Top 10 Relative Contributors and Detractors Equity Funds Quarter End As of June 30, 2021

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Top 10 Relative Contributors and Detractors Equity Funds Quarter End as of June 30, 2021

Holdings are subject to change. The information below is derived using the portfolio's holdings as of the beginning of each month included in the quarter ending on the date indicated, does not reflect intramonth trading activities, and may not be representative of the current or future investments of the portfolio. Portfolio and index weights below are average weights in each company over the period as represented by the portfolio's holdings or the index's constituents as of the beginning of each month included in the quarter. The information below should not be relied upon by the reader as research or investment advice regarding any security. This listing of portfolio holdings is for informational purposes only and should not be deemed a recommendation to buy or sell the securities. The holdings information below does not constitute an offer to sell or a solicitation of an offer to buy any security. The holdings information has not been audited.

To obtain a list showing every holding as a percentage of the portfolio at the end of the most recent publicly available disclosure period, visit www.dimensional.com. Relative Contribution Difference reflects how the portfolio's holdings impacted return relative to the benchmark. Relative Contribution Difference compares the performance of a security in the portfolio to the benchmark’s total return, factoring in the difference in weight of that security in the benchmark. Returns are calculated using daily security returns and month end weights. In aggregate, portfolio return estimates are gross of advisory fees, may exclude certain derivatives and will differ from actual fund performance.

By viewing this listing of portfolio holdings, you are agreeing to not redistribute the information and to not misuse this information to the detriment of portfolio shareholders. Misuse of this information includes, but is not limited to, (i) purchasing or selling any securities listed in the portfolio holdings solely in reliance upon this information; (ii) trading against any of the portfolios or (iii) knowingly engaging in any trading practices that are damaging to Dimensional or one of the portfolios.

Please note that a Portfolio that invests in other Portfolios typically does not hold securities directly. As such, "Contributors and Detractors" information for such a Portfolio represents "Contributors and Detractors" information of underlying Portfolios.

Dimensional Fund Advisors LP is an investment advisor registered with the Securities and Exchange Commission.

Consider the investment objectives, risks, and charges and expenses of the Dimensional funds carefully before investing. For this and other information about the Dimensional funds, please read the prospectus carefully before investing. Prospectuses are available by calling Dimensional Fund Advisors collect at (512) 306-7400 or at us.dimensional.com.

Dimensional funds are distributed by DFA Securities LLC.

Performance data shown represents past performance and is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, visit us.dimensional.com/funds.

Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio. Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. MSCI data © MSCI 2021, all rights reserved. Copyright 2021 S&P Dow Jones Indices LLC, a division of S&P Global. US Equity US Core Equity 1 Portfolio (I) vs. Russell 3000 Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Tesla Inc 0.45% 1.23% 0.05% Walt Disney Co/The 0.42% 0.79% 0.05% Uber Technologies Inc 0.03% 0.18% 0.02% Booking Holdings Inc 0.12% 0.23% 0.02% Seagate Technology PLC 0.06% — 0.02% Netflix Inc 0.24% 0.52% 0.02% Abbott Laboratories 0.31% 0.49% 0.02% Blackstone Group Inc/The 0.09% — 0.02% Snap Inc 0.06% — 0.01% Devon Energy Corp 0.09% 0.03% 0.01%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Alphabet Inc 2.03% 3.22% -0.13% NVIDIA Corp 0.55% 0.84% -0.11% Microsoft Corp 3.36% 4.41% -0.07% Facebook Inc 1.31% 1.82% -0.05% AMC Entertainment Holdings Inc — 0.01% -0.04% PayPal Holdings Inc 0.37% 0.72% -0.04% Moderna Inc 0.05% 0.11% -0.03% Verizon Communications Inc 0.84% 0.57% -0.03% Apple Inc 4.11% 4.79% -0.03% Amazon.com Inc 2.47% 3.31% -0.02%

US Core Equity 2 Portfolio (I) vs. Russell 3000 Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Walt Disney Co/The 0.28% 0.79% 0.07% Tesla Inc 0.16% 1.23% 0.07% Netflix Inc 0.12% 0.52% 0.03% Boeing Co/The 0.10% 0.31% 0.03% Abbott Laboratories 0.23% 0.49% 0.03% Uber Technologies Inc 0.00% 0.18% 0.03% NextEra Energy Inc 0.10% 0.35% 0.03% Booking Holdings Inc 0.10% 0.23% 0.03% Seagate Technology PLC 0.07% — 0.03% Procter & Gamble Co/The 0.54% 0.79% 0.02% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference NVIDIA Corp 0.25% 0.84% -0.23% Alphabet Inc 1.48% 3.22% -0.18% Facebook Inc 1.01% 1.82% -0.08% Microsoft Corp 3.37% 4.41% -0.07% PayPal Holdings Inc 0.15% 0.72% -0.07% Moderna Inc 0.00% 0.11% -0.06% Adobe Inc 0.27% 0.57% -0.04% AMC Entertainment Holdings Inc — 0.01% -0.04% Apple Inc 3.91% 4.79% -0.04% Amazon.com Inc 2.03% 3.31% -0.04%

US High Relative Profitability Portfolio vs. Russell 1000 Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Eli Lilly and Co 1.38% 0.41% 0.18% Target Corp 1.22% 0.27% 0.13% Walt Disney Co/The — 0.85% 0.12% United Parcel Service Inc 1.15% 0.36% 0.10% IDEXX Laboratories Inc 0.59% 0.11% 0.09% Tesla Inc — 1.32% 0.09% Seagate Technology PLC 0.20% — 0.07% NIKE Inc 1.33% 0.43% 0.07% JPMorgan Chase & Co — 1.22% 0.07% Procter & Gamble Co/The — 0.84% 0.07%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Intel Corp 2.49% 0.63% -0.38% Alphabet Inc — 3.46% -0.36% Verizon Communications Inc 2.80% 0.61% -0.25% NVIDIA Corp 0.31% 0.90% -0.23% Facebook Inc — 1.95% -0.18% Caterpillar Inc 1.34% 0.33% -0.15% Deere & Co 1.16% 0.27% -0.13% Amgen Inc 1.53% 0.36% -0.12% Union Pacific Corp 1.76% 0.38% -0.11% Mastercard Inc 2.63% 0.83% -0.10% US Large Cap Equity Portfolio vs. Russell 1000 Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Walt Disney Co/The 0.60% 0.85% 0.03% Tesla Inc 0.84% 1.32% 0.03% Seagate Technology PLC 0.08% — 0.03% Blackstone Group Inc/The 0.12% — 0.02% Uber Technologies Inc 0.05% 0.19% 0.02% Snap Inc 0.09% — 0.02% Booking Holdings Inc 0.16% 0.25% 0.02% Schlumberger NV 0.23% 0.10% 0.01% Citigroup Inc 0.28% 0.40% 0.01% Discover Financial Services 0.17% 0.09% 0.01%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Alphabet Inc 2.71% 3.46% -0.08% NVIDIA Corp 0.70% 0.90% -0.08% Microsoft Corp 3.75% 4.73% -0.06% Intel Corp 0.84% 0.63% -0.04% PayPal Holdings Inc 0.46% 0.77% -0.04% Verizon Communications Inc 0.91% 0.61% -0.03% Discovery Inc 0.11% 0.04% -0.03% Cummins Inc 0.24% 0.10% -0.02% Penn National Gaming Inc 0.05% — -0.02% Adobe Inc 0.47% 0.61% -0.02%

US Large Cap Growth Portfolio vs. Russell 1000 Growth Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Tesla Inc — 2.66% 0.26% Eli Lilly and Co 1.92% 0.83% 0.12% IDEXX Laboratories Inc 1.00% 0.23% 0.12% Netflix Inc 0.14% 1.13% 0.11% Seagate Technology PLC 0.25% — 0.10% United Parcel Service Inc 1.49% 0.48% 0.09% Target Corp 0.91% — 0.09% MSCI Inc 0.69% 0.19% 0.07% UnitedHealth Group Inc — 1.61% 0.07% Abbott Laboratories — 0.41% 0.06% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference NVIDIA Corp — 1.82% -0.63% Alphabet Inc — 5.42% -0.37% Altria Group Inc 1.44% 0.21% -0.22% Johnson & Johnson 2.22% 0.30% -0.21% Mastercard Inc 3.96% 1.68% -0.21% Facebook Inc 0.30% 3.94% -0.20% Home Depot Inc/The 3.75% 0.88% -0.20% Amgen Inc 2.07% 0.73% -0.18% Union Pacific Corp 1.81% 0.40% -0.17% Procter & Gamble Co/The 2.09% 0.76% -0.16%

US Large Cap Value Portfolio (I) vs. Russell 1000 Value Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Charter Communications Inc 1.90% 0.05% 0.21% Morgan Stanley 1.25% 0.60% 0.08% Johnson & Johnson — 1.92% 0.08% Goldman Sachs Group Inc/The 1.32% 0.59% 0.08% Boeing Co/The — 0.67% 0.08% ConocoPhillips 1.06% 0.37% 0.08% Caterpillar Inc — 0.64% 0.07% Nucor Corp 0.64% 0.14% 0.07% Verizon Communications Inc 0.36% 1.21% 0.07% Capital One Financial Corp 0.79% 0.33% 0.07%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Intel Corp 2.63% 1.25% -0.26% Alphabet Inc — 1.53% -0.21% AT&T Inc 2.40% 1.10% -0.11% HP Inc 1.02% 0.21% -0.08% Discovery Inc 0.31% 0.08% -0.08% Micron Technology Inc 1.29% 0.49% -0.08% Target Corp 0.15% 0.54% -0.07% BlackRock Inc — 0.61% -0.07% Cigna Corp 1.20% 0.32% -0.06% Philip Morris International Inc — 0.74% -0.06% US Large Cap Value Portfolio (III) vs. Russell 1000 Value Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Charter Communications Inc 1.90% 0.05% 0.21% Morgan Stanley 1.25% 0.60% 0.08% Johnson & Johnson — 1.92% 0.08% Goldman Sachs Group Inc/The 1.32% 0.59% 0.08% Boeing Co/The — 0.67% 0.08% ConocoPhillips 1.06% 0.37% 0.08% Caterpillar Inc — 0.64% 0.07% Nucor Corp 0.64% 0.14% 0.07% Verizon Communications Inc 0.36% 1.21% 0.07% Capital One Financial Corp 0.79% 0.33% 0.07%

US Large Cap Value Trust vs. Russell 1000 Value Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Charter Communications Inc 1.75% 0.05% 0.19% Johnson & Johnson — 1.92% 0.08% Boeing Co/The — 0.67% 0.08% ConocoPhillips 1.04% 0.37% 0.07% Goldman Sachs Group Inc/The 1.25% 0.59% 0.07% Morgan Stanley 1.16% 0.60% 0.07% Caterpillar Inc — 0.64% 0.07% Nucor Corp 0.63% 0.14% 0.07% NextEra Energy Inc — 0.75% 0.06% Schlumberger NV 0.57% 0.20% 0.05% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Intel Corp 2.57% 1.25% -0.25% Alphabet Inc — 1.53% -0.21% AT&T Inc 2.32% 1.10% -0.11% Micron Technology Inc 1.28% 0.49% -0.08% Target Corp 0.16% 0.54% -0.07% HP Inc 0.91% 0.21% -0.07% BlackRock Inc — 0.61% -0.07% Discovery Inc 0.27% 0.08% -0.06% Philip Morris International Inc — 0.74% -0.06% American Express Co — 0.50% -0.06%

Tax-Managed US Marketwide Value Portfolio vs. Russell 3000 Value Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Charter Communications Inc 2.83% 0.04% 0.31% Thermo Fisher Scientific Inc 2.56% 0.36% 0.12% Verizon Communications Inc — 1.13% 0.09% Morgan Stanley 1.19% 0.55% 0.08% Johnson & Johnson — 1.79% 0.08% Dillard's Inc 0.10% 0.00% 0.08% Boeing Co/The — 0.62% 0.07% ConocoPhillips 0.97% 0.34% 0.07% Caterpillar Inc — 0.60% 0.07% CVS Health Corp 1.51% 0.49% 0.07%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Intel Corp 3.07% 1.16% -0.36% Alphabet Inc — 1.43% -0.19% AT&T Inc 2.61% 1.03% -0.14% Norfolk Southern Corp 1.90% 0.33% -0.10% AMC Entertainment Holdings Inc — 0.03% -0.09% Abbott Laboratories 1.37% 0.60% -0.07% Exxon Mobil Corp 0.46% 1.15% -0.06% BlackRock Inc — 0.57% -0.06% Berkshire Hathaway Inc 0.94% 2.43% -0.05% Philip Morris International Inc — 0.69% -0.05% Tax-Managed US Marketwide Value Portfolio (II) vs. Russell 3000 Value Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Charter Communications Inc 2.83% 0.04% 0.31% Thermo Fisher Scientific Inc 2.56% 0.36% 0.12% Verizon Communications Inc — 1.13% 0.09% Morgan Stanley 1.19% 0.55% 0.08% Johnson & Johnson — 1.79% 0.08% Dillard's Inc 0.10% 0.00% 0.08% Boeing Co/The — 0.62% 0.07% ConocoPhillips 0.97% 0.34% 0.07% Caterpillar Inc — 0.60% 0.07% CVS Health Corp 1.51% 0.49% 0.07%

Tax-Managed US Marketwide Value Series vs. Russell 3000 Value Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Charter Communications Inc 2.83% 0.04% 0.31% Thermo Fisher Scientific Inc 2.56% 0.36% 0.12% Verizon Communications Inc — 1.13% 0.09% Morgan Stanley 1.19% 0.55% 0.08% Johnson & Johnson — 1.79% 0.08% Dillard's Inc 0.10% 0.00% 0.08% Boeing Co/The — 0.62% 0.07% ConocoPhillips 0.97% 0.34% 0.07% Caterpillar Inc — 0.60% 0.07% CVS Health Corp 1.51% 0.49% 0.07% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Intel Corp 3.07% 1.16% -0.36% Alphabet Inc — 1.43% -0.19% AT&T Inc 2.61% 1.03% -0.14% Norfolk Southern Corp 1.90% 0.33% -0.10% AMC Entertainment Holdings Inc — 0.03% -0.09% Abbott Laboratories 1.37% 0.60% -0.07% Exxon Mobil Corp 0.46% 1.15% -0.06% BlackRock Inc — 0.57% -0.06% Berkshire Hathaway Inc 0.94% 2.43% -0.05% Philip Morris International Inc — 0.69% -0.05%

US Micro Cap Portfolio (I) vs. Russell 2000 Index (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Penn National Gaming Inc — 0.50% 0.18% Range Resources Corp 0.24% 0.08% 0.08% iRhythm Technologies Inc — 0.10% 0.08% Matador Resources Co 0.28% 0.10% 0.08% Vista Outdoor Inc 0.28% 0.07% 0.07% Signet Jewelers Ltd 0.33% 0.11% 0.07% ChemoCentryx Inc — 0.06% 0.07% FuelCell Energy Inc — 0.12% 0.07% CorVel Corp 0.29% 0.04% 0.06% Kulicke & Soffa Industries Inc 0.31% — 0.06%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference AMC Entertainment Holdings Inc — 0.20% -0.62% Sleep Number Corp 0.39% 0.12% -0.09% Caesars Entertainment Inc — 0.62% -0.08% Scientific Games Corp — 0.11% -0.07% STAAR Surgical Co — 0.21% -0.07% Beam Therapeutics Inc — 0.11% -0.06% Ovintiv Inc — 0.23% -0.06% Century Aluminum Co 0.18% 0.03% -0.05% Shockwave Medical Inc — 0.16% -0.05% Novavax Inc — 0.41% -0.05% US Micro Cap Portfolio (I) vs. Russell Microcap Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference FuelCell Energy Inc — 0.72% 0.39% Riot Blockchain Inc — 0.54% 0.23% Magnite Inc 0.01% 0.83% 0.22% Digital Turbine Inc — 1.26% 0.14% Silvergate Capital Corp 0.01% 0.47% 0.13% Range Resources Corp 0.24% — 0.13% Scholar Rock Holding Corp 0.00% 0.19% 0.12% Matador Resources Co 0.28% — 0.12% Signet Jewelers Ltd 0.33% — 0.11% Vista Outdoor Inc 0.28% — 0.10%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Intellia Therapeutics Inc 0.16% 0.86% -0.71% Cassava Sciences Inc — 0.32% -0.25% Overstock.com Inc — 0.67% -0.18% Celsius Holdings Inc 0.01% 0.41% -0.18% BioCryst Pharmaceuticals Inc — 0.45% -0.17% GameStop Corp — 2.26% -0.15% Sleep Number Corp 0.39% — -0.13% Apollo Medical Holdings Inc 0.01% 0.12% -0.12% Everi Holdings Inc 0.08% 0.29% -0.12% Domo Inc — 0.34% -0.11%

US Micro Cap Trust vs. Russell 2000 Index (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Penn National Gaming Inc — 0.50% 0.18% Apollo Medical Holdings Inc 0.08% 0.02% 0.08% iRhythm Technologies Inc — 0.10% 0.08% Prothena Corp PLC 0.10% 0.03% 0.07% ChemoCentryx Inc — 0.06% 0.07% CorVel Corp 0.31% 0.04% 0.06% Surgery Partners Inc 0.20% 0.05% 0.06% Callon Petroleum Co 0.14% — 0.06% Lithia Motors Inc — 0.35% 0.06% QAD Inc 0.12% 0.03% 0.06% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference AMC Entertainment Holdings Inc — 0.20% -0.62% Sleep Number Corp 0.41% 0.12% -0.10% Caesars Entertainment Inc — 0.62% -0.08% Crocs Inc — 0.22% -0.08% Scientific Games Corp — 0.11% -0.07% STAAR Surgical Co — 0.21% -0.07% Beam Therapeutics Inc — 0.11% -0.06% Ovintiv Inc — 0.23% -0.06% Shockwave Medical Inc — 0.16% -0.05% Rush Enterprises Inc 0.33% 0.08% -0.05%

US Micro Cap Trust vs. Russell Microcap Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference FuelCell Energy Inc 0.04% 0.72% 0.37% Riot Blockchain Inc — 0.54% 0.23% Magnite Inc 0.00% 0.83% 0.21% Digital Turbine Inc — 1.26% 0.14% Silvergate Capital Corp — 0.47% 0.14% Scholar Rock Holding Corp 0.01% 0.19% 0.12% Matador Resources Co 0.24% — 0.10% Kura Oncology Inc 0.05% 0.33% 0.09% Antero Resources Corp 0.23% — 0.09% eXp World Holdings Inc — 0.38% 0.09%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Intellia Therapeutics Inc 0.15% 0.86% -0.77% Cassava Sciences Inc — 0.32% -0.25% Overstock.com Inc — 0.67% -0.18% Celsius Holdings Inc — 0.41% -0.18% BioCryst Pharmaceuticals Inc — 0.45% -0.17% GameStop Corp — 2.26% -0.15% Sleep Number Corp 0.41% — -0.14% Smith & Wesson Brands Inc 0.08% 0.21% -0.12% Everi Holdings Inc 0.09% 0.29% -0.11% Domo Inc — 0.34% -0.11% US Small Cap Growth Portfolio vs. Russell 2000 Growth Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Penn National Gaming Inc — 0.52% 0.18% iRhythm Technologies Inc — 0.20% 0.16% ChemoCentryx Inc — 0.13% 0.14% CommScope Holding Co Inc 0.36% — 0.11% Teradata Corp 0.48% — 0.11% Ultragenyx Pharmaceutical Inc — 0.50% 0.10% Churchill Downs Inc — 0.59% 0.10% Surgery Partners Inc 0.34% 0.09% 0.10% Crocs Inc 0.70% 0.46% 0.10% FuelCell Energy Inc — 0.17% 0.09%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Intellia Therapeutics Inc — 0.31% -0.32% TripAdvisor Inc 0.47% — -0.15% Haemonetics Corp 0.25% — -0.15% STAAR Surgical Co — 0.43% -0.14% Beam Therapeutics Inc — 0.23% -0.13% Shockwave Medical Inc — 0.33% -0.11% Scientific Games Corp — 0.17% -0.11% Arrowhead Pharmaceuticals Inc — 0.52% -0.10% Caesars Entertainment Inc — 0.75% -0.09% Biohaven Pharmaceutical Holding Co Ltd — 0.27% -0.09%

US Small Cap Portfolio (I) vs. Russell 2000 Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Penn National Gaming Inc — 0.50% 0.18% iRhythm Technologies Inc — 0.10% 0.08% FuelCell Energy Inc — 0.12% 0.07% Lithia Motors Inc 0.05% 0.35% 0.05% Selectquote Inc — 0.12% 0.05% Ultragenyx Pharmaceutical Inc — 0.24% 0.05% Churchill Downs Inc — 0.28% 0.05% Element Solutions Inc 0.24% — 0.05% ChemoCentryx Inc 0.02% 0.06% 0.05% TG Therapeutics Inc — 0.18% 0.05% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference AMC Entertainment Holdings Inc — 0.20% -0.62% Caesars Entertainment Inc — 0.62% -0.08% Beam Therapeutics Inc — 0.11% -0.06% Ovintiv Inc — 0.23% -0.06% Novavax Inc — 0.41% -0.05% Arrowhead Pharmaceuticals Inc — 0.25% -0.05% Shockwave Medical Inc 0.02% 0.16% -0.05% STAAR Surgical Co 0.08% 0.21% -0.05% Biohaven Pharmaceutical Holding Co Ltd — 0.13% -0.04% Cassava Sciences Inc 0.00% 0.06% -0.04%

US Small Cap Trust vs. Russell 2000 Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Penn National Gaming Inc — 0.50% 0.18% iRhythm Technologies Inc — 0.10% 0.08% Intellia Therapeutics Inc 0.16% 0.15% 0.08% FuelCell Energy Inc — 0.12% 0.07% ChemoCentryx Inc 0.00% 0.06% 0.07% Lithia Motors Inc 0.00% 0.35% 0.06% Selectquote Inc — 0.12% 0.05% Ultragenyx Pharmaceutical Inc — 0.24% 0.05% Churchill Downs Inc — 0.28% 0.05% TG Therapeutics Inc — 0.18% 0.05%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference AMC Entertainment Holdings Inc — 0.20% -0.62% Caesars Entertainment Inc — 0.62% -0.08% Beam Therapeutics Inc — 0.11% -0.06% Ovintiv Inc — 0.23% -0.06% Haemonetics Corp 0.09% — -0.05% Novavax Inc — 0.41% -0.05% Arrowhead Pharmaceuticals Inc — 0.25% -0.05% Cassava Sciences Inc — 0.06% -0.04% Biohaven Pharmaceutical Holding Co Ltd — 0.13% -0.04% Deckers Outdoor Corp — 0.33% -0.04% US Small Cap Value Portfolio (I) vs. Russell 2000 Value Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Dillard's Inc 0.31% 0.05% 0.20% Penn National Gaming Inc — 0.48% 0.18% Element Solutions Inc 0.87% — 0.17% Olin Corp 0.78% — 0.13% Murphy Oil Corp 0.33% — 0.12% Performance Food Group Co — 0.49% 0.11% Matador Resources Co 0.42% 0.20% 0.10% EQT Corp 0.63% — 0.09% Domtar Corp 0.37% 0.16% 0.08% Selectquote Inc — 0.17% 0.08%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference AMC Entertainment Holdings Inc — 0.39% -1.21% Air Lease Corp 0.64% — -0.13% Ovintiv Inc — 0.44% -0.12% 3D Systems Corp — 0.21% -0.10% Regal Beloit Corp 0.79% — -0.09% Taylor Morrison Home Corp 0.68% 0.23% -0.09% MDC Holdings Inc 0.62% 0.22% -0.08% Tenet Healthcare Corp — 0.38% -0.08% SkyWest Inc 0.41% 0.17% -0.07% Smith & Wesson Brands Inc — 0.07% -0.06%

US Small Cap Value Trust vs. Russell 2000 Value Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Dillard's Inc 0.31% 0.05% 0.20% Penn National Gaming Inc — 0.48% 0.18% Element Solutions Inc 0.87% — 0.17% Murphy Oil Corp 0.39% — 0.14% Olin Corp 0.79% — 0.13% Lions Gate Entertainment Corp 0.33% — 0.11% Performance Food Group Co — 0.49% 0.11% EQT Corp 0.61% — 0.09% Matador Resources Co 0.39% 0.20% 0.09% ManpowerGroup Inc 0.40% — 0.09% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference AMC Entertainment Holdings Inc — 0.39% -1.21% Air Lease Corp 0.65% — -0.14% Ovintiv Inc — 0.44% -0.12% Regal Beloit Corp 0.81% — -0.10% 3D Systems Corp — 0.21% -0.10% Range Resources Corp 0.03% 0.16% -0.09% MDC Holdings Inc 0.63% 0.22% -0.08% Taylor Morrison Home Corp 0.61% 0.23% -0.08% New York Community Bancorp Inc 0.44% — -0.08% Tenet Healthcare Corp — 0.38% -0.08%

US Social Core Equity 2 Portfolio vs. Russell 3000 Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Johnson & Johnson — 1.05% 0.08% Tesla Inc 0.21% 1.23% 0.07% Procter & Gamble Co/The — 0.79% 0.06% Walt Disney Co/The 0.35% 0.79% 0.06% Boeing Co/The — 0.31% 0.05% NextEra Energy Inc — 0.35% 0.04% Netflix Inc 0.22% 0.52% 0.04% Seagate Technology PLC 0.09% — 0.03% Chevron Corp — 0.48% 0.03% Amgen Inc — 0.34% 0.03%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference NVIDIA Corp 0.24% 0.84% -0.23% Alphabet Inc 1.93% 3.22% -0.14% Facebook Inc 1.07% 1.82% -0.07% Moderna Inc — 0.11% -0.07% PayPal Holdings Inc 0.16% 0.72% -0.06% Eli Lilly and Co — 0.38% -0.06% AMC Entertainment Holdings Inc — 0.01% -0.04% Danaher Corp — 0.37% -0.04% Exxon Mobil Corp — 0.58% -0.04% Intel Corp 0.73% 0.59% -0.03% US Sustainability Core 1 Portfolio vs. Russell 3000 Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Walt Disney Co/The 0.39% 0.79% 0.05% Boeing Co/The — 0.31% 0.05% AT&T Inc 0.14% 0.52% 0.04% Tesla Inc 0.54% 1.23% 0.04% NextEra Energy Inc — 0.35% 0.04% Intel Corp 0.40% 0.59% 0.04% Chevron Corp — 0.48% 0.03% Facebook Inc 2.14% 1.82% 0.03% Altria Group Inc — 0.22% 0.03% Biogen Inc 0.22% 0.10% 0.03%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Microsoft Corp 2.59% 4.41% -0.13% NVIDIA Corp 0.56% 0.84% -0.11% AMC Entertainment Holdings Inc — 0.01% -0.04% PayPal Holdings Inc 0.40% 0.72% -0.04% Exxon Mobil Corp — 0.58% -0.04% Scotts Miracle-Gro Co/The 0.11% 0.02% -0.03% Eli Lilly and Co 0.23% 0.38% -0.02% Moderna Inc 0.07% 0.11% -0.02% Crowdstrike Holdings Inc — 0.08% -0.02% United Parcel Service Inc 0.17% 0.34% -0.02%

US Sustainability Targeted Value Portfolio vs. Russell 2000 Value Index (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Penn National Gaming Inc — 0.48% 0.18% Athene Holding Ltd 0.50% — 0.12% Santander Consumer USA Holdings Inc 0.46% — 0.12% DXC Technology Co 0.49% — 0.10% Performance Food Group Co 0.11% 0.49% 0.10% Darling Ingredients Inc 0.18% 0.77% 0.08% Selectquote Inc — 0.17% 0.08% Dick's Sporting Goods Inc 0.31% — 0.08% Steel Dynamics Inc 0.56% — 0.07% Lions Gate Entertainment Corp 0.18% — 0.06% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference AMC Entertainment Holdings Inc — 0.39% -1.21% Ovintiv Inc — 0.44% -0.12% 3D Systems Corp — 0.21% -0.10% Range Resources Corp — 0.16% -0.09% Matador Resources Co — 0.20% -0.09% Thor Industries Inc 0.38% — -0.08% Tenet Healthcare Corp — 0.38% -0.08% Antero Resources Corp — 0.18% -0.07% Reinsurance Group of America Inc 0.42% — -0.07% PDC Energy Inc — 0.25% -0.07%

US Sustainability Targeted Value Portfolio vs. Russell 2500 Value Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Santander Consumer USA Holdings Inc 0.46% 0.06% 0.11% Athene Holding Ltd 0.50% 0.16% 0.08% PG&E Corp — 0.37% 0.07% Zillow Group Inc — 0.57% 0.07% Penn National Gaming Inc — 0.18% 0.07% American Airlines Group Inc — 0.36% 0.06% DXC Technology Co 0.49% 0.22% 0.06% ON Semiconductor Corp 0.02% 0.41% 0.05% Williams-Sonoma Inc — 0.28% 0.05% Array Technologies Inc — 0.07% 0.05%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference AMC Entertainment Holdings Inc — 0.14% -0.45% Devon Energy Corp — 0.35% -0.10% Diamondback Energy Inc — 0.33% -0.07% Targa Resources Corp — 0.20% -0.07% Nuance Communications Inc — 0.36% -0.06% Lithia Motors Inc 0.42% 0.13% -0.05% Marathon Oil Corp — 0.22% -0.05% PerkinElmer Inc — 0.30% -0.05% Sealed Air Corp — 0.20% -0.05% Albemarle Corp — 0.46% -0.04% US Targeted Value Portfolio (I) vs. Russell 2000 Value Index (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Penn National Gaming Inc — 0.48% 0.18% Athene Holding Ltd 0.69% — 0.18% Santander Consumer USA Holdings Inc 0.44% — 0.11% Devon Energy Corp 0.38% — 0.11% Performance Food Group Co 0.03% 0.49% 0.10% Dillard's Inc 0.18% 0.05% 0.10% Dick's Sporting Goods Inc 0.32% — 0.08% Selectquote Inc — 0.17% 0.08% Steel Dynamics Inc 0.58% — 0.07% Marathon Oil Corp 0.31% — 0.07%

US Targeted Value Portfolio (I) vs. Russell 2500 Value Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Athene Holding Ltd 0.69% 0.16% 0.14% Dillard's Inc 0.18% 0.02% 0.12% Santander Consumer USA Holdings Inc 0.44% 0.06% 0.10% Range Resources Corp 0.22% 0.06% 0.09% PG&E Corp — 0.37% 0.07% Zillow Group Inc — 0.57% 0.07% Penn National Gaming Inc — 0.18% 0.07% American Airlines Group Inc — 0.36% 0.06% ON Semiconductor Corp — 0.41% 0.06% Janus Henderson Group PLC 0.25% — 0.05% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference AMC Entertainment Holdings Inc — 0.14% -0.45% Lithia Motors Inc 0.62% 0.13% -0.09% Diamondback Energy Inc 0.02% 0.33% -0.07% Darling Ingredients Inc 0.76% 0.28% -0.07% Nuance Communications Inc — 0.36% -0.06% Clean Energy Fuels Corp 0.17% 0.04% -0.05% PerkinElmer Inc — 0.30% -0.05% Sealed Air Corp — 0.20% -0.05% Air Lease Corp 0.34% 0.13% -0.05% Albemarle Corp — 0.46% -0.04%

US Targeted Value Portfolio (R1) vs. Russell 2000 Value Index (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Penn National Gaming Inc — 0.48% 0.18% Athene Holding Ltd 0.69% — 0.18% Santander Consumer USA Holdings Inc 0.44% — 0.11% Devon Energy Corp 0.38% — 0.11% Performance Food Group Co 0.03% 0.49% 0.10% Dillard's Inc 0.18% 0.05% 0.10% Dick's Sporting Goods Inc 0.32% — 0.08% Selectquote Inc — 0.17% 0.08% Steel Dynamics Inc 0.58% — 0.07% Marathon Oil Corp 0.31% — 0.07%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference AMC Entertainment Holdings Inc — 0.39% -1.21% Ovintiv Inc — 0.44% -0.12% 3D Systems Corp — 0.21% -0.10% Tenet Healthcare Corp — 0.38% -0.08% Air Lease Corp 0.34% — -0.07% Kohl's Corp 0.50% — -0.07% Macerich Co/The — 0.14% -0.06% Novavax Inc — 0.57% -0.06% GameStop Corp — 0.75% -0.06% Caesars Entertainment Inc — 0.49% -0.06% US Targeted Value Portfolio (R1) vs. Russell 2500 Value Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Athene Holding Ltd 0.69% 0.16% 0.14% Dillard's Inc 0.18% 0.02% 0.12% Santander Consumer USA Holdings Inc 0.44% 0.06% 0.10% Range Resources Corp 0.22% 0.06% 0.09% PG&E Corp — 0.37% 0.07% Zillow Group Inc — 0.57% 0.07% Penn National Gaming Inc — 0.18% 0.07% American Airlines Group Inc — 0.36% 0.06% ON Semiconductor Corp — 0.41% 0.06% Janus Henderson Group PLC 0.25% — 0.05%

US Targeted Value Portfolio (R2) vs. Russell 2000 Value Index (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Penn National Gaming Inc — 0.48% 0.18% Athene Holding Ltd 0.69% — 0.18% Santander Consumer USA Holdings Inc 0.44% — 0.11% Devon Energy Corp 0.38% — 0.11% Performance Food Group Co 0.03% 0.49% 0.10% Dillard's Inc 0.18% 0.05% 0.10% Dick's Sporting Goods Inc 0.32% — 0.08% Selectquote Inc — 0.17% 0.08% Steel Dynamics Inc 0.58% — 0.07% Marathon Oil Corp 0.31% — 0.07% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference AMC Entertainment Holdings Inc — 0.39% -1.21% Ovintiv Inc — 0.44% -0.12% 3D Systems Corp — 0.21% -0.10% Tenet Healthcare Corp — 0.38% -0.08% Air Lease Corp 0.34% — -0.07% Kohl's Corp 0.50% — -0.07% Macerich Co/The — 0.14% -0.06% Novavax Inc — 0.57% -0.06% GameStop Corp — 0.75% -0.06% Caesars Entertainment Inc — 0.49% -0.06%

US Targeted Value Portfolio (R2) vs. Russell 2500 Value Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Athene Holding Ltd 0.69% 0.16% 0.14% Dillard's Inc 0.18% 0.02% 0.12% Santander Consumer USA Holdings Inc 0.44% 0.06% 0.10% Range Resources Corp 0.22% 0.06% 0.09% PG&E Corp — 0.37% 0.07% Zillow Group Inc — 0.57% 0.07% Penn National Gaming Inc — 0.18% 0.07% American Airlines Group Inc — 0.36% 0.06% ON Semiconductor Corp — 0.41% 0.06% Janus Henderson Group PLC 0.25% — 0.05%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference AMC Entertainment Holdings Inc — 0.14% -0.45% Lithia Motors Inc 0.62% 0.13% -0.09% Diamondback Energy Inc 0.02% 0.33% -0.07% Darling Ingredients Inc 0.76% 0.28% -0.07% Nuance Communications Inc — 0.36% -0.06% Clean Energy Fuels Corp 0.17% 0.04% -0.05% PerkinElmer Inc — 0.30% -0.05% Sealed Air Corp — 0.20% -0.05% Air Lease Corp 0.34% 0.13% -0.05% Albemarle Corp — 0.46% -0.04% US Vector Equity Portfolio (I) vs. Russell 3000 Index Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Tesla Inc — 1.23% 0.08% Walt Disney Co/The 0.30% 0.79% 0.07% Johnson & Johnson 0.34% 1.05% 0.05% Intellia Therapeutics Inc 0.06% 0.01% 0.05% Boeing Co/The — 0.31% 0.05% Dillard's Inc 0.06% 0.00% 0.04% Procter & Gamble Co/The 0.24% 0.79% 0.04% Mastercard Inc — 0.77% 0.04% Abbott Laboratories 0.15% 0.49% 0.04% NextEra Energy Inc — 0.35% 0.04%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference NVIDIA Corp — 0.84% -0.32% Microsoft Corp 0.10% 4.41% -0.29% Alphabet Inc 0.87% 3.22% -0.25% Apple Inc — 4.79% -0.20% Facebook Inc 0.49% 1.82% -0.12% Amazon.com Inc — 3.31% -0.10% Adobe Inc — 0.57% -0.08% PayPal Holdings Inc 0.05% 0.72% -0.08% Moderna Inc 0.01% 0.11% -0.06% Eli Lilly and Co — 0.38% -0.06%

International Equity International Core Equity Portfolio (I) vs. MSCI World ex USA Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Daiichi Sankyo Co Ltd 0.01% 0.24% 0.08% Siemens AG 0.14% 0.68% 0.05% Prosus NV 0.06% 0.28% 0.04% Prudential PLC 0.06% 0.30% 0.04% Mineral Resources Ltd 0.14% — 0.04% Enel SpA 0.15% 0.43% 0.04% Tourmaline Oil Corp 0.08% — 0.03% Koninklijke Philips NV 0.09% 0.28% 0.03% Canadian National Railway Co 0.21% 0.43% 0.03% Takeda Pharmaceutical Co Ltd 0.06% 0.29% 0.03% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Shopify Inc 0.03% 0.70% -0.18% Roche Holding AG 0.68% 1.32% -0.07% ASML Holding NV 0.58% 1.47% -0.07% Nestle SA 1.00% 1.83% -0.07% SAP SE 0.14% 0.75% -0.06% LVMH Moet Hennessy Louis Vuitton SE 0.56% 1.10% -0.06% Novo Nordisk A/S 0.34% 0.68% -0.06% AstraZeneca PLC 0.33% 0.76% -0.06% L'Oreal SA 0.09% 0.56% -0.05% Diageo PLC 0.16% 0.56% -0.04%

International High Relative Profitability Portfolio vs. MSCI World ex USA Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Roche Holding AG 3.21% 1.32% 0.20% Novo Nordisk A/S 1.81% 0.68% 0.19% LVMH Moet Hennessy Louis Vuitton SE 2.20% 1.10% 0.13% AstraZeneca PLC 1.45% 0.76% 0.10% Ashtead Group PLC 0.74% 0.16% 0.10% Daiichi Sankyo Co Ltd — 0.24% 0.09% BT Group PLC 0.49% 0.11% 0.07% Deutsche Post AG 0.67% 0.32% 0.07% Siemens AG — 0.68% 0.07% Diageo PLC 1.14% 0.56% 0.06%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference SoftBank Group Corp 1.80% 0.66% -0.27% Shopify Inc — 0.70% -0.19% Sony Group Corp 1.67% 0.69% -0.14% Canadian National Railway Co 0.88% 0.43% -0.07% Toyota Motor Corp — 0.90% -0.06% L'Oreal SA — 0.56% -0.06% Cie Financiere Richemont SA — 0.30% -0.06% Commonwealth Bank of Australia — 0.67% -0.06% Lonza Group AG — 0.25% -0.05% Panasonic Corp 0.36% 0.14% -0.04% International Large Cap Growth Portfolio vs. MSCI World ex USA Growth Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Deutsche Post AG 0.98% — 0.18% Daiichi Sankyo Co Ltd — 0.32% 0.12% Prosus NV — 0.59% 0.12% Koninklijke Philips NV — 0.57% 0.11% Ashtead Group PLC 1.05% 0.33% 0.11% Fujitsu Ltd 0.50% — 0.10% Takeda Pharmaceutical Co Ltd — 0.42% 0.09% Lasertec Corp 0.37% 0.14% 0.07% Nexon Co Ltd — 0.16% 0.07% Sika AG 1.43% 0.48% 0.07%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Shopify Inc — 1.44% -0.35% SoftBank Group Corp 1.71% 0.48% -0.32% Nestle SA 1.49% 3.78% -0.14% Cie Financiere Richemont SA — 0.62% -0.10% L'Oreal SA 0.13% 1.16% -0.10% Lonza Group AG — 0.51% -0.09% Enel SpA 0.48% — -0.07% SAP SE 0.74% 1.38% -0.06% KDDI Corp 0.99% — -0.06% Sonova Holding AG — 0.19% -0.06%

International Small Cap Growth Portfolio vs. MSCI World ex USA Small Growth Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Pandora A/S 0.70% — 0.16% IMI PLC 0.57% — 0.13% Amplifon SpA 0.41% — 0.11% Aphria Inc — 0.20% 0.10% AddLife AB 0.17% — 0.08% Trainline PLC — 0.16% 0.08% NEL ASA — 0.24% 0.07% ANDRITZ AG 0.43% — 0.07% HomeServe PLC 0.06% 0.28% 0.07% CI Financial Corp 0.33% — 0.07% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Future PLC 0.01% 0.23% -0.11% Dechra Pharmaceuticals PLC — 0.36% -0.07% TOMRA Systems ASA — 0.34% -0.07% Getinge AB — 0.26% -0.07% Valeo SA 0.33% — -0.06% Samhallsbyggnadsbolaget i Norden AB — 0.12% -0.06% BayCurrent Consulting Inc 0.10% 0.22% -0.06% Lifco AB — 0.28% -0.05% Money Forward Inc — 0.10% -0.05% Kornit Digital Ltd — 0.27% -0.05%

International Small Cap Value Portfolio (I) vs. MSCI World ex USA Small Cap Index (net div.) (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Tourmaline Oil Corp 0.56% 0.17% 0.17% Birchcliff Energy Ltd 0.11% 0.02% 0.07% Travis Perkins PLC 0.90% 0.16% 0.07% Commerzbank AG 0.69% — 0.07% K+S AG 0.31% 0.07% 0.07% MEG Energy Corp 0.25% 0.05% 0.06% ARC Resources Ltd 0.30% 0.12% 0.06% Frasers Group PLC 0.30% 0.05% 0.06% IGO Ltd 0.53% 0.11% 0.06% New Wave Group AB 0.12% 0.00% 0.05%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference ASR Nederland NV 0.95% 0.19% -0.13% SBM Offshore NV 0.63% 0.08% -0.10% LANXESS AG 0.68% — -0.07% Bellway PLC 1.00% 0.18% -0.07% Nordex SE 0.24% 0.06% -0.07% TP ICAP Group PLC 0.33% 0.08% -0.07% Getinge AB — 0.22% -0.06% Centerra Gold Inc 0.34% 0.06% -0.06% Future PLC — 0.11% -0.06% Mitchells & Butlers PLC 0.31% 0.04% -0.05% International Small Cap Value Portfolio (I) vs. MSCI World ex USA Small Value Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Tourmaline Oil Corp 0.56% 0.34% 0.10% Commerzbank AG 0.69% — 0.08% Travis Perkins PLC 0.90% 0.20% 0.07% Cleanaway Waste Management Ltd 0.53% — 0.06% IGO Ltd 0.53% 0.05% 0.06% Bure Equity AB 0.32% — 0.06% Incitec Pivot Ltd 0.01% 0.23% 0.06% Frasers Group PLC 0.30% 0.06% 0.06% Birchcliff Energy Ltd 0.11% 0.04% 0.06% MEG Energy Corp 0.25% 0.07% 0.06%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference ASR Nederland NV 0.95% 0.36% -0.09% SBM Offshore NV 0.63% 0.16% -0.09% Boral Ltd — 0.32% -0.08% IMI PLC — 0.34% -0.08% Mitsui OSK Lines Ltd — 0.24% -0.07% LANXESS AG 0.68% — -0.07% Nordex SE 0.24% 0.07% -0.06% National Express Group PLC 0.33% 0.03% -0.06% Intermediate Capital Group PLC — 0.49% -0.06% Getinge AB — 0.18% -0.05%

International Small Company Portfolio (I) vs. MSCI World ex USA Small Cap Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference BlackBerry Ltd 0.18% — 0.07% Aphria Inc — 0.10% 0.05% AerCap Holdings NV — 0.23% 0.04% HomeServe PLC — 0.14% 0.04% Trainline PLC — 0.08% 0.04% NEL ASA — 0.11% 0.04% thyssenkrupp AG 0.04% 0.16% 0.03% Futu Holdings Ltd — 0.13% 0.03% Keyera Corp 0.13% — 0.03% St Modwen Properties PLC 0.13% 0.04% 0.03% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Getinge AB — 0.22% -0.06% BayCurrent Consulting Inc — 0.11% -0.05% Asics Corp — 0.08% -0.04% Boral Ltd — 0.16% -0.04% Future PLC 0.04% 0.11% -0.04% Tourmaline Oil Corp 0.12% 0.17% -0.04% Mitsui OSK Lines Ltd — 0.13% -0.04% Dechra Pharmaceuticals PLC — 0.18% -0.04% TOMRA Systems ASA — 0.16% -0.04% LANXESS AG 0.31% — -0.03%

International Social Core Equity Portfolio vs. MSCI World ex USA Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Daiichi Sankyo Co Ltd — 0.24% 0.09% Siemens AG — 0.68% 0.07% SoftBank Group Corp 0.47% 0.66% 0.05% TOTAL SE — 0.62% 0.05% Flutter Entertainment PLC — 0.18% 0.04% ITOCHU Corp — 0.22% 0.04% Takeda Pharmaceutical Co Ltd — 0.29% 0.04% Prosus NV 0.08% 0.28% 0.04% Pandora A/S 0.26% 0.06% 0.04% Signify NV 0.17% — 0.04%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Shopify Inc 0.05% 0.70% -0.17% Nestle SA — 1.83% -0.15% Roche Holding AG — 1.32% -0.14% Novo Nordisk A/S — 0.68% -0.11% AstraZeneca PLC — 0.76% -0.10% Toyota Motor Corp — 0.90% -0.06% ASML Holding NV 0.71% 1.47% -0.06% Diageo PLC — 0.56% -0.05% LVMH Moet Hennessy Louis Vuitton SE 0.65% 1.10% -0.05% Hitachi Ltd — 0.26% -0.05% International Sustainability Core 1 Portfolio vs. MSCI World ex USA Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Canadian National Railway Co — 0.43% 0.06% Daiichi Sankyo Co Ltd 0.08% 0.24% 0.06% Enel SpA — 0.43% 0.06% Volkswagen AG — 0.33% 0.06% TOTAL SE — 0.62% 0.05% ITOCHU Corp — 0.22% 0.04% Kesko Oyj 0.28% 0.05% 0.04% Siemens AG 0.32% 0.68% 0.03% HSBC Holdings PLC 0.25% 0.68% 0.03% Manulife Financial Corp — 0.22% 0.03%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Shopify Inc 0.11% 0.70% -0.16% Nestle SA — 1.83% -0.15% Toyota Motor Corp 0.22% 0.90% -0.09% Lonza Group AG — 0.25% -0.05% ASML Holding NV 1.14% 1.47% -0.03% Deutsche Post AG 0.16% 0.32% -0.03% Commonwealth Bank of Australia 0.29% 0.67% -0.03% China Evergrande New Energy Vehicle Group Ltd 0.03% — -0.03% AstraZeneca PLC 0.53% 0.76% -0.03% DSV PANALPINA A/S 0.00% 0.25% -0.03%

International Value Portfolio (I) vs. MSCI World ex USA Index (net div.) (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference SoftBank Group Corp — 0.66% 0.16% Toyota Motor Corp 2.66% 0.90% 0.12% Canadian Natural Resources Ltd 1.05% 0.20% 0.11% Bank of Montreal 1.42% 0.33% 0.11% Sony Group Corp — 0.69% 0.09% Stellantis NV 1.39% 0.20% 0.09% Daiichi Sankyo Co Ltd — 0.24% 0.09% Canadian Imperial Bank of Commerce 1.00% 0.26% 0.08% Nippon Yusen KK 0.23% 0.03% 0.08% Cie Financiere Richemont SA 0.71% 0.30% 0.07% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Volkswagen AG 1.66% 0.33% -0.22% Shopify Inc — 0.70% -0.19% Nestle SA — 1.83% -0.15% TOTAL SE 2.58% 0.62% -0.15% Roche Holding AG — 1.32% -0.14% Vodafone Group PLC 1.50% 0.27% -0.13% LVMH Moet Hennessy Louis Vuitton SE — 1.10% -0.13% Novo Nordisk A/S — 0.68% -0.11% ASML Holding NV — 1.47% -0.11% AstraZeneca PLC — 0.76% -0.10%

International Value Portfolio (I) vs. MSCI World ex USA Value Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference SoftBank Group Corp — 0.83% 0.19% Cie Financiere Richemont SA 0.71% — 0.14% Stellantis NV 1.39% 0.12% 0.12% Canadian Natural Resources Ltd 1.05% 0.35% 0.11% Siemens AG — 1.32% 0.10% Enel SpA — 0.84% 0.10% Bank of Montreal 1.42% 0.65% 0.09% Prudential PLC — 0.58% 0.09% Iberdrola SA — 0.83% 0.08% Toyota Motor Corp 2.66% 1.74% 0.08%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Volkswagen AG 1.66% 0.65% -0.15% Deutsche Post AG — 0.63% -0.14% Commonwealth Bank of Australia — 1.31% -0.13% Royal Bank of Canada — 1.44% -0.10% Vodafone Group PLC 1.50% 0.52% -0.09% Fujitsu Ltd — 0.32% -0.08% TOTAL SE 2.58% 1.20% -0.08% GlaxoSmithKline PLC — 0.97% -0.08% Koninklijke Philips NV 0.47% — -0.08% Takeda Pharmaceutical Co Ltd 0.67% 0.19% -0.07% International Value Portfolio (III) vs. MSCI World ex USA Index (net div.) (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference SoftBank Group Corp — 0.66% 0.16% Toyota Motor Corp 2.66% 0.90% 0.12% Canadian Natural Resources Ltd 1.05% 0.20% 0.11% Bank of Montreal 1.42% 0.33% 0.11% Sony Group Corp — 0.69% 0.09% Stellantis NV 1.39% 0.20% 0.09% Daiichi Sankyo Co Ltd — 0.24% 0.09% Canadian Imperial Bank of Commerce 1.00% 0.26% 0.08% Nippon Yusen KK 0.23% 0.03% 0.08% Cie Financiere Richemont SA 0.71% 0.30% 0.07%

International Value Portfolio (III) vs. MSCI World ex USA Value Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference SoftBank Group Corp — 0.83% 0.19% Cie Financiere Richemont SA 0.71% — 0.14% Stellantis NV 1.39% 0.12% 0.12% Canadian Natural Resources Ltd 1.05% 0.35% 0.11% Siemens AG — 1.32% 0.10% Enel SpA — 0.84% 0.10% Bank of Montreal 1.42% 0.65% 0.09% Prudential PLC — 0.58% 0.09% Iberdrola SA — 0.83% 0.08% Toyota Motor Corp 2.66% 1.74% 0.08% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Volkswagen AG 1.66% 0.65% -0.15% Deutsche Post AG — 0.63% -0.14% Commonwealth Bank of Australia — 1.31% -0.13% Royal Bank of Canada — 1.44% -0.10% Vodafone Group PLC 1.50% 0.52% -0.09% Fujitsu Ltd — 0.32% -0.08% TOTAL SE 2.58% 1.20% -0.08% GlaxoSmithKline PLC — 0.97% -0.08% Koninklijke Philips NV 0.47% — -0.08% Takeda Pharmaceutical Co Ltd 0.67% 0.19% -0.07%

International Value Portfolio (R2) vs. MSCI World ex USA Index (net div.) (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference SoftBank Group Corp — 0.66% 0.16% Toyota Motor Corp 2.66% 0.90% 0.12% Canadian Natural Resources Ltd 1.05% 0.20% 0.11% Bank of Montreal 1.42% 0.33% 0.11% Sony Group Corp — 0.69% 0.09% Stellantis NV 1.39% 0.20% 0.09% Daiichi Sankyo Co Ltd — 0.24% 0.09% Canadian Imperial Bank of Commerce 1.00% 0.26% 0.08% Nippon Yusen KK 0.23% 0.03% 0.08% Cie Financiere Richemont SA 0.71% 0.30% 0.07%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Volkswagen AG 1.66% 0.33% -0.22% Shopify Inc — 0.70% -0.19% Nestle SA — 1.83% -0.15% TOTAL SE 2.58% 0.62% -0.15% Roche Holding AG — 1.32% -0.14% Vodafone Group PLC 1.50% 0.27% -0.13% LVMH Moet Hennessy Louis Vuitton SE — 1.10% -0.13% Novo Nordisk A/S — 0.68% -0.11% ASML Holding NV — 1.47% -0.11% AstraZeneca PLC — 0.76% -0.10% International Value Portfolio (R2) vs. MSCI World ex USA Value Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference SoftBank Group Corp — 0.83% 0.19% Cie Financiere Richemont SA 0.71% — 0.14% Stellantis NV 1.39% 0.12% 0.12% Canadian Natural Resources Ltd 1.05% 0.35% 0.11% Siemens AG — 1.32% 0.10% Enel SpA — 0.84% 0.10% Bank of Montreal 1.42% 0.65% 0.09% Prudential PLC — 0.58% 0.09% Iberdrola SA — 0.83% 0.08% Toyota Motor Corp 2.66% 1.74% 0.08%

International Vector Equity Portfolio vs. MSCI World ex USA Index (net div.) (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference SoftBank Group Corp 0.19% 0.66% 0.12% Daiichi Sankyo Co Ltd 0.00% 0.24% 0.09% Tourmaline Oil Corp 0.17% — 0.07% Canadian National Railway Co — 0.43% 0.06% Siemens AG 0.03% 0.68% 0.06% Sony Group Corp 0.23% 0.69% 0.06% Pandora A/S 0.33% 0.06% 0.06% Prosus NV 0.01% 0.28% 0.05% Enel SpA 0.07% 0.43% 0.05% Signify NV 0.22% — 0.05% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Shopify Inc — 0.70% -0.19% Roche Holding AG 0.02% 1.32% -0.14% LVMH Moet Hennessy Louis Vuitton SE 0.01% 1.10% -0.12% Nestle SA 0.42% 1.83% -0.11% AstraZeneca PLC — 0.76% -0.10% ASML Holding NV 0.17% 1.47% -0.10% Novo Nordisk A/S 0.12% 0.68% -0.09% SAP SE 0.03% 0.75% -0.07% Kering SA 0.01% 0.33% -0.06% L'Oreal SA 0.02% 0.56% -0.06%

Large Cap International Portfolio (I) vs. MSCI World ex USA Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Daiichi Sankyo Co Ltd 0.09% 0.24% 0.05% Siemens AG 0.38% 0.68% 0.03% Prudential PLC 0.16% 0.30% 0.02% Nippon Yusen KK 0.09% 0.03% 0.02% Prosus NV 0.16% 0.28% 0.02% BT Group PLC 0.24% 0.11% 0.02% Stellantis NV 0.50% 0.20% 0.02% Hapag-Lloyd AG 0.05% — 0.02% HSBC Holdings PLC 0.42% 0.68% 0.02% Nexon Co Ltd 0.03% 0.08% 0.02%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Shopify Inc 0.22% 0.70% -0.13% China Evergrande New Energy Vehicle Group Ltd 0.04% — -0.03% ASML Holding NV 1.18% 1.47% -0.03% Investor AB — 0.21% -0.02% L'Oreal SA 0.37% 0.56% -0.02% Commonwealth Bank of Australia 0.42% 0.67% -0.02% Iliad SA 0.08% 0.01% -0.02% Kinnevik AB — 0.06% -0.02% Brookfield Asset Management Inc 0.14% 0.32% -0.02% Lonza Group AG 0.15% 0.25% -0.02% Emerging Equity Emerging Markets Core Equity Portfolio (I) vs. MSCI Emerging Markets Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Alibaba Group Holding Ltd 2.35% 5.14% 0.24% Naspers Ltd 0.33% 1.21% 0.16% Tencent Holdings Ltd 4.28% 5.51% 0.11% TAL Education Group 0.08% 0.24% 0.10% Yang Ming Marine Transport Corp 0.07% 0.02% 0.09% Petroleo Brasileiro SA 0.66% 0.47% 0.07% JD.com Inc 0.25% 0.82% 0.07% Pinduoduo Inc 0.11% 0.64% 0.06% Chinasoft International Ltd 0.08% — 0.05% New Oriental Education & Technology Group Inc 0.15% 0.24% 0.05%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Kakao Corp 0.04% 0.36% -0.17% Wuxi Biologics Cayman Inc 0.11% 0.56% -0.16% NIO Inc 0.31% 0.61% -0.09% Gazprom PJSC 0.09% 0.46% -0.08% Li Auto Inc — 0.08% -0.06% Ping An Insurance Group Co of China Ltd 1.13% 0.91% -0.05% Vipshop Holdings Ltd 0.27% 0.15% -0.04% Lenovo Group Ltd 0.28% 0.12% -0.04% Sberbank of Russia PJSC 0.16% 0.52% -0.04% TCS Group Holding PLC — 0.09% -0.04%

Emerging Markets Portfolio (I) vs. MSCI Emerging Markets Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Evergreen Marine Corp Taiwan Ltd 0.17% 0.08% 0.18% Alibaba Group Holding Ltd 3.47% 5.14% 0.18% Naspers Ltd 0.44% 1.21% 0.14% TAL Education Group 0.05% 0.24% 0.11% Yang Ming Marine Transport Corp 0.08% 0.02% 0.10% Wan Hai Lines Ltd 0.05% 0.01% 0.09% Vale SA 1.20% 0.90% 0.08% Tencent Holdings Ltd 4.77% 5.51% 0.06% JD.com Inc 0.33% 0.82% 0.06% Petroleo Brasileiro SA 0.63% 0.47% 0.06% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Kakao Corp 0.10% 0.36% -0.14% Wuxi Biologics Cayman Inc 0.20% 0.56% -0.13% NIO Inc 0.19% 0.61% -0.13% Gazprom PJSC 0.10% 0.46% -0.08% Lenovo Group Ltd 0.40% 0.12% -0.07% Sunac China Holdings Ltd 0.36% 0.12% -0.06% Li Auto Inc — 0.08% -0.06% China Gas Holdings Ltd 0.29% 0.13% -0.05% China Resources Land Ltd 0.41% 0.18% -0.04% HDFC Bank Ltd 0.66% — -0.04%

Emerging Markets Portfolio (II) vs. MSCI Emerging Markets Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Evergreen Marine Corp Taiwan Ltd 0.17% 0.08% 0.18% Alibaba Group Holding Ltd 3.47% 5.14% 0.18% Naspers Ltd 0.44% 1.21% 0.14% TAL Education Group 0.05% 0.24% 0.11% Yang Ming Marine Transport Corp 0.08% 0.02% 0.10% Wan Hai Lines Ltd 0.05% 0.01% 0.09% Vale SA 1.20% 0.90% 0.08% Tencent Holdings Ltd 4.77% 5.51% 0.06% JD.com Inc 0.33% 0.82% 0.06% Petroleo Brasileiro SA 0.63% 0.47% 0.06%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Kakao Corp 0.10% 0.36% -0.14% Wuxi Biologics Cayman Inc 0.20% 0.56% -0.13% NIO Inc 0.19% 0.61% -0.13% Gazprom PJSC 0.10% 0.46% -0.08% Lenovo Group Ltd 0.40% 0.12% -0.07% Sunac China Holdings Ltd 0.36% 0.12% -0.06% Li Auto Inc — 0.08% -0.06% China Gas Holdings Ltd 0.29% 0.13% -0.05% China Resources Land Ltd 0.41% 0.18% -0.04% HDFC Bank Ltd 0.66% — -0.04% Emerging Markets Small Cap Portfolio (I) vs. MSCI Emerging Markets Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Tencent Holdings Ltd — 5.51% 0.50% Alibaba Group Holding Ltd — 5.14% 0.36% Samsung Electronics Co Ltd — 4.82% 0.26% Naspers Ltd — 1.21% 0.22% Ping An Insurance Group Co of China Ltd — 0.91% 0.21% TAL Education Group — 0.24% 0.15% Xtep International Holdings Ltd 0.09% — 0.14% Chinasoft International Ltd 0.21% — 0.13% New Oriental Education & Technology Group Inc — 0.24% 0.12% China Construction Bank Corp — 0.96% 0.11%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Vale SA — 0.90% -0.22% Wuxi Biologics Cayman Inc — 0.56% -0.21% NIO Inc — 0.61% -0.19% Kakao Corp — 0.36% -0.19% Petroleo Brasileiro SA — 0.47% -0.17% Evergreen Marine Corp Taiwan Ltd — 0.08% -0.17% Li Ning Co Ltd — 0.21% -0.14% Gazprom PJSC — 0.46% -0.10% BYD Co Ltd — 0.24% -0.09% ANTA Sports Products Ltd — 0.24% -0.09%

Emerging Markets Small Cap Portfolio (I) vs. MSCI Emerging Markets Small Cap Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Genscript Biotech Corp 0.13% — 0.13% HengTen Networks Group Ltd — 0.19% 0.09% Grupo Simec SAB de CV 0.10% — 0.09% AAC Technologies Holdings Inc 0.23% — 0.08% Industrias CH SAB de CV 0.23% — 0.07% Focus Dynamics Group Bhd — 0.03% 0.07% Zhuzhou CRRC Times Electric Co Ltd 0.14% — 0.06% T3EX Global Holdings Corp 0.02% — 0.06% Ebang International Holdings Inc — 0.05% 0.06% Alchip Technologies Ltd 0.05% 0.15% 0.06% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference HMM Co Ltd — 0.49% -0.38% Yang Ming Marine Transport Corp 0.01% 0.16% -0.24% Wan Hai Lines Ltd — 0.10% -0.18% Adani Total Gas Ltd 0.01% 0.26% -0.12% GeneOne Life Science Inc — 0.06% -0.12% Huabao International Holdings Ltd — 0.11% -0.12% momo.com Inc — 0.13% -0.10% JOYY Inc 0.21% — -0.09% Banco Pan SA 0.01% 0.10% -0.08% Naturecell Co Ltd 0.01% 0.05% -0.07%

Emerging Markets Social Core Equity Portfolio vs. MSCI Emerging Markets Index (net div.) (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Alibaba Group Holding Ltd 3.11% 5.14% 0.21% Naspers Ltd 0.42% 1.21% 0.14% Evergreen Marine Corp Taiwan Ltd 0.15% 0.08% 0.14% TAL Education Group 0.08% 0.24% 0.10% Tencent Holdings Ltd 4.44% 5.51% 0.09% Celltrion Inc — 0.30% 0.07% JD.com Inc 0.19% 0.82% 0.07% Yang Ming Marine Transport Corp 0.05% 0.02% 0.06% Li Ning Co Ltd 0.29% 0.21% 0.05% Pinduoduo Inc 0.12% 0.64% 0.05%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Vale SA — 0.90% -0.22% Wuxi Biologics Cayman Inc — 0.56% -0.21% Petroleo Brasileiro SA — 0.47% -0.17% Kakao Corp 0.06% 0.36% -0.16% NIO Inc 0.12% 0.61% -0.15% Gazprom PJSC — 0.46% -0.10% Ping An Insurance Group Co of China Ltd 1.20% 0.91% -0.07% Li Auto Inc — 0.08% -0.06% Taiwan Semiconductor Manufacturing Co Ltd 4.63% 6.29% -0.05% China Construction Bank Corp 1.28% 0.96% -0.04% Emerging Markets Sustainability Core 1 Portfolio vs. MSCI Emerging Markets Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Li Ning Co Ltd 0.64% 0.21% 0.30% Alibaba Group Holding Ltd 2.61% 5.14% 0.23% TAL Education Group 0.01% 0.24% 0.15% Naspers Ltd 0.44% 1.21% 0.14% Tencent Holdings Ltd 4.40% 5.51% 0.09% New Oriental Education & Technology Group Inc 0.12% 0.24% 0.07% JD.com Inc 0.28% 0.82% 0.06% Chinasoft International Ltd 0.10% — 0.06% Pinduoduo Inc 0.19% 0.64% 0.05% Xtep International Holdings Ltd 0.03% — 0.05%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Vale SA — 0.90% -0.22% Wuxi Biologics Cayman Inc 0.02% 0.56% -0.20% Petroleo Brasileiro SA — 0.47% -0.17% Evergreen Marine Corp Taiwan Ltd — 0.08% -0.17% Vipshop Holdings Ltd 0.53% 0.15% -0.16% Kakao Corp 0.13% 0.36% -0.12% NIO Inc 0.46% 0.61% -0.11% Gazprom PJSC — 0.46% -0.10% Lenovo Group Ltd 0.44% 0.12% -0.08% Li Auto Inc — 0.08% -0.06%

Emerging Markets Targeted Value Portfolio (I) vs. MSCI Emerging Markets Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Tencent Holdings Ltd — 5.51% 0.50% Evergreen Marine Corp Taiwan Ltd 0.30% 0.08% 0.45% Alibaba Group Holding Ltd — 5.14% 0.36% Samsung Electronics Co Ltd — 4.82% 0.26% Naspers Ltd — 1.21% 0.22% Ping An Insurance Group Co of China Ltd — 0.91% 0.21% AU Optronics Corp 0.45% 0.10% 0.16% Xtep International Holdings Ltd 0.10% — 0.16% TAL Education Group — 0.24% 0.15% Grupo Televisa SAB 0.36% 0.07% 0.14% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Vale SA — 0.90% -0.22% Wuxi Biologics Cayman Inc — 0.56% -0.21% NIO Inc — 0.61% -0.19% Kakao Corp — 0.36% -0.19% Petroleo Brasileiro SA — 0.47% -0.17% Li Ning Co Ltd — 0.21% -0.14% Sunac China Holdings Ltd 0.62% 0.12% -0.14% Gazprom PJSC — 0.46% -0.10% JOYY Inc 0.31% 0.06% -0.09% BYD Co Ltd — 0.24% -0.09%

Emerging Markets Targeted Value Portfolio (I) vs. MSCI Emerging Markets SMID Value Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Evergreen Marine Corp Taiwan Ltd 0.30% — 0.60% Innolux Corp 0.39% 0.61% 0.14% Tata Steel Ltd 0.47% — 0.14% AU Optronics Corp 0.45% 0.65% 0.14% Novatek Microelectronics Corp — 0.68% 0.13% Chung Hung Steel Corp 0.09% — 0.10% Credicorp Ltd — 0.24% 0.10% AAC Technologies Holdings Inc 0.22% — 0.08% Wharf Holdings Ltd/The 0.25% — 0.08% GOME Retail Holdings Ltd — 0.16% 0.07%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Yang Ming Marine Transport Corp — 0.15% -0.37% HMM Co Ltd — 0.41% -0.31% Wan Hai Lines Ltd — 0.12% -0.29% Sunac China Holdings Ltd 0.62% — -0.20% Genscript Biotech Corp — 0.15% -0.14% China National Building Material Co Ltd 0.52% — -0.13% Trip.com Group Ltd 0.58% — -0.12% China Taiping Insurance Holdings Co Ltd 0.29% — -0.09% Bank Polska Kasa Opieki SA — 0.32% -0.08% Kumho Petrochemical Co Ltd 0.34% 0.08% -0.07% Emerging Markets Value Fund vs. MSCI Emerging Markets Index (net div.) (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Tencent Holdings Ltd — 5.51% 0.50% Petroleo Brasileiro SA 1.78% 0.47% 0.49% Alibaba Group Holding Ltd 0.05% 5.14% 0.36% Evergreen Marine Corp Taiwan Ltd 0.25% 0.08% 0.35% Naspers Ltd — 1.21% 0.22% Samsung Electronics Co Ltd 0.97% 4.82% 0.20% Wan Hai Lines Ltd 0.07% 0.01% 0.16% Vale SA 1.51% 0.90% 0.15% TAL Education Group — 0.24% 0.15% New Oriental Education & Technology Group Inc — 0.24% 0.12%

Emerging Markets Value Fund vs. MSCI Emerging Markets Value Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Evergreen Marine Corp Taiwan Ltd 0.25% — 0.51% Petroleo Brasileiro SA 1.78% 0.74% 0.37% Ping An Insurance Group Co of China Ltd 0.51% 1.86% 0.30% Samsung Electronics Co Ltd 0.97% 5.55% 0.27% Wan Hai Lines Ltd 0.07% 0.01% 0.16% China Steel Corp 0.38% 0.12% 0.13% Vipshop Holdings Ltd 0.01% 0.31% 0.13% Naspers Ltd — 0.59% 0.12% LUKOIL PJSC 0.62% 0.55% 0.10% Housing Development Finance Corp Ltd 0.06% 1.42% 0.10% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference NIO Inc — 0.80% -0.25% Alibaba Group Holding Ltd 0.05% 1.62% -0.24% Infosys Ltd — 1.56% -0.15% Industrial & Commercial Bank of China Ltd 1.62% 1.05% -0.12% Gazprom PJSC 0.45% 0.93% -0.10% BYD Co Ltd — 0.12% -0.09% China Resources Land Ltd 0.82% 0.37% -0.09% China Construction Bank Corp 2.56% 1.94% -0.08% Shenzhou International Group Holdings Ltd — 0.38% -0.08% NetEase Inc — 0.98% -0.07%

Emerging Markets Value Portfolio (I) vs. MSCI Emerging Markets Index (net div.) (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Tencent Holdings Ltd — 5.51% 0.50% Petroleo Brasileiro SA 1.78% 0.47% 0.49% Alibaba Group Holding Ltd 0.05% 5.14% 0.36% Evergreen Marine Corp Taiwan Ltd 0.25% 0.08% 0.35% Naspers Ltd — 1.21% 0.22% Samsung Electronics Co Ltd 0.97% 4.82% 0.20% Wan Hai Lines Ltd 0.07% 0.01% 0.16% Vale SA 1.51% 0.90% 0.15% TAL Education Group — 0.24% 0.15% New Oriental Education & Technology Group Inc — 0.24% 0.12%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Industrial & Commercial Bank of China Ltd 1.62% 0.52% -0.22% Wuxi Biologics Cayman Inc — 0.56% -0.21% China Construction Bank Corp 2.56% 0.96% -0.20% NIO Inc — 0.61% -0.19% Kakao Corp — 0.36% -0.19% Li Ning Co Ltd — 0.21% -0.14% China Resources Land Ltd 0.82% 0.18% -0.12% BYD Co Ltd — 0.24% -0.09% ANTA Sports Products Ltd — 0.24% -0.09% Hon Hai Precision Industry Co Ltd 1.21% 0.63% -0.08% Emerging Markets Value Portfolio (I) vs. MSCI Emerging Markets Value Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Evergreen Marine Corp Taiwan Ltd 0.25% — 0.51% Petroleo Brasileiro SA 1.78% 0.74% 0.37% Ping An Insurance Group Co of China Ltd 0.51% 1.86% 0.30% Samsung Electronics Co Ltd 0.97% 5.55% 0.27% Wan Hai Lines Ltd 0.07% 0.01% 0.16% China Steel Corp 0.38% 0.12% 0.13% Vipshop Holdings Ltd 0.01% 0.31% 0.13% Naspers Ltd — 0.59% 0.12% LUKOIL PJSC 0.62% 0.55% 0.10% Housing Development Finance Corp Ltd 0.06% 1.42% 0.10%

Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference NIO Inc — 0.80% -0.25% Alibaba Group Holding Ltd 0.05% 1.62% -0.24% Infosys Ltd — 1.56% -0.15% Industrial & Commercial Bank of China Ltd 1.62% 1.05% -0.12% Gazprom PJSC 0.45% 0.93% -0.10% BYD Co Ltd — 0.12% -0.09% China Resources Land Ltd 0.82% 0.37% -0.09% China Construction Bank Corp 2.56% 1.94% -0.08% Shenzhou International Group Holdings Ltd — 0.38% -0.08% NetEase Inc — 0.98% -0.07%

Emerging Markets Value Portfolio (R2) vs. MSCI Emerging Markets Index (net div.) (Prospectus Benchmark) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Tencent Holdings Ltd — 5.51% 0.50% Petroleo Brasileiro SA 1.78% 0.47% 0.49% Alibaba Group Holding Ltd 0.05% 5.14% 0.36% Evergreen Marine Corp Taiwan Ltd 0.25% 0.08% 0.35% Naspers Ltd — 1.21% 0.22% Samsung Electronics Co Ltd 0.97% 4.82% 0.20% Wan Hai Lines Ltd 0.07% 0.01% 0.16% Vale SA 1.51% 0.90% 0.15% TAL Education Group — 0.24% 0.15% New Oriental Education & Technology Group Inc — 0.24% 0.12% Top 10 Relative Detractors Relative Portfolio Contribution Company Name Weight Index Weight Difference Industrial & Commercial Bank of China Ltd 1.62% 0.52% -0.22% Wuxi Biologics Cayman Inc — 0.56% -0.21% China Construction Bank Corp 2.56% 0.96% -0.20% NIO Inc — 0.61% -0.19% Kakao Corp — 0.36% -0.19% Li Ning Co Ltd — 0.21% -0.14% China Resources Land Ltd 0.82% 0.18% -0.12% BYD Co Ltd — 0.24% -0.09% ANTA Sports Products Ltd — 0.24% -0.09% Hon Hai Precision Industry Co Ltd 1.21% 0.63% -0.08%

Emerging Markets Value Portfolio (R2) vs. MSCI Emerging Markets Value Index (net div.) Top 10 Relative Contributors Relative Portfolio Contribution Company Name Weight Index Weight Difference Evergreen Marine Corp Taiwan Ltd 0.25% — 0.51% Petroleo Brasileiro SA 1.78% 0.74% 0.37% Ping An Insurance Group Co of China Ltd 0.51% 1.86% 0.30% Samsung Electronics Co Ltd 0.97% 5.55% 0.27% Wan Hai Lines Ltd 0.07% 0.01% 0.16% China Steel Corp 0.38% 0.12% 0.13% Vipshop Holdings Ltd 0.01% 0.31% 0.13% Naspers Ltd — 0.59% 0.12% LUKOIL PJSC 0.62% 0.55% 0.10% Housing Development Finance Corp Ltd 0.06% 1.42% 0.10%