,490 3,476,490 Intercontinental Real Estate 37,157,007 -80,721 1,632,365 38,708,651

27 City of Cambridge Investment Managers Cash Flow 1 Quarter Ending June 30, 2021

Beginning Net Cash Net Investment Ending Market Value Flows Change Market Value ($) ($) ($) ($) Private Equity 186,976,677 3,443,832 17,865,445 208,285,954 Ascent Venture III 39,154 -38,918 236 Ascent Venture IV 10,505 10,505 Ascent Venture V 4,199,976 4,199,976 BlackRock Vesey Street Fund II LP 371,340 371,340 BlackRock Vesey Street Fund V LP 7,632,064 -570,958 7,061,106 Hamilton Lane Private Equity Offshore Fund VI, LP 1,642,706 -100,541 1,542,165 Hamilton Lane Private Equity Offshore Fund VIII, LP 4,788,203 -175,211 4,612,992 Landmark Equity Partners XV, LP 4,986,751 -268,197 4,718,554 Lexington Capital Partners VIII, LP 15,204,242 -814,141 14,390,101 PRIT Fund Private Equity 2015 52,476,781 -3,548,598 6,587,871 55,516,054 PRIT Fund Private Equity 2016 23,548,337 -630,546 2,003,772 24,921,563 PRIT Fund Private Equity 2017 34,003,080 1,346,243 2,724,935 38,074,258 PRIT Fund Private Equity 2018 21,191,041 1,624,586 2,815,196 25,630,823 PRIT Fund Private Equity 2019 12,746,529 1,840,581 2,970,866 17,557,976 PRIT Fund Private Equity 2020 4,135,968 2,573,265 791,825 7,501,058 PRIT Fund Private Equity 2021 2,206,267 -29,020 2,177,247 Infrastructure 61,166,056 3,971,969 65,138,025 IFM Global Infrastructure (US), L.P. 61,166,056 3,971,969 65,138,025 Hedge Fund 64,239,727 1,694,399 65,934,126 PRIT Hedge Fund 64,239,727 1,694,399 65,934,126 Timber 31,631,721 -17,752 701,137 32,315,106 Hancock Timber X 8,914,957 -123,873 8,791,084 Hancock Timberland and Farmland Fund 15,240,268 -68,891 701,137 15,872,514 Campbell Global Timber Fund 7,476,496 175,012 7,651,508 Bank Loan 42,880,233 422,823 255,330 43,558,386 PineBridge Bank Loan 42,880,233 422,823 255,330 43,558,386 Internal Account 4,396,738 -2,104,647 2,292,092

28 City of Cambridge Investment Managers Cash Flow Year To Date Ending June 30, 2021

Beginning Net Cash Net Investment Ending Market Value Flows Change Market Value ($) ($) ($) ($) Total Fund Composite 1,594,827,525 -36,737,365 168,658,468 1,726,748,628 Domestic Equity 509,941,995 -30,312,767 79,899,201 559,528,429 RhumbLine Russell 1000 Pooled Index Fund 352,959,530 -12,000,515 51,945,969 392,904,984 Mellon Russell 2000 Index 139,130,370 -18,000,000 24,252,282 145,382,652 Cambridge Bancorp 17,852,094 -312,252 3,700,950 21,240,793 International Equity 151,759,112 14,811,907 166,571,019 RBC Capital International Equity 48,440,962 5,516,373 53,957,335 Rhumbline International Pooled Index Trust 103,318,150 9,295,534 112,613,684 Emerging Markets Equity 179,240,566 -11,000,000 14,676,967 182,917,533 Lazard 67,298,970 -11,000,000 6,613,738 62,912,708 Aberdeen 93,473,135 6,194,288 99,667,423 Mellon Emerging Markets Stock Index 18,468,461 1,868,940 20,337,402 Core Fixed Income 95,065,364 3,000,000 -1,010,292 97,055,072 FIAM Broad Market Duration 47,940,664 3,000,000 -317,177 50,623,487 Income Research Management 47,124,700 -693,115 46,431,585 High Yield Fixed Income 69,485,455 2,260,525 71,745,980 Loomis Sayles High Yield 69,485,455 2,260,525 71,745,980 International Fixed Income 52,515,528 -113,238 -1,174,119 51,228,171 Brandywine 52,515,528 -113,238 -1,174,119 51,228,171 Emerging Markets Debt 41,613,431 -855,095 40,758,336 Wellington Emerging Debt 20,781,229 -802,259 19,978,970 FIAM Emerging Markets Debt 20,832,202 -52,836 20,779,366 Real Estate 134,161,319 -1,369,985 6,629,065 139,420,399 UBS Realty 56,104,019 -1,097,141 2,367,781 57,374,659 JP Morgan SPF Fund 37,662,685 -92,590 1,719,043 39,289,138 AEW Partners V 11,220 -11,220 Landmark Real Estate Fund VI 243,495 -17,599 -810 225,086 Penn Square Global Real Estate II 357,222 -10,846 346,375 Rockwood Capital Real Estate Partners Fund IX, LP 3,457,518 18,972 3,476,490 Intercontinental Real Estate 36,325,160 -162,655 2,546,146 38,708,651

29 City of Cambridge Investment Managers Cash Flow Year To Date Ending June 30, 2021

Beginning Net Cash Net Investment Ending Market Value Flows Change Market Value ($) ($) ($) ($) Private Equity 162,230,369 3,623,481 42,432,104 208,285,954 Ascent Venture III 39,846 -38,918 -692 236 Ascent Venture IV 45,379 -34,401 -473 10,505 Ascent Venture V 4,191,999 7,977 4,199,976 BlackRock Vesey Street Fund II LP 449,022 -77,682 371,340 BlackRock Vesey Street Fund V LP 6,437,448 -746,082 1,369,740 7,061,106 Hamilton Lane Private Equity Offshore Fund VI, LP 1,713,706 -151,301 -20,240 1,542,165 Hamilton Lane Private Equity Offshore Fund VIII, LP 4,760,304 -322,837 175,525 4,612,992 Landmark Equity Partners XV, LP 5,193,708 -443,497 -31,657 4,718,554 Lexington Capital Partners VIII, LP 13,854,777 -1,650,905 2,186,229 14,390,101 PRIT Fund Private Equity 2015 47,261,532 -6,592,900 14,847,422 55,516,054 PRIT Fund Private Equity 2016 20,923,565 -1,801,815 5,799,813 24,921,563 PRIT Fund Private Equity 2017 28,901,711 1,215,090 7,957,457 38,074,258 PRIT Fund Private Equity 2018 16,170,015 4,275,582 5,185,226 25,630,823 PRIT Fund Private Equity 2019 10,079,944 3,509,366 3,968,666 17,557,976 PRIT Fund Private Equity 2020 2,207,413 4,199,832 1,093,813 7,501,058 PRIT Fund Private Equity 2021 2,206,267 -29,020 2,177,247 Infrastructure 60,150,792 4,987,234 65,138,025 IFM Global Infrastructure (US), L.P. 60,150,792 4,987,234 65,138,025 Hedge Fund 61,089,883 4,844,243 65,934,126 PRIT Hedge Fund 61,089,883 4,844,243 65,934,126 Timber 31,837,845 -114,408 591,669 32,315,106 Hancock Timber X 8,970,443 -174,469 -4,890 8,791,084 Hancock Timberland and Farmland Fund 15,384,530 -114,951 602,935 15,872,514 Campbell Global Timber Fund 7,482,872 175,012 -6,376 7,651,508 Bank Loan 42,152,797 840,529 565,060 43,558,386 PineBridge Bank Loan 42,152,797 840,529 565,060 43,558,386 Internal Account 3,583,070 -1,290,978 2,292,092

30 City of Cambridge Total Fund Allocation and Performance As of June 30, 2021

Allocation Performance (%) Market Value % of Year To 1 3 5 10 Since Inception ($) Portfolio Quarter Date Year Years Years Years Inception Date Total Fund Composite 1,726,748,628 100.0 5.4 10.7 32.9 11.9 11.6 9.5 7.4 Jul-95 Policy Index 4.2 7.0 25.7 11.2 10.9 9.1 8.2

Domestic Equity 559,528,429 32.4 7.0 15.9 48.1 17.7 17.3 14.0 10.0 Jan-96 Domestic Equity Blended Index* 7.2 15.8 48.6 18.1 17.5 14.0

RhumbLine Russell 1000 Pooled Index Fund 392,904,984 22.8 8.5 14.9 43.0 26.7 Nov-19 Russell 1000 Index 8.5 15.0 43.1 19.2 18.0 14.9 26.8

Mellon Russell 2000 Index 145,382,652 8.4 4.3 17.6 62.3 28.3 Nov-19 Russell 2000 Index 4.3 17.5 62.0 13.5 16.5 12.3 28.1

Cambridge Bancorp 21,240,793 1.2 -0.9 20.7 44.6 1.5 15.5 13.0 10.3 Jan-96 Russell 2000 Index 4.3 17.5 62.0 13.5 16.5 12.3 9.6

International Equity 166,571,019 9.6 4.1 9.8 36.5 7.7 10.8 6.9 7.1 Jul-95 MSCI EAFE (Net) 5.2 8.8 32.4 8.3 10.3 5.9 5.5

RBC Capital International Equity 53,957,335 3.1 1.7 11.4 46.2 7.2 12.4 8.7 8.7 Oct-04 MSCI EAFE Value Index (Net) 3.0 10.7 33.5 3.8 7.8 3.9 4.7

Rhumbline International Pooled Index Trust 112,613,684 6.5 5.2 9.0 32.4 13.1 Nov-19 MSCI EAFE (Net) 5.2 8.8 32.4 8.3 10.3 5.9 13.0

Emerging Markets Equity 182,917,533 10.6 5.6 8.5 46.0 12.5 11.4 4.6 6.0 Apr-07 MSCI EM (net) 5.0 7.4 40.9 11.3 13.0 4.3 5.2

31 City of Cambridge Total Fund Allocation and Performance As of June 30, 2021

Allocation Performance (%) Market Value % of Year To 1 3 5 10 Since Inception ($) Portfolio Quarter Date Year Years Years Years Inception Date Lazard 62,912,708 3.6 5.9 11.4 41.6 7.6 8.9 3.5 5.2 Apr-07 MSCI EM (net) 5.0 7.4 40.9 11.3 13.0 4.3 5.2

Aberdeen 99,667,423 5.8 5.4 6.6 51.5 17.2 13.6 15.7 Mar-16 MSCI EM (net) 5.0 7.4 40.9 11.3 13.0 4.3 15.0

Mellon Emerging Markets Stock Index 20,337,402 1.2 5.1 7.6 41.1 20.6 Nov-19 MSCI Emerging Markets Index 5.1 7.6 41.4 11.7 13.4 4.7 20.9

Core Fixed Income 97,055,072 5.6 2.4 -1.1 1.8 6.7 4.1 4.7 6.6 Jul-95 Blmbg. Barc. U.S. Aggregate 1.8 -1.6 -0.3 5.3 3.0 3.4 5.1

FIAM Broad Market Duration 50,623,487 2.9 2.2 -0.7 2.7 6.9 4.4 4.4 4.9 Feb-04 Blmbg. Barc. U.S. Aggregate 1.8 -1.6 -0.3 5.3 3.0 3.4 4.1

Income Research Management 46,431,585 2.7 2.7 -1.5 1.0 6.5 3.8 4.4 5.8 Jul-95 Blmbg. Barc. U.S. Gov't/Credit 2.4 -2.0 -0.4 5.9 3.3 3.7 5.2

High Yield Fixed Income 71,745,980 4.2 2.7 3.3 16.0 6.9 7.2 7.2 Jun-16 FTSE High Yield Market Index 2.7 3.6 15.7 7.0 7.2 6.4 7.3

Loomis Sayles High Yield 71,745,980 4.2 2.7 3.3 16.0 6.9 7.2 7.2 Jun-16 Blmbg. Barc. U.S. High Yield - 2% Issuer Cap 2.7 3.6 15.3 7.4 7.5 6.6 7.5

International Fixed Income 51,228,171 3.0 1.8 -2.2 11.4 3.3 2.8 2.7 4.3 Apr-07 FTSE Non-U.S. World Government Bond 0.5 -6.0 3.1 2.8 1.3 0.8 2.9

Brandywine 51,228,171 3.0 1.8 -2.2 11.4 3.3 2.8 2.7 4.3 Apr-07 FTSE Non-U.S. World Government Bond 0.5 -6.0 3.1 2.8 1.3 0.8 2.9

32 City of Cambridge Total Fund Allocation and Performance As of June 30, 2021

Allocation Performance (%) Market Value % of Year To 1 3 5 10 Since Inception ($) Portfolio Quarter Date Year Years Years Years Inception Date Emerging Markets Debt 40,758,336 2.4 3.8 -2.1 7.7 4.0 3.6 4.5 May-16 Emerging Markets Debt Hybrid 3.8 -2.0 7.1 5.5 4.1 4.3

Wellington Emerging Debt 19,978,970 1.2 3.7 -3.9 6.8 3.5 2.8 3.9 Jun-16 JPM GBI-EM Global Diversified 3.5 -3.4 6.6 4.1 3.2 0.5 4.4

FIAM Emerging Markets Debt 20,779,366 1.2 3.8 -0.3 8.6 4.5 4.4 5.1 Jun-16 JPM EMBI Global Diversified 4.1 -0.7 7.5 6.7 4.9 5.7 5.5

Real Estate 139,420,399 8.1 3.2 5.0 5.1 2.9 5.0 8.3 8.8 Jan-96 NCREIF ODCE Equal Weighted 4.4 6.8 8.8 6.1 7.0 9.8 8.6

UBS Realty 57,374,659 3.3 2.9 4.2 2.2 0.4 2.9 6.8 8.9 Jul-95 NCREIF ODCE Equal Weighted 4.4 6.8 8.8 6.1 7.0 9.8 8.6

JP Morgan SPF Fund 39,289,138 2.3 2.7 4.6 6.6 4.7 4.7 Jul-18 NCREIF ODCE Equal Weighted 4.4 6.8 8.8 6.1 7.0 9.8 6.1

Intercontinental Real Estate 38,708,651 2.2 4.4 7.0 8.7 7.4 8.2 Apr-17 NCREIF ODCE Equal Weighted 4.4 6.8 8.8 6.1 7.0 9.8 6.7

Infrastructure 65,138,025 3.8 6.5 8.3 14.6 12.6 13.9 Sep-17 CPI + 3.5% 3.2 5.4 9.0 6.2 6.0 5.5 6.2

IFM Global Infrastructure (US), L.P. 65,138,025 3.8 6.5 8.3 14.6 12.6 13.9 Sep-17 CPI + 3.5% 3.2 5.4 9.0 6.2 6.0 5.5 6.2

33 City of Cambridge Total Fund Allocation and Performance As of June 30, 2021

Allocation Performance (%) Market Value % of Year To 1 3 5 10 Since Inception ($) Portfolio Quarter Date Year Years Years Years Inception Date Hedge Fund 65,934,126 3.8 2.6 7.9 19.2 4.6 5.8 4.7 4.0 Jul-06 HFRI FOF: Diversified Index 2.7 4.6 16.9 6.3 5.9 3.8 3.1 90-Day T-Bill+ 5% 1.2 2.5 5.1 6.4 6.2 5.6 6.1

PRIT Hedge Fund 65,934,126 3.8 2.6 7.9 19.2 4.6 5.8 4.7 4.0 Jul-06 HFRI FOF: Diversified Index 2.7 4.6 16.9 6.3 5.9 3.8 3.1 90-Day T-Bill+ 5% 1.2 2.5 5.1 6.4 6.2 5.6 6.1

Timber 32,315,106 1.9 2.2 1.9 8.2 8.4 6.9 6.9 7.6 Mar-10 NCREIF Timberland Index 1.7 2.5 3.1 2.1 2.7 4.7 4.2

Hancock Timberland and Farmland Fund 15,872,514 0.9 4.6 3.9 6.9 5.5 4.5 Jan-18 NCREIF Timberland Index 1.7 2.5 3.1 2.1 2.7 4.7 2.2

Bank Loan 43,558,386 2.5 0.6 1.3 5.8 Aug-20

PineBridge Bank Loan 43,558,386 2.5 0.6 1.3 5.8 Aug-20 S&P/LSTA Leveraged Loan Index 1.5 3.3 11.7 4.4 5.0 4.4 9.5

Internal Account 2,292,092 0.1 0.0 0.0 0.0 0.0 0.0 0.0 2.1 Jan-96 90 Day U.S. Treasury Bill 0.0 0.0 0.1 1.3 1.2 0.6 2.2 *The Domestic Equity Blend Index represents a passive portfolio based on active asset class exposure. It is often used to measure the benefits of manager selection.

34 City of Cambridge Private Equity Composite Overview As of June 30, 2021

Cash Flow Summary Cash Flow Analysis Capital Committed: $309,000,000 $359,600,000.0 Total Contributions: $190,050,075 Remaining Capital Commitment: $121,718,218 $269,700,000.0

Total Distributions: $119,001,293 $179,800,000.0 Market Value: $208,285,954

$89,900,000.0 Inception Date: 04/01/2009 Inception IRR: 16.8 TVPI: 1.7 $0.0

($89,900,000.0) 3/09 3/10 3/11 3/12 3/13 3/14 3/15 3/16 3/17 3/18 3/19 3/20 6/21

Net Asset Value Distribution Contributions

Private Equity Portfolio Capital Total Total Market Investment Vintage Investment Committed Contribution Distribution Value IRR TVPI DPI Partnerships Type Year Strategy ($) ($) ($) ($) (%) Multiple Multiple Charles River Partnership VII* 5,268,341 0.0 0.0 0.0 Charles River VIII 12,234,949 0.0 0.0 0.0 Hamilton Lane Private Equity Offshore Fund VI, LP Fund Of Funds 2007 Hybrid 10,000,000 8,991,511 12,468,291 1,542,165 8.3 1.6 1.4 Ascent Venture II Partnership 1995 Venture Capital 2,000,000 1,937,015 6,456,567 26.7 3.3 3.3 Ascent Venture III Partnership 2000 Venture Capital 5,000,000 4,650,000 5,779,896 236 3.6 1.2 1.2 Ascent Venture IV Partnership 2004 Venture Capital 3,000,000 3,000,000 501,166 10,505 -27.1 0.2 0.2 Ascent Venture V Partnership 2005 Venture Capital 5,000,000 4,850,000 3,202,048 4,199,976 6.6 1.5 0.7 BlackRock Vesey Street Fund II LP Fund Of Funds 2002 Hybrid 10,000,000 9,086,249 16,433,445 371,340 10.3 1.8 1.8 Hamilton Lane Private Equity Offshore Fund VIII, LP Fund Of Funds 2012 Diversified 6,500,000 4,985,732 2,114,777 4,612,992 6.6 1.3 0.4 BlackRock Vesey Street Fund V LP Fund Of Funds 2012 Hybrid 6,500,000 5,321,268 1,938,892 7,061,106 10.4 1.7 0.4 Landmark Equity Partners XV, LP Secondary 2013 Hybrid 10,000,000 8,027,332 6,422,530 4,718,554 14.6 1.4 0.8 Lexington Capital Partners VIII, LP Fund Of Funds 2014 Secondaries 20,000,000 18,292,948 13,543,998 14,390,101 18.1 1.6 0.8 PRIT Fund Private Equity 2015 Fund Of Funds 2015 Hybrid 33,000,000 31,530,215 18,803,312 55,516,054 30.5 2.4 0.6 PRIT Fund Private Equity 2016 Fund Of Funds 2016 Hybrid 22,000,000 18,555,888 5,673,914 24,921,563 20.6 1.7 0.3 PRIT Fund Private Equity 2017 Fund Of Funds 2017 Hybrid 40,000,000 27,449,836 3,380,122 38,074,258 25.3 1.5 0.1

35 City of Cambridge Private Equity Composite Overview As of June 30, 2021

Capital Total Total Market Investment Vintage Investment Committed Contribution Distribution Value IRR TVPI DPI Partnerships Type Year Strategy ($) ($) ($) ($) (%) Multiple Multiple PRIT Fund Private Equity 2018 Fund Of Funds 2018 Hybrid 32,000,000 20,761,208 2,541,705 25,630,823 25.3 1.4 0.1 PRIT Fund Private Equity 2019 Fund Of Funds 2019 Hybrid 29,000,000 14,168,031 2,202,681 17,557,976 39.9 1.4 0.2 PRIT Fund Private Equity 2020 Fund Of Funds 2020 Hybrid 45,000,000 6,236,242 34,660 7,501,058 41.6 1.2 0.0 PRIT Fund Private Equity 2021 Fund Of Funds 2021 Hybrid 30,000,000 2,206,599 2,177,247 -2.4 1.0 0.0

Private Equity Total Fund Hybrid 309,000,000 190,050,075 119,001,293 208,285,954 16.8 1.7 0.6

36 City of Cambridge Comparative Performance - IRR As of June 30, 2021

Year Market Value 1 To 1 3 5 7 Since Inception ($) % Quarter Date Year Years Years Years Inception Date Private Equity 208,285,954 12.1 9.4 25.8 58.8 23.3 20.8 17.6 16.8 03/31/2009 Ascent Venture III 236 0.0 0.0 -1.7 -2.6 -23.9 -18.5 -19.0 3.6 11/23/1999 Ascent Venture IV 10,505 0.0 0.0 -2.6 -5.2 -43.9 -34.5 -45.0 -27.1 07/22/2004 Ascent Venture V 4,199,976 0.2 0.0 0.2 5.6 -4.0 -1.6 1.8 6.6 09/22/2008 BlackRock Vesey Street Fund II LP 371,340 0.0 0.0 -17.3 -19.6 -7.6 -5.4 -3.3 10.3 02/19/2004 BlackRock Vesey Street Fund V LP 7,061,106 0.4 0.0 22.2 33.2 15.9 13.9 11.6 10.4 05/23/2013 Hamilton Lane Private Equity Offshore Fund VI, LP 1,542,165 0.1 0.0 -1.2 7.4 -1.2 3.4 6.0 8.3 12/18/2007 Hamilton Lane Private Equity Offshore Fund VIII, LP 4,612,992 0.3 0.0 3.7 22.1 5.4 7.8 6.8 6.6 04/25/2013 Hancock Timber X 8,791,084 0.5 0.0 -0.1 6.3 3.1 4.3 4.2 6.8 05/03/2010 Campbell Global Timber Fund 7,651,508 0.4 0.0 -0.1 13.8 23.4 19.1 06/12/2018 AEW Partners V 0.0 Rockwood Capital Real Estate Partners Fund IX, LP 3,476,490 0.2 0.0 0.5 2.9 -7.2 5.1 9.8 10.2 06/05/2013 Landmark Real Estate Fund VI 225,086 0.0 0.0 -0.3 -9.8 -13.1 -4.6 3.9 18.7 05/19/2010 Landmark Equity Partners XV, LP 4,718,554 0.3 0.0 -0.6 42.0 10.3 13.8 14.6 02/10/2015 Penn Square Global Real Estate II 346,375 0.0 0.0 -3.0 1.1 -6.0 -0.8 7.6 12.2 06/25/2010 Lexington Capital Partners VIII, LP 14,390,101 0.8 0.0 16.5 38.6 12.1 16.6 18.1 04/27/2015 PRIT Fund Private Equity 2015 55,516,054 3.2 13.1 33.7 73.6 35.2 32.4 30.5 04/01/2015 PRIT Fund Private Equity 2016 24,921,563 1.4 8.6 29.6 64.5 24.1 20.6 20.6 04/01/2016 PRIT Fund Private Equity 2017 38,074,258 2.2 7.8 27.1 64.8 26.6 25.3 05/01/2017 PRIT Fund Private Equity 2018 25,630,823 1.5 12.7 27.8 68.3 25.3 25.3 06/01/2018 PRIT Fund Private Equity 2019 17,557,976 1.0 20.8 32.3 72.7 39.9 04/01/2019 PRIT Fund Private Equity 2020 7,501,058 0.4 14.1 25.3 51.4 41.6 03/02/2020 PRIT Fund Private Equity 2021 2,177,247 0.1 -2.4 -2.4 04/01/2021

37 City of Cambridge Total Fund Allocation and Performance - Net of Fees As of June 30, 2021

Allocation Performance (%) Market Value % of Year To 1 3 5 10 Since ($) Portfolio Quarter Date Year Years Years Years Inception Total Fund Composite 1,726,748,628 100.0 Policy Index 4.2 7.0 25.7 11.2 10.9 9.1 8.2

Domestic Equity 559,528,429 32.4 Domestic Equity Blended Index* 7.2 15.8 48.6 18.1 17.5 14.0

RhumbLine Russell 1000 Pooled Index Fund 392,904,984 22.8 8.5 14.9 43.0 26.7 Russell 1000 Index 8.5 15.0 43.1 19.2 18.0 14.9 26.8

Mellon Russell 2000 Index 145,382,652 8.4 4.3 17.6 62.3 28.3 Russell 2000 Index 4.3 17.5 62.0 13.5 16.5 12.3 28.1

Cambridge Bancorp 21,240,793 1.2 -0.9 20.7 44.6 1.5 15.5 13.0 8.0 Russell 2000 Index 4.3 17.5 62.0 13.5 16.5 12.3 8.8

International Equity 166,571,019 9.6 MSCI EAFE (Net) 5.2 8.8 32.4 8.3 10.3 5.9 5.5

RBC Capital International Equity 53,957,335 3.1 1.5 10.9 44.9 6.2 11.4 7.8 7.8 MSCI EAFE Value Index (Net) 3.0 10.7 33.5 3.8 7.8 3.9 4.7

Rhumbline International Pooled Index Trust 112,613,684 6.5 5.2 9.0 32.4 13.1 MSCI EAFE (Net) 5.2 8.8 32.4 8.3 10.3 5.9 13.0

Emerging Markets Equity 182,917,533 10.6 MSCI EM (net) 5.0 7.4 40.9 11.3 13.0 4.3 5.2

38 City of Cambridge Total Fund Allocation and Performance - Net of Fees As of June 30, 2021

Allocation Performance (%) Market Value % of Year To 1 3 5 10 Since ($) Portfolio Quarter Date Year Years Years Years Inception Lazard 62,912,708 3.6 5.7 11.0 40.5 6.7 8.0 2.6 4.3 MSCI EM (net) 5.0 7.4 40.9 11.3 13.0 4.3 5.2

Aberdeen 99,667,423 5.8 5.2 6.1 50.1 16.1 12.6 14.6 MSCI EM (net) 5.0 7.4 40.9 11.3 13.0 4.3 15.0

Mellon Emerging Markets Stock Index 20,337,402 1.2 5.1 7.6 41.0 20.5 MSCI Emerging Markets Index 5.1 7.6 41.4 11.7 13.4 4.7 20.9

Core Fixed Income 97,055,072 5.6 Blmbg. Barc. U.S. Aggregate 1.8 -1.6 -0.3 5.3 3.0 3.4 5.1

FIAM Broad Market Duration 50,623,487 2.9 2.2 -0.7 2.5 6.7 4.2 4.2 4.7 Blmbg. Barc. U.S. Aggregate 1.8 -1.6 -0.3 5.3 3.0 3.4 4.1

Income Research Management 46,431,585 2.7 2.6 -1.6 0.7 6.2 3.5 4.1 5.5 Blmbg. Barc. U.S. Gov't/Credit 2.4 -2.0 -0.4 5.9 3.3 3.7 5.0

High Yield Fixed Income 71,745,980 4.2 FTSE High Yield Market Index 2.7 3.6 15.7 7.0 7.2 6.4 7.3

Loomis Sayles High Yield 71,745,980 4.2 2.6 3.1 15.6 6.5 6.8 6.8 Blmbg. Barc. U.S. High Yield - 2% Issuer Cap 2.7 3.6 15.3 7.4 7.5 6.6 7.5

International Fixed Income 51,228,171 3.0 FTSE Non-U.S. World Government Bond 0.5 -6.0 3.1 2.8 1.3 0.8 2.9

Brandywine 51,228,171 3.0 1.7 -2.5 11.0 2.9 2.3 2.2 3.8 FTSE Non-U.S. World Government Bond 0.5 -6.0 3.1 2.8 1.3 0.8 2.9

39 City of Cambridge Total Fund Allocation and Performance - Net of Fees As of June 30, 2021

Allocation Performance (%) Market Value % of Year To 1 3 5 10 Since ($) Portfolio Quarter Date Year Years Years Years Inception Emerging Markets Debt 40,758,336 2.4 Emerging Markets Debt Hybrid 3.8 -2.0 7.1 5.5 4.1 4.3

Wellington Emerging Debt 19,978,970 1.2 3.6 -4.1 6.2 3.0 2.3 3.4 JPM GBI-EM Global Diversified 3.5 -3.4 6.6 4.1 3.2 0.5 4.4

FIAM Emerging Markets Debt 20,779,366 1.2 3.7 -0.5 8.0 3.9 3.8 4.5 JPM EMBI Global Diversified 4.1 -0.7 7.5 6.7 4.9 5.7 5.5

Real Estate 139,420,399 8.1 NCREIF ODCE Equal Weighted 4.4 6.8 8.8 6.1 7.0 9.8 8.6

UBS Realty 57,374,659 3.3 2.7 3.8 1.4 -0.4 1.9 5.8 6.2 NCREIF ODCE Equal Weighted 4.4 6.8 8.8 6.1 7.0 9.8 7.8

JP Morgan SPF Fund 39,289,138 2.3 2.7 4.6 6.6 4.6 4.6 NCREIF ODCE Equal Weighted 4.4 6.8 8.8 6.1 7.0 9.8 6.1

Intercontinental Real Estate 38,708,651 2.2 4.2 6.6 7.8 6.4 7.2 NCREIF ODCE Equal Weighted 4.4 6.8 8.8 6.1 7.0 9.8 6.7

Infrastructure 65,138,025 3.8 CPI + 3.5% 3.2 5.4 9.0 6.2 6.0 5.5 6.2

IFM Global Infrastructure (US), L.P. 65,138,025 3.8 6.5 8.3 14.6 12.6 13.9 CPI + 3.5% 3.2 5.4 9.0 6.2 6.0 5.5 6.2

40 City of Cambridge Total Fund Allocation and Performance - Net of Fees As of June 30, 2021

Allocation Performance (%) Market Value % of Year To 1 3 5 10 Since ($) Portfolio Quarter Date Year Years Years Years Inception Hedge Fund 65,934,126 3.8 HFRI FOF: Diversified Index 2.7 4.6 16.9 6.3 5.9 3.8 3.1 90-Day T-Bill+ 5% 1.2 2.5 5.1 6.4 6.2 5.6 6.1

PRIT Hedge Fund 65,934,126 3.8 2.6 7.9 19.2 4.6 5.8 4.7 4.0 HFRI FOF: Diversified Index 2.7 4.6 16.9 6.3 5.9 3.8 3.1 90-Day T-Bill+ 5% 1.2 2.5 5.1 6.4 6.2 5.6 6.1

Timber 32,315,106 1.9 NCREIF Timberland Index 1.7 2.5 3.1 2.1 2.7 4.7 4.2

Hancock Timberland and Farmland Fund 15,872,514 0.9 4.6 3.9 6.9 5.5 4.5 NCREIF Timberland Index 1.7 2.5 3.1 2.1 2.7 4.7 2.2

Bank Loan 43,558,386 2.5

PineBridge Bank Loan 43,558,386 2.5 0.6 1.3 5.8 S&P/LSTA Leveraged Loan Index 1.5 3.3 11.7 4.4 5.0 4.4 9.5

Internal Account 2,292,092 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.6 90 Day U.S. Treasury Bill 0.0 0.0 0.1 1.3 1.2 0.6 1.5 *The Domestic Equity Blend Index represents a passive portfolio based on active asset class exposure. It is often used to measure the benefits of manager selection.

41 City of Cambridge Total Fund Calendar Year Performance As of June 30, 2021

2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 Total Fund Composite 12.5 16.6 -3.4 17.0 8.7 -0.2 6.7 20.8 14.8 -0.4 14.9 Policy Index 14.2 16.5 -2.7 15.7 8.4 -0.2 6.5 19.3 13.4 0.4 14.2

Domestic Equity 19.4 30.6 -7.2 21.6 11.5 -0.5 10.9 36.4 17.4 -1.0 19.6 Domestic Equity Blended Index 20.7 30.9 -6.7 20.1 12.9 -0.9 10.7 35.7 16.5 -0.4 20.7

RhumbLine Russell 1000 Pooled Index Fund 21.0 Russell 1000 Index 21.0 31.4 -4.8 21.7 12.1 0.9 13.2 33.1 16.4 1.5 16.1

Mellon Russell 2000 Index 20.3 Russell 2000 Index 20.0 25.5 -11.0 14.6 21.3 -4.4 4.9 38.8 16.3 -4.2 26.9

Cambridge Bancorp -9.7 -1.2 6.7 31.5 36.3 6.0 20.6 13.8 12.3 3.5 11.4 Russell 2000 Index 20.0 25.5 -11.0 14.6 21.3 -4.4 4.9 38.8 16.3 -4.2 26.9

International Equity 6.4 21.3 -13.4 26.2 2.8 0.0 -4.2 25.6 22.5 -14.1 14.4 MSCI EAFE (Net) 7.8 22.0 -13.8 25.0 1.0 -0.8 -4.9 22.8 17.3 -12.1 7.8

RBC Capital International Equity 4.4 21.4 -12.9 28.0 6.7 1.3 -2.9 33.2 31.5 -15.8 20.7 MSCI EAFE Value Index (Net) -2.6 16.1 -14.8 21.4 5.0 -5.7 -5.4 23.0 17.7 -12.2 3.2

Rhumbline International Pooled Index Trust 7.9 MSCI EAFE (Net) 7.8 22.0 -13.8 25.0 1.0 -0.8 -4.9 22.8 17.3 -12.1 7.8

Emerging Markets Equity 14.6 20.2 -15.3 29.7 18.7 -19.0 -3.2 0.6 23.1 -16.9 23.7 MSCI EM (net) 18.3 18.4 -14.6 37.3 11.2 -14.9 -2.2 -2.6 18.2 -18.4 18.9

Lazard 0.4 18.8 -16.8 28.7 22.8 -19.0 -3.2 0.6 23.1 -16.9 23.7 MSCI EM (net) 18.3 18.4 -14.6 37.3 11.2 -14.9 -2.2 -2.6 18.2 -18.4 18.9

42 City of Cambridge Total Fund Calendar Year Performance As of June 30, 2021

2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 Aberdeen 28.7 21.5 -13.7 31.2 MSCI EM (net) 18.3 18.4 -14.6 37.3 11.2 -14.9 -2.2 -2.6 18.2 -18.4 18.9

Mellon Emerging Markets Stock Index 18.3 MSCI Emerging Markets Index 18.7 18.9 -14.2 37.8 11.6 -14.6 -1.8 -2.3 18.6 -18.2 19.2

Core Fixed Income 10.3 9.8 -0.1 4.4 3.9 0.2 5.6 1.1 9.3 7.4 9.4 Blmbg. Barc. U.S. Aggregate 7.5 8.7 0.0 3.5 2.6 0.5 6.0 -2.0 4.2 7.8 6.5

FIAM Broad Market Duration 10.6 9.8 -0.1 4.3 4.6 0.2 6.5 -1.2 6.6 7.9 9.0 Blmbg. Barc. U.S. Aggregate 7.5 8.7 0.0 3.5 2.6 0.5 6.0 -2.0 4.2 7.8 6.5

Income Research Management 10.1 9.7 -0.2 4.5 3.6 0.4 6.9 -1.7 7.7 7.9 7.3 Blmbg. Barc. U.S. Gov't/Credit 8.9 9.7 -0.4 4.0 3.0 0.1 6.0 -2.4 4.8 8.7 6.6

High Yield Fixed Income 8.0 12.5 -2.9 8.1 FTSE High Yield Market Index 6.3 14.1 -2.1 7.0 17.8 -5.6 1.8 7.2 15.2 5.5 14.3

Loomis Sayles High Yield 8.0 12.5 -2.9 8.1 Blmbg. Barc. U.S. High Yield - 2% Issuer Cap 7.0 14.3 -2.1 7.5 17.1 -4.4 2.5 7.4 15.8 5.0 14.9

International Fixed Income 8.7 6.2 -4.1 12.7 2.2 -9.2 2.9 -1.6 13.8 5.1 7.5 FTSE Non-U.S. World Government Bond 10.8 5.3 -1.8 10.3 1.8 -5.5 -2.7 -4.6 1.5 5.2 5.2

Brandywine 8.7 6.2 -4.1 12.7 2.2 -9.2 2.9 -1.6 13.8 5.1 7.5 FTSE Non-U.S. World Government Bond 10.8 5.3 -1.8 10.3 1.8 -5.5 -2.7 -4.6 1.5 5.2 5.2

Emerging Markets Debt 2.8 12.3 -6.3 13.0 Emerging Markets Debt Hybrid 4.0 14.3 -5.2 12.7

43 City of Cambridge Total Fund Calendar Year Performance As of June 30, 2021

2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 Wellington Emerging Debt 2.2 14.1 -8.1 15.5 JPM GBI-EM Global Diversified 2.7 13.5 -6.2 15.2 9.9 -14.9 -5.7 -9.0 16.8 -1.8 15.7

FIAM Emerging Markets Debt 3.3 10.6 -4.6 10.6 JPM EMBI Global Diversified 5.3 15.0 -4.3 10.3 10.2 1.2 7.4 -5.2 17.4 7.3 12.2

Real Estate -1.8 2.5 7.1 8.8 8.2 14.1 13.3 12.4 9.6 10.4 14.1 NCREIF ODCE Equal Weighted 1.6 6.1 8.3 7.8 9.3 15.2 12.4 13.4 11.0 16.0 16.1

UBS Realty -3.9 -2.1 7.0 6.3 7.2 12.9 11.7 10.4 10.1 13.2 16.8 NCREIF ODCE Equal Weighted 1.6 6.1 8.3 7.8 9.3 15.2 12.4 13.4 11.0 16.0 16.1

JP Morgan SPF Fund 1.4 4.4 NCREIF ODCE Equal Weighted 1.6 6.1 8.3 7.8 9.3 15.2 12.4 13.4 11.0 16.0 16.1

Intercontinental Real Estate 1.8 9.1 10.2 NCREIF ODCE Equal Weighted 1.6 6.1 8.3 7.8 9.3 15.2 12.4 13.4 11.0 16.0 16.1

Infrastructure 3.8 16.2 18.2 CPI + 3.5% 4.8 5.8 5.5 5.7 5.6 4.2 4.2 5.1 5.3 6.7 5.0

IFM Global Infrastructure (US), L.P. 3.8 16.2 18.2 CPI + 3.5% 4.8 5.8 5.5 5.7 5.6 4.2 4.2 5.1 5.3 6.7 5.0

Hedge Fund 1.6 7.7 -1.6 8.2 4.3 -1.9 5.6 12.6 8.4 -2.8 6.3 HFRI FOF: Diversified Index 10.6 8.1 -3.3 6.9 0.4 -0.2 3.4 9.0 4.8 -5.0 5.5 90-Day T-Bill+ 5% 5.7 7.4 7.0 5.9 5.3 5.0 5.0 5.1 5.1 5.1 5.1

44 City of Cambridge Total Fund Calendar Year Performance As of June 30, 2021

2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 PRIT Hedge Fund 1.6 7.7 -1.6 8.2 4.3 -1.9 5.6 12.6 8.4 -2.8 6.3 HFRI FOF: Diversified Index 10.6 8.1 -3.3 6.9 0.4 -0.2 3.4 9.0 4.8 -5.0 5.5 90-Day T-Bill+ 5% 5.7 7.4 7.0 5.9 5.3 5.0 5.0 5.1 5.1 5.1 5.1

Timber 5.9 3.7 12.9 10.6 2.7 3.6 5.5 11.3 9.4 2.2 NCREIF Timberland Index 0.8 1.3 3.2 3.6 2.6 5.0 10.5 9.7 7.8 1.6 -0.1

Hancock Timberland and Farmland Fund 3.8 5.5 2.4 NCREIF Timberland Index 0.8 1.3 3.2 3.6 2.6 5.0 10.5 9.7 7.8 1.6 -0.1

Bank Loan

PineBridge Bank Loan S&P/LSTA Leveraged Loan Index 3.1 8.6 0.4 4.1 10.2 -0.7 1.6 5.3 9.7 1.5 10.2

Internal Account 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.3 90 Day U.S. Treasury Bill 0.7 2.3 1.9 0.9 0.3 0.0 0.0 0.0 0.1 0.1 0.1

45 City of Cambridge Total Fund Composite As of June 30, 2021

All Public Plans > $1B-Total Fund Risk Return Statistics - 3 Years 44.0 Return Summary Statstics Portfolio Benchmark Maximum Return 14.2 12.2 36.0 Minimum Return -16.9 -13.4 Return 11.9 11.2 Cumulative Return 40.0 37.4 28.0 Active Return 1.0 0.0 Excess Return 11.3 10.3

20.0

Risk Summary Statistics

Return Beta 1.2 1.0 12.0 Up Market Capture 113.0 100.0 Down Market Capture 121.0 100.0

4.0

Risk / Return Summary Statistics -4.0 Standard Deviation 15.8 13.4 Alpha -0.9 0.0 Active Return/Risk 0.1 0.0 -12.0 Tracking Error 3.1 0.0 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Information Ratio 0.3 - ¢£ Total Fund Composite 5.4 (61) 10.7 (23) 32.9 (7) 11.9 (33) 11.6 (27) 8.7 (29) 9.5 (15) Sharpe Ratio 0.7 0.8 ˜ Policy Index 4.2 (94) 7.0 (95) 25.7 (73) 11.2 (48) 10.9 (51) 8.3 (47) 9.1 (35)

5th Percentile 8.2 13.5 33.6 13.4 13.0 9.8 10.2 1st Quartile 6.5 10.5 29.4 12.1 11.7 8.8 9.3 Correlation Statistics Median 5.6 9.6 27.4 11.0 10.9 8.2 8.6 R-Squared 1.0 1.0 3rd Quartile 5.1 8.6 25.4 10.5 10.3 7.6 8.1 Actual Correlation 1.0 1.0 95th Percentile 4.0 6.3 19.8 7.1 8.2 5.5 5.6

Population 152 151 150 142 139 138 135

46 City of Cambridge Total Fund Composite As of June 30, 2021

All Public Plans > $1B-Total Fund 36.0

28.0

20.0

12.0 Return 4.0

-4.0

-12.0

-20.0 2020 2019 2018 2017 2016 2015 ¢£ Total Fund Composite 12.5 (42) 16.6 (62) -3.4 (58) 17.0 (23) 8.7 (21) -0.2 (67) ˜ Policy Index 14.2 (22) 16.5 (63) -2.7 (41) 15.7 (55) 8.4 (32) -0.2 (67)

5th Percentile 16.3 21.1 0.9 18.2 9.9 2.4 1st Quartile 14.0 18.7 -1.6 16.9 8.5 1.1 Median 12.0 17.3 -3.1 16.0 7.9 0.3 3rd Quartile 9.8 15.7 -4.7 14.3 7.2 -0.8 95th Percentile 6.2 12.6 -6.5 7.8 3.7 -2.0

Population 202 185 144 110 116 104 Parentheses contain percentile rankings. Calculation based on quarterly periodicity.

47 City of Cambridge Benchmark History As of June 30, 2021

From Date To Date Benchmark Total Fund Composite 01/01/2021 Present 20% Russell 1000 Index, 8% Russell 2000 Index, 10% MSCI EAFE Index, 10% MSCI Emerging Markets Index, 7% Blmbg. Barc. U.S. Aggregate, 4% Blmbg. Barc. U.S. High Yield - 2% Issuer Cap, 3% FTSE World Government Bond Index, 3% Emerging Markets Debt Hybrid, 10% NCREIF Property Index, 10% CA US Private Equity Index, 3% NCREIF Timberland Index, 5% HFRI FOF: Diversified Index, 4% CPI + 3.5%, 3% S&P/LSTA Leveraged Loan Index 01/01/2020 01/01/2021 20% Russell 1000 Index, 8% Russell 2000 Index, 10% MSCI EAFE Index, 10% MSCI Emerging Markets Index, 7% Blmbg. Barc. U.S. Aggregate, 4% Blmbg. Barc. U.S. High Yield - 2% Issuer Cap, 3% FTSE World Government Bond Index, 3% Emerging Markets Debt Hybrid, 11% NCREIF Property Index, 10% CA US Private Equity Index, 3% NCREIF Timberland Index, 5% HFRI FOF: Diversified Index, 3% CPI + 3.5%, 3% S&P/LSTA Leveraged Loan Index 09/01/2017 01/01/2020 25% Russell 3000 Index, 9% MSCI EAFE Index, 10% MSCI Emerging Markets Index, 10% Blmbg. Barc. U.S. Aggregate, 5% Blmbg. Barc. U.S. High Yield - 2% Issuer Cap, 5% FTSE World Government Bond Index, 3% Emerging Markets Debt Hybrid, 10% NCREIF Property Index, 8% CA US Private Equity Index, 2.5% NCREIF Timberland Index, 9% HFRI FOF: Diversified Index, 3.5% CPI + 3.5% 10/01/2016 09/01/2017 34% Russell 3000 Index, 9% MSCI EAFE (Net), 10% MSCI Emerging Markets Index, 10% Blmbg. Barc. U.S. Aggregate, 5% Credit Suisse High Yield, 5% FTSE Non-U.S. World Government Bond, 3% Emerging Markets Debt Hybrid, 9% HFRI FOF: Diversified Index, 2.5% FTSE 10 Year Treasury OTR, 2.5% NCREIF Timberland Index, 10% NCREIF Property Index 01/01/2011 10/01/2016 26% S&P 500, 5% Russell Midcap Value Index, 5% Russell 2000 Index, 10% Russell 2500 Index, 12% MSCI EAFE (Net), 5% MSCI Emerging Markets Index, 10% Blmbg. Barc. U.S. Aggregate, 5% Credit Suisse High Yield, 5% FTSE Non-U.S. World Government Bond, 10% NCREIF Property Index, 7% HFRI FOF: Diversified Index 07/01/2006 01/01/2011 26% S&P 500, 9% Russell Midcap Index, 9% Russell 2000 Index, 15% MSCI EAFE (Net), 3% MSCI Emerging Markets Index, 13% Blmbg. Barc. U.S. Aggregate, 5% Credit Suisse High Yield, 3% FTSE Non-U.S. World Government Bond, 10% NCREIF Property Index, 7% HFRI FOF: Diversified Index 10/01/2005 07/01/2006 40% S&P 500, 5% Russell Midcap Index, 8% Russell 2000 Index, 10% MSCI EAFE (Net), 25% Blmbg. Barc. U.S. Aggregate, 5% Credit Suisse High Yield, 7% NCREIF Property Index 07/01/2000 10/01/2005 37% S&P 500, 5% Russell Midcap Index, 8% Russell 2000 Index, 10% MSCI EAFE (Net), 30% Blmbg. Barc. U.S. Aggregate, 5% Credit Suisse High Yield, 5% NCREIF Property Index 01/01/1979 07/01/2000 40% S&P 500, 10% Russell 2000 Index, 10% MSCI EAFE (Net), 35% Blmbg. Barc. U.S. Gov't/Credit, 5% 90 Day U.S. Treasury Bill Domestic Equity 01/01/1996 Present Russell 3000 Index RhumbLine Russell 1000 Pooled Index Fund 10/01/2019 Present Russell 1000 Index Mellon Russell 2000 Index 10/01/2019 Present Russell 2000 Index Cambridge Bancorp 01/01/1996 Present Russell 2000 Index International Equity 07/01/1995 Present MSCI EAFE (Net)

48 City of Cambridge Benchmark History As of June 30, 2021

From Date To Date Benchmark RBC Capital International Equity 10/01/2004 Present MSCI EAFE Value Index (Net) Rhumbline International Pooled Index Trust 10/01/2019 Present MSCI EAFE (Net) Emerging Markets Equity 04/01/2007 Present MSCI EM (net) Lazard 04/01/2007 Present MSCI EM (net) Aberdeen 04/01/2016 Present MSCI EM (net) Mellon Emerging Markets Stock Index 10/01/2019 Present MSCI Emerging Markets Index Core Fixed Income 07/01/1995 Present Blmbg. Barc. U.S. Aggregate FIAM Broad Market Duration 04/01/2004 Present Blmbg. Barc. U.S. Aggregate Income Research Management 07/01/1995 Present Blmbg. Barc. U.S. Gov't/Credit High Yield Fixed Income 06/01/2016 Present FTSE High Yield Market Index Loomis Sayles High Yield 06/01/2016 Present Blmbg. Barc. U.S. High Yield - 2% Issuer Cap International Fixed Income 04/01/2007 Present FTSE Non-U.S. World Government Bond Brandywine 04/01/2007 Present FTSE Non-U.S. World Government Bond Emerging Markets Debt 05/01/2016 Present 50% JPM GBI-EM Global Diversified, 50% JPM EMBI Global Diversified Wellington Emerging Debt 06/01/2016 Present JPM GBI-EM Global Diversified

49 City of Cambridge Benchmark History As of June 30, 2021

From Date To Date Benchmark FIAM Emerging Markets Debt 05/01/2016 Present JPM EMBI Global Diversified Real Estate 01/01/1996 Present NCREIF ODCE Equal Weighted UBS Realty 07/01/1995 Present NCREIF ODCE Equal Weighted JP Morgan SPF Fund 07/01/2018 Present NCREIF ODCE Equal Weighted AEW Partners V 09/01/2005 Present NCREIF Property Index Landmark Real Estate Fund VI 05/01/2010 Present NCREIF Property Index Penn Square Global Real Estate II 06/01/2010 Present NCREIF Property Index Rockwood Capital Real Estate Partners Fund IX, LP 06/01/2013 Present NCREIF Property Index Intercontinental Real Estate 04/01/2017 Present NCREIF ODCE Equal Weighted Private Equity 02/01/1995 Present 90 Day U.S. Treasury Bill Ascent Venture III 01/01/1926 Present 100% S&P 500 Ascent Venture IV 01/01/1926 Present 100% S&P 500 Ascent Venture V 01/01/1926 Present 100% S&P 500 BlackRock Vesey Street Fund II LP 01/01/1926 Present 100% S&P 500 BlackRock Vesey Street Fund V LP 05/01/2013 Present 90 Day U.S. Treasury Bill

50 City of Cambridge Benchmark History As of June 30, 2021

From Date To Date Benchmark Hamilton Lane Private Equity Offshore Fund VIII, LP 01/01/1926 Present 100% S&P 500 Hamilton Lane Private Equity Offshore Fund VI, LP 01/01/1926 Present 100% S&P 500 Landmark Equity Partners XV, LP 02/01/2015 Present NCREIF Property Index Lexington Capital Partners VIII, LP 01/01/1926 Present 100% S&P 500 PRIT Fund Private Equity 2015 04/01/2015 Present 90 Day U.S. Treasury Bill PRIT Fund Private Equity 2016 04/01/2016 Present 90 Day U.S. Treasury Bill PRIT Fund Private Equity 2017 05/01/2017 Present 90 Day U.S. Treasury Bill PRIT Fund Private Equity 2018 06/01/2018 Present 90 Day U.S. Treasury Bill PRIT Fund Private Equity 2019 04/01/2019 Present 90 Day U.S. Treasury Bill PRIT Fund Private Equity 2020 03/01/2020 Present 90 Day U.S. Treasury Bill PRIT Fund Private Equity 2021 04/01/2021 Present 90 Day U.S. Treasury Bill Infrastructure 09/01/2017 Present 100% CPI - All Urban Consumers 01/01/1926 09/01/2017 100% CPI - All Urban Consumers IFM Global Infrastructure (US), L.P. 09/01/2017 Present 100% CPI - All Urban Consumers 01/01/1926 09/01/2017 100% CPI - All Urban Consumers Hedge Fund 01/01/1926 Present 100% 90 Day U.S. Treasury Bill PRIT Hedge Fund

51 City of Cambridge Benchmark History As of June 30, 2021

From Date To Date Benchmark 01/01/1926 Present 100% 90 Day U.S. Treasury Bill Timber 03/01/2010 Present NCREIF Timberland Index Hancock Timber X 05/01/2010 Present NCREIF Timberland Index Hancock Timberland and Farmland Fund 01/01/2018 Present NCREIF Timberland Index Campbell Global Timber Fund 06/01/2018 Present NCREIF Timberland Index Bank Loan 07/01/2020 Present No Primary Benchmark available PineBridge Bank Loan 07/01/2020 Present S&P/LSTA Leveraged Loan Index Internal Account 01/01/1996 Present 90 Day U.S. Treasury Bill

52 City of Cambridge Total Fund Cash Flow History - Quarter End 5 Years Ending June 30, 2021

Beginning Net Net Investment Ending Market Value Cash Flow Change Market Value Return Periods Ending ($) ($) ($) ($) % Sep-2016 1,094,406,592 4,033,190 45,877,979 1,144,317,762 4.2 Dec-2016 1,144,317,762 -4,277,953 12,215,976 1,152,255,785 1.1 Mar-2017 1,152,255,785 -6,274,757 56,031,151 1,202,012,179 4.9 Jun-2017 1,202,012,179 -13,882,495 39,016,336 1,227,146,021 3.2 Sep-2017 1,227,146,021 25,917,867 45,911,742 1,298,975,630 3.7 Dec-2017 1,298,975,630 -15,999,792 54,315,039 1,337,290,877 4.2 Mar-2018 1,337,290,877 -17,083,210 5,987,638 1,326,195,306 0.4 Jun-2018 1,326,195,306 -12,724,407 -2,811,222 1,310,659,677 -0.2 Sep-2018 1,310,659,677 32,530,973 39,198,518 1,382,389,168 3.0 Dec-2018 1,382,389,168 -27,892,111 -87,550,403 1,266,946,653 -6.4 Mar-2019 1,266,946,653 -17,929,085 88,617,092 1,337,634,660 7.0 Jun-2019 1,337,634,660 -14,572,811 38,894,181 1,361,956,030 2.9 Sep-2019 1,361,956,030 25,440,697 2,423,404 1,389,820,131 0.2 Dec-2019 1,389,820,131 -17,490,194 77,547,402 1,449,877,339 5.6 Mar-2020 1,449,877,339 -16,032,933 -211,676,842 1,222,167,564 -16.9 Jun-2020 1,222,167,564 -21,567,720 122,328,999 1,322,928,843 12.8 Sep-2020 1,322,928,843 33,500,899 74,807,174 1,431,236,916 5.1 Dec-2020 1,431,236,916 -18,106,128 181,696,738 1,594,827,525 14.2 Mar-2021 1,594,827,525 -18,622,165 79,628,715 1,655,834,076 5.0 Jun-2021 1,655,834,076 -18,115,201 89,029,753 1,726,748,628 5.4 1,094,406,592 -119,147,336 751,489,372 1,726,748,628 72.8

Gain/Loss includes income received and change in accrued income for the period.

53 City of Cambridge Total Fund Cash Flow History - Calendar Years Since Inception Ending June 30, 2021

Beginning Net Net Investment Ending Market Value Cash Flow Change Market Value Return Periods Ending ($) ($) ($) ($) % From 07/1995 17,531,298 1,678,784 19,210,082 9.8 1996 19,210,082 385,438 6,162,431 25,757,951 14.1 1997 25,757,951 143,436 9,482,226 35,383,613 25.6 1998 35,383,613 276,801 -1,489,411 34,171,003 13.2 1999 34,171,003 294,428 5,390,908 39,856,339 14.0 2000 39,856,339 13,697,286 136,773,779 190,327,405 3.3 2001 190,327,405 -32,310,666 9,062,689 167,079,428 -23.4 2002 167,079,428 -9,027,008 81,166 158,133,586 -12.1 2003 158,133,586 3,928,499 28,463,635 190,525,720 28.1 2004 190,525,720 -492,123 244,760,173 434,793,770 4.5 2005 434,793,770 -16,401,459 26,985,974 445,378,285 6.6 2006 445,378,285 19,086,676 166,783,421 631,248,381 10.5 2007 631,248,381 -58,853,583 62,313,743 634,708,541 10.5 2008 634,708,541 -22,783,709 -180,112,102 431,812,731 -29.3 2009 431,812,731 -790,683 241,711,997 672,734,045 20.2 2010 672,734,045 -4,262,913 99,870,935 768,342,068 14.9 2011 768,342,068 -5,357,855 -11,360,258 751,623,954 -0.4 2012 751,623,954 4,741,067 111,286,939 867,651,961 14.8 2013 867,651,961 -9,597,393 179,899,741 1,037,954,309 20.8 2014 1,037,954,309 -12,819,855 68,760,382 1,093,894,836 6.7 2015 1,093,894,836 -15,054,835 -3,421,885 1,075,418,116 -0.2 2016 1,075,418,116 -14,640,461 91,478,131 1,152,255,785 8.7 2017 1,152,255,785 -10,239,177 195,274,270 1,337,290,877 17.0 2018 1,337,290,877 -25,168,755 -45,175,469 1,266,946,653 -3.4 2019 1,266,946,653 -24,551,394 207,482,079 1,449,877,339 16.6 2020 1,449,877,339 -22,205,883 167,156,069 1,594,827,525 12.5 To 06/2021 1,594,827,525 -36,737,365 168,658,468 1,726,748,628 10.7 17,531,298 -278,741,485 1,987,958,816 1,726,748,628 529.6

Gain/Loss includes income received and change in accrued income for the period.

54 Domestic Equity

55 City of Cambridge RhumbLine Russell 1000 Pooled Index Fund As of June 30, 2021

Gain / Loss 1 1 3 5 7 10 Since Inception Quarter Year Years Years Years Years Inception Date RhumbLine Russell 1000 Pooled Index Fund 11/01/2019 Beginning Market Value 368,723,975 294,664,259 298,222,512 Net Cash Flows -7,000,279 -25,003,155 -39,504,011 Income Gain/Loss 31,181,288 123,243,880 134,186,482 Ending Market Value 392,904,984 392,904,984 392,904,984 Rolling Return and Tracking Error

0.1

0.0

Active Return (%) Return Active -0.1

-0.2 3/20 6/20 9/20 12/20 3/21 6/21

Rolling 3 Yrs Active Return Rolling Tracking Error Active Return

Performance Since Inception 1 Qtr 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Date RhumbLine Russell 1000 Pooled Index Fund 8.5 43.0 26.7 11/01/2019 Russell 1000 Index 8.5 43.1 19.2 18.0 14.2 14.9 26.8 Difference 0.0 -0.1 -0.1

56 City of Cambridge Mellon Russell 2000 Index As of June 30, 2021

Gain / Loss 1 1 3 5 7 10 Since Inception Quarter Year Years Years Years Years Inception Date Mellon Russell 2000 Index 11/01/2019 Beginning Market Value 150,833,943 103,706,992 44,702,359 Net Cash Flows -12,000,000 -22,000,000 47,295,445 Income Gain/Loss 6,548,709 63,675,661 53,384,849 Ending Market Value 145,382,652 145,382,652 145,382,652 Rolling Return and Tracking Error

0.1

0.0

Active Return (%) Return Active -0.1

-0.2 3/20 6/20 9/20 12/20 3/21 6/21

Rolling 3 Yrs Active Return Rolling Tracking Error Active Return

Performance Since Inception 1 Qtr 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Date Mellon Russell 2000 Index 4.3 62.3 28.3 11/01/2019 Russell 2000 Index 4.3 62.0 13.5 16.5 11.4 12.3 28.1 Difference 0.0 0.3 0.2

57 International Equity

58 City of Cambridge RBC Capital International Equity As of June 30, 2021

IM International Large Cap Value Equity (SA+CF) Risk Return Statistics - 3 Years 80.0 Return Summary Statstics Portfolio Benchmark Maximum Return 21.4 18.9 65.0 Minimum Return -21.5 -17.7 Return 7.2 3.8 Cumulative Return 23.2 11.8 50.0 Active Return 4.1 0.0 Excess Return 8.6 4.5

35.0

Risk Summary Statistics

Return Beta 1.1 1.0 20.0 Up Market Capture 115.8 100.0 Down Market Capture 102.4 100.0

5.0

Risk / Return Summary Statistics -10.0 Standard Deviation 24.0 20.4 Alpha 3.5 0.0 Active Return/Risk 0.2 0.0 -25.0 Tracking Error 8.1 0.0 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Information Ratio 0.5 - ¢£ RBC Capital International Equity 1.7 (100) 11.4 (45) 46.2 (21) 7.2 (60) 12.4 (27) 6.4 (29) 8.7 (14) Sharpe Ratio 0.4 0.2 ˜ MSCI EAFE Value Index (Net) 3.0 (85) 10.7 (54) 33.5 (76) 3.8 (95) 7.8 (88) 1.9 (98) 3.9 (97)

5th Percentile 8.0 16.1 54.3 14.6 15.4 9.4 10.0 1st Quartile 5.5 13.1 44.1 10.6 12.6 6.6 8.2 Correlation Statistics Median 4.5 10.8 38.6 7.9 10.2 5.4 6.5 R-Squared 0.9 1.0 3rd Quartile 3.4 9.3 33.9 5.8 8.5 4.2 5.4 Actual Correlation 0.9 1.0 95th Percentile 2.0 5.9 26.1 3.4 7.0 2.2 4.1

Population 126 126 126 122 115 107 96

59 City of Cambridge RBC Capital International Equity vs. MSCI EAFE Value Index (Net) Rolling Returns As of June 30, 2021

Rolling 3 Years Annualized Standard Deviation Quarterly and Cumulative Excess Performance

40.0 70.0

60.0 35.0

50.0 30.0

40.0 25.0

30.0

20.0 20.0 Added Added Value (%) Standard Standard Deviation 15.0 10.0

10.0 0.0

5.0 -10.0

0.0 -20.0 9/07 3/09 9/10 3/12 9/13 3/15 9/16 3/18 9/19 6/21 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18 9/19 6/21

Portfolio Index Quarterly Added Value (up market)

Quarterly Added Value (down market)

Cumulative Added Value

60 City of Cambridge RBC Capital International Equity As of June 30, 2021

Standard Tracking Return Deviation Error 20.0 32.0 20.0

26.0 14.0 14.0 20.0 8.0 8.0 14.0 2.0 2.0 8.0 -4.0

-4.0 2.0 -10.0 3 5 3 5 3 5 Years Years Years Years Years Years ¢£ RBC Capital International Equity 7.2 12.4 24.0 19.4 8.1 7.0 ˜ MSCI EAFE Value Index (Net) 3.8 7.8 20.4 16.8 0.0 0.0

Median 7.9 10.2 19.3 16.0 6.3 5.6

Up Market Capture Style Map - 36 Months 200.0 150.0 115.8 114.8 100.0 MSCI World Large Cap Value MSCI World Large Cap Growth 50.0 0.0 3 5 Years Years Time Periods Capitalization Down Market Capture 150.0 102.4 95.2 100.0 50.0 MSCI World Small Cap Value MSCI World Small Cap Growth 0.0 3 5 Years Years Manager Style

Time Periods Style History Jun-2021 Average Style Exposure

61 City of Cambridge Rhumbline International Pooled Index Trust As of June 30, 2021

Gain / Loss 1 1 3 5 7 10 Since Inception Quarter Year Years Years Years Years Inception Date Rhumbline International Pooled Index Trust 11/01/2019 Beginning Market Value 107,002,991 75,215,505 647,529 Net Cash Flows 9,994,427 91,320,307 Income Gain/Loss 5,610,692 27,403,752 20,645,848 Ending Market Value 112,613,684 112,613,684 112,613,684 Rolling Return and Tracking Error

0.2

0.1

0.0

-0.1 Active Return (%) Return Active

-0.2

-0.3 3/20 6/20 9/20 12/20 3/21 6/21

Rolling 3 Yrs Active Return Rolling Tracking Error Active Return

Performance Since Inception 1 Qtr 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Date Rhumbline International Pooled Index Trust 5.2 32.4 13.1 11/01/2019 MSCI EAFE (Net) 5.2 32.4 8.3 10.3 5.0 5.9 13.0 Difference 0.0 0.0 0.1

62 Emerging Markets Equity

63 City of Cambridge Lazard As of June 30, 2021

IM Emerging Markets Equity (SA+CF) Risk Return Statistics - 3 Years 95.0 Return Summary Statstics Portfolio Benchmark 80.0 Maximum Return 14.7 9.2 Minimum Return -19.1 -15.4 Return 7.6 11.3 65.0 Cumulative Return 24.6 37.8 Active Return -3.1 0.0 Excess Return 8.1 11.1 50.0

35.0 Risk Summary Statistics

Return Beta 1.0 1.0 Up Market Capture 88.0 100.0 20.0 Down Market Capture 96.3 100.0

5.0

Risk / Return Summary Statistics -10.0 Standard Deviation 20.0 18.5 Alpha -2.9 0.0 Active Return/Risk -0.2 0.0 -25.0 Tracking Error 7.9 0.0 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Information Ratio -0.4 - ¢£ Lazard 5.9 (43) 11.4 (35) 41.6 (71) 7.6 (89) 8.9 (91) 3.3 (94) 3.5 (92) Sharpe Ratio 0.4 0.6 ˜ MSCI EM (net) 5.0 (58) 7.4 (65) 40.9 (73) 11.3 (63) 13.0 (57) 6.4 (66) 4.3 (81)

5th Percentile 13.8 23.0 63.1 20.8 19.1 11.7 9.7 1st Quartile 7.8 14.2 51.0 15.8 15.9 9.1 7.3 Correlation Statistics Median 5.5 9.4 45.4 12.1 13.5 7.1 5.8 R-Squared 0.8 1.0 3rd Quartile 3.9 6.8 40.4 9.9 11.4 5.7 4.6 Actual Correlation 0.9 1.0 95th Percentile 1.1 2.6 28.9 4.8 7.5 2.9 3.0

Population 261 261 260 247 233 206 155

64 City of Cambridge Lazard vs. MSCI EM (net) Rolling Returns As of June 30, 2021

Rolling 3 Years Annualized Standard Deviation Quarterly and Cumulative Excess Performance

40.0 20.0

15.0 35.0

10.0 30.0

5.0

25.0

0.0

20.0 Added Added Value (%) Standard Standard Deviation -5.0

15.0 -10.0

10.0 -15.0

5.0 -20.0 3/10 6/11 9/12 12/13 3/15 6/16 9/17 12/18 3/20 6/21 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18 9/19 6/21

Portfolio Index Quarterly Added Value (up market)

Quarterly Added Value (down market)

Cumulative Added Value

65 City of Cambridge Lazard As of June 30, 2021

Standard Tracking Return Deviation Error 28.0 28.0 20.0

14.0 20.0 24.0 8.0 12.0 20.0 2.0 4.0 16.0 -4.0

-4.0 12.0 -10.0 3 5 3 5 3 5 Years Years Years Years Years Years ¢£ Lazard 7.6 8.9 20.0 17.4 7.9 6.6 ˜ MSCI EM (net) 11.3 13.0 18.5 16.1 0.0 0.0

Median 12.1 13.5 19.6 16.8 5.9 5.2

Up Market Capture Style Map - 36 Months 150.0 100.0 88.0 90.5 MSCI World Large Cap Value MSCI World Large Cap Growth 50.0 0.0 3 5 Years Years Time Periods Capitalization Down Market Capture 150.0 96.3 105.1 100.0 50.0 MSCI World Small Cap Value MSCI World Small Cap Growth 0.0 3 5 Years Years Manager Style

Time Periods Style History Jun-2021 Average Style Exposure

66 City of Cambridge Aberdeen As of June 30, 2021

IM Emerging Markets Equity (SA+CF) Risk Return Statistics - 3 Years 95.0 Return Summary Statstics Portfolio Benchmark 80.0 Maximum Return 11.1 9.2 Minimum Return -18.1 -15.4 Return 17.2 11.3 65.0 Cumulative Return 61.0 37.8 Active Return 5.6 0.0 Excess Return 16.8 11.1 50.0

35.0 Risk Summary Statistics

Return Beta 1.1 1.0 Up Market Capture 118.2 100.0 20.0 Down Market Capture 100.4 100.0

5.0

Risk / Return Summary Statistics -10.0 Standard Deviation 20.3 18.5 Alpha 4.8 0.0 Active Return/Risk 0.3 0.0 -25.0 Tracking Error 4.2 0.0 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Information Ratio 1.3 - ¢£ Aberdeen 5.4 (52) 6.6 (77) 51.5 (25) 17.2 (18) 13.6 (50) - - Sharpe Ratio 0.8 0.6 ˜ MSCI EM (net) 5.0 (58) 7.4 (65) 40.9 (73) 11.3 (63) 13.0 (57) 6.4 (66) 4.3 (81)

5th Percentile 13.8 23.0 63.1 20.8 19.1 11.7 9.7 1st Quartile 7.8 14.2 51.0 15.8 15.9 9.1 7.3 Correlation Statistics Median 5.5 9.4 45.4 12.1 13.5 7.1 5.8 R-Squared 1.0 1.0 3rd Quartile 3.9 6.8 40.4 9.9 11.4 5.7 4.6 Actual Correlation 1.0 1.0 95th Percentile 1.1 2.6 28.9 4.8 7.5 2.9 3.0

Population 261 261 260 247 233 206 155

67 City of Cambridge Aberdeen vs. MSCI EM (net) Rolling Returns As of June 30, 2021

Rolling 3 Years Annualized Standard Deviation Quarterly and Cumulative Excess Performance

30.0 12.0

9.0 27.0

6.0 24.0

3.0

21.0

0.0

18.0 Added Added Value (%) Standard Standard Deviation -3.0

15.0 -6.0

12.0 -9.0

9.0 -12.0 3/19 6/19 9/19 12/19 3/20 6/20 9/20 12/20 3/21 6/21 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 6/21

Portfolio Index Quarterly Added Value (up market)

Quarterly Added Value (down market)

Cumulative Added Value

68 City of Cambridge Aberdeen As of June 30, 2021

Standard Tracking Return Deviation Error 28.0 28.0 20.0

14.0 20.0 24.0 8.0 12.0 20.0 2.0 4.0 16.0 -4.0

-4.0 12.0 -10.0 3 5 3 5 3 5 Years Years Years Years Years Years ¢£ Aberdeen 17.2 13.6 20.3 17.6 4.2 4.4 ˜ MSCI EM (net) 11.3 13.0 18.5 16.1 0.0 0.0

Median 12.1 13.5 19.6 16.8 5.9 5.2

Up Market Capture Style Map - 36 Months 200.0 150.0 118.2 107.8 100.0 MSCI World Large Cap Value MSCI World Large Cap Growth 50.0 0.0 3 5 Years Years Time Periods Capitalization Down Market Capture 150.0 100.4 109.6 100.0 50.0 MSCI World Small Cap Value MSCI World Small Cap Growth 0.0 3 5 Years Years Manager Style

Time Periods Style History Jun-2021 Average Style Exposure

69 City of Cambridge Mellon Emerging Markets Stock Index As of June 30, 2021

Gain / Loss 1 1 3 5 7 10 Since Inception Quarter Year Years Years Years Years Inception Date Mellon Emerging Markets Stock Index 11/01/2019 Beginning Market Value 19,341,747 4,838,295 4,997,188 Net Cash Flows 10,000,000 10,000,000 Income Gain/Loss 995,655 5,499,106 5,340,213 Ending Market Value 20,337,402 20,337,402 20,337,402 Rolling Return and Tracking Error

0.1

0.0

-0.1 Active Return (%) Return Active

-0.2

-0.3 3/20 6/20 9/20 12/20 3/21 6/21

Rolling 3 Yrs Active Return Rolling Tracking Error Active Return

Performance Since Inception 1 Qtr 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Date Mellon Emerging Markets Stock Index 5.1 41.1 20.6 11/01/2019 MSCI Emerging Markets Index 5.1 41.4 11.7 13.4 6.7 4.7 20.9 Difference 0.0 -0.3 -0.3

70 Core Fixed Income

71 City of Cambridge FIAM Broad Market Duration As of June 30, 2021

IM U.S. Broad Market Core Fixed Income (SA+CF) Risk Return Statistics - 3 Years 12.0 Return Summary Statstics Portfolio Benchmark 10.0 Maximum Return 2.9 2.6 Minimum Return -2.3 -1.4 Return 6.9 5.3 8.0 Cumulative Return 22.1 16.9 Active Return 1.5 0.0 6.0 Excess Return 5.4 3.9

4.0 Risk Summary Statistics Return 2.0 Beta 1.0 1.0 Up Market Capture 119.9 100.0 Down Market Capture 103.2 100.0 0.0

-2.0 Risk / Return Summary Statistics Standard Deviation 3.9 3.4 -4.0 Alpha 1.3 0.0 Active Return/Risk 0.4 0.0 -6.0 Tracking Error 1.6 0.0 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Information Ratio 0.9 - ¢£ FIAM Broad Market Duration 2.2 (24) -0.7 (24) 2.7 (17) 6.9 (7) 4.4 (10) 4.3 (12) 4.4 (18) Sharpe Ratio 1.4 1.2 ˜ Blmbg. Barc. U.S. Aggregate 1.8 (85) -1.6 (81) -0.3 (86) 5.3 (94) 3.0 (92) 3.3 (95) 3.4 (94)

5th Percentile 2.6 1.3 5.6 7.0 4.8 4.5 4.7 1st Quartile 2.2 -0.7 2.2 6.4 4.0 4.0 4.3 Correlation Statistics Median 2.0 -1.2 1.1 6.1 3.7 3.8 4.0 R-Squared 0.8 1.0 3rd Quartile 1.9 -1.6 0.1 5.6 3.3 3.5 3.7 Actual Correlation 0.9 1.0 95th Percentile 1.5 -1.8 -0.6 5.1 3.0 3.3 3.4

Population 131 131 131 128 126 124 118

72 City of Cambridge FIAM Broad Market Duration vs. Blmbg. Barc. U.S. Aggregate Rolling Returns As of June 30, 2021

Rolling 3 Years Annualized Standard Deviation Quarterly and Cumulative Excess Performance

6.0 12.0

5.5 10.0

5.0 8.0

4.5 6.0

4.0

4.0

3.5 Added Added Value (%) Standard Standard Deviation 2.0 3.0

0.0 2.5

-2.0 2.0

1.5 -4.0 3/07 9/08 3/10 9/11 3/13 9/14 3/16 9/17 3/19 6/21 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18 9/19 6/21

Portfolio Index Quarterly Added Value (up market)

Quarterly Added Value (down market)

Cumulative Added Value

73 City of Cambridge FIAM Broad Market Duration As of June 30, 2021

Standard Tracking Return Deviation Error 10.0 6.2 6.0

8.0 5.3 4.0 6.0 4.4 2.0 4.0 3.5 0.0 2.0 2.6

0.0 1.7 -2.0 3 5 3 5 3 5 Years Years Years Years Years Years ¢£ FIAM Broad Market Duration 6.9 4.4 3.9 3.5 1.6 1.3 ˜ Blmbg. Barc. U.S. Aggregate 5.3 3.0 3.4 3.2 0.0 0.0

Median 6.1 3.7 3.7 3.4 1.2 1.0

Up Market Capture 7.7 200.0 150.0 119.9 118.7 100.0 7.0 FIAM Broad Market Duration 50.0 0.0 3 5 Years Years 6.3 Time Periods

Return (%) Return 5.6 Blmbg. Barc. U.S. Aggregate Down Market Capture 150.0 103.2 4.9 100.0 93.1 50.0 0.0 3 5 4.2 Years Years 3.1 3.2 3.3 3.4 3.5 3.6 3.7 3.8 3.9 4.0 4.1 Time Periods Risk (Standard Deviation %)

74 City of Cambridge Income Research Management As of June 30, 2021

IM U.S. Government Bonds (SA+CF) Risk Return Statistics - 3 Years 20.0 Return Summary Statstics Portfolio Benchmark 14.0 Maximum Return 3.3 3.3 Minimum Return -1.8 -1.8 Return 6.5 5.9 8.0 Cumulative Return 20.9 18.9 Active Return 0.6 0.0 Excess Return 5.1 4.5 2.0

-4.0 Risk Summary Statistics

Return Beta 1.0 1.0 Up Market Capture 105.9 100.0 -10.0 Down Market Capture 99.3 100.0

-16.0

Risk / Return Summary Statistics -22.0 Standard Deviation 4.3 4.2 Alpha 0.5 0.0 Active Return/Risk 0.1 0.0 -28.0 Tracking Error 0.8 0.0 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Information Ratio 0.7 - ¢£ Income Research Management 2.7 (41) -1.5 (48) 1.0 (2) 6.5 (40) 3.8 (14) 4.0 (39) 4.4 (33) Sharpe Ratio 1.2 1.1 ˜ Blmbg. Barc. U.S. Gov't/Credit 2.4 (41) -2.0 (52) -0.4 (27) 5.9 (40) 3.3 (28) 3.6 (39) 3.7 (34)

5th Percentile 9.6 0.0 0.3 10.1 4.0 8.1 10.0 1st Quartile 6.5 -0.6 -0.4 8.2 3.4 6.0 6.7 Correlation Statistics Median 1.2 -1.8 -1.8 4.4 2.2 2.6 2.3 R-Squared 1.0 1.0 3rd Quartile 0.3 -7.9 -10.5 3.0 1.9 1.8 1.6 Actual Correlation 1.0 1.0 95th Percentile 0.0 -10.7 -14.0 1.3 1.2 1.0 0.7

Population 38 38 38 38 37 37 34

75 City of Cambridge Income Research Management vs. Blmbg. Barc. U.S. Gov't/Credit Rolling Returns As of June 30, 2021

Rolling 3 Years Annualized Standard Deviation Quarterly and Cumulative Excess Performance

6.6 8.0

6.0 6.0

5.4

4.0 4.8

4.2 2.0 Added Added Value (%) Standard Standard Deviation 3.6 0.0

3.0

-2.0 2.4

1.8 -4.0 6/98 9/00 12/02 3/05 6/07 9/09 12/11 3/14 6/16 9/18 6/21 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18 9/19 6/21

Portfolio Index Quarterly Added Value (up market)

Quarterly Added Value (down market)

Cumulative Added Value

76 City of Cambridge Income Research Management As of June 30, 2021

Standard Tracking Return Deviation Error 16.0 28.0 28.0

12.0 20.0 20.0

8.0 12.0 12.0

4.0 4.0 4.0

0.0 -4.0 -4.0

-4.0 -12.0 -12.0 3 5 3 5 3 5 Years Years Years Years Years Years ¢£ Income Research Management 6.5 3.8 4.3 3.9 0.8 0.6 ˜ Blmbg. Barc. U.S. Gov't/Credit 5.9 3.3 4.2 3.9 0.0 0.0

Median 4.4 2.2 3.2 2.4 4.0 3.4

Up Market Capture 6.9 150.0 105.9 105.5 100.0 50.0 6.6 Income Research Management 0.0 3 5 Years Years Time Periods 6.3 Return (%) Return Down Market Capture 150.0 6.0 Blmbg. Barc. U.S. Gov't/Credit 99.3 96.2 100.0 50.0 0.0 3 5 5.7 Years Years 4.1 4.2 4.3 4.4 Time Periods Risk (Standard Deviation %)

77 High Yield Fixed Income

78 City of Cambridge Loomis Sayles High Yield As of June 30, 2021

IM U.S. High Yield Bonds (SA+CF) Risk Return Statistics - 3 Years 35.0 Return Summary Statstics Portfolio Benchmark 30.0 Maximum Return 5.3 4.7 Minimum Return -10.9 -11.5 Return 6.9 7.4 25.0 Cumulative Return 22.3 24.0 Active Return -0.5 0.0 20.0 Excess Return 5.8 6.3

15.0 Risk Summary Statistics Return 10.0 Beta 1.0 1.0 Up Market Capture 97.2 100.0 Down Market Capture 100.9 100.0 5.0

0.0 Risk / Return Summary Statistics Standard Deviation 9.2 9.2 -5.0 Alpha -0.4 0.0 Active Return/Risk -0.1 0.0 -10.0 Tracking Error 1.0 0.0 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Information Ratio -0.5 - ¢£ Loomis Sayles High Yield 2.7 (50) 3.3 (63) 16.0 (39) 6.9 (65) 7.2 (56) -- Sharpe Ratio 0.6 0.7 ˜ Blmbg. Barc. U.S. High Yield - 2% Issuer Cap 2.7 (44) 3.6 (51) 15.3 (48) 7.4 (47) 7.5 (44) 5.5 (43) 6.6 (50)

5th Percentile 3.6 6.8 23.8 9.1 9.2 6.9 7.7 1st Quartile 3.0 4.5 17.4 8.1 7.9 5.9 7.0 Correlation Statistics Median 2.7 3.6 14.9 7.3 7.3 5.4 6.6 R-Squared 1.0 1.0 3rd Quartile 2.4 3.0 13.0 6.4 6.7 4.8 6.1 Actual Correlation 1.0 1.0 95th Percentile 1.4 2.0 7.4 5.0 4.7 3.7 4.4

Population 143 143 143 140 134 129 106

79 City of Cambridge Loomis Sayles High Yield vs. Blmbg. Barc. U.S. High Yield - 2% Issuer Cap Rolling Returns As of June 30, 2021

Rolling 3 Years Annualized Standard Deviation Quarterly and Cumulative Excess Performance

13.0 1.2

12.0 0.8

11.0 0.4

10.0 0.0

9.0 -0.4

8.0 -0.8 Added Added Value (%) Standard Standard Deviation

7.0 -1.2

6.0 -1.6

5.0 -2.0

4.0 -2.4 6/19 9/19 12/19 3/20 6/20 9/20 12/20 3/21 6/21 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 6/21

Portfolio Index Quarterly Added Value (up market)

Quarterly Added Value (down market)

Cumulative Added Value

80 City of Cambridge Loomis Sayles High Yield As of June 30, 2021

Standard Tracking Return Deviation Error 12.0 20.0 12.0

10.0 15.0 8.0 8.0 10.0 4.0 6.0 5.0 0.0 4.0

2.0 0.0 -4.0 3 5 3 5 3 5 Years Years Years Years Years Years ¢£ Loomis Sayles High Yield 6.9 7.2 11.2 8.9 0.8 0.8 ˜ Blmbg. Barc. U.S. High Yield - 2% Issuer Cap 7.4 7.5 11.3 9.0 0.0 0.0

Median 7.3 7.3 10.9 8.7 2.0 1.6

Up Market Capture 7.8 150.0 97.2 98.0 100.0 50.0 7.5 0.0 Blmbg. Barc. U.S. High Yield - 2% Issuer Cap 3 5 Years Years Time Periods 7.2 Return (%) Return

Down Market Capture Loomis Sayles High Yield 150.0 6.9 100.9 100.6 100.0 50.0 0.0 3 5 6.6 Years Years 9.1 9.2 Time Periods Risk (Standard Deviation %)

81 International Fixed Income

82 City of Cambridge Brandywine As of June 30, 2021

IM International Fixed Income (SA+CF) Risk Return Statistics - 3 Years 25.0 Return Summary Statstics Portfolio Benchmark 20.0 Maximum Return 6.3 5.1 Minimum Return -8.0 -2.9 Return 3.3 2.8 15.0 Cumulative Return 10.3 8.7 Active Return 0.8 0.0 Excess Return 2.4 1.6 10.0

5.0 Risk Summary Statistics

Return Beta 1.1 1.0 Up Market Capture 118.5 100.0 0.0 Down Market Capture 115.6 100.0

-5.0

Risk / Return Summary Statistics -10.0 Standard Deviation 9.3 6.1 Alpha 0.5 0.0 Active Return/Risk 0.1 0.0 -15.0 Tracking Error 6.6 0.0 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Information Ratio 0.1 - ¢£ Brandywine 1.8 (81) -2.2 (67) 11.4 (28) 3.3 (90) 2.8 (89) 1.2 (83) 2.7 (63) Sharpe Ratio 0.3 0.3 ˜ FTSE Non-U.S. World Government Bond 0.5 (93) -6.0 (99) 3.1 (96) 2.8 (93) 1.3 (100) 0.7 (91) 0.8 (92)

5th Percentile 4.9 3.5 16.6 9.8 7.7 6.0 6.1 1st Quartile 4.2 0.9 11.6 7.4 6.1 5.1 5.6 Correlation Statistics Median 3.4 -0.7 9.8 5.7 5.0 3.3 3.7 R-Squared 0.5 1.0 3rd Quartile 2.0 -3.0 7.5 4.3 3.6 1.4 1.8 Actual Correlation 0.7 1.0 95th Percentile 0.2 -4.4 3.1 2.6 2.2 0.2 0.2

Population 159 159 159 153 146 139 105

83 City of Cambridge Brandywine vs. FTSE Non-U.S. World Government Bond Rolling Returns As of June 30, 2021

Rolling 3 Years Annualized Standard Deviation Quarterly and Cumulative Excess Performance

14.0 30.0

24.0 12.0

18.0

10.0 12.0

8.0 6.0 Added Added Value (%) Standard Standard Deviation 0.0 6.0

-6.0

4.0 -12.0

2.0 -18.0 3/10 6/11 9/12 12/13 3/15 6/16 9/17 12/18 3/20 6/21 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18 9/19 6/21

Portfolio Index Quarterly Added Value (up market)

Quarterly Added Value (down market)

Cumulative Added Value

84 City of Cambridge Brandywine As of June 30, 2021

Standard Tracking Return Deviation Error 16.0 20.0 20.0

12.0 15.0 14.0

8.0 10.0 8.0

4.0 5.0 2.0

0.0 0.0 -4.0

-4.0 -5.0 -10.0 3 5 3 5 3 5 Years Years Years Years Years Years ¢£ Brandywine 3.3 2.8 9.3 8.7 6.6 5.6 ˜ FTSE Non-U.S. World Government Bond 2.8 1.3 6.1 6.7 0.0 0.0

Median 5.7 5.0 11.7 9.7 9.8 8.5

Up Market Capture 3.9 200.0 150.0 118.5 116.4 100.0 3.6 50.0 0.0 3 5 Brandywine Years Years 3.3 Time Periods

Return (%) Return 3.0

Down Market Capture FTSE Non-U.S. World Government Bond 200.0 2.7 150.0 115.6 100.0 100.0 50.0 0.0 3 5 2.4 Years Years 4.9 5.6 6.3 7.0 7.7 8.4 9.1 9.8 10.5 11.2 Time Periods Risk (Standard Deviation %)

85 Emerging Markets Debt

86 City of Cambridge Wellington Emerging Debt As of June 30, 2021

IM Emerging Markets Debt (SA+CF) Risk Return Statistics - 3 Years 25.0 Return Summary Statstics Portfolio Benchmark 20.0 Maximum Return 6.5 5.5 Minimum Return -12.7 -11.1 Return 3.5 4.1 15.0 Cumulative Return 10.8 12.9 Active Return -0.4 0.0 Excess Return 3.0 3.4 10.0

5.0 Risk Summary Statistics

Return Beta 1.1 1.0 Up Market Capture 105.0 100.0 0.0 Down Market Capture 109.9 100.0

-5.0

Risk / Return Summary Statistics -10.0 Standard Deviation 13.2 11.8 Alpha -0.9 0.0 Active Return/Risk 0.0 0.0 -15.0 Tracking Error 1.7 0.0 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Information Ratio -0.3 - ¢£ Wellington Emerging Debt 3.7 (57) -3.9 (97) 6.8 (89) 3.5 (93) 2.8 (96) -- Sharpe Ratio 0.2 0.3 ˜ JPM GBI-EM Global Diversified 3.5 (63) -3.4 (90) 6.6 (90) 4.1 (89) 3.2 (91) 0.2 (95) 0.5 (93)

5th Percentile 5.4 3.4 15.8 9.8 8.4 6.2 6.1 1st Quartile 4.4 0.9 11.6 7.9 6.4 5.2 5.8 Correlation Statistics Median 3.9 -0.7 9.9 6.9 5.3 4.3 4.9 R-Squared 1.0 1.0 3rd Quartile 3.0 -3.0 8.6 5.0 4.3 1.4 1.3 Actual Correlation 1.0 1.0 95th Percentile 1.9 -3.7 6.0 3.2 2.9 0.1 0.1

Population 116 116 116 111 104 98 71

87 City of Cambridge Wellington Emerging Debt vs. JPM GBI-EM Global Diversified Rolling Returns As of June 30, 2021

Rolling 3 Years Annualized Standard Deviation Quarterly and Cumulative Excess Performance

18.0 1.8

1.2

16.0 0.6

0.0

14.0 -0.6

-1.2 Added Added Value (%)

Standard Standard Deviation 12.0

-1.8

-2.4 10.0

-3.0

8.0 -3.6 6/19 9/19 12/19 3/20 6/20 9/20 12/20 3/21 6/21 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 6/21

Portfolio Index Quarterly Added Value (up market)

Quarterly Added Value (down market)

Cumulative Added Value

88 City of Cambridge Wellington Emerging Debt As of June 30, 2021

Standard Tracking Return Deviation Error 16.0 20.0 12.0

12.0 16.0 8.0

8.0 12.0 4.0

4.0 8.0 0.0

0.0 4.0 -4.0 3 5 3 5 3 5 Years Years Years Years Years Years ¢£ Wellington Emerging Debt 3.5 2.8 13.2 11.8 1.7 1.4 ˜ JPM GBI-EM Global Diversified 4.1 3.2 11.8 10.8 0.0 0.0

Median 6.9 5.3 12.3 10.2 6.1 6.0

Up Market Capture 4.5 150.0 105.0 103.7 100.0 50.0 4.2 JPM GBI-EM Global Diversified 0.0 3 5 Years Years 3.9 Time Periods

Return (%) Return 3.6 Wellington Emerging Debt Down Market Capture 150.0 109.9 107.2 3.3 100.0 50.0 0.0 3 5 3.0 Years Years 11.2 11.6 12.0 12.4 12.8 13.2 13.6 14.0 Time Periods Risk (Standard Deviation %)

89 City of Cambridge FIAM Emerging Markets Debt As of June 30, 2021

IM Emerging Markets Debt (SA+CF) Risk Return Statistics - 3 Years 25.0 Return Summary Statstics Portfolio Benchmark 20.0 Maximum Return 7.4 6.1 Minimum Return -16.0 -13.8 Return 4.5 6.7 15.0 Cumulative Return 14.0 21.5 Active Return -1.9 0.0 Excess Return 3.9 5.8 10.0

5.0 Risk Summary Statistics

Return Beta 1.1 1.0 Up Market Capture 91.6 100.0 0.0 Down Market Capture 106.7 100.0

-5.0

Risk / Return Summary Statistics -10.0 Standard Deviation 12.3 10.8 Alpha -2.6 0.0 Active Return/Risk -0.2 0.0 -15.0 Tracking Error 3.9 0.0 1 Qtr YTD 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Information Ratio -0.5 - ¢£ FIAM Emerging Markets Debt 3.8 (53) -0.3 (41) 8.6 (75) 4.5 (85) 4.4 (71) -- Sharpe Ratio 0.3 0.5 ˜ JPM EMBI Global Diversified 4.1 (44) -0.7 (50) 7.5 (85) 6.7 (52) 4.9 (60) 4.9 (36) 5.7 (29)

5th Percentile 5.4 3.4 15.8 9.8 8.4 6.2 6.1 1st Quartile 4.4 0.9 11.6 7.9 6.4 5.2 5.8 Correlation Statistics Median 3.9 -0.7 9.9 6.9 5.3 4.3 4.9 R-Squared 0.9 1.0 3rd Quartile 3.0 -3.0 8.6 5.0 4.3 1.4 1.3 Actual Correlation 1.0 1.0 95th Percentile 1.9 -3.7 6.0 3.2 2.9 0.1 0.1

Population 116 116 116 111 104 98 71

90 City of Cambridge FIAM Emerging Markets Debt vs. JPM EMBI Global Diversified Rolling Returns As of June 30, 2021

Rolling 3 Years Annualized Standard Deviation Quarterly and Cumulative Excess Performance

16.0 6.0

14.0 4.0

12.0 2.0

10.0 0.0 Added Added Value (%) Standard Standard Deviation

8.0 -2.0

6.0 -4.0

4.0 -6.0 6/19 9/19 12/19 3/20 6/20 9/20 12/20 3/21 6/21 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 6/21

Portfolio Index Quarterly Added Value (up market)

Quarterly Added Value (down market)

Cumulative Added Value

91 City of Cambridge FIAM Emerging Markets Debt As of June 30, 2021

Standard Tracking Return Deviation Error 14.0 20.0 12.0

11.0 16.0 8.0 8.0 12.0 4.0 5.0 8.0 0.0 2.0

-1.0 4.0 -4.0 3 5 3 5 3 5 Years Years Years Years Years Years ¢£ FIAM Emerging Markets Debt 4.5 4.4 12.3 10.0 3.9 3.2 ˜ JPM EMBI Global Diversified 6.7 4.9 10.8 8.9 0.0 0.0

Median 6.9 5.3 12.3 10.2 4.3 4.1

Up Market Capture 8.1 150.0 91.6 96.4 100.0 7.2 50.0 JPM EMBI Global Diversified 0.0 3 5 6.3 Years Years Time Periods 5.4 Return (%) Return FIAM Emerging Markets Debt Down Market Capture 4.5 150.0 106.7 98.3 100.0 3.6 50.0 0.0 3 5 2.7 Years Years 10.0 10.4 10.8 11.2 11.6 12.0 12.4 12.8 13.2 Time Periods Risk (Standard Deviation %)

92 Real Estate

93 City of Cambridge UBS Realty As of June 30, 2021

Gain / Loss 1 1 3 5 7 10 Since Inception Quarter Year Years Years Years Years Inception Date UBS Realty 07/01/1995 Beginning Market Value 56,290,695 58,266,008 60,364,845 58,953,408 48,284,466 36,998,558 Net Cash Flows -548,113 -2,128,027 -3,679,136 -9,823,474 -10,968,132 -12,329,056 1,213,993 Income 3,097,621 3,097,621 3,097,621 3,097,621 7,051,045 Gain/Loss 1,632,078 1,236,677 -2,408,672 5,147,104 16,960,703 29,607,536 49,109,622 Ending Market Value 57,374,659 57,374,659 57,374,659 57,374,659 57,374,659 57,374,659 57,374,659 Rolling Return and Tracking Error 12.0

8.0

4.0

0.0

Active Return (%) Return Active -4.0

-8.0

-12.0 9/95 9/96 9/97 9/98 9/99 9/00 9/01 9/02 9/03 9/04 9/05 9/06 9/07 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18 9/19 6/21

Rolling 3 Yrs Active Return Rolling Tracking Error Active Return

Performance Since Inception 1 Qtr 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Date UBS Realty 2.9 2.2 0.4 2.9 5.3 6.8 8.9 07/01/1995 NCREIF ODCE Equal Weighted 4.4 8.8 6.1 7.0 8.8 9.8 8.6 Difference -1.5 -6.6 -5.7 -4.1 -3.5 -3.0 0.3

94 City of Cambridge JP Morgan SPF Fund As of June 30, 2021

Gain / Loss 1 1 3 5 7 10 Since Inception Quarter Year Years Years Years Years Inception Date JP Morgan SPF Fund 07/01/2018 Beginning Market Value 38,267,869 37,141,266 35,000,000 35,000,000 Net Cash Flows -280,446 -835,890 -835,890 Income Gain/Loss 1,021,269 2,428,318 5,125,028 5,125,028 Ending Market Value 39,289,138 39,289,138 39,289,138 39,289,138 Rolling Return and Tracking Error 3.0

2.0

1.0

0.0

Active Return (%) Return Active -1.0

-2.0

-3.0 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/20 9/20 12/20 3/21 6/21

Rolling 3 Yrs Active Return Rolling Tracking Error Active Return

Performance Since Inception 1 Qtr 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Date JP Morgan SPF Fund 2.7 6.6 4.7 4.7 07/01/2018 NCREIF ODCE Equal Weighted 4.4 8.8 6.1 7.0 8.8 9.8 6.1 Difference -1.7 -2.2 -1.4 -1.4

95 City of Cambridge Intercontinental Real Estate As of June 30, 2021

Gain / Loss 1 1 3 5 7 10 Since Inception Quarter Year Years Years Years Years Inception Date Intercontinental Real Estate 04/01/2017 Beginning Market Value 37,157,007 35,918,123 22,308,082 20,000,000 Net Cash Flows -80,721 -324,195 9,090,985 8,871,855 Income 649,287 Gain/Loss 1,632,365 3,114,723 7,309,584 9,187,509 Ending Market Value 38,708,651 38,708,651 38,708,651 38,708,651 Rolling Return and Tracking Error

3.6

2.7

1.8

0.9

Active Return (%) Return Active 0.0

-0.9

-1.8 6/17 9/17 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/20 9/20 12/20 3/21 6/21

Rolling 3 Yrs Active Return Rolling Tracking Error Active Return

Performance Since Inception 1 Qtr 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Date Intercontinental Real Estate 4.4 8.7 7.4 8.2 04/01/2017 NCREIF ODCE Equal Weighted 4.4 8.8 6.1 7.0 8.8 9.8 6.7 Difference 0.0 -0.1 1.3 1.5

96 City of Cambridge Rockwood Capital Real Estate Partners Fund IX, LP As of June 30, 2021

Fund Information Type of Fund: Partnership Vintage Year: 2013 Strategy Type: Value-Add Real Estate Management Fee: 1.40% Preferred Return: 8% Inception: 06/08/2012 Final Close: 06/08/2013 Investment Strategy: Rockwood employs a top-down strategy focused on economic cycles, employment changes, demographic trends, and capital market fluctuations combined with a bottom-up analysis of supply and demand as reflected in occupancy and rent levels within various property sectors and markets. Similar to Rockwood’s prior eight funds, Fund IX will focus on building a portfolio of United States real estate investments that has strong in place cash flow and the potential for near term income growth through value creation activities such as leasing, re-leasing, repositioning, redeveloping, and changing use. The fund may also engage in ground-up development where income is expected to be put in place within 36 to 48 months of acquisition. The fund will be diversified by property sector, geography, and life cycle with weightings influenced by various economic, real estate, and capital cycles. Rockwood is targeting an asset class mix of 15% to 35% of its capital in each of its primary property sectors: office and other workspace, residential rental apartments, retail, and hotel although this range is not fixed. The fund will also invest in special situations with compelling risk adjusted returns. Fund IX will focus on select United States markets such as Boston, Las Vegas, New York, Phoenix, Southeast Florida, San Francisco/Bay Area, Seattle, Southern California, and Washington, D.C./Northern Virginia/Southern Maryland, as well as Canada and the Caribbean.

Cash Flow Summary Cash Flow Analysis Capital Committed: $18,000,000 $34,000,000.0 Total Contributions: $16,583,722 Remaining Capital Commitment: $1,503,081 $25,500,000.0

Total Distributions: $18,655,920 $17,000,000.0 Market Value: $3,476,490 $8,500,000.0 Inception Date: 06/05/2013 Inception IRR: 10.2 $0.0 TVPI: 1.3 DPI: 1.1 ($8,500,000.0) 6/13 3/14 12/14 9/15 6/16 3/17 12/17 9/18 6/19 3/20 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

97 City of Cambridge Landmark Real Estate Fund VI As of June 30, 2021

Fund Information Type of Fund: Partnership Vintage Year: 2010 Strategy Type: Value-Add Real Estate Management Fee: 1% Preferred Return: 8.0% preferred return Inception: 12/31/2009 Final Close: 3/31/2011 Investment Strategy: Landmark Real Estate Fund VI ("Landmark VI") intends to invest in diversified real estate and real estate related entities via private secondary market transactions. The Partnership will seek to create a portfolio that is diversified by strategy, property type, geographic location, general partner/sponsoring firm, and vintage year. Landmark will attempt to leverage its brand name and investment expertise to provide exposure to first tier investments at favorable valuations.

Cash Flow Summary Cash Flow Analysis Capital Committed: $5,500,000 $12,800,000.0 Total Contributions: $4,842,191 Remaining Capital Commitment: $657,809 $9,600,000.0

Total Distributions: $7,248,999 $6,400,000.0 Market Value: $225,086 $3,200,000.0 Inception Date: 05/19/2010 Inception IRR: 18.7 $0.0 TVPI: 1.5 DPI: 1.5 ($3,200,000.0) 6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 6/18 6/19 6/20 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

98 City of Cambridge Penn Square Global Real Estate II As of June 30, 2021

Fund Information Type of Fund: Partnership Vintage Year: 2009 Strategy Type: Opportunistic Real Estate Management Fee: 100 bps on total capital commitments during the investment period, thereafter on invested capital. Incentive fee of 10% of profits over a 10% IRR. Preferred Return: 9% Inception: 04/01/2010 Final Close: 3/31/2010 Investment Strategy: Opportunistic returns with a multi-strategy, globally allocated portfolio invested in non-core real estate funds through direct fund and secondary investments, recapitalizations, joint-ventures, and co-investments.

Cash Flow Summary Cash Flow Analysis Capital Committed: $5,500,000 $10,400,000.0 Total Contributions: $3,355,000 Remaining Capital Commitment: $2,145,000 $7,800,000.0

Total Distributions: $5,647,641 $5,200,000.0 Market Value: $346,375 $2,600,000.0 Inception Date: 06/25/2010 Inception IRR: 12.2 $0.0 TVPI: 1.8 DPI: 1.7 ($2,600,000.0) 6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 6/18 6/19 6/20 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

99 City of Cambridge IFM Global Infrastructure (US), L.P. As of June 30, 2021

Gain / Loss 1 1 3 5 7 10 Since Inception Quarter Year Years Years Years Years Inception Date IFM Global Infrastructure (US), L.P. 09/01/2017 Beginning Market Value 61,166,056 56,862,296 34,587,769 30,000,000 Net Cash Flows 13,436,878 13,436,878 Income Gain/Loss 3,971,969 8,275,729 17,113,378 21,701,147 Ending Market Value 65,138,025 65,138,025 65,138,025 65,138,025 Rolling Return and Tracking Error

12.0

8.0

4.0

0.0 Active Return (%) Return Active

-4.0

-8.0 12/17 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/20 9/20 12/20 3/21 6/21

Rolling 3 Yrs Active Return Rolling Tracking Error Active Return

Performance Since Inception 1 Qtr 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Date IFM Global Infrastructure (US), L.P. 6.5 14.6 12.6 13.9 09/01/2017 CPI + 3.5% 3.2 9.0 6.2 6.0 5.5 5.5 6.2 Difference 3.3 5.6 6.4 7.7

100 City of Cambridge Hancock Timberland and Farmland Fund As of June 30, 2021

Gain / Loss 1 1 3 5 7 10 Since Inception Quarter Year Years Years Years Years Inception Date Hancock Timberland and Farmland Fund 01/01/2018 Beginning Market Value 15,240,268 11,568,872 5,174,671 168,000 Net Cash Flows -68,891 3,292,504 8,951,904 13,959,104 Income Gain/Loss 701,137 1,011,138 1,745,939 1,745,410 Ending Market Value 15,872,514 15,872,514 15,872,514 15,872,514 Rolling Return and Tracking Error 9.0

6.0

3.0

0.0

Active Return (%) Return Active -3.0

-6.0

-9.0 3/18 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/20 9/20 12/20 3/21 6/21

Rolling 3 Yrs Active Return Rolling Tracking Error Active Return

Performance Since Inception 1 Qtr 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Date Hancock Timberland and Farmland Fund 4.6 6.9 5.5 4.5 01/01/2018 NCREIF Timberland Index 1.7 3.1 2.1 2.7 3.8 4.7 2.2 Difference 2.9 3.8 3.4 2.3

101 City of Cambridge Hancock Timber X As of June 30, 2021

Fund Information Type of Fund: Partnership Vintage Year: 2010 Strategy Type: Timber Management Fee: Preferred Return: Inception: 05/01/2010 Final Close: Investment Strategy: Hancock Timber is an advocate of global diversification in order to reduce the volatility of returns and provide greater investment opportunities. Since regional timberland returns are imperfectly correlated, geographic diversification enhances performance. It also strengthens their understanding of regional and local timber and timberland market conditions. Furthermore, they perform intensive forest management at a relatively low cost via Hancock Forest Management (HFM) to strengthen performance. HFM provides alignment of interest ensuring assets are well protected and that property information is secure. The primary risks associated with timberland investments are (1) timber price risk, (2) harvest volume and regulatory risk, and (3) property value and liquidity risk. Hancock Timber’s core global investment regions are the US South, US North, US West, South America, Scandinavia, Australia, and New Zealand.

Cash Flow Summary Cash Flow Analysis Capital Committed: $6,000,000 $15,600,000.0 Total Contributions: $6,000,000 Remaining Capital Commitment: $11,700,000.0

Total Distributions: $2,137,251 $7,800,000.0 Market Value: $8,791,084 $3,900,000.0 Inception Date: 05/03/2010 Inception IRR: 6.8 $0.0 TVPI: 1.8 DPI: 0.4 ($3,900,000.0) 6/10 6/11 6/12 6/13 6/14 6/15 6/16 6/17 6/18 6/19 6/20 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

102 City of Cambridge Campbell Global Timber Fund As of June 30, 2021

Fund Information Type of Fund: Partnership Vintage Year: 2017 Strategy Type: Timber Management Fee: 75 bps on all assets Preferred Return: 10% Inception: 12/31/2016 Final Close: 12/31/2018 Investment Strategy: The Campbell Global Timber Fund is targeting commitments of $500 million with a minimum commitment of $10 million. The Fund will allocate at least 70% of capital to seven core countries – Australia, Brazil, New Zealand, United States, Uruguay, Canada and Chile – that possess developed timberlands and timber markets. The balance of the Fund will consist of opportunistic investments in emerging timberland markets. The Fund will focus on existing plantations, or at least during the early stages of the fund. The team will consider greenfield plantations but wants to ensure there is healthy income generation before investing in these types of assets. It is a sequencing exercise, as the fund will make cash-flow producing investments to support future greenfield acquisitions. Transactions will range in size from $20m to $100m.

Cash Flow Summary Cash Flow Analysis Capital Committed: $15,000,000 $25,600,000.0 Total Contributions: $14,540,044 Remaining Capital Commitment: $459,956 $19,200,000.0

Total Distributions: $9,926,500 $12,800,000.0 Market Value: $7,651,508 $6,400,000.0 Inception Date: 06/12/2018 Inception IRR: 19.1 $0.0 TVPI: 1.2 DPI: 0.6 ($6,400,000.0) 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/20 9/20 12/20 3/21 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

103 Private Equity

104 City of Cambridge Private Equity Composite Overview As of June 30, 2021

Cash Flow Summary Cash Flow Analysis Capital Committed: $309,000,000 $359,600,000.0 Total Contributions: $190,050,075 Remaining Capital Commitment: $121,718,218 $269,700,000.0

Total Distributions: $119,001,293 $179,800,000.0 Market Value: $208,285,954

$89,900,000.0 Inception Date: 04/01/2009 Inception IRR: 16.8 TVPI: 1.7 $0.0

($89,900,000.0) 3/09 3/10 3/11 3/12 3/13 3/14 3/15 3/16 3/17 3/18 3/19 3/20 6/21

Net Asset Value Distribution Contributions

Private Equity Portfolio Capital Total Total Market Investment Vintage Investment Committed Contribution Distribution Value IRR TVPI DPI Partnerships Type Year Strategy ($) ($) ($) ($) (%) Multiple Multiple Charles River Partnership VII* 5,268,341 0.0 0.0 0.0 Charles River VIII 12,234,949 0.0 0.0 0.0 Hamilton Lane Private Equity Offshore Fund VI, LP Fund Of Funds 2007 Hybrid 10,000,000 8,991,511 12,468,291 1,542,165 8.3 1.6 1.4 Ascent Venture II Partnership 1995 Venture Capital 2,000,000 1,937,015 6,456,567 26.7 3.3 3.3 Ascent Venture III Partnership 2000 Venture Capital 5,000,000 4,650,000 5,779,896 236 3.6 1.2 1.2 Ascent Venture IV Partnership 2004 Venture Capital 3,000,000 3,000,000 501,166 10,505 -27.1 0.2 0.2 Ascent Venture V Partnership 2005 Venture Capital 5,000,000 4,850,000 3,202,048 4,199,976 6.6 1.5 0.7 BlackRock Vesey Street Fund II LP Fund Of Funds 2002 Hybrid 10,000,000 9,086,249 16,433,445 371,340 10.3 1.8 1.8 Hamilton Lane Private Equity Offshore Fund VIII, LP Fund Of Funds 2012 Diversified 6,500,000 4,985,732 2,114,777 4,612,992 6.6 1.3 0.4 BlackRock Vesey Street Fund V LP Fund Of Funds 2012 Hybrid 6,500,000 5,321,268 1,938,892 7,061,106 10.4 1.7 0.4 Landmark Equity Partners XV, LP Secondary 2013 Hybrid 10,000,000 8,027,332 6,422,530 4,718,554 14.6 1.4 0.8 Lexington Capital Partners VIII, LP Fund Of Funds 2014 Secondaries 20,000,000 18,292,948 13,543,998 14,390,101 18.1 1.6 0.8 PRIT Fund Private Equity 2015 Fund Of Funds 2015 Hybrid 33,000,000 31,530,215 18,803,312 55,516,054 30.5 2.4 0.6 PRIT Fund Private Equity 2016 Fund Of Funds 2016 Hybrid 22,000,000 18,555,888 5,673,914 24,921,563 20.6 1.7 0.3 PRIT Fund Private Equity 2017 Fund Of Funds 2017 Hybrid 40,000,000 27,449,836 3,380,122 38,074,258 25.3 1.5 0.1

105 City of Cambridge Private Equity Composite Overview As of June 30, 2021

Capital Total Total Market Investment Vintage Investment Committed Contribution Distribution Value IRR TVPI DPI Partnerships Type Year Strategy ($) ($) ($) ($) (%) Multiple Multiple PRIT Fund Private Equity 2018 Fund Of Funds 2018 Hybrid 32,000,000 20,761,208 2,541,705 25,630,823 25.3 1.4 0.1 PRIT Fund Private Equity 2019 Fund Of Funds 2019 Hybrid 29,000,000 14,168,031 2,202,681 17,557,976 39.9 1.4 0.2 PRIT Fund Private Equity 2020 Fund Of Funds 2020 Hybrid 45,000,000 6,236,242 34,660 7,501,058 41.6 1.2 0.0 PRIT Fund Private Equity 2021 Fund Of Funds 2021 Hybrid 30,000,000 2,206,599 2,177,247 -2.4 1.0 0.0

Private Equity Total Fund Hybrid 309,000,000 190,050,075 119,001,293 208,285,954 16.8 1.7 0.6

106 City of Cambridge Ascent Venture III As of June 30, 2021

Fund Information Type of Fund: Partnership Vintage Year: 2000 Strategy Type: Venture Capital Management Fee: 2.25% on capital committed until December 31, 2005, thereafter the fee will be reduced by 0.25% per year to a minimum of 1.25% and by an additional 10% upon formation of a subsequent fund. Ascent Ventures III is no longer collecting fees as it is in Preferred Return: Inception: 11/01/1999 Final Close: Investment Strategy: Invests in early stage, emerging growth and growth capital technology companies in the east coast

Cash Flow Summary Cash Flow Analysis Capital Committed: $5,000,000 $10,400,000.0 Total Contributions: $4,650,000 Remaining Capital Commitment: $350,000 $7,800,000.0

Total Distributions: $5,779,896 $5,200,000.0 Market Value: $236 $2,600,000.0 Inception Date: 11/23/1999 Inception IRR: 3.6 $0.0 TVPI: 1.2 DPI: 1.2 ($2,600,000.0) 12/99 9/01 6/03 3/05 12/06 9/08 6/10 3/12 12/13 9/15 6/17 3/19 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

107 City of Cambridge Ascent Venture IV As of June 30, 2021

Fund Information Type of Fund: Partnership Vintage Year: 2004 Strategy Type: Venture Capital Management Fee: 2.5% of capital commitments Preferred Return: Inception: 10/01/2004 Final Close: Investment Strategy: Invests in early stage, emerging growth and growth capital technology companies in the east coast

Cash Flow Summary Cash Flow Analysis Capital Committed: $3,000,000 $5,200,000.0 Total Contributions: $3,000,000 Remaining Capital Commitment: $3,900,000.0

Total Distributions: $501,166 $2,600,000.0 Market Value: $10,505 $1,300,000.0 Inception Date: 07/22/2004 Inception IRR: -27.1 $0.0 TVPI: 0.2 DPI: 0.2 ($1,300,000.0) 7/04 10/05 1/07 4/08 7/09 10/10 1/12 4/13 7/14 10/15 1/17 4/18 7/19 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

108 City of Cambridge Ascent Venture V As of June 30, 2021

Fund Information Type of Fund: Partnership Vintage Year: 2005 Strategy Type: Venture Capital Management Fee: 2.5% of capital committed, thereafter the fee will be reduced by 10% per year to a minimum of 1.5% of aggregate commitments Preferred Return: Inception: 07/01/2005 Final Close: Investment Strategy: Invests in early stage, emerging growth and growth capital technology companies in the east coast

Cash Flow Summary Cash Flow Analysis Capital Committed: $5,000,000 $11,200,000.0 Total Contributions: $4,850,000 Remaining Capital Commitment: $150,000 $8,400,000.0

Total Distributions: $3,202,048 $5,600,000.0 Market Value: $4,199,976 $2,800,000.0 Inception Date: 09/22/2008 Inception IRR: 6.6 $0.0 TVPI: 1.5 DPI: 0.7 ($2,800,000.0) 9/08 9/09 9/10 9/11 9/12 9/13 9/14 9/15 9/16 9/17 9/18 9/19 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

109 City of Cambridge BlackRock Vesey Street Fund II LP As of June 30, 2021

Fund Information Type of Fund: Fund Of Funds Vintage Year: 2002 Strategy Type: Hybrid Management Fee: 1% of capital committed Preferred Return: Inception: 02/01/2004 Final Close: Investment Strategy: Designed as a core diversified private equity investment that invest across the spectrum of private equity disciplines, including buyouts, venture capital, distressed securities, and mezzanine financing. The Fund will invest up to 30% in non US.

Cash Flow Summary Cash Flow Analysis Capital Committed: $10,000,000 $29,200,000.0 Total Contributions: $9,086,249 Remaining Capital Commitment: $950,000 $21,900,000.0

Total Distributions: $16,433,445 $14,600,000.0 Market Value: $371,340 $7,300,000.0 Inception Date: 02/19/2004 Inception IRR: 10.3 $0.0 TVPI: 1.8 DPI: 1.8 ($7,300,000.0) 3/04 6/05 9/06 12/07 3/09 6/10 9/11 12/12 3/14 6/15 9/16 12/17 3/19 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

110 City of Cambridge BlackRock Vesey Street Fund V LP As of June 30, 2021

Fund Information Type of Fund: Fund Of Funds Vintage Year: 2012 Strategy Type: Hybrid Management Fee: 0.65% on committed capital during the investment period and on invested capital thereafter Preferred Return: 5% on primaries, 10% on secondary investments and 17.5% on direct co- Inception: 03/21/2012 investments Final Close: 07/31/2014 Investment Strategy: Designed to provide capital appreciation through diversified private equity funds and direct co-investments with General Partners. Primary funds are up to 75% of the investment program, direct co-investments can be up to 30%, and secondary investments can be up to 15%. BlackRock emphasizes its experience in direct co-investments, where it looks to systematically source, and “cherry pick” ideas from the best General Partners. BlackRock looks to use direct co-investments as a diversification, risk mitigation, and alpha generation tool. The allocation to secondary funds is seen as opportunistic.

Cash Flow Summary Cash Flow Analysis Capital Committed: $6,500,000 $13,600,000.0 Total Contributions: $5,321,268 Remaining Capital Commitment: $1,243,732 $10,200,000.0

Total Distributions: $1,938,892 $6,800,000.0 Market Value: $7,061,106 $3,400,000.0 Inception Date: 05/23/2013 Inception IRR: 10.4 $0.0 TVPI: 1.7 DPI: 0.4 ($3,400,000.0) 6/13 3/14 12/14 9/15 6/16 3/17 12/17 9/18 6/19 3/20 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

111 City of Cambridge Hamilton Lane Private Equity Offshore Fund VI, LP As of June 30, 2021

Fund Information Type of Fund: Fund Of Funds Vintage Year: 2007 Strategy Type: Hybrid Management Fee: 50 bps year 1, 75 bps year 2, 100 bps years 3 to 9, 90 bps year 10, 81 bps year 11, 73 bps year 12, 66 bps year 13, 59 bps year 14 Preferred Return: Inception: 10/01/2007 Final Close: Investment Strategy: The global diversified portfolio will allocate to buyouts (US and Europe), venture capital/growth equity, distressed/credit, and secondaries and will consider opportunities across geographies. The Fund has the ability to make direct co-investments in private equity portfolio companies and is expected to be minimal.

Cash Flow Summary Cash Flow Analysis Capital Committed: $10,000,000 $22,400,000.0 Total Contributions: $8,991,511 Remaining Capital Commitment: $1,008,489 $16,800,000.0

Total Distributions: $12,468,291 $11,200,000.0 Market Value: $1,542,165 $5,600,000.0 Inception Date: 12/18/2007 Inception IRR: 8.3 $0.0 TVPI: 1.6 DPI: 1.4 ($5,600,000.0) 12/07 12/08 12/09 12/10 12/11 12/12 12/13 12/14 12/15 12/16 12/17 12/18 12/19 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

112 City of Cambridge Hamilton Lane Private Equity Offshore Fund VIII, LP As of June 30, 2021

Fund Information Type of Fund: Fund Of Funds Vintage Year: 2012 Strategy Type: Diversified Management Fee: 50 bps year 1, 75 bps year 2, 100 bps years 3 to 9, thereafter fees will decline by 10% per year Preferred Return: Inception: 04/01/2013 Final Close: April 2014 Investment Strategy: The global diversified portfolio will allocate to buyouts (20% US and 15% Europe), venture capital/growth equity (15%), distressed/credit (20%), emerging markets (15%) and secondaries (15%) and will consider opportunities across geographies (approximately 70% US and 30% Non-US). The Fund has the ability to make direct co-investments in private equity portfolio companies, but this will be limited to no more than 10% of the Fund, and is expected to be minimal. Commitments will be made across 4 vintage years seeking exposure to different market cycles and avoiding significant exposure to any single adverse cycle, should this occur.

Cash Flow Summary Cash Flow Analysis Capital Committed: $6,500,000 $8,800,000.0 Total Contributions: $4,985,732 Remaining Capital Commitment: $1,636,230 $6,600,000.0

Total Distributions: $2,114,777 $4,400,000.0 Market Value: $4,612,992 $2,200,000.0 Inception Date: 04/25/2013 Inception IRR: 6.6 $0.0 TVPI: 1.3 DPI: 0.4 ($2,200,000.0) 4/13 1/14 10/14 7/15 4/16 1/17 10/17 7/18 4/19 1/20 10/20 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

113 City of Cambridge Landmark Equity Partners XV, LP As of June 30, 2021

Fund Information Type of Fund: Secondary Vintage Year: 2013 Strategy Type: Hybrid Management Fee: Preferred Return: 8% Inception: 02/01/2015 Final Close: Dec. 2014 Investment Strategy: The strategy provides investors with exposure across all of the private equity secondaries strategies, with a focus on the middle market, where price is often not the only determining factor. The portfolio construction includes target allocations to the full range of buyout capitalization fund sizes, as well as venture capital and mezzanine in both the U.S. and globally to capture the full range of possible alpha generating opportunities across various market cycles.

Cash Flow Summary Cash Flow Analysis Capital Committed: $10,000,000 $14,000,000.0 Total Contributions: $8,027,332 Remaining Capital Commitment: $1,972,668 $10,500,000.0

Total Distributions: $6,422,530 $7,000,000.0 Market Value: $4,718,554 $3,500,000.0 Inception Date: 02/10/2015 Inception IRR: 14.6 $0.0 TVPI: 1.4 DPI: 0.8 ($3,500,000.0) 3/15 9/15 3/16 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

114 City of Cambridge Lexington Capital Partners VIII, LP As of June 30, 2021

Fund Information Type of Fund: Fund Of Funds Vintage Year: 2014 Strategy Type: Secondaries Management Fee: 1% Preferred Return: 7% Inception: 01/01/2014 Final Close: 04/17/2015 Investment Strategy: Lexington Capital Partners VIII (“LCP VIII”) will focus on acquiring mature portfolios of global buyout, mezzanine and venture capital partnership interests. While LCP VIII is expected to concentrate on acquiring portfolios of interests in global private investment funds, it will also consider a full range of transaction types, including direct secondary investments, hedge fund private equity assets, institutional equity co-investments (directs), capital financial spin-outs and private investment fund recapitalizations. Typically, LCP VIII will target a Limited Partnership interest which is 75% - 80% funded (i.e., drawn down), and five years in age which represents an approximate inflexion point where the private equity fund has begun to turn around or is about to enter its liquidity phase. At times, LCP VIII will consider acquiring a “tail-end” partnership interest which is fully funded, but represents an excellent “unrealized” portfolio. The anticipated portfolio allocation for LCP VIII will be approximately 60% buyouts (including 25% Western Europe), 15% venture capital, 12% growth equity, 5% infrastructure, 3% energy and 5% credit. Geographically, the Fund is expected to be 65% U.S., 25% Western Europe and 10% Asia/Rest of World.

Cash Flow Summary Cash Flow Analysis Capital Committed: $20,000,000 $34,000,000.0 Total Contributions: $18,292,948 Remaining Capital Commitment: $2,764,787 $25,500,000.0

Total Distributions: $13,543,998 $17,000,000.0 Market Value: $14,390,101 $8,500,000.0 Inception Date: 04/27/2015 Inception IRR: 18.1 $0.0 TVPI: 1.6 DPI: 0.8 ($8,500,000.0) 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 4/20 10/20 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

115 City of Cambridge PRIT Fund Private Equity 2015 As of June 30, 2021

Fund Information Type of Fund: Fund Of Funds Vintage Year: 2015 Strategy Type: Hybrid Management Fee: Fees are not charged to local retirement systems participating in the PRIT. PRIM’s actual budgeted expenditures are “passed through” to the client on a monthly basis, and are netted from the investment returns. Actual monthly expenses are allocated t Preferred Return: Inception: 04/01/2015 Final Close: Dec 2014 Investment Strategy: Historically, the investment selection includes several re-ups with the same managers, and this is expected to continue. However, the team expects to add a few new managers in each Vintage Year Fund. The focus is on funds at the smaller end, defined as fund sizes of $800 million to $2 billion. The commitment amounts to underlying funds range from $20 million to $300 million, and it is expected that there will be a few at the higher end in each Vintage Year Fund.

Cash Flow Summary Cash Flow Analysis Capital Committed: $33,000,000 $103,600,000.0 Total Contributions: $31,530,215 Remaining Capital Commitment: $1,798,628 $77,700,000.0

Total Distributions: $18,803,312 $51,800,000.0 Market Value: $55,516,054 $25,900,000.0 Inception Date: 04/01/2015 Inception IRR: 30.5 $0.0 TVPI: 2.4 DPI: 0.6 ($25,900,000.0) 4/15 10/15 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 4/20 10/20 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

116 City of Cambridge PRIT Fund Private Equity 2016 As of June 30, 2021

Fund Information Type of Fund: Fund Of Funds Vintage Year: 2016 Strategy Type: Hybrid Management Fee: Fees are not charged to local retirement systems participating in the PRIT. PRIM’s actual budgeted expenditures are “passed through” to the client on a monthly basis, and are netted from the investment returns. Actual monthly expenses are allocated t Preferred Return: Inception: 04/01/2016 Final Close: Dec 2015 Investment Strategy: Historically, the investment selection includes several re-ups with the same managers, and this is expected to continue. However, the team expects to add a few new managers in each Vintage Year Fund. The focus is on funds at the smaller end, defined as fund sizes of $800 million to $2 billion. The commitment amounts to underlying funds range from $20 million to $300 million, and it is expected that there will be a few at the higher end in each Vintage Year Fund.

Cash Flow Summary Cash Flow Analysis Capital Committed: $22,000,000 $43,600,000.0 Total Contributions: $18,555,888 Remaining Capital Commitment: $4,491,054 $32,700,000.0

Total Distributions: $5,673,914 $21,800,000.0 Market Value: $24,921,563 $10,900,000.0 Inception Date: 04/01/2016 Inception IRR: 20.6 $0.0 TVPI: 1.7 DPI: 0.3 ($10,900,000.0) 4/16 10/16 4/17 10/17 4/18 10/18 4/19 10/19 4/20 10/20 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

117 City of Cambridge PRIT Fund Private Equity 2017 As of June 30, 2021

Fund Information Type of Fund: Fund Of Funds Vintage Year: 2017 Strategy Type: Hybrid Management Fee: Fees are not charged to local retirement systems participating in the PRIT. PRIM’s actual budgeted expenditures are “passed through” to the client on a monthly basis, and are netted from the investment returns. Actual monthly expenses are allocated t Preferred Return: Inception: 06/01/2017 Final Close: Dec 2016 Investment Strategy: Historically, the investment selection includes several re-ups with the same managers, and this is expected to continue. However, the team expects to add a few new managers in each Vintage Year Fund. The focus is on funds at the smaller end, defined as fund sizes of $800 million to $2 billion. The commitment amounts to underlying funds range from $20 million to $300 million, and it is expected that there will be a few at the higher end in each Vintage Year Fund.

Cash Flow Summary Cash Flow Analysis Capital Committed: $40,000,000 $71,600,000.0 Total Contributions: $27,449,836 Remaining Capital Commitment: $12,617,289 $53,700,000.0

Total Distributions: $3,380,122 $35,800,000.0 Market Value: $38,074,258 $17,900,000.0 Inception Date: 05/01/2017 Inception IRR: 25.3 $0.0 TVPI: 1.5 DPI: 0.1 ($17,900,000.0) 6/17 12/17 6/18 12/18 6/19 12/19 6/20 12/20 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

118 City of Cambridge PRIT Fund Private Equity 2018 As of June 30, 2021

Fund Information Type of Fund: Fund Of Funds Vintage Year: 2018 Strategy Type: Hybrid Management Fee: Fees are not charged to local retirement systems participating in the PRIT. PRIM’s actual budgeted expenditures are “passed through” to the client on a monthly basis, and are netted from the investment returns. Actual monthly expenses are allocated t Preferred Return: Inception: 06/01/2018 Final Close: Dec 2017 Investment Strategy: Historically, the investment selection includes several re-ups with the same managers, and this is expected to continue. However, the team expects to add a few new managers in each Vintage Year Fund. The focus is on funds at the smaller end, defined as fund sizes of $800 million to $2 billion. The commitment amounts to underlying funds range from $20 million to $300 million, and it is expected that there will be a few at the higher end in each Vintage Year Fund.

Cash Flow Summary Cash Flow Analysis Capital Committed: $32,000,000 $35,700,000.0 Total Contributions: $20,761,208 Remaining Capital Commitment: $11,274,035 $23,800,000.0

Total Distributions: $2,541,705 Market Value: $25,630,823 $11,900,000.0

Inception Date: 06/01/2018 $0.0 Inception IRR: 25.3 TVPI: 1.4 DPI: 0.1 ($11,900,000.0) 6/18 9/18 12/18 3/19 6/19 9/19 12/19 3/20 6/20 9/20 12/20 3/21 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

119 City of Cambridge PRIT Fund Private Equity 2019 As of June 30, 2021

Fund Information Type of Fund: Fund Of Funds Vintage Year: 2019 Strategy Type: Hybrid Management Fee: Fees are not charged to local retirement systems participating in the PRIT. PRIM’s actual budgeted expenditures are “passed through” to the client on a monthly basis, and are netted from the investment returns. Actual monthly expenses are allocated t Preferred Return: Inception: 04/01/2019 Final Close: December 2018 Investment Strategy: Historically, the investment selection includes several re-ups with the same managers, and this is expected to continue. However, the team expects to add a few new managers in each Vintage Year Fund. The focus is on funds at the smaller end, defined as fund sizes of $800 million to $2 billion. The commitment amounts to underlying funds range from $20 million to $300 million, and it is expected that there will be a few at the higher end in each Vintage Year Fund.

Cash Flow Summary Cash Flow Analysis Capital Committed: $29,000,000 $30,800,000.0 Total Contributions: $14,168,031 Remaining Capital Commitment: $14,839,665 $23,100,000.0

Total Distributions: $2,202,681 $15,400,000.0 Market Value: $17,557,976 $7,700,000.0 Inception Date: 04/01/2019 Inception IRR: 39.9 $0.0 TVPI: 1.4 DPI: 0.2 ($7,700,000.0) 4/19 7/19 10/19 1/20 4/20 7/20 10/20 1/21 4/21 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

120 City of Cambridge PRIT Fund Private Equity 2020 As of June 30, 2021

Fund Information Type of Fund: Fund Of Funds Vintage Year: 2020 Strategy Type: Hybrid Management Fee: Fees are not charged to local retirement systems participating in the PRIT. PRIM’s actual budgeted expenditures are “passed through” to the client on a monthly basis, and are netted from the investment returns. Actual monthly expenses are allocated t Preferred Return: Inception: 12/01/2019 Final Close: Investment Strategy: Historically, the investment selection includes several re-ups with the same managers, and this is expected to continue. However, the team expects to add a few new managers in each Vintage Year Fund. The focus is on funds at the smaller end, defined as fund sizes of $800 million to $2 billion. The commitment amounts to underlying funds range from $20 million to $300 million, and it is expected that there will be a few at the higher end in each Vintage Year Fund.

Cash Flow Summary Cash Flow Analysis Capital Committed: $45,000,000 $13,600,000.0 Total Contributions: $6,236,242 Remaining Capital Commitment: $38,765,155 $10,200,000.0

Total Distributions: $34,660 $6,800,000.0 Market Value: $7,501,058 $3,400,000.0 Inception Date: 03/02/2020 Inception IRR: 41.6 $0.0 TVPI: 1.2 DPI: 0.0 ($3,400,000.0) 3/20 6/20 9/20 12/20 3/21 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

121 City of Cambridge PRIT Fund Private Equity 2021 As of June 30, 2021

Fund Information Type of Fund: Fund Of Funds Vintage Year: 2021 Strategy Type: Hybrid Management Fee: Fees are not charged to local retirement systems participating in the PRIT. PRIM’s actual budgeted expenditures are “passed through” to the client on a monthly basis, and are netted from the investment returns. Preferred Return: Inception: 04/01/2021 Final Close: December 2020 Investment Strategy: Historically, the investment selection includes several re-ups with the same managers, and this is expected to continue. However, the team expects to add a few new managers in each Vintage Year Fund. The focus is on funds at the smaller end, defined as fund sizes of $800 million to $2 billion. The commitment amounts to underlying funds range from $20 million to $300 million, and it is expected that there will be a few at the higher end in each Vintage Year Fund.

Cash Flow Summary Cash Flow Analysis Capital Committed: $30,000,000 $4,000,000.0 Total Contributions: $2,206,599 Remaining Capital Commitment: $27,793,501 $3,000,000.0

Total Distributions: $2,000,000.0 Market Value: $2,177,247 $1,000,000.0 Inception Date: 04/01/2021 Inception IRR: -2.4 $0.0 TVPI: 1.0 DPI: 0.0 ($1,000,000.0) 4/21 6/21

Net Asset Value Distribution Contributions Due to the inconsistencies in reporting methodologies among managers, we do not report on Capital Invested, Management Fees, Expenses and Interest. However, the Market Value is net of all fees and expenses, and Total Contributions reflects interest paid.

122 Hedge Fund

123 City of Cambridge PRIT Hedge Fund As of June 30, 2021

Gain / Loss 1 1 3 5 7 10 Since Inception Quarter Year Years Years Years Years Inception Date PRIT Hedge Fund 07/01/2006 Beginning Market Value 64,239,727 82,981,664 105,895,662 91,318,659 72,973,199 52,523,574 30,000,000 Net Cash Flows -28,000,000 -48,000,000 -48,000,000 -28,000,000 -20,000,000 -2,502,453 Income Gain/Loss 1,694,399 10,952,462 8,038,465 22,615,467 20,960,928 33,410,552 38,436,579 Ending Market Value 65,934,126 65,934,126 65,934,126 65,934,126 65,934,126 65,934,126 65,934,126 Rolling Return and Tracking Error

16.0

8.0

0.0

-8.0 Active Return (%) Return Active

-16.0

-24.0 9/06 6/07 3/08 12/08 9/09 6/10 3/11 12/11 9/12 6/13 3/14 12/14 9/15 6/16 3/17 12/17 9/18 6/19 3/20 12/20 6/21

Rolling 3 Yrs Active Return Rolling Tracking Error Active Return

Performance Since Inception 1 Qtr 1 Yr 3 Yrs 5 Yrs 7 Yrs 10 Yrs Inception Date PRIT Hedge Fund 2.6 19.2 4.6 5.8 3.8 4.7 4.0 07/01/2006 90-Day T-Bill+ 5% 1.2 5.1 6.4 6.2 5.9 5.6 6.1 Difference 1.4 14.1 -1.8 -0.4 -2.1 -0.9 -2.1

124 Supplemental Information

125 Cambridge Retirement Board Investment Manager Roster

INVESTMENT MANAGERS BENCHMARK STATED STYLE FEE STRUCTURE

Rhumbline Russell 1000 Russell 1000 Large Cap Core 1.5 bps on all assets

BNY Mellon Russell 2000 Russell 2000 Small Cap Core 1.0 bps on all assets

RBC Capital MSCI EAFE Value International Equity 88 bps on all assets

Rhumbline EAFE Index MSCI EAFE International Equity 4.85 bps on all assets

Lazard MSCI Emg Mkts Emerging Markets 80 bps on all assets

Aberdeen MSCI Emg Mkts Emerging Markets 85.5 bps first $50 mill, 72 bps next $50 mill, 67.5 bps thereafter

BNY Mellon EM Index Fund MSCI Emg Mkts Emerging Markets 3.5 bps on all assets

Fidelity Fixed Barclays Aggregate Active Core 20 bps first $50 mill, 17.5 bps next $50 mill, 10 bps next $100 mill, 8.5 bps thereafter

Income Research Management Barclays Govt/Credit Active Core 35 bps first $25 mill, 25 bps next $25 mill, 20 bps next $50 mill, 15 bps thereafter

Loomis BofA ML HY Master II High Yield 40 bps on all assets

Pinebridge S&P/LSTA Leveraged Loan Index Bank Loan 40 bps on all assets

Brandywine Citigroup Non US Govt Bond International Fixed 45 bps first $50 mill, 40 bps next $50 mill, 35 bps thereafter

Fidelity EM Market Debt JPM EMBI Global Diversified Emerging Market Debt 65 bps first $50 mill, 50 bps next $50 mill, 45 bps thereafter

Wellington EM Market Debt JPM GBI-EM Global Diversified Emerging Market Debt 60 bps on all assets

95.5 bps first $10 mill, 82.5 bps next $15 mill, 80.5 bps next $25 mill, 79 bps next $50 mill, 67 bps UBS Trumbull Property Fund NCREIF ODCE Real Estate next $150, 60 bps thereafter (Incentive Fee varies)

Intercontinental NCREIF ODCE Real Estate 110 bps first $25M, 100 bps next $50M, 85 bps next $100M, 75 bps thereafter

JP Morgan SPF NCREIF ODCE Real Estate 100 bps on NAV

Hancock Timberland X NCREIF Timberland Timber 0.95% on committed capital

Hancock Timber and Farmland NCREIF Timberland Timber 100 bps on NAV

Campbell NCREIF Timberland Timber 75 bps on NAV

Landmark Real Estate VI NCREIF NPI Real Estate 1% of committed capital

Penn Square Global Real Estate II NCREIF NPI Real Estate 1% of committed capital

Rockwood IX NCREIF NPI Real Estate Blended rate multiplied by Limited Partner's capital commitment

Ascent Ventures III S&P 500 + 5% Venture Capital No longer charging fee

126 Cambridge Retirement Board Investment Manager Roster

INVESTMENT MANAGERS BENCHMARK STATED STYLE FEE STRUCTURE

2.5% of committed capital plus outstanding SBA leverage. Effective July 1, 2015, the management fee was reduced to 1.25%. The Management Fee shall be equal to $750,000 for each of the first Ascent Ventures IV S&P 500 + 5% Venture Capital two 12 month periods following June 15, 2016 and shall be equal to $500,000 during the third and fourth 12 month periods following June 15, 2016 2.5% of committed capital. Effective April 15, 2014, and each subsequent anniversary, the fee Ascent Ventures V S&P 500 + 5% Venture Capital percentage shall be equal to 90% of the fee percentage from the immediately preceding 12 month period, subject to a minimum of 1.5%

BlackRock II S&P 500 + 5% Private Equity Fund of Funds 1% of committed capital

BlackRock V S&P 500 + 5% Private Equity Fund of Funds See PPM for further detail-management fee includes two options

Hamilton Lane VI S&P 500 + 5% Private Equity Fund of Funds 50 bps year 1, 75 bps year 2, 100 bps years 3 to 9, over 9 years fee will decline by 10% per year

Hamilton Lane VIII S&P 500 + 5% Private Equity Fund of Funds 50 bps year 1, 75 bps year 2, 100 bps years 3 to 9, over 9 years fee will decline by 10% per year

100 bps on Committment Years 1-4, 100 bps on Base Amount Years 5-8, 100 bps on Reported Landmark Equity Partners XV S&P 500 + 5% Private Equity Secondary Fund of Funds Value Years 9 and after

Lexington VIII S&P 500 + 5% Private Equity Secondary Fund of Funds See PPM for further detail-management fee

PRIT Private Equity 2015 S&P 500 + 5% Private Equity Fund of Funds See PPM for further detail-management fee

PRIT Private Equity 2016 S&P 500 + 5% Private Equity Fund of Funds See PPM for further detail-management fee

PRIT Private Equity 2017 S&P 500 + 5% Private Equity Fund of Funds See PPM for further detail-management fee

PRIT Private Equity 2018 S&P 500 + 5% Private Equity Fund of Funds See PPM for further detail-management fee

PRIT Private Equity 2019 S&P 500 + 5% Private Equity Fund of Funds See PPM for further detail-management fee

PRIT Private Equity 2020 S&P 500 + 5% Private Equity Fund of Funds See PPM for further detail-management fee

PRIT Private Equity 2021 S&P 500 + 5% Private Equity Fund of Funds See PPM for further detail-management fee

IFM CPI + 3.5% Infrastructure 0.97% per annum based on NAV for commitments less than $300M

Cambridge Bancorp S&P 500 Special Investments N/A

PRIT Hedge Fund 91 Day T-Bill + 5% Hedge Fund of Funds N/A

Cash Account 91 Day T-Bill Cash N/A

Note: The fee schedule shown does not include the additional fees/expenses that commingled funds charge to run the fund. The additional expenses vary based on asset levels and actual expenses. These expenses are paid out of the Fund and are netted out of the NAV.

127 Statistics Definition

Statistics Definition Return - Compounded rate of return for the period. Jensens Beta - Risk adjusted beta. Standard Deviation - A statistical measure of the range of a portfolio's performance, the variability of a return around its average 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. 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 the absolute rate of return per unit of risk. The higher the value, the better the product’s historical risk-adjusted performance. Excess Return - Arithmetic difference between the managers return and the risk-free return over a specified time period. Alpha - A measure of the difference between a portfolio's actual returns and its expected performance, given its level of risk as measured by beta. It is a measure of the portfolio's historical performance not explained by movements of the market, or a portfolio's non-systematic return. Down Quarters - The number of quarters which returns < hurdle rate. Beta - A measure of the sensitivity of a portfolio to the movements in the market. It is a measure of a portfolio's non-diversifiable or systematic risk. Down Market Return - Portfolio Performance when market in down R-Squared - The percentage of a portfolio's performance explained by the behavior of the appropriate benchmark. High R-Square means a higher correlation of the portfolio's performance to the appropriate benchmark. Down Market Periods - Periods count when market return < 0 Tracking Error - A measure of the standard deviation of a portfolio's performance relative to the performance of an appropriate market benchmark. Cumulative Return - Cumulative performance over some specified period of time. Information Ratio - Measured by dividing the active rate of return by the tracking error. The higher the Information Ratio, the more value-added contribution by the manager. Best Quarter - The best of rolling 3 months(or 1 quarter) cumulative return. Active Return - Arithmetic difference between the managers return and the benchmark return over a specified time period. Best Annual Return - The best of rolling 12 months(or 4 quarters) annualized return. Up Market Capture - The ratio of average portfolio return over the benchmark during periods of positive benchmark return. Higher values indicate better product performance. Active Return/Risk - The ratio of the active return to it's standard deviation. Down Market Capture - The ratio of average portfolio return over the benchmark during periods of negative benchmark return. Lower values indicate better product performance.

128