Retire with Conﬁdence October 19, 2017 Pendleton Access Code: 4619786 October 19, 2017 Bend October 19, 2017 Eugene October 20, 2017 Hermiston October 20, 2017 Albany

Home , Amundi

PERS and OSGP will host their 12th annual open house on Thursday, October 12 from 10:00 a.m. – 8:00 p.m. at the Salem The Expo is also hitting the road Convention Center. State and local this year! We will celebrate government employees are welcome. National Retirement Security Registration is encouraged to attend the Week by traveling across the presentations. state to present the many ways Save Today. Grow Your Tomorrow. that PERS and OSGP can help Topics* at this year’s Expo will include: • Introduction to OSGP increase your retirement • Retirement Strategies for OSGP conﬁdence. If you are unable to • Ask Kathy join us at the Convention Center, • Social Security Programs: What You be good to yourself and register Need to Know at www.growyourtomorrow.com • Building Financial Resiliency in Retirement to attend a session at one of Oregon Savings Growth Plan • PERS Health Insurance Program following locations. Seating is • Tier 1 & Tier 2: From Membership Advisory Committee limited, so register today to to Retirement 2nd Quarter 2020 • OPSRP: From Membership to Retirement reserve a seat. • PERS Informational Resources * Presentation topics are subject to change. October 14, 2017 Portland May 20, 2020 Please visit www.growyourtomorrow.com to October 17, 2017 Ontario 9:30 a.m. join us. We look forward to seeing you there. October 17, 2017 Medford Do something good for yourself and plan on October 17, 2017 Coos Bay attending. October 18, 2017 La Grande October 18, 2017 Klamath Falls Conference Call October 18, 2017 Roseburg 1-877-336-1828 Retire with Conﬁdence October 19, 2017 Pendleton Access Code: 4619786 October 19, 2017 Bend October 19, 2017 Eugene October 20, 2017 Hermiston October 20, 2017 Albany

For more information, visit www.growyourtomorrow.com or call 888-320-7377.

3048509.G.P Oregon Savings Growth Plan Advisory Committee

May 20, 2020 PERS Reservationless Conference 1 1.877.336.1828 – Access Code: 4619786

Committee Members

*Colin Benson, Chair *Mike Marostica, Vice-Chair

*Celeste Van Cleave *Mary Jo Evers *Christine Valentine

*Richard Bailey *Gene Bentley

Q2 2020 Meeting Agenda

9:30 a.m. I. Roll Call Benson

9:35 a.m. II. Approval of Minutes A. Meeting minutes from February 19, 2020

9:40 a.m. III. Old Business Benson None

9:40 a.m. IV. Informational Items A. Q1 2019 Voya service review Merrick B. Q1 2019 Outreach update Salguero C. Q1 2019 Communications update Moran D. Q1 2019 Callan performance report Heaphy, Tseng E. Q1 2019 Treasury Update Peet F. Q1 2019 OSGP Smith

11:00 a.m. V. Round table Benson

11:30 a.m. VI. Adjournment Benson

2020 Meeting Dates: February 19th * May 20th * August 19th * November 18th

If you have a disability that requires any special material, services, or assistance, please call 1.888.320.7377 at least 48 hours in advance of the meeting.

ADVISORY COMMITTEE MEETING MINUTES February 19, 2020 Keizer Community Center Keizer, Oregon

Committee Members Present

Colin Benson, Chair Mike Marostica, Vice-Chair Gene Bentley, Committee Member Richard Bailey, Committee Member Christine Valentine, Committee Member Celeste Van Cleave, Committee Member

OSGP Staff Members Present

Roger Smith, Manager Jack Schafroth, Employer Outreach Coordinator Kathy Gannon, Program Coordinator

PERS Pension Staff Present

Sam Paris, Assistant Chief Operations Officer

Committee Presenters Present

Jennifer Peet, Oregon State Treasury Anne Heaphy, Callan Uvan Tseng, Callan Gladys Salguero, Voya Brian Merrick, Voya Jennifer Moran, Voya

Guest

Ken Nichols, Charles Schwab Pete Ferrelly, OHA

Absent

Elizabeth Rossman, PERS Communications Carol Cann, Voya Dean Carson, PERS Communications Mary Jo Evers, Committee Member

I. Introductions

The meeting was called to order at 9:30 a.m. by Committee Chair, Colin Benson. Benson requested introductions by all those in attendance.

II. Approval of Minutes

Meeting minutes approved for 11/20/2019.

III. Old Business

None

IV. Charles Schwab

Ken Nichols provided the committee with an overview of Charles Schwab’s OSGP/PCRA services, investments and fees.

The PCRA services includes, dedicated PCRA staff providing support when needed, establishing and maintain data transfers between firms, processing files in a timely manner, responding and resolving issues if they arise, and proactive streamlining and improved processes. In addition, participants may give trading and withdraw authority to independent fee-based advisors.

Schwab provides an industry-leading customizable trading menu and zero commission for all ETFs, stocks and options listed on the U.S. or Canadian exchanges across all mobile, automated phone and web trading changes; no loading fees on all Schwab mutual funds available for new purchase in PCRA; over 2,000 ETFs across a range of asset classes and fund companies.

V. Informational Items

a. Q4 2019 Voya Service Review

Brian Merrick provided the Committee with an overview of OSGP assets and cash-flow stating OSGP ended 2019 with asset totaling $2,524,696,196.

Merrick proceeded with a review of the Rollover Summary and Advice Activity.

b. Q4 Communications Update

Jennifer Moran provided the committee with bullets of 2020 communication focus and informed the committee of continued use of automated emails to encourage participants to increase contributions, start contributions, and enrollments.

c. Q4 Outreach Team Update

Gladys Salguero provided an overview of outreach efforts and informed the committee of plans to add the Introduction of OSGP video to the workshop presentation as an opener.

d. Q4 2019 Callan Performance Review

Anne Heaphy and Uvan Tseng presented the Q4 OSGP investment performance review:

Heaphy provided an overview of U.S. equity, Non-U.S. equity, and U.S. Fixed Income

performance. Heaphy also informed the committee of a modest fee reduction in some of the OSGP investment options.

Uvan Tseng provided an overview on fourth quarter 2019 OSGP investment option performance.

e. Q4 2019 Treasury Update

Jennifer Peet review several fee reductions that OSGP will receive from BlackRock, DFA, and Galliard and informed the committee that she will continue to review fees for all of the investment options over the course of 2020.

f. Q4 2019 OSGP Update Roger Smith informed the committee that he would be sending out an email outlining the OSGP 2020 Strategic Plan. He would like the members to provide input on the goals and objectives. Smith continued to update the committee with a synopsis of the Secure Act and informed members that he would be soliciting input on permissible as well.

Smith informed the committee that the monthly Workday demographic file transfer between DAS and Voya will be restored April, 2020.

Smith announced that Expo 2020 planning has started. He asked, Committee Member, Gene Bentley to sit on the planning team, which Bentley agree.

VI. Round Table

Brian Merrick informed the committee of another award nomination for PERS efforts around National Save for Retirement.

VII. Public Comment

Pete Ferrelly offered public comment.

VIII. Adjournment There being no further business, the meeting was adjourned at 12:00 p.m.

The next meeting is scheduled for May 20, 2020.

Respectfully submitted, Dee Monday Oregon Savings Growth Plan

May 8, 2020

Roger Smith Program Manager State of Oregon Savings Growth Plan

Re: 2020 Year to Date Participant Activity

The purpose of this memo is to provide an overview of Oregon Savings Growth Plan (“OSGP”) participant transaction trends since the recent economic and market turmoil due to the global COVID-19 crisis. The following chats show the volume and dollar amount trends of select participant transactions by month over the last 5 quarters.

NUMBER OF TRANSACTIONS PERIOD DISTRIBUTION LOAN ISSUE TRANSFER IN TRANSFER OUT 2019 Qtr1 Jan 363 36 1,041 2,647 Transfer of Short Term Feb 361 35 906 2,482 Interest Option into the Mar 447 47 4,470 6,043 Stable Value Option ~ $54 million Qtr2 Apr 371 55 771 2,301 May 340 49 753 2,338 Jun 361 61 980 2,513 Qtr3 Jul 291 56 760 2,313 Aug 279 67 1,048 2,605 Sep 297 56 1,417 2,971 Qtr4 Transfer of LifePath 2020 Oct 342 43 1,067 2,692 Fund into the LifePath Nov 405 44 3,701 5,309 Retirement Fund ~ $143 million Dec 1,248 38 1,672 3,304 2020 Qtr1 Jan 460 47 1,153 2,790 Feb 349 42 1,262 2,856 Mar 420 45 2,564 4,166 Qtr2 Apr 225 22 1,394 2,998

TOTAL TRANSACTION $ PERIOD DISTRIBUTION LOAN ISSUE TRANSFER IN TRANSFER OUT 2019 Qtr1 Jan $ 10,487,309 $ 368,159 $ 26,370,929 $ 26,427,447 Transfer of Short Term Feb $ 9,218,565 $ 468,933 $ 23,812,463 $ 23,645,941 Interest Option into the Mar $ 11,719,185 $ 458,718 $ 74,860,352 $ 74,568,441 Stable Value Option Qtr2 ~ $54 million Apr $ 9,319,516 $ 791,487 $ 21,483,583 $ 20,979,850 May $ 11,187,665 $ 419,725 $ 20,167,777 $ 19,959,866 Jun $ 11,127,598 $ 717,505 $ 21,683,726 $ 21,307,213 Qtr3 Jul $ 6,312,192 $ 768,692 $ 24,190,014 $ 23,735,229 Aug $ 6,984,084 $ 828,410 $ 31,065,232 $ 30,596,252 Sep $ 7,319,256 $ 626,959 $ 34,690,926 $ 34,306,383 Qtr4 Transfer of LifePath 2020 Oct $ 10,285,148 $ 697,228 $ 29,386,980 $ 29,257,031 Fund into the LifePath Nov $ 8,561,204 $ 502,129 $ 161,633,943 $ 161,464,945 Retirement Fund Dec $ 12,796,182 $ 398,627 $ 25,991,770 $ 26,025,488 ~ $143 million 2020 Qtr1 Jan $ 12,815,438 $ 529,013 $ 34,495,306 $ 34,228,993 Feb $ 14,238,142 $ 472,668 $ 37,474,068 $ 37,078,303 Mar $ 9,510,046 $ 594,581 $ 74,801,086 $ 74,506,808 Qtr2 Apr $ 7,477,867 $ 290,948 $ 33,009,161 $ 33,025,664

AVERAGE TRANSACTION $ PERIOD DISTRIBUTION LOAN ISSUE TRANSFER IN TRANSFER OUT 2019 Qtr1 Jan $ 28,891 $ 10,227 $ 25,332 $ 9,984 Transfer of Short Term Feb $ 25,536 $ 13,398 $ 26,283 $ 9,527 Interest Option into the Mar $ 26,217 $ 9,760 $ 16,747 $ 12,340 Stable Value Option ~ $54 million Qtr2 Apr $ 25,120 $ 14,391 $ 27,865 $ 9,118 May $ 32,905 $ 8,566 $ 26,783 $ 8,537 Jun $ 30,824 $ 11,762 $ 22,126 $ 8,479 Qtr3 Jul $ 21,691 $ 13,727 $ 31,829 $ 10,262 Aug $ 25,033 $ 12,364 $ 29,642 $ 11,745 Sep $ 24,644 $ 11,196 $ 24,482 $ 11,547

Qtr4 Transfer of LifePath 2020 Oct $ 30,074 $ 16,215 $ 27,542 $ 10,868 Fund into the LifePath Nov $ 21,139 $ 11,412 $ 43,673 $ 30,413 Retirement Fund ~ $143 million Dec $ 10,253 $ 10,490 $ 15,545 $ 7,877 2020 Qtr1 Jan $ 27,860 $ 11,256 $ 29,918 $ 12,268 Feb $ 40,797 $ 11,254 $ 29,694 $ 12,983 Mar $ 22,643 $ 13,213 $ 29,174 $ 17,884 Qtr2 Apr $ 33,235 $ 13,225 $ 23,679 $ 11,016

In summary, participant fund transfer activity increased materially during the month of March 2020. Trading volumes returned to traditional levels in April 2020.

Contribution Rate Changes Period # Changes Avg $ of Change # Decreases # of Increases Avg Decrease $ Avg Increase $ 2019 Qtr1 Jan 1,138 $ 45 290 848 $ (635) $ 277 Feb 914 $ 109 183 731 $ (616) $ 290 Mar 917 $ 129 187 730 $ (569) $ 307 Qtr2 Apr 1,079 $ 107 223 856 $ (561) $ 281 May 828 $ 179 183 645 $ (504) $ 372 Jun 745 $ 102 178 567 $ (605) $ 324 Qtr3 Jul 974 $ 87 216 758 $ (503) $ 255 Aug 902 $ 51 242 660 $ (658) $ 310 Sep 918 $ 183 178 740 $ (663) $ 386 Qtr4 Oct 1,270 $ 164 213 1057 $ (520) $ 302 Nov 1,066 $ 83 262 804 $ (805) $ 372 Dec 971 $ 59 227 744 $ (884) $ 346 2020 Qtr1 Jan 1,251 $ 145 241 1010 $ (516) $ 303 Feb 1,005 $ 73 221 784 $ (682) $ 286 Mar 1,092 $ (111) 524 568 $ (636) $ 372 Qtr2 Apr 647 $ 64 204 443 $ (590) $ 365

In summary, the number of participants who decreased or stopped contributions increased significantly in March 2020. Decreased contributions returned to traditional levels in April 2020.

Thank you,

Brian Merrick Vice President, Relationship Management Voya Financial

Oregon Savings Growth Plan First Quarter 2020 Service Review

May 20, 2020

1 Table of contents

1. Voya Update 2. Executive Summary 3. Outreach Team Update 4. Communications Update 5. Q1 2020 Report

Do not put content 2 on the brand signature area Voya Update

Do not put content 3 on the brand signature area For TPA/Plan Sponsor/Financial Professional use only. Not for public distribution. Products and services offered through the Voya® family of companies. CN1155253_0421

4 Having the right people in your corner matters—especially in trying times like these. You can rely on our ability to adapt as needed without sacrificing the service you count on.

Steps taken to support our customers Timeline: transitioning our call include, but are not limited to: center to 100% work from home

% OF EMPLOYEES Clearance and approval of all remote WORKING DATE FROM HOME access scenarios and exceptions by Voya’s Technology and Security Risk Management 40% January 31, 2020 team (TRSM) 51% March 2, 2020 Clear, detailed call center standards and 85% March 12, 2020 procedures March 17 Multi-site customer service operations 100% March 20, 2020 Robust work-from-home strategies March 30

Modern technology for teams to be fully  Achieved 100% work from home functional in remote, off-site and third party goal 7 days ahead of schedule managed sites Shifted to virtual training of “in progress” new hire classes on March 17th and started successfully 5 onboarding and training all new hires virtually by March 30th Ensuring we have your consent before enacting optional plan provisions from the Coronavirus Aid, Relief, and Economic Security (CARES) Act.

Our opt-in model allows employers to consult with their consultant, advisor and/or TPA before action is taken:

Retirement consultants, Letter of Direction If permitted, Voya Voya to provide advisors, TPAs and (template provided by to make provisions sponsor with optional employers notified of Voya) completed by available to plan plan participant email. CARES act provision employer or TPA, and participants Pweb messaging will options returned to Voya be available.

6 Ongoing training, work-from-home capabilities and systems enable our associates to continue to seamlessly support online and over the phone.

Digital engagement participant peaked at 100% satisfaction of all calls are returned consistently over 25%-35% each day using virtual hold and callback technology % higher than year Over 96 over year projections per after call survey data, in month of March, but has Call volume spiked at 25%-30% which is comparable with since normalized higher than typical in March, but scores in non-volatile times has since started trending closer to normal levels

Average call length peaked at 14% longer in the month of Voya Internal Data, as of 4/6/20. Call backs enabled through our Voice March but continues to trend Response System (VRS) technology. Satisfaction rating is gathered from 7 call survey data closer to typical average We realize your employees are seeking more—not less—education, guidance and advice. We are ready to serve accordingly.

Live and On- Demand

Virtual webinars and individual meetings largely covering topics like: • Market volatility and asset allocation • Online access and related tools • Beneficiary and distribution options

8 Timely, relevant and multi-channel participant resources available to help individuals navigate market volatility.

Vast majority of participants are staying the course

1 As of 4/3/20 9 Robust suite of multi-channel education and resources designed to help plan participants make confident financial decisions during a time of uncertainty.

Special reports: Voya Learn

Statement messaging Education emails

Web & participant experience Ongoing blog updates updates Contact center

10 CN888745_0721 Actively supporting our sponsors with timely insights, perspectives and guidance so they’re informed and prepared to navigate plan decisions and participant concerns.

Centralized Coronavirus Updates for plan sponsors and financial professionals to access the latest updates, events and resources, along with participant materials Ongoing webinar events & replays CARES Act Resources– featuring speakers from Voya Sponsor communications, Letter of Retirement and Voya Direction and participant communications Investment Management

Sponsor Content Hub Ongoing and timely updates, leader perspectives and voya.com/marketvolatilityresources market updates

11 CN888745_0721 We are taking steps to help our customers and clients address business and financial challenges related to COVID-19.

Fee Credits Free Educational Guidance April 1 - Sept. 30, 2020 Through Sept. 30, 2020

If your plan permits the distribution or loan.. Voya will provide Americans with Voya will credit back to participants free access to a range of online in its defined contribution plans*: • Fees associated with coronavirus-related resources, including: distributions allowed under the recently enacted • CARES Act materials, FAQs, videos, virtual group Coronavirus Aid, Relief, and Economic Security meetings; and (CARES) Act; • Phone access with financial professionals (subject • Hardship distribution fees; and to availability) with Voya Financial Advisors (VFA). • Loan initiation fees.

* Applicable when participants pay fee

12 The protection of customer and client sensitive information is, and remains, our top priority. Along with proactive preparation and safeguards already in place, we’ve made additional enhancements to increase cybersecurity and prevent fraud.

Proactive security measures include:

Approval and clearance Enhanced security policy requirements for all remote for all offshore vendors and employees service providers

Voya’s proprietary anti- Increased cybersecurity and fraud program adjusted for fraud awareness and increased loan limits and education communications new distributions under across enterprise CARES Act

Added capacity to multi- Fraud and security factor authentication specialists more engaged infrastructure for remote with front line employees access and partners

13 Executive Summary

Do not put content 14 on the brand signature area Executive Summary

– Assets and Cash Flow – Total plan assets = $2.1 billion as of March 31, 2020 – Net cash flow was a positive $9.5 million – Over $37 million of participant net transfers made to the Stable Value Fund and Active Fixed Income Option – Rollover in contributions were $22 million . Participants with Roth elections 5,231 . Roth contributions were $3.3 million for the quarter – Investment Composition – The LifePath Options hold 32% of plan assets – The Stable Value Option is second with 14.54% of plan assets, average balance of $35,770 – The Large Company Growth Stock Option is third with 12.09% of plan assets, average balance of $20,509 – The SCHWAB Brokerage account had 310 participants with a balance, average balance of $72,063 – PSR Activity

– Web visitors averaged 2,705 web-based transactions each month – PSR transactions averaged 589 per month – Mobile transactions averaged 158 per month

15 Digital Engagement Summary

13,582 participants logged in to the website

myOrangeMoney Loan Calculator Personalized Video

18% engaged 41 used loan guidance 199 viewed a video

9% took action 63% did not take a loan 41% clicked the call to action

Data from 1/1/2020 to 3/31/2020

Published by: Retirement Customer Analytics and Insights For plan sponsor use only . Data above is based on participant activity for the time period specified in above title. Products and services offered through the Voya(R) family of companies. CN1091853_0222

16 Oregon Savings Growth Plan - Digital Engagement Report

D ata from 1/1/2020 to 3/31/2020 to 1/1/2020 fromData

myOrangeMoney Engagement Activity Participants of #

9% of participants took action after using myOrangeMoney Logged in with access to myOrangeMoney 13,581 Viewed myOrangeMoney 13,167 97%

Engaged and interacted with myOrangeMoney 2,328 18% 143 participants changed their deferral amt: on average from $434 to $565 Took ac on a er using myOrangeMoney 209 9%

84 participant(s) participants changed a fund allocation

17 participant(s) participants enrolled in a managed account

Personal Financial Dashboard Engagement Activity Participants of #

7% of participants took action after using the PFD Used the Personal Financial Dashboard 152

Created an ac on plan 48 32%

8 participants changed their deferral amt: on average from $176 to $253 Took ac on a er using Personal Financial Dashboard 11 7%

3 participants participants changed a fund allocation

2 participants participants enrolled in a managed account

Published by: Retirement Customer Analytics and Insights For plan sponsor use only Data above is based on participant activity for the time period speciﬁed in above title Products and services oﬀered through the Voya(R) family of companies. CN1091853_0222

17 Rollover Summary Q1 2020

OSGP Rollovers Out Institution # of Rollovers % of Total $ Rolled PERS Purchase of Service 51 20% $242,981 Edward Jones 21 8% $2,238,447 TDAmeritrade 12 5% $2,237,383 Fidelity 12 5% $1,330,698 Voya 10 4% $2,179,494 All Others 147 58% $15,208,916

OSGP Rollovers In Institution # of Rollovers % of Total $ Rolled IAP 204 64% $19,393,426 All Others 114 36% $2,626,167

IAP Rollovers Out

Institution # of Rollovers % of Total $ Rolled OSGP 204 10% $19,393,426 All Others 1,747 90% $126,009,221

18 Participant Status Summary

As December 31, 2019 As of March 31, 2020

Active, Contributing Active, Contributing 24% 60% 24% 60% Active, Not Active, Not Contributing Contributing Suspended 5% Suspended 5% 0% 0% Terminated, 11% Terminated, 11% Receiving Receiving Installments Installments

Participant Status Number of Participants Participant Status Number of Participants Active, Contributing 19,457 Active, Contributing 19,468

Active, Not Contributing 3,648 Active, Not Contributing 4,460

Suspended 60 Suspended 56

Terminated, Receiving Installments 1,467 Terminated, Receiving Installments 1,487

Terminated with a Balance 7,390 Terminated with a Balance 7,588

Total: 32,191 Total: 33,059

19 Net Cash Flow and Earnings by Quarter

2Q 2019 3Q 2019 4Q 2019 1Q 2020 Last 12 months Beginning Balance $ 2,266,369,699 $ 2,339,740,973 $ 2,373,579,265 $ 2,524,696,196 $ 2,266,369,699 Net Cash Flow $ 5,106,519 $ 20,149,632 $ 6,734,541 $ 9,590,859 $ 41,581,552 Investment Earnings $ 68,264,755 $ 13,688,660 $ 144,382,391 $ (382,130,990) $ (155,795,185) Ending Balance $ 2,339,740,973 $ 2,373,579,265 $ 2,524,696,196 $ 2,152,156,065 $ 2,152,156,065

For Plan Sponsor use only

20 Advice Activity March 2020

Advice Rollout June 29, 2018

Total participants eligible for Advice 33,099

Advisor Service Activity Since Rollout • # Participants with a balance that have used the VRA Services 3,878 • % Participants with a balance that have used the VRA Services 11.75% • VRA Advisor calls 931 • Online Advice Adopters 1,570 • Professional Management Members 1,377

Monthly VRA Investment Advisor Activity • Calls 105 • Received a Retirement Plan 78 • That processed a transaction 35

Monthly Online Activity • New Adopters this month 44 • Received forecast 25 • Received Advice Online 23

Professional Management Activity • Net PM activity for month 6 • Total Members 1,377 • Total Member Assets $98,959,255 • Average Member Balance $71,866

For Plan Sponsor use only

21 Outreach Team Update

Do not put content 22 on the brand signature area Q1 Outreach Activities

Swift action taken to provide alternative to in-person services

• Installed Zoom video conferencing tool on Representatives’ computers • Conducting individual consultations by video chat as of late March • Currently offering 3 of our core workshops via Zoom group conferencing • Collaborated with communications team to get the word out about these services • Leveraging TimeTap scheduler for video conference registrations

23 Q1 Outreach Activities

Employer Presentations Presentation Group Group Benefits Fairs Individual Contact Visits Attendance Meetings Meeting Consultations Attendance

122 84 711 41 98 1 663

1000 933 900 800 711 700 663 600 475 500 400 300 200 122 102 84 98 100 54 41 44 20 2 1 0 Employer Presentations Presentation Group Group Meeting Benefit Fairs 1-on-1s Contact Visits Attendance Meetings Attendance

Q1_2019 Q1_2020

24 Q1 Outreach Activities

Team Survey Results

Found content of workshop valuable 99% and informative

Felt presenter was knowledgeable 99% and relatable

53% Took action

25 Communications Update

Do not put content 26 on the brand signature area Q1 2020 Communications Overview

. Pivot to produce product that can benefit participants virtually – and increase participation in the Plan . Support OSGP/ PERS to find a solution to a virtual expo in October . Create a dedicated location for educational rep information, including virtual 1:1’s and virtual workshops – launching mid-May . Collaborate with the OSGP educational representative team to increase plan awareness, education and enrollment . Work to support the onboarding of local governments by creating a space for them to learn about OSGP resources – microsite and new materials launching mid-June . Support OSGP during these unprecedented times; RMD letter in regards to the CARES Act implementation, growyourtomorrow.com updates with market volatility insights, RMD information and workshop information updates (face-to- face to virtual) . Prepare and update forms and flyers to reflect our changing environment . Plan for upcoming campaigns upon receipt of demographic information . Automated emails paused in mid-March, but due to re-start in mid-May with updated language for our current environment

27 Q1 2020 Communications Overview

28 Financial Wellness Report - OSGP

• 150 or 3% of participants took the financial wellness assessment after opening a Financial Wellness email. • Campaigns were suspended mid-March.

Unique Participant Activity 4/10/2020

Participants reached (Delivered) 12,511

Participants interested (Opens) 5,697 (46%)

Participants engaged (Email clicks) 748 (13%)

Participants took action after opening 150 (3%)

Taking an action refers to making a contribution change

29 Save More Results - OSGP

• 8% of participants targeted took action after receiving the Save More Journey and opening a Save More email. • Of the 202 participants that took action, those participants are saving an average of $41 more per pay period. • The below results are from when the campaign began in August 2018 through April 10, 2020 (campaign suspended mid-March.) Unique Participant Activity 4/10/2020

Participants reached (Delivered) 5,461

Participants interested (Opens) 2,404 (44%)

Participants engaged (Email clicks) 218 (9%)

Participants took action after opening 202 (8%)

Taking an action refers to making a contribution change

30 Restart Savings Results - OSGP

• 4% of participants targeted took action after receiving the Restart Savings journey. • Campaigns were suspended mid-March.

Unique Participant Activity 4/10/2020

Participants reached (Delivered) 47

Participants interested (Opens) 27 (57%)

Participants engaged (Email clicks) 2 (7%)

Participants took action after opening 1 (4%)

Taking an action refers to making a contribution change

31 Diversification - OSGP

• 33% of participants targeted took action after receiving the Diversification email. • Campaign was suspended before any emails were sent out for Q1.

Unique Participant Activity 4/10/2020

Participants reached (Delivered) 3

Participants interested (Opens) 1 (33%)

Participants took action after opening 1 (33%)

Taking an action refers to making a contribution change

32 First Quarter 2020

Do not put content 33 on the brand signature area Cash Flow Summary Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN 180M

160M Cash In 140M 120M

Employee Before-tax Contributions 26,002,230.96 100M Employee After-tax Contributions 0.00 80M

60M Roth 457 Contributions 3,363,594.16 40M

Roth 457 Conversion 933,903.16 20M

Roth Qual Plan Conversion 45,000.00 0M Rollover Contributions 22,073,516.59 05/2019 06/2019 07/2019 08/2019 09/2019 10/2019 11/2019 12/2019 01/2020 02/2020 03/2020 Employer Contributions 0.00 Cash In Cash Out Net Cash Loan Repayments 1,423,046.17 Conversions In 6,895.99 May 2019 $35,664,309.68 $33,565,441.17 $2,098,868.51 Transfers In 145,174,198.42 Jun 2019 $36,036,416.52 $34,640,128.77 $1,396,287.75 Other 3,275,577.77 Jul 2019 $37,757,407.44 $32,504,468.48 $5,252,938.96

Total Cash In $202,297,963.22 Aug 2019 $48,425,009.23 $41,637,024.67 $6,787,984.56 Cash Out Sep 2019 $51,993,811.10 $44,335,052.06 $7,658,759.04 Withdrawals 3,399,445.74 Oct 2019 $44,272,581.10 $42,267,629.11 $2,004,951.99 Installment Payments 6,795,199.76 Nov 2019 $177,802,643.64 $172,654,455.25 $5,148,188.39 Terminations 33,046,699.53 Dec 2019 $41,198,381.84 $41,402,281.74 -$203,899.90 Loans Issued 1,596,261.73 Conversions Out 690.48 Jan 2020 $50,902,362.25 $50,959,568.51 -$57,206.26 Fees 160,095.29 Feb 2020 $59,256,828.08 $54,771,157.64 $4,485,670.44 Transfers Out 144,392,325.97 Mar 2020 $92,138,772.89 $86,935,570.12 $5,203,202.77 Other 3,275,577.77 $675,448,523.77 $635,672,777.52 $39,775,746.25 Total Cash Out ($192,666,296.27)

Net Cash Flow $9,631,666.95

34 Investment Balances by Quarter Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN

Investment Name Q2 2019 Q3 2019 Q4 2019 Q1 2020

STABLE VALUE OPTION $286,760,387.79 $292,016,788.96 $292,264,803.50 $310,846,578.48

LIFEPATH RETIREMENT FUND $189,986,188.61 $193,894,928.46 $341,185,658.59 $306,086,577.30

LIFEPATH 2020 FUND $140,818,720.12 $142,572,262.75 $0.00 $0.00

LIFEPATH 2025 FUND $120,508,966.78 $125,026,791.68 $136,747,806.00 $121,860,284.71

LIFEPATH 2030 FUND $89,997,210.60 $91,595,118.77 $99,697,605.37 $86,502,489.30

LIFEPATH 2035 FUND $67,744,357.55 $69,576,299.67 $77,085,458.78 $64,880,745.78

LIFEPATH 2040 FUND $46,895,412.68 $47,839,073.93 $53,926,898.05 $44,820,808.78

LIFEPATH 2045 FUND $31,840,621.41 $32,316,054.49 $36,321,995.10 $29,477,223.86

LIFEPATH 2050 FUND $25,292,739.43 $24,777,697.52 $28,734,681.49 $23,110,802.61

LIFEPATH 2055 FUND $9,537,377.75 $9,975,471.33 $11,404,764.33 $9,360,056.71

LIFE PATH 2060 $6,499,609.78 $6,936,590.05 $8,014,632.18 $6,375,954.96

LIFEPATH 2065 FUND $0.00 $0.00 $17,671.60 $21,868.61

ACTIVE FIXED INCOME OPTION $149,943,814.46 $168,594,508.23 $173,748,273.98 $189,214,607.32

REAL RETURN OPTION $4,264,677.74 $4,266,600.65 $4,618,007.99 $3,532,262.40

SOCIALLY RESPONSIBLE INV OPT $17,924,150.52 $18,961,490.47 $21,657,211.28 $17,653,582.91

LARGE COMP VALUE STOCK OPTION $200,498,121.80 $202,282,539.32 $216,136,376.82 $154,935,964.84

STOCK INDEX OPTION $271,151,785.46 $272,723,745.97 $297,395,244.84 $230,525,177.11

LARGE COMP GROWTH STOCK OPTION $279,295,370.14 $280,941,595.47 $309,067,163.76 $258,525,219.70

INTERNATIONAL STK OPTION $121,174,044.67 $122,213,377.85 $136,120,682.91 $101,839,999.07

35 Q2 2019 Q3 2019 Q4 2019 Q1 2020

SMALL COMPANY STOCK OPTION $245,333,170.17 $231,537,091.23 $243,164,876.77 $156,057,750.18

SCHWAB PCRA $20,572,166.01 $21,240,534.94 $23,138,552.18 $22,339,833.26

36 Asset Class by Quarter Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN

Asset Class Q2 2019 Q3 2019 Q4 2019 Q1 2020

International Equity $121,174,044.67 $122,213,377.85 $136,120,682.91 $101,839,999.07

Lifestyle/Balanced $729,121,204.71 $744,510,288.65 $793,119,499.89 $692,474,944.01

Stable Value/Money Market $286,760,387.79 $292,016,788.96 $292,264,803.50 $310,846,578.48

Stock Index $554,711,833.34 $557,931,942.09 $611,098,088.19 $492,604,527.82

US Fixed Income $149,943,814.46 $168,594,508.23 $173,748,273.98 $189,214,607.32

US Large Cap Equity $218,422,272.32 $221,244,029.79 $237,793,588.10 $172,589,547.75

US Small Cap Equity $245,333,170.17 $231,537,091.23 $243,164,876.77 $156,057,750.18

37 Contributions by Fund Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN

Investment Name Q2 2019 Q3 2019 Q4 2019 Q1 2020

ACTIVE FIXED INCOME OPTION $2,087,861.14 $2,797,643.89 $2,160,787.69 $4,486,960.11

INTERNATIONAL STK OPTION $2,089,912.73 $2,352,825.53 $1,999,296.08 $2,486,577.26

LARGE COMP GROWTH STOCK OPTION $4,021,338.53 $4,590,016.04 $4,694,205.86 $5,817,064.91

LARGE COMP VALUE STOCK OPTION $2,725,779.23 $2,944,086.71 $2,682,576.31 $3,010,830.62

LIFE PATH 2060 $672,299.34 $631,469.89 $484,272.15 $549,172.61

LIFEPATH 2020 FUND $2,466,383.20 $3,478,512.38 $0.00 $0.00

LIFEPATH 2025 FUND $3,666,540.85 $4,199,478.27 $3,383,137.04 $4,784,379.56

LIFEPATH 2030 FUND $2,561,047.20 $2,997,383.74 $2,952,161.57 $3,481,290.16

LIFEPATH 2035 FUND $2,137,893.96 $2,543,111.16 $2,799,524.10 $2,485,727.08

LIFEPATH 2040 FUND $1,867,688.79 $1,879,382.00 $2,339,683.24 $2,014,455.57

LIFEPATH 2045 FUND $1,667,796.74 $1,442,084.29 $1,414,110.39 $1,544,493.58

LIFEPATH 2050 FUND $1,005,615.50 $1,298,388.61 $1,400,689.70 $1,324,577.29

LIFEPATH 2055 FUND $559,626.74 $624,826.92 $614,357.29 $586,270.64

LIFEPATH RETIREMENT FUND $1,837,091.11 $2,179,295.41 $3,489,819.14 $6,598,294.50

REAL RETURN OPTION $177,306.44 $119,829.75 $117,926.74 $168,475.81

SMALL COMPANY STOCK OPTION $2,972,988.09 $2,949,617.26 $2,642,470.02 $3,178,322.36

SOCIALLY RESPONSIBLE INV OPT $517,532.11 $614,126.92 $580,379.07 $1,108,556.60

STABLE VALUE OPTION $5,132,914.79 $5,088,506.83 $4,316,400.27 $4,674,914.12

STOCK INDEX OPTION $3,668,644.00 $3,858,225.64 $3,784,591.14 $4,107,459.79

Total $41,836,260.49 $46,588,811.24 $41,856,387.80 $52,407,822.57

38 Before-Tax Contribution Amount Summary Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN

14,000 12,182 12,000

10,000

8,000

6,000

Number of Participants 4,000 1,996

2,000 1,760 1,299 766 516 151 113 107 97 55 41 28 11 18 7 6 5 3 2 0 1 < 10 10-19 20-29 30-39 40-49 50-59 60-69 70-79 80-89 90-99

Contribution100-999 Dollars <= 10000 1000-1999 2000-2999 3000-3999 4000-4999 5000-5999 6000-6999 7000-7999 8000-8999 9000-9999

Total Number of Participants: 19,164

39 Roth Contribution Amount Summary As of March 31, 2020

OREGON SAVINGS GROWTH PLAN

3,200 3,098

2,800

2,400

2,000

1,600

1,200 856

Number of Participants 800 643

400 192 195 74 64 33 28 18 12 7 6 2 0 1 1 1 10-19 20-29 30-39 40-49 50-59 60-69 70-79 80-89 90-99 100-999

Contribution Amount 1000-1999 2000-2999 3000-3999 4000-4999 5000-5999 6000-6999 7000-7999 Total Number of Participants: 5,231

40 Average Contribution Amount Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN

800 $719.50 700

600 $560.80

500

400 $405.99 Before-tax $

300 $279.63 Average Amount

200 $188.30 $166.00

100

0 < 21 21-30 31-40 41-50 51-60 61 + Age Group

< 21 $166.00 21-30 $188.30 31-40 $279.63 41-50 $405.99 51-60 $560.80 61 + $719.50 Average $458.66

41 Participants with Balances by Number of Investments Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN

13.21% 39.11% Number of Number of Investments Participants

1 12928 2 4367 3 3378 4 3368 5 3550 6 2333 7 1462 8 916 9 358 10 or More 399 1.21% Total: 33059 1.08% 10.22% 2.77% 10.19% 4.42% 10.74% 7.06%

Average Number of Funds: 3

42 Participants with a Balance in a Single Investment Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN

1,800 1,591 1,614 1,600 1,563 1,443 1,400 1,271 1,200 1,159 1,079 1,057 1,000

800 664 600 432 400 309

Number of Participants 243 143 156 200 71 67 7 11 31 17 0 SCHWAB PCRA LIFE PATH 2060 LIFEPATH 2025 FUND LIFEPATH 2030 FUND LIFEPATH 2035 FUND LIFEPATH 2040 FUND LIFEPATH 2045 FUND LIFEPATH 2050 FUND LIFEPATH 2055 FUND LIFEPATH 2065 FUND STOCK INDEX OPTION REAL RETURN OPTION STABLE VALUE OPTION INTERNATIONAL STK OPTION LIFEPATH RETIREMENT FUND ACTIVE FIXED INCOME OPTION SMALL COMPANY STOCK OPTION SOCIALLY RESPONSIBLE INV OPT LARGE COMP VALUE STOCK OPTION LARGE COMP GROWTH STOCK OPTION

43 Loan Summary Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN

Total Participants with Loans: 1,755 Total Number of Outstanding Loans: 1,755 Number of General Loans: 1,658 Number of Residential Loans: 97 Total Outstanding Loan Balance: $13,691,969.58 General Loan Balance: $12,125,040.80 Residential Loan Balance: $1,566,928.78 Number of Re-amortized Loans during the period: 4 Number of Loan Defaults during the period: 16

44 Balances by Investment As of March 31, 2020

OREGON SAVINGS GROWTH PLAN

Number of Average Percentage of Investment Investment Balance Participants Participant Plan Assets STABLE VALUE OPTION $310,846,578.48 8,690 $35,770.61 14.54% LIFEPATH RETIREMENT FUND $306,086,577.30 5,774 $53,011.18 14.32% LIFEPATH 2025 FUND $121,860,284.71 3,543 $34,394.66 5.70% LIFEPATH 2030 FUND $86,502,489.30 3,683 $23,486.96 4.05% LIFEPATH 2035 FUND $64,880,745.78 3,668 $17,688.32 3.03% LIFEPATH 2040 FUND $44,820,808.78 3,473 $12,905.50 2.10% LIFEPATH 2045 FUND $29,477,223.86 3,120 $9,447.83 1.38% LIFEPATH 2050 FUND $23,110,802.61 2,456 $9,409.94 1.08% LIFEPATH 2055 FUND $9,360,056.71 1,384 $6,763.05 0.44% LIFE PATH 2060 $6,375,954.96 941 $6,775.72 0.30% LIFEPATH 2065 FUND $21,868.61 20 $1,093.43 0.00% ACTIVE FIXED INCOME OPTION $189,214,607.32 7,545 $25,078.15 8.85% REAL RETURN OPTION $3,532,262.40 803 $4,398.83 0.17% SOCIALLY RESPONSIBLE INV OPT $17,653,582.91 1,996 $8,844.48 0.83% LARGE COMP VALUE STOCK OPTION $154,935,964.84 10,828 $14,308.83 7.25% STOCK INDEX OPTION $230,525,177.11 10,567 $21,815.57 10.78% LARGE COMP GROWTH STOCK OPTION $258,525,219.70 12,605 $20,509.74 12.09% INTERNATIONAL STK OPTION $101,839,999.07 10,148 $10,035.47 4.76% SMALL COMPANY STOCK OPTION $156,057,750.18 10,858 $14,372.61 7.30% SCHWAB PCRA $22,339,833.26 310 $72,063.98 1.04%

Total Investment Balance: $2,137,967,787.89

Total Loan Fund: $13,752,230.99

45 Transfer Activity by Investment Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN

Investment Name Transfers In Transfers Out Net STABLE VALUE OPTION $45,306,273.13 -$22,715,300.31 $22,590,972.82 LIFEPATH RETIREMENT FUND $9,167,798.62 -$16,232,524.96 -$7,064,726.34 LIFEPATH 2025 FUND $4,645,556.10 -$7,009,851.42 -$2,364,295.32 LIFEPATH 2030 FUND $2,809,015.13 -$3,769,574.04 -$960,558.91 LIFEPATH 2035 FUND $1,962,344.25 -$2,752,317.12 -$789,972.87 LIFEPATH 2040 FUND $1,479,739.76 -$1,341,131.20 $138,608.56 LIFEPATH 2045 FUND $822,823.83 -$903,643.53 -$80,819.70 LIFEPATH 2050 FUND $518,404.88 -$749,418.48 -$231,013.60 LIFEPATH 2055 FUND $563,827.32 -$455,548.52 $108,278.80 LIFE PATH 2060 $145,654.79 -$360,316.14 -$214,661.35 LIFEPATH 2065 FUND $24,708.82 -$24,666.63 $42.19 ACTIVE FIXED INCOME OPTION $30,368,321.79 -$15,951,389.27 $14,416,932.52 REAL RETURN OPTION $668,584.13 -$953,037.99 -$284,453.86 SOCIALLY RESPONSIBLE INV OPT $3,278,092.78 -$3,536,594.96 -$258,502.18 LARGE COMP VALUE STOCK OPTION $6,803,669.95 -$10,754,204.84 -$3,950,534.89 STOCK INDEX OPTION $8,417,735.72 -$13,472,022.10 -$5,054,286.38 LARGE COMP GROWTH STOCK OPTION $16,049,250.26 -$23,886,382.63 -$7,837,132.37 INTERNATIONAL STK OPTION $4,635,347.21 -$5,810,714.53 -$1,175,367.32 SMALL COMPANY STOCK OPTION $4,384,595.34 -$13,447,588.17 -$9,062,992.83 SCHWAB PCRA $3,122,454.61 -$266,099.13 $2,856,355.48

46 Participant Contact Summary Period Ending March 31, 2020

OREGON SAVINGS

60,000 53,094 51,517 50,000 46,517 43,079 43,013 42,897 41,598 40,072

40,000 38,734 37,109 33,864 32,141 30,000

Number of Contacts 20,000

10,000 8,609 7,056 7,085 7,049 7,023 6,649 6,483 6,239 5,904 5,730 5,706 5,556 4,381 4,407 3,671 3,688 3,713 3,621 3,532 3,322 3,365 3,227 2,992 2,929 1,789 1,827 1,762 1,493 1,489 1,538 1,480 1,395 1,345 1,242 1,183 1,108 0 Apr-2019 May-2019 Jun-2019 Jul-2019 Aug-2019 Sep-2019 Oct-2019 Nov-2019 Dec-2019 Jan-2020 Feb-2020 Mar-2020

Total PSR Calls Total IVR Calls Total Web Visits Unique Visitors

47 Paperless Transaction Summary Period Ending March 31, 2020

OREGON SAVINGS

3,500 3,197

3,000 2,663 2,500 2,317 2,257 2,036 1,971 1,957 1,953

2,000 1,920 1,764 1,624 1,546 1,500

Number of Transactions 1,000 659 559 550 513 491 488 483 455 455 446 420 500 417 266 193 171 149 123 121 120 114 114 113 100 97 29 20 13 16 9 8 5 7 5 6 0 4 3 4/30/19 5/31/19 6/30/19 7/31/19 8/31/19 9/30/19 10/31/19 11/30/19 12/31/19 1/31/20 2/29/20 3/31/20

PSR Transactions IVR Transactions MOB Transactions Web Transactions

48 IVR Activity January 01, 2020 to March 31, 2020

OREGON SAVINGS

4,500 40

4,000 35 Percentage of Calls Dropped to PSR

3,500 30 3,000 25 2,500 20 2,000 15 1,500 10 Number of IVR Calls 1,000

500 5

0 0 Jan-2020 Feb-2020 Mar-2020

IVR Calls Outside of IVR Calls During PSR @IVR to PSR Percent PSR Hours Hours

Total IVR Calls IVR Calls During IVR Calls Outside of IVR Calls Percent of IVR Calls Date PSR Hours PSR Hours Transferred to PSR Transferred to PSR Jan-2020 4,381 3,315 1,066 1,558 35.56% Feb-2020 3,713 2,834 879 1,205 32.45% Mar-2020 4,407 3,155 1,252 1,309 29.70%

49 PSR Activity Period Ending March 31, 2020

OREGON SAVINGS Reporting Period PSR Call Volume Average Speed of Answer (Seconds) Average Call Length (Minutes) Apr-2019 1,762 8 7.12 May-2019 1,493 2 6.60 Jun-2019 1,789 6 6.52 Jul-2019 1,489 9 7.02 Aug-2019 1,827 11 6.47 Sep-2019 1,345 15 6.60 Oct-2019 1,538 22 6.67 Nov-2019 1,183 101 6.68 Dec-2019 1,395 64 6.47 Jan-2020 1,480 121 6.67 Feb-2020 1,108 197 6.18 Mar-2020 1,242 111 7.10

50 PSR Activity Period Ending March 31, 2020

OREGON SAVINGS

PSR Number of Percent of Reporting Period Call Volumes Abandoned Calls Abandoned Calls

Apr-2019 1,762 7 0.00%

May-2019 1,493 1 0.00%

Jun-2019 1,789 2 0.00%

Jul-2019 1,489 10 0.01%

Aug-2019 1,827 16 0.01%

Sep-2019 1,345 5 0.00%

Oct-2019 1,538 10 0.01%

Nov-2019 1,183 50 0.04%

Dec-2019 1,395 41 0.03%

Jan-2020 1,480 68 0.04%

Feb-2020 1,108 86 0.07%

Mar-2020 1,242 56 0.04%

51 Paperless Transactions by Channel Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN

100% 0 0 24 90% 47 177 80% 0 43 70% 0 97 164 60% 2,577 2,730 1,264 518 50% 122 27 286 0 40% 197 388 30% 0 12 20% 32 0 329 213 45 88 10% 0 27 0 2 27 55 251 318 137 0 0% 0 0 0 0 0 4 0 Address Change Dividend Election New Loan Issued Bonus Contribution Rebalance Election Beneficiary Election Banking Information In-Service Withdrawal Catch-Up Contribution Fund to Transfer Termination Distribution Investment Reallocation Contribution Rate Change Contribution Rate Escalator Online Loan Payoff via ACH Investment Election Change Documents/Package Request Sum of Loan Repayment ACH

WEB MOB IVR PSR

52 Paperless Transactions by Channel (IVR/PSR/WEB/MOB Combined) Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN

Paperless Transaction Description Transaction Volume Address Change 75 Banking Information 209 Beneficiary Election 573 Bonus Contribution 0 Catch-up Contribution 0 Contribution Rate Change 3,184 Contribution Rate Escalator 0 Dividend Election 0 Document/Package Request 310 Fund to Fund Transfer 3,261 In-service Withdrawal 565 Investment Election Change 1,491 Investment Reallocation 0 Rebalance Election 126 Loan Repayment ACH Election 0 New Loans Issued 136 Online Loan Payoff via ACH 27 Termination Distribution 244

53 Balances by Age and Status Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN

500,000,000

400,000,000

300,000,000

200,000,000

100,000,000

0 < 21 21-29 30-39 40-49 50-59 60-69 >= 70

Active Suspended Terminated

Status < 21 21-29 30-39 40-49 50-59 60-69 >= 70

Active $11,007 $4,521,966 $62,947,951 $224,555,145 $466,380,710 $367,781,608 $35,143,246

Suspended $0 $2,390 $27,223 $298,873 $640,133 $671,746 $35

Terminated $7,133 $408,732 $5,872,058 $21,292,919 $139,103,503 $479,102,773 $329,198,636

54 Average Balances by Age and Status Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN

140K

120K

100K

80K

60K

40K

20K

0K < 21 21-29 30-39 40-49 50-59 60-69 >= 70

Active Suspended Terminated

Status < 21 21-29 30-39 40-49 50-59 60-69 >= 70

Active $2,201 $3,759 $12,960 $33,926 $65,146 $95,727 $122,450

Suspended $0 $797 $1,701 $21,348 $58,194 $111,958 $35

Terminated $3,567 $3,682 $10,542 $25,379 $90,444 $138,509 $130,118

55 Median Balance by Age and Status Period Ending March 31, 2020

OREGON SAVINGS GROWTH PLAN

100K

80K

60K

40K

20K

0K < 21 21-29 30-39 40-49 50-59 60-69 >= 70

Active Suspended Terminated

Status < 21 21-29 30-39 40-49 50-59 60-69 >= 70

Active $1,287 $1,679 $5,207 $12,769 $25,213 $45,173 $49,966

Suspended $0 $387 $474 $2,182 $14,549 $62,858 $35

Terminated $3,567 $948 $3,685 $9,548 $43,122 $84,700 $76,253

56 May 20, 2020

First Quarter 2020 Performance Review

Anne Heaphy Plan Sponsor Consulting

Uvan Tseng, CFA Plan Sponsor Consulting Capital Markets Update First Quarter 2020

2 What Just Happened? A ‘Global Hurricane’ in the form of a pandemic

The sharpest and fastest equity market decline ever: 16 trading days to reach bear market; -33% after just 23 days

S&P 500 Index Cumulative Returns Market Peak-to-Trough for Last Two Corrections vs. Current Path of COVID-19 Correction Through 5/4/20

-10%

-20%

-30%

-40%

-50%

-60% Day 1 Day 12 Day 23 Day 34 Day 45 Day 56 Day 67 Day 78 Day 89 Day 100 Day 111 Day 122 Day 133 Day 144 Day 155 Day 166 Day 177 Day 188 Day 199 Day 210 Day 221 Day 232 Day 243 Day 254 Day 265 Day 276 Day 287 Day 298 Day 309 Day 320 Day 331 Day 342 Day 353 Day 364 Day 375 Day 386 Day 397 Day 408 Day 419 Day 430 Day 441 Day 452 Day 463 Day 474 Day 485 Day 496 Day 507 Day 518 Trading Days From Market Peak

Tech Bubble GFC COVID-19

Knowledge. Experience. Integrity. 3 Capital Markets What just happened?

Unprecedented economic impact from a global shutdown – Dominant fear over last few years: an equity market downturn, which was realized at the end of February – Breathtaking speed and depth of the three-week economic decline

Governments stepped in quickly with immediate monetary response, fiscal stimulus – Fed Chairman Powell: “We’ll do whatever it takes.” Able to leverage policy playbook following GFC. – Monetary response important, but not the solution to this crisis – Massive fiscal policy required to address economic dislocation: companies, industries, individuals – Tremendous uncertainty remains. Who gets rescued next?

Broad economic impact – Companies/Organizations: Stresses to revenue, earnings, economic viability, access to capital, recovery – Individuals: Unemployment, income, wealth, retirement savings – Governments: Increasing service burden, declining tax revenues – Need a new method of evaluating economic data: When do levels of GDP, income, employment, and unemployment return to normal?

Left us with a very uncertain future – Question we’re getting from clients: When will this uncertainty settle down? – True recovery depends on containment and then a vaccine. Monetary and fiscal policy can only address the symptoms.

4 2020 CARES Act Injects $2 Trillion in Fiscal Stimulus Equates to roughly 10% of GDP

– Expanded unemployment benefits Distribution of the $2 Trillion from the CARES Act – New benefits for those who exhausted eligibility – Additional $600/week for up to four months Education/Other – Potential for 13 weeks of federal benefits Public $43.7 billion Health after state benefits exhausted (estimated) Individuals $153.5 billion – Cash distributions $560 billion – Up to $1,200 for individuals, scaled by (estimated) income level – Advance refundable tax credit against 2020 income taxes – Student loan relief Corporations State & Local – Suspended payments and interest for $500 billion Governments some federal student loans $339.8 billion – More flexibility for federal education grants – Tax-free employer loan payments Small Businesses – Defined contribution plan liquidity $377 billion Social – Relaxation of distribution taxes Programs – Expansion of loan amounts – $58 billion in airline industry relief $26 billion – $377 billion for small businesses – Relaxed credit reporting – Federally backed home loan forbearance

Source: NPR.org

5 Economic and Financial Prospects Potential recovery patterns

Natixis, https://www.im.natixis.com/us/markets/covid-19-dashboard-march-2020

6 Economic and Financial Prospects Inflation

– Fixed income market expected substantial decrease in Inflation Year-Over-Year inflation. 20% – Five-year breakeven inflation rate is the difference between 15% five-year nominal and five-year Treasury Inflation Protected 10% Securities (TIPS) yields. 5% – The difference in yields is an estimate of inflation five years 1.5% - CPI-U into the future. 0% -3.5% - PPI – Producer prices plunged in Q1; expected to fall further in Q2. -5% – Consumer prices will be driven down by the collapse in oil -10% prices and a sharp drop in consumption spending. -15% 0001 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 – Monetary and fiscal policy measures may stir inflation down the road if the economy recovers sharply.

Source: Board of Governors of the Federal Reserve System, fred.stlouisfed.org;; US DOL

7 Current Financial Conditions S&P 500 forecast earnings for calendar year 2020 by sector

– Overall index earnings forecast down -1.2% – Earnings vary substantially by sector. – Most sectors have positive earnings, led by Information technology and Health Care. – Energy earnings expected to plummet primarily due to the steep drop in oil prices.

8 Current Financial Conditions S&P 500 sector breakdown

– Energy makes up less than 4% of the S&P 500 Index. – Industrials and Consumer Discretionary are bigger concerns. – Consumer Discretionary is almost 10%. – Industrials make up slightly less than 9%.

Source: S&P Dow Jones Indices

9 Sharp Drop in Global Equity Markets in 1Q 2020 No place to hide

● Equity markets around the globe collapsed starting in late February. Returns for Periods ended March 31, 2020 – S&P was down 33% from peak (02/19/20) at worst point on 3/23/20; -19.6% loss for 1 Quarter 1 Year 5 Years 10 Years 25 Years the quarter. All countries and sectors U.S. Equity suffered. Russell 3000 -20.90 -9.13 5.77 10.15 8.81 S&P 500 -19.60 -6.98 6.73 10.53 8.85 – Fed cut interest rates to zero, commenced Russell 2000 -30.61 -23.99 -0.25 6.90 7.57 QE, instituted multiple facilities to backstop Global ex-U.S. Equity money markets, credit markets, and the MSCI World ex USA -23.26 -14.89 -0.76 2.43 4.12 economy. MSCI Emerging Markets -23.60 -17.69 -0.36 0.69 -- MSCI ACWI ex USA Small Cap -29.01 -21.18 -0.81 2.79 4.57 – Congress passed fiscal stimulus (CARES) Fixed Income to carry the economy through the crisis. Bloomberg Barclays Aggregate 3.15 8.93 3.36 3.88 5.49 – Fed’s role is a backstop/facilitator/lender of 90-day T-Bill 0.57 2.25 1.19 0.64 2.43 last resort, but not a grantor; it expects to Bloomberg Barclays Long Gov/Credit 6.21 19.32 5.99 8.07 7.89 Bloomberg Barclays Global Agg ex-US -2.68 0.74 2.04 1.39 3.77 get paid back. Programs are designed to Real Estate keep the Fed from losing money. NCREIF Property 0.71 5.28 7.65 10.17 9.28 – Granting is the province of Congress, and FTSE Nareit Equity -27.30 -21.26 -0.35 7.40 9.24 fiscal policy. Alternatives CS Hedge Fund -8.98 -4.32 0.24 2.96 7.35 Cambridge Private Equity* 0.90 9.50 12.37 13.75 15.30 Bloomberg Commodity -23.29 -22.31 -7.76 -6.74 0.56 Gold Spot Price 4.83 22.96 6.18 3.66 5.75 Inflation - CPI-U 0.44 1.54 1.80 1.72 2.15

*Cambridge PE data through September 30, 2019. Source: Callan

10 U.S. Equity Performance

Cyclicals punished; Tech, Staples, and Health Care more resilient U.S. Equity: Quarterly Returns – Energy fell as demand declined and OPEC and Russia refused to cut production, driving down oil prices globally. Russell 3000 -20.9% Russell 1000 -20.2% – Financials and Industrials plunged as interest rates were cut by the Russell 1000 Growth -14.1% Fed compounded by expectations of a GDP decline due to COVID-19. Russell 1000 Value -26.7% – Tech fared the best— “FAAMG” stocks averaged -7.9% led by S&P 500 -19.6% Amazon (+5.5%) and Microsoft (+0.3%). Russell Midcap -27.1% Russell 2500 -29.7% Large cap outpaces small cap for quarter Russell 2000 -30.6% – Russell 2000 (-30.6%) experienced worst quarter on record. – Perceived safety of larger companies combined with more acute U.S. Equity: One-Year Returns exposure to COVID-19 impact (restaurants, hotels, airlines) drove sell- Russell 3000 -9.1% off . Russell 1000 -8.0% – Russell 2000 Value exposure to Energy (especially E&P companies) Russell 1000 Growth 0.9% and Financials (banks) drove results. Russell 1000 Value -17.2% -7.0% Growth outpaces value across market capitalizations S&P 500 Russell Midcap -18.3% – Spread between Russell 1000 Growth (-14.1%) and Russell 2000 Russell 2500 -22.5% Value (-35.7%) one of widest on record Russell 2000 -24.0%

Economic Sector Quarterly Performance (S&P 500)

-12.7% -12.7% -11.9% -13.5% -17.0% -19.3% -19.2% -27.0% -26.1% -31.9%

-50.5% Communication Consumer Consumer Energy Financials Health Care Industrials Information Materials Real Estate Utilities Last Quarter Services Discretionary Staples Technology Sources: FTSE Russell, S&P Dow Jones Indices

11 Global ex-U.S. Equity Performance

Worst sell-off since 2008 Global Equity: Quarterly Returns – Global economic activity halted with shelter-in-place response to COVID-19. MSCI EAFE -22.8% – Oil price war between Saudi Arabia and Russia further MSCI ACWI ex USA -23.4% exacerbated market meltdown. MSCI ACWI ex US Small Cap -29.0% – Decisive actions to contain the outbreak and stimulate the MSCI Europe ex UK -22.8% economy allowed China to outperform every developed and MSCI UK -28.8% developing country. MSCI Pacific ex Japan -27.6% MSCI Japan -16.8% Cyclical sectors imploded MSCI China -10.2% – Energy, Financial, and travel-related industries derailed by MSCI Emerging Markets -23.6% pandemic, looming global recession, and oil price war. MSCI Frontier Markets -26.6% – Factor performance favored risk aversion, including beta, size and volatility, reflecting “risk-off” market environment. Global Equity: Annual Returns U.S. dollar vs. other currencies – Safe-haven currencies (U.S. dollar, Swiss franc, and yen) MSCI EAFE -14.4% were bid up as market volatility peaked and outperformed MSCI ACWI ex USA -15.6% other major currencies. MSCI ACWI ex US Small Cap -21.2% Growth vs. value MSCI Europe ex UK -12.7% MSCI UK -23.0% – Growth continued to outperform value within markets and MSCI Pacific ex Japan -23.7% capitalizations, supported by Health Care, Consumer MSCI Japan -6.7% Staples, and Tech. MSCI China -5.8% MSCI Emerging Markets -17.7% MSCI Frontier Markets -19.0%

Source: MSCI

12 Government Intervention US Monetary Policy

● The Fed cut rates repeatedly and quickly; Fed funds now near zero ● Markets do not expect the Fed to raise rates in the near future

Source: Federal Reserve, J.P. Morgan Guide to the Markets U.S.

13 U.S. Fixed Income Performance

Treasuries rallied as investors sought safety U.S. Fixed Income: Quarterly Returns – The 10-year U.S. Treasury yield reached a low in March of 3.1% 0.31% before closing the quarter at 0.70%, down sharply Bloomberg Aggregate from the 2019 year-end level of 1.92%. Bloomberg Treasury 8.2% – The Treasury yield curve steepened as the Fed cut rates to Bloomberg Long Govt 20.6% 0% - 0.25%. Bloomberg Mortgage Backed 2.8%

– TIPS underperformed nominal Treasuries as expectations for Bloomberg Asset Backed -0.2% inflation sank. The 10-year breakeven spread ended the Bloomberg Corporate -3.6% quarter at 87 bps, down sharply from 177 bps at year-end. Bloomberg High Yield -12.7% Investors spurned credit risk Bloomberg TIPS 1.7% – IG and HY funds saw record outflows as investors flocked to cash. – IG corporate spreads widened by 149 bps to 272 bps, representing hardest-hit sector in BB Aggregate Index; U.S. Fixed Income: One-Year Returns several well-known Industrials issuers downgraded to below- investment grade, including Occidental Petroleum and Ford. Bloomberg Aggregate 8.9% – Quality bias was evident as BBB-rated credit (-7.4%) Bloomberg Treasury 13.2% underperformed single A or higher (+0.5%). Bloomberg Long Govt 32.3%

– CCC-rated high yield corporates (-20.6%) lagged BB-rated Bloomberg Mortgage Backed 7.0% corporates (-10.2%). Bloomberg Asset Backed 2.8% – Energy (-38.9%) was the lowest-performing high yield bond Bloomberg Corporate 5.0% sub-sector as oil prices collapsed. Bloomberg High Yield -6.9%

Bloomberg TIPS 6.8%

Sources: Bloomberg Barclays, S&P Dow Jones Indices

14 Callan Periodic Table of Investment Returns

Annual Returns Monthly Returns

2011 2012 2013 2014 2015 2016 2017 2018 2019 Jan 2020 Feb 2020 Mar 2020 YTD 2020 U.S. Fixed Real Estate Small Cap Real Estate Large Cap Small Cap Emerging U.S. Fixed Large Cap U.S. Fixed U.S. Fixed U.S. Fixed U.S. Fixed Income Equity Equity Equity Market Equity Income Equity Income Income Income Income

7.84% 27.73% 38.82% 15.02% 1.38% 21.31% 37.28% 0.01% 31.49% 1.92% 1.80% -0.59% 3.15% High Yield Emerging Large Cap Large Cap U.S. Fixed High Yield Dev ex-U.S. High Yield Small Cap Real Estate Global ex-U.S. Global ex-U.S. Global ex-U.S. Market Equity Equity Equity Income Equity Equity Fixed Income Fixed Income Fixed Income

4.98% 18.23% 32.39% 13.69% 0.55% 17.13% 24.21% -2.08% 25.52% 0.84% -0.20% -3.22% -2.68% Global ex-U.S. Dev ex-U.S. Dev ex-U.S. U.S. Fixed Real Estate Large Cap Large Cap Global ex-U.S. Dev ex-U.S. Global ex-U.S. High Yield High Yield High Yield Fixed Income Equity Equity Income Equity Equity Fixed Income Equity Fixed Income

4.36% 16.41% 21.02% 5.97% -0.79% 11.96% 21.83% -2.15% 22.49% 0.76% -1.41% -11.46% -12.68% Large Cap Small Cap High Yield Small Cap Dev ex-U.S. Emerging Small Cap Large Cap Real Estate High Yield Emerging Large Cap Large Cap Equity Equity Equity Equity Market Equity Equity Equity Market Equity Equity Equity

2.11% 16.35% 7.44% 4.89% -3.04% 11.19% 14.65% -4.38% 21.91% 0.03% -5.27% -12.35% -19.60% Small Cap Large Cap Real Estate High Yield Small Cap Real Estate Global ex-U.S. Real Estate Emerging Large Cap Large Cap Dev ex-U.S. Dev ex-U.S. Equity Equity Equity Fixed Income Market Equity Equity Equity Equity Equity

-4.18% 16.00% 3.67% 2.45% -4.41% 4.06% 10.51% -5.63% 18.44% -0.04% -8.23% -14.12% -23.26% Real Estate High Yield U.S. Fixed Emerging High Yield Dev ex-U.S. Real Estate Small Cap High Yield Dev ex-U.S. Real Estate Emerging Emerging Income Market Equity Equity Equity Equity Market Equity Market Equity

-6.46% 15.81% -2.02% -2.19% -4.47% 2.75% 10.36% -11.01% 14.32% -1.94% -8.24% -15.40% -23.60% Dev ex-U.S. U.S. Fixed Emerging Global ex-U.S. Global ex-U.S. U.S. Fixed High Yield Dev ex-U.S. U.S. Fixed Small Cap Small Cap Small Cap Real Estate Equity Income Market Equity Fixed Income Fixed Income Income Equity Income Equity Equity Equity

-12.21% 4.21% -2.60% -3.08% -6.02% 2.65% 7.50% -14.09% 8.72% -3.21% -8.42% -21.73% -28.53% Emerging Global ex-U.S. Global ex-U.S. Dev ex-U.S. Emerging Global ex-U.S. U.S. Fixed Emerging Global ex-U.S. Emerging Dev ex-U.S. Real Estate Small Cap Market Equity Fixed Income Fixed Income Equity Market Equity Fixed Income Income Market Equity Fixed Income Market Equity Equity Equity

-18.42% 4.09% -3.08% -4.32% -14.92% 1.49% 3.54% -14.57% 5.09% -4.66% -8.88% -22.76% -30.61% Sources: ● Bloomberg Barclays Aggregate ● Bloomberg Barclays Corp High Yield ● Bloomberg Barclays Global Aggregate ex US ● FTSE EPRA Nareit Developed ● MSCI World ex USA ● MSCI Emerging Markets ● Russell 2000 ● S&P 500

15 OSGP Review First Quarter 2020

16 OSGP Investment Structure

OSGP Investment Structure

Risk Spectrum Tier I. Asset Allocation Options Tier II. Core Options Tier III. Specialty Options

Conservative Capital Preservation Stable Value Option Fixed Income Target Date Funds Active Fixed Income Option LifePath Portfolios Broad U.S. Equity Stock Index Option - Russell 3000 Specialty Equity Large Cap U.S. Equity Socially Responsible Investment Option Large Company Value Stock Option Large Company Growth Stock Option Small Cap U.S. Equity Small Company Stock Option International Equity Inflation Sensitive International Stock Option Real Return Option Brokerage Window Aggressive Schwab PCRA

17 Asset Distribution March 31, 2020 December 31, 2019 Market Value Weight Net New Inv. Inv. Return Market Value Weight Tier I - Asset Allocation Options

Target Date Funds $693,022,094 32.41% $234,922 $(99,520,368) $792,307,541 31.56% LifePath Index Retirement Fund L 306,359,209 14.33% (8,591,800) (26,341,468) 341,292,478 13.59% LifePath Index 2025 Fund L 122,098,499 5.71% 1,102,083 (15,448,327) 136,444,743 5.43% LifePath Index 2030 Fund L 86,490,207 4.05% 1,523,770 (14,454,733) 99,421,170 3.96% LifePath Index 2035 Fund L 64,850,265 3.03% 1,404,243 (13,699,418) 77,145,441 3.07% LifePath Index 2040 Fund L 44,792,584 2.09% 1,864,632 (10,914,586) 53,842,538 2.14% LifePath Index 2045 Fund L 29,477,165 1.38% 1,181,858 (8,026,604) 36,321,911 1.45% LifePath Index 2050 Fund L 23,109,973 1.08% 915,626 (6,234,411) 28,428,758 1.13% LifePath Index 2055 Fund L 9,392,145 0.44% 630,227 (2,613,796) 11,375,714 0.45% LifePath Index 2060 Fund L 6,430,178 0.30% 193,821 (1,780,758) 8,017,116 0.32% LifePath Index 2065 Fund L 21,869 0.00% 10,463 (6,266) 17,672 0.00%

Tier II - Core Inv estment Options $1,401,773,734 65.56% $6,036,610 $(273,114,417) $1,668,851,541 66.47%

Stable Value Option Galliard 310,813,233 14.54% 16,936,108 1,507,338 292,369,787 11.65%

Activ e Fixed Income Option BlackRock / DoubleLine / Wellington 189,740,109 8.87% 14,509,473 1,979,732 173,250,904 6.90%

Stock Index Option BlackRock 230,563,217 10.78% (5,218,372) (61,791,679) 297,573,268 11.85%

Large Company Value Stock Option BlackRock 154,624,921 7.23% (4,259,836) (57,227,268) 216,112,025 8.61%

Large Company Growth Stock Option BlackRock 258,807,657 12.10% (6,799,826) (44,019,603) 309,627,086 12.33%

Small Company Stock Option BlackRock / Callan / DFA 155,595,949 7.28% (9,171,956) (78,850,501) 243,618,406 9.70%

International Stock Option AQR / Arrowstreet / DFA / Lazard 101,628,648 4.75% 41,018 (34,712,436) 136,300,065 5.43%

Tier III - Specialty Options $43,291,892 2.02% $3,334,391 $(9,522,880) $49,480,380 1.97%

Socially Responsible Inv estment Option TIAA-CREF 17,519,824 0.82% 635,187 (4,924,516) 21,809,152 0.87%

Real Return Option State Street 3,578,512 0.17% (157,152) (741,500) 4,477,164 0.18%

Brokerage Window 22,193,556 1.04% 2,856,355 (3,856,864) 23,194,064 0.92%

To ta l F u n d $2,138,098,693 100.0% $9,605,922 $(382,146,692) $2,510,639,462 100.0%

18 Summary Returns Periods Ended March 31, 2020

Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years Tier I - Asset Allocation Options

LifePath Index Retirement Fund L (7.74) (0.05) 3.35 3.17 4.96 LifePath Index Retirement Benchmark (7.78) (0.04) 3.33 3.17 4.96

LifePath Index 2025 Fund L (11.32) (3.00) 3.14 3.35 5.79 LifePath Index 2025 Benchmark (11.37) (3.02) 3.08 3.31 5.76

LifePath Index 2030 Fund L (14.36) (5.54) 2.67 3.22 5.97 LifePath Index 2030 Benchmark (14.41) (5.63) 2.59 3.14 5.90

LifePath Index 2035 Fund L (17.12) (7.91) 2.23 3.10 6.10 LifePath Index 2035 Benchmark (17.16) (7.99) 2.12 2.99 6.02

LifePath Index 2040 Fund L (19.62) (10.09) 1.76 2.92 6.18 LifePath Index 2040 Benchmark (19.65) (10.16) 1.66 2.81 6.10

LifePath Index 2045 Fund L (21.30) (11.61) 1.40 2.76 6.27 LifePath Index 2045 Benchmark (21.34) (11.72) 1.26 2.62 6.17

LifePath Index 2050 Fund L (22.06) (12.30) 1.21 2.66 6.37 LifePath Index 2050 Benchmark (22.09) (12.40) 1.08 2.53 6.26

LifePath Index 2055 Fund L (22.12) (12.36) 1.18 2.64 7.14 LifePath Index 2055 Benchmark (22.38) (12.69) 0.97 2.46 --

LifePath Index 2060 Fund L (22.12) (12.37) 1.16 2.64 -- LifePath Index 2060 Benchmark (22.38) (12.69) 0.97 2.49 --

19 Summary Returns Periods Ended March 31, 2020

Last Quarter Last Year Last 3 Years Last 5 Years Last 10 Years Last 15 Years Tier II - Core Investment Options

Stable Value Option 0.62 2.58 2.30 2.07 1.90 2.62 3-month Treasury Bill 0.57 2.25 1.83 1.19 0.64 1.39

Active Fixed Income Option 0.73 6.16 4.30 3.32 4.23 4.69 Bloomberg Aggregate Index 3.15 8.93 4.82 3.36 3.88 4.40

Stock Index Option (20.93) (9.11) 4.05 5.85 10.21 7.54 Russell 3000 Index (20.90) (9.13) 4.00 5.77 10.15 7.50

Large Company Value Stock Option (26.72) (17.11) (2.07) 2.00 7.80 5.58 Russell 1000 Value Index (26.73) (17.17) (2.18) 1.90 7.67 5.41

Large Company Growth Stock Option (14.26) 0.72 11.20 10.32 12.80 9.24 Russell 1000 Growth Index (14.10) 0.91 11.32 10.36 12.97 9.69

Small Company Stock Option (32.97) (27.16) (6.21) (1.27) 6.40 5.82 Russell 2000 Index (30.61) (23.99) (4.64) (0.25) 6.90 5.71

International Stock Option (25.14) (18.06) (3.41) (1.24) 2.34 3.07 MSCI ACWI ex US Index (23.36) (15.57) (1.96) (0.64) 2.05 3.39

Tier III - Specialty Options

Socially Responsible Investment Option (20.59) (8.38) 4.25 5.50 -- -- Russell 3000 Index (20.90) (9.13) 4.00 5.77 10.15 7.50

Real Return Option (19.97) (16.58) (4.43) (3.27) -- -- Real Return Blended Benchmark (19.74) (16.28) (3.17) (1.72) 0.34 1.49 CPIU + 4 % 1.42 5.54 5.92 5.80 5.72 5.95

20 Investment Options Fee Summary

Investment Institutional

Management Peer Group Asset Class and Strategy Fees* Median

Asset Allocation Options LifePath Index Retirement, 2020 – 2060 Funds; L 0.080% 0.12% - 0.13%

Capital Preservation Stable Value Option 0.351% 0.36%

Fixed Income Active Fixed Income Option 0.162% 0.27%

U.S. Large Cap Equity Stock Index Option 0.036% 0.04% Large Company Value Stock Option 0.026% 0.04% Large Company Growth Stock Option 0.026% 0.04%

U.S. Small Cap Equity Small Company Stock Option 0.392% 0.73%

International Equity International Stock Option 0.538% 0.62%

Specialty Options Socially Responsible Investment Option 0.170% 0.55% Real Return Option 0.220% 1.10%

*Fee data provided by OST.

21 OSGP Investment Option Performance First Quarter 2020

22 BlackRock LifePath Index Target Date Funds Glide Path Analysis

Equity Rolldown Analysis 100% Callan Glide Path Universe (ALL)

75%

50% % Pure Equity 25%

Callan Consensus ALL Glidepath LifePath Index Fund 0% 40 30 20 10 0 -10 -20 Years Until Retirement Retirement

Macro-Level Asset Allocation Glide Path 100% 100%

75% 75%

50% 50% % Weight

25% Real Assets 25% Domestic Fixed Real Estate Intl Equity Domestic Broad Eq 0% 0% 40 30 20 10 0 -10 -20 Years Until Retirement Retirement

23 LifePath Index Retirement Fund Periods Ended March 31, 2020

Performance vs Callan Target Date Retirement Income (Institutional Net)

(18) (8) (23) (19) (27) 5 (18) (11) (24) (19) (27) (44) (44)

(5) (60) (61)

(15) Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Last 14 3/4 Years Ye ars

10th Percentile (4.57) 1.89 3.62 3.34 4.08 5.30 4.79 25th Percentile (5.57) 1.01 3.27 3.10 3.82 4.89 4.50 Median (7.47) (0.74) 2.69 2.79 3.31 4.40 4.16 75th Percentile (9.27) (2.46) 2.30 2.38 2.82 4.01 3.75 90th Percentile (10.37) (3.14) 1.69 1.79 2.16 3.45 3.16

LifePath Index Retirement Fund L (7.74) (0.05) 3.35 3.17 3.79 4.96 4.77

LifePath Index Retirement Benchmark (7.78) (0.04) 3.33 3.17 3.79 4.96 4.85

24 LifePath Index Retirement Fund Target Asset Allocation

Macro-Level Asset Allocation 80%

70% 60.0 60% 54.5 50%

40%

30% 25.2 22.3 20% 11.6 10.5 10% 5.0 3.3 1.6 1.6 1.7 1.9 0.8 0% LifePath Index Retirement Fund L - Target Callan Tgt Dt Idx 2010

Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets

Micro-Level Asset Allocation 80%

70%

60% 54.2 50%

40% 32.0 30% 21.8 20% 18.1 14.0 8.8 8.2 8.4 10% 5.8 7.0 3.4 2.9 4.0 3.2 1.6 1.6 2.2 1.1 0.6 0.8 0.1 0.1 0% LifePath Index Retirement Fund L - Target Callan Tgt Dt Idx 2010

Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv

Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed

25 LifePath Index 2030 Fund Periods Ended March 31, 2020

Performance vs Callan Target Date 2030 (Institutional Net)

10 (74) (80) (51) (51) (79) (38) (83) (59) (45) (59) 0 (38) (39)

(10) (40) (43)

(20) Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years Last 14 3/4 Years

10th Percentile (11.61) (4.05) 3.80 3.99 6.12 7.32 6.23 25th Percentile (13.41) (4.80) 2.92 3.65 5.70 6.86 5.93 Median (14.76) (6.02) 2.45 3.25 5.23 6.58 5.20 75th Percentile (15.59) (7.17) 2.00 2.86 4.70 5.96 4.78 90th Percentile (16.57) (8.04) 1.46 2.43 4.00 5.34 4.66

LifePath Index 2030 Fund L (14.36) (5.54) 2.67 3.22 4.66 5.97 5.06

LifePath Index 2030 Benchmark (14.41) (5.63) 2.59 3.14 4.59 5.90 5.20

26 LifePath Index 2030 Fund Target Asset Allocation

Macro-Level Asset Allocation 60%

50%

40.3 40% 39.2

31.3 30% 29.7 25.2 21.0 20%

10% 3.2 3.4 1.1 2.2 0.9 1.5 1.0 0% LifePath Index 2030 Fund L - Target Callan Tgt Dt Idx 2030

Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets

Micro-Level Asset Allocation 50%

40% 36.6 32.4 30% 27.3

20.2 20% 18.9 16.1

10% 6.2 7.8 6.4 4.6 4.9 2.7 3.2 4.0 3.1 1.1 1.4 0.8 0.9 1.0 0.3 0.1 0% LifePath Index 2030 Fund L - Target Callan Tgt Dt Idx 2030

Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv

Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed

27 LifePath Index 2050 Fund Periods Ended March 31, 2020

Performance vs Callan Target Date 2050 (Institutional Net)

(69) 10 (78) (57) (74) (62) (54) (82) (63) (70) (57) 0

(79) (10) (79)

(89) (20) (89)

(30) Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years Last 12 1/2 Years

10th Percentile (17.58) (8.50) 2.56 3.76 6.35 7.47 4.86 25th Percentile (19.25) (10.17) 1.87 3.30 5.78 7.13 4.42 Median (20.41) (11.10) 1.34 2.85 5.34 6.81 3.96 75th Percentile (21.26) (12.01) 0.63 2.35 4.96 6.23 3.30 90th Percentile (22.11) (13.12) 0.09 1.88 3.74 5.53 2.83

LifePath Index 2050 Fund L (22.06) (12.30) 1.21 2.66 4.87 6.37 3.56

LifePath Index 2050 Benchmark (22.09) (12.40) 1.08 2.53 4.77 6.26 3.38

28 LifePath Index 2050 Fund Target Asset Allocation

Macro-Level Asset Allocation 80%

70%

60% 54.0 54.7 50% 39.9 40% 30.9 30%

20%

10% 8.3 4.8 2.5 1.3 0.1 1.4 0.3 0.9 1.0 0% LifePath Index 2050 Fund L - Target Callan Tgt Dt Idx 2050

Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets

Micro-Level Asset Allocation 70%

60% 52.0 50% 43.6 40% 30.0 30% 23.2 20% 9.9 10.9 10% 7.2 4.8 5.8 2.3 2.0 1.1 0.2 0.1 1.5 1.1 0.3 0.3 1.0 0.5 0.2 2.1 0% LifePath Index 2050 Fund L - Target Callan Tgt Dt Idx 2050

Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv

Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed

29 Stable Value Option Periods Ended March 31, 2020

Performance vs Callan Stable Value CT (Institutional Net)

3 (1) (37) (22) (8) 2 (13) (56) (19) (35)

(98) (96) 1 (1) (99) (5) (99)

0 Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years Last 15 Years

10th Percentile 0.57 2.39 2.24 2.08 2.02 2.36 3.10 25th Percentile 0.53 2.24 2.02 1.86 1.82 2.09 2.82 Median 0.49 2.11 1.88 1.68 1.57 1.71 2.43 75th Percentile 0.45 1.94 1.72 1.57 1.40 1.47 2.20 90th Percentile 0.41 1.81 1.55 1.30 1.13 1.37 2.06

Stable Value Option 0.62 2.58 2.30 2.07 1.91 1.90 2.62

3-month Treasury Bill 0.57 2.25 1.83 1.19 0.86 0.64 1.39

30 Active Fixed Income Option Periods Ended March 31, 2020

Performance vs Callan Core Plus Mutual Funds (Institutional Net)

10 (4)

(27) (3) (44) (21) (40) 5 (25) (76) (6) (24) (41)

(23) 0

(5)

(10) Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years

10th Percentile 2.29 7.86 4.50 3.60 3.59 5.03 25th Percentile 0.42 6.26 4.29 3.31 3.34 4.72 Median (0.57) 5.30 3.80 3.09 3.01 4.20 75th Percentile (2.27) 3.81 3.32 2.76 2.73 3.91 90th Percentile (4.67) 0.44 2.07 1.94 2.32 3.64

Active Fixed Income Option 0.73 6.16 4.30 3.32 3.22 4.23

Bloomberg Aggregate Index 3.15 8.93 4.82 3.36 3.19 3.88

31 Active Fixed Income Option Portfolio Characteristics as of March 31, 2020

Sector Allocation Quality Ratings March 31, 2020 vs Callan Core Plus Mutual Funds

37.0 AA+ Agency RMBS 26.6 (1) 20.7 AA 21.9 US Treasuries 40.9 16.4 AA- (27) 17.2 Corporate 24.1 36.4 A+ 12.7 Non-Agency RMBS 0.0 A 1.3 5.9 CMBS 2.1 A- 3.3 10th Percentile AA- 3.8 25th Percentile AA- Asset Backed 0.4 2.9 Median A+ 3.8 75th Percentile A+ Govt. Related 5.9 90th Percentile A 1.5 1.3 CMOs 0.0 Active Fixed Income Option AA- 0.1 0.6 Bloomberg Aggregate Index AA+ Bank Loans 0.0 0.0 (4.1) Cash 0.0 0.9

(10) (5) 0 5 10 15 20 25 30 35 40 45

Active Fixed Income Option Bloomberg Aggregate Index Callan Core Plus Mutual Funds

32 Stock Index Option Periods Ended March 31, 2020

Performance vs Callan All Cap Core Mutual Funds (Institutional Net)

(11) (9) (10) (10) 10 (20) (12) (11) (21) 0 (28) (10) (28)

(38) (20) (38)

(30)

(40) Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years

10th Percentile (16.16) (4.86) 5.65 5.91 9.29 10.16 25th Percentile (19.72) (8.68) 3.69 4.76 7.86 9.38 Median (22.08) (12.40) 1.14 2.94 6.78 7.99 75th Percentile (26.40) (17.66) (2.05) 0.58 4.54 6.48 90th Percentile (30.89) (23.47) (5.30) (1.60) 3.19 5.40

Stock Index Option (20.93) (9.11) 4.05 5.85 9.03 10.21

Russell 3000 Index (20.90) (9.13) 4.00 5.77 8.96 10.15

33 Large Company Value Stock Option Periods Ended March 31, 2020

Performance vs Callan Large Cap Value Mutual Funds (Institutional Net)

15 (29) (31) (36) (44) (45) 5 (49) (45) (50) (5)

(46) (15) (46)

(44) (25) (45)

(35) Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years

10th Percentile (22.06) (10.36) 2.11 4.97 8.18 9.50 25th Percentile (24.75) (14.28) 0.22 2.89 6.52 8.07 Median (26.98) (18.53) (2.23) 1.83 5.45 7.00 75th Percentile (29.16) (21.71) (3.94) 0.31 4.26 6.18 90th Percentile (31.98) (23.82) (5.90) (1.18) 3.68 5.78

Large Company Value Stock Option (26.72) (17.11) (2.07) 2.00 5.89 7.80

Russell 1000 Value Index (26.73) (17.17) (2.18) 1.90 5.56 7.67

34 Large Company Growth Stock Option Periods Ended March 31, 2020

Performance vs Callan Large Cap Growth Mutual Funds (Institutional Net)

(36) (22) (50) 15 (29) (40) (30) (54) (29)

5 (32) (34)

(5)

(62) (15) (64)

(25) Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years

10th Percentile (11.10) 2.71 14.16 11.47 14.22 13.85 25th Percentile (11.87) 1.49 12.86 10.60 13.16 12.85 Median (13.25) (0.62) 11.33 9.48 12.33 12.05 75th Percentile (15.05) (3.53) 9.51 8.00 11.04 11.36 90th Percentile (17.45) (5.64) 8.19 6.88 9.81 10.27

Large Company Growth Stock Option (14.26) 0.72 11.20 10.32 12.76 12.80

Russell 1000 Growth Index (14.10) 0.91 11.32 10.36 12.93 12.97

35 Small Company Stock Option Periods Ended March 31, 2020

Performance vs Callan Small Cap Mutual Funds (Institutional Net)

20 (54) (57) 10 (61) (54) (62) 0 (57) (61) (61) (10)

(20) (56) (54) (68) (30) (63) (40)

(50) Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years

10th Percentile (18.53) (8.89) 9.50 7.54 10.20 11.50 25th Percentile (22.21) (14.29) 4.50 4.30 8.18 10.30 Median (27.89) (21.40) (1.92) 0.53 5.02 7.89 75th Percentile (35.04) (30.06) (9.36) (3.23) 1.92 5.35 90th Percentile (38.97) (33.18) (11.93) (5.22) 0.07 3.57

Small Company Stock Option (32.97) (27.16) (6.21) (1.27) 3.40 6.40

Russell 2000 Index (30.61) (23.99) (4.64) (0.25) 4.21 6.90

36 Small Company Stock Option Portfolio Characteristics as of March 31, 2020

Sector Allocation Style Exposure Matrix March 31, 2020 Holdings as of March 31, 2020

19.3 -- -- 0.8% (9) 0.8% (9) Industrials 15.2 16.7 16.7 Financials 16.7 Large 11.4 ------16.7 Info. Technology 15.2 1.3% (28) 4.7% (71) 15.2% (155) 21.2% (254) 18.9 14.3 Health Care 21.3 Mid 17.4 0.2% (1) 7.1% (33) 15.9% (62) 23.3% (96) 12.1 Cons. Discretionary 8.7 14.2% (283) 26.2% (412) 26.6% (346) 67.0% (1041) 9.1 4.8 Materials 3.4 Small 3.7 14.4% (230) 26.6% (415) 26.7% (350) 67.8% (995) 4.1 Cons. Staples 3.4 4.7% (506) 4.2% (362) 2.2% (152) 11.1% (1020) 3.4 3.7 7.6 Real Estate Micro 3.8 3.4% (344) 3.9% (392) 1.7% (149) 9.0% (885) 3.2 Communication Svcs 2.3 20.2% (817) 35.0% (845) 44.8% (662) 100.0% (2324) 2.2 2.9 Utilities 4.4 0.0 Total 18.0% (575) 37.6% (840) 44.3% (561) 100.0% (1976) 2.3 Energy 1.8 0.9 Value Core Growth Total 0 5 10 15 20 25

Small Company Stock Option -- Small Company Stock Option Russell 2000 Index -- Russell 2000 Index Callan Small Cap Mutual Funds

37 Small Company Stock Option – Underlying Manager Performance Periods Ended March 31, 2020

Performance vs Callan Small Cap Mutual Funds (Institutional Net)

10 (54) (57) 0 (60) (59) (61) (61) (10) (56) (66) (20) (54) (64) (65) (62) (68) (30) (62) (68) (40) (63) (70) (64) (50) Last Quarter Last Year Last 3 Years Last 5 Years

10th Percentile (18.53) (8.89) 9.50 7.54 25th Percentile (22.21) (14.29) 4.50 4.30 Median (27.89) (21.40) (1.92) 0.53 75th Percentile (35.04) (30.06) (9.36) (3.23) 90th Percentile (38.97) (33.18) (11.93) (5.22)

Small Company Stock Option (32.97) (27.16) (6.21) (1.27)

DFA US Small Cap (32.73) (27.15) (7.72) (1.84) Pleiades Small Cap Equity (33.24) (27.87) (5.08) (1.03) BlackRock S&P 600 Index Fund (32.68) (25.92) -- --

Russell 2000 Index (30.61) (23.99) (4.64) (0.25)

● The current structure for the Small Company Stock Option has been in place since December 2019.

38 International Stock Option Periods Ended March 31, 2020

Performance vs Callan Non US Equity Mutual Funds (Institutional Net)

10 (48) (64) (62) (48) (66) (58) (49) (64) 0 (62) (67)

(10) (55) (75) (20) (55) (68) (30)

(40) Last Quarter Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years Last 15 Years

10th Percentile (19.10) (7.59) 2.49 2.35 4.65 5.45 5.65 25th Percentile (20.49) (10.14) 0.81 1.16 3.05 4.32 4.66 Median (22.82) (14.66) (2.03) (0.79) 1.58 2.87 3.35 75th Percentile (26.13) (18.17) (4.48) (2.44) 0.49 1.56 2.28 90th Percentile (30.97) (25.80) (8.23) (4.42) (0.75) 0.60 1.47

International Stock Option (25.14) (18.06) (3.41) (1.24) 1.05 2.34 3.07

MSCI ACWI ex US Index (23.36) (15.57) (1.96) (0.64) 1.06 2.05 3.39

39 International Stock Option – Underlying Manager Performance Periods Ended March 31, 2020

Performance vs Callan Non US Equity Mutual Funds (Institutional Net)

30 (53) (41) (46) (61) (60) (48) 20 (46) (48) (64) (62) (58) 10 (50) (49) (61) (50) (64) (66) 0 (51) (67) (62) (54) (95) (91) (10) (55) (76) (68) (55) (20) (75) (79) (73) (68) (30) (81) (81) (76) (79) (83) (40) (82) (83) Last Quarter(83) Last Year Last 3 Years Last 5 Years Last 7 Years Last 10 Years Last 15 Years

International Stock Option (25.14) (18.06) (3.41) (1.24) 1.05 2.34 3.07

Lazard Intl Equity (23.29) (15.08) (1.63) (1.43) 1.55 3.46 3.86 DFA Intl Equity (27.64) (20.00) (4.68) (1.22) 1.21 2.39 -- AQR All Country Intl Equity (26.92) (22.43) (6.24) (2.64) ------Arrowstreet Intl Equity (22.92) (14.79) ------DFA Emerging Markets (28.31) (23.40) (5.39) (2.01) (1.55) 0.12 --

MSCI ACWI ex US Index (23.36) (15.57) (1.96) (0.64) 1.06 2.05 3.39

● The current structure for the International Stock Option has been in place since March 2019.

40 International Stock Option Portfolio Characteristics as of March 31, 2020

Sector Allocations Regional Exposure Matrix March 31, 2020 Holdings as of March 31, 2020

14.2 12.6% (650) 15.8% (602) 20.6% (491) 49.1% (1743) Financials 19.2 15.6 13.6 Europe Industrials 11.4 10.8% (147) 10.3% (115) 19.6% (173) 40.7% (435) 14.3 13.1 1.1% (150) 0.8% (140) 2.0% (85) 3.9% (375) Info. Technology 10.2 11.9 13.7 N. America 0.6% (23) 3.4% (32) 2.5% (34) 6.5% (89) Health Care 10.5 14.1 6.3% (1199) 7.6% (895) 9.8% (811) 23.7% (2905) 9.0 Cons. Discretionary 11.8 10.9 Pacific 8.5 6.7% (163) 8.1% (133) 11.4% (173) 26.3% (469) Materials 7.0 6.0 6.5% (1709) 8.7% (1459) 8.2% (999) 23.4% (4167) 8.0 Cons. Staples 10.5 11.7 Emerging 7.7 6.9% (479) 7.4% (403) 12.2% (401) 26.5% (1283) Communication Svcs 7.5 6.5 26.5% (3708) 32.9% (3096) 40.6% (2386) 100.0% (9190) 4.7 Utilities 3.7 1.2 Total 25.0% (812) 29.1% (683) 45.8% (781) 100.0% (2276) 3.5 Energy 5.2 3.1 2.7 Value Core Growth Total Real Estate 3.0 1.6

0.0 2.5 5.0 7.5 10.0 12.5 15.0 17.5 20.0 22.5 -- International Stock Option International Stock Option -- MSCI ACWI exUS Index MSCI ACWI ex US Index Callan Non US Equity Mutual Funds

41 Socially Responsible Investment Option Periods Ended March 31, 2020

Performance vs Callan All Cap Core Mutual Funds (Institutional Net)

(11) 10 (19) (12) (21) 0 (23) (28) (10) (35) (20) (38)

(30)

(40) Last Quarter Last Year Last 3 Years Last 5 Years

10th Percentile (16.16) (4.86) 5.65 5.91 25th Percentile (19.72) (8.68) 3.69 4.76 Median (22.08) (12.40) 1.14 2.94 75th Percentile (26.40) (17.66) (2.05) 0.58 90th Percentile (30.89) (23.47) (5.30) (1.60)

Socially Responsible Investment Option (20.59) (8.38) 4.25 5.50

Russell 3000 Index (20.90) (9.13) 4.00 5.77

42 Socially Responsible Investment Option Portfolio Characteristics as of March 31, 2020

Sector Allocations Style Exposure Matrix March 31, 2020 Holdings as of March 31, 2020

22.9 14.1% (34) 29.5% (58) 39.1% (56) 82.7% (148) Info. Technology 24.6 22.9 15.6 Large Health Care 15.6 13.7% (73) 27.8% (109) 38.1% (114) 79.6% (296) 14.6 12.6 4.1% (51) 2.3% (45) 6.3% (82) 12.7% (178) Financials 11.4 12.1 11.1 Mid 4.0% (151) 4.2% (175) 6.5% (268) 14.6% (594) Cons. Discretionary 10.0 10.2 0.8% (78) 1.6% (93) 1.5% (61) 3.9% (232) 9.6 Industrials 9.0 9.7 Small 9.1 1.5% (336) 2.0% (480) 1.7% (371) 5.2% (1187) Communication Svcs 9.8 8.7 0.2% (40) 0.3% (50) 0.1% (12) 0.7% (102) 6.7 Cons. Staples 7.1 5.9 Micro 3.8 0.2% (345) 0.2% (395) 0.1% (150) 0.5% (890) Real Estate 3.9 2.1 19.3% (203) 33.7% (246) 47.0% (211) 100.0% (660) 3.5 Utilities 3.5 1.4 Total 19.4% (905) 34.3% (1159) 46.3% (903) 100.0% (2967) 2.8 Materials 2.6 2.6 2.5 Value Core Growth Total Energy 2.5 1.6 -- Socially Responsible Investment Option 0 5 10 15 20 25 30 -- Russell 3000 Index Socially Responsible Investment Option Russell 3000 Index Callan All Cap Core Mutual Funds

43 Real Return Option Periods Ended March 31, 2020

Performance vs Callan Real Return Mutual Funds (Institutional Net)

10 (9) (8) (7) (9) 0 (47) (70) (83) (81) (10)

(73) (75) (20) (61) (62)

(30) Last Quarter Last Year Last 3 Years Last 5 Years

10th Percentile (4.40) 2.02 3.19 3.18 25th Percentile (10.89) (6.55) 0.07 0.60 Median (15.74) (11.01) (2.02) (1.83) 75th Percentile (21.47) (16.63) (3.37) (2.69) 90th Percentile (26.26) (22.86) (6.18) (3.87)

Real Return Option (19.97) (16.58) (4.43) (3.27) Real Return Option Blended Benchmark * (19.74) (16.29) (3.17) (1.72)

Consumer Price Index + 4% 1.34 5.46 5.89 5.70

*Blended Benchmark: 15% REITS, 25% Commodities, 25% Global Natural Resources, 25% Treasury Inflation Protected Securities (TIPS), and 10% Global Infrastructure

44 Defined Contribution Trends First Quarter 2020 Increase in Cybersecurity Risks with Working-from-Home Mandates

Explosion of exploitable targets for hackers as U.S. workforce mobilizes at home – Hackers seizing on market turmoil and consumers’ unending appetite for COVID-19 information – Numerous reports on increased cybercriminal activity targeting new websites disseminating pandemic updates – Recordkeepers reported a 20%-30% increase in participant inquiries. – Avoid clicking on unfamiliar links embedded in websites or opening unfamiliar email. Cybersecurity best practices – Targeted guidance on how best to protect your organizations available at https://www.cisa.gov/coronavirus – Best practices also available through Department of Homeland Security – Ensure a well-documented and prudent process is in place regarding steps to secure retirement plan data.

46 Balancing ERISA Rules with Current Economic Concerns

Fiduciaries balancing their duty with short-term financial 457 Plans needs – Plans offer “unforeseen emergency withdrawals” that are – Per ERISA, fiduciaries run DC plans solely in interest of generally subject to same rules participants and for purpose of providing benefits/paying plan – Participants may take distributions/withdrawals following expenses. distributable event (termination; reaching “normal retirement – Plan sponsors should balance this duty with short-term financial age,” disability/death, attaining specific ages depending on needs: savings source) –Loan availability for participants: to help mitigate short-term – Distributions can be received as lump sum, installments or cash flow needs; regular repayments required to avoid default partial distributions depending on plan terms –In-service withdrawals: enables employees to tap retirement – Recordkeepers may charge fees for above transactions; plan savings (59½ or older); can tap deferrals, QNECs and QMAC; sponsors may wish to manage/mitigate these fees. Roth deferrals subject to penalties before five-year clock has expired. –Hardship withdrawals: in-service withdrawal from DC plan by active employees of any age; must be immediate/heavy financial need – Determining immediate/heavy financial need is based on facts and circumstances. – Unfortunately COVID-19 does not fall under safe harbor circumstances to limit sponsor liability but that may change – Some plans may permit hardship withdrawal based on more nebulous “facts and circumstances” standard. – Hardship withdrawal may not exceed amount of employees’ need (incl taxes/penalties) which may be difficult to estimate

47 How DC Plans Should Prepare for Missed Loan Repayments

Clear documentation critical – Plan document must specify penalties for missed loan repayments and circumstances of determining loan defaults – IRS regulations specify that if repayments are not made per plan document, entire balance of loan is treated as taxable distribution (Form 1099-R) and subject to income tax and possible 10% early distribution tax – Plan sponsor may provide “cure period” where missed payment may be made up; balloon payments at end of loan not permitted

Plan sponsors have some ability to minimize defaults – ACH repayment options for in-service participants not receiving a paycheck or having enough income to make repayments – If employee or plan are terminated, sponsor may require payment of outstanding loan balance but sponsor may support repayments following termination – Some plans offer ability to refinance loan – Deemed distributions count against future loan availability – Extensions permitted for military leave or other leave of absence with salary reduction although an increase in scheduled payment amounts may result for non-military leave

Loan availability and default provisions are complicated – Plan sponsors should consult with legal counsel on available options and with recordkeeper on systems’ flexibility. – Plan sponsors should communicate with participants in event they may be subject to a loan default.

48 How the Coronavirus Relief Bill, or CARES Act, Affects DC Plans

DC Plan loan provisions liberalized for qualified individuals Who does this apply to and when are amendments required? – Max loan amount raised to lesser of $100,000, or 100% of – Applies to: vested balance, vs. participant loans not considered qualified –participant with financial hardship due to reduction in work hours individuals (lesser of $50,000 or 50% of the vested balance). or unable to work due to lack of childcare – For outstanding loans and new loans, repayments due from –participant, spouse or dependent who has been diagnosed with enactment date (3/27/20) until 12/31/20, will be delayed for one the virus year; generally, max loan term is five years, under CARES Act, –Recordkeepers will need to be able to identify and track loans extended one year. participants who fall into latter category. – Missed loan repayments by participants not considered qualified – Amendments due by: individuals will continue to trigger a default/deemed distribution. –DC plans amendments with these new rules due by last day of – Extension rules appear to be mandatory; unclear if employees plan year beginning on or after Jan. 1, 2022 (i.e., Dec. 31, 2022, are allowed to opt out of having their loan due dates extended. for plans that use calendar years). Changes to distribution availability –Governmental plans have additional two years – Minimum required distributions waived for calendar year 2020. – If sponsors decide to adopt coronavirus-related distribution – Employees can take “coronavirus-related distributions,” not to provisions, will need to decide, along with their plan service exceed $100,000 in a taxable year. providers, if they want to administer new distributions. – 10% additional tax on early distributions and mandatory 20% withholding would not apply to coronavirus-related distributions. – Unless taxpayer elects otherwise, any amount included in gross income due to a coronavirus-related distribution will be included ratably over the three-year period beginning with that taxable year. – Qualified individual may take coronavirus-related distribution to repay it to an eligible retirement plan within three years of taking distribution.

49 PERS and OSGP will host their 12th annual open house on Thursday, October 12 from 10:00 a.m. – 8:00 p.m. at the Salem The Expo is also hitting the road Convention Center. State and local this year! We will celebrate government employees are welcome. National Retirement Security Registration is encouraged to attend the Week by traveling across the presentations. state to present the many ways Save Today. Grow Your Tomorrow. that PERS and OSGP can help Topics* at this year’s Expo will include: • Introduction to OSGP increase your retirement • Retirement Strategies for OSGP conﬁdence. If you are unable to • Ask Kathy join us at the Convention Center, • Social Security Programs: What You be good to yourself and register Need to Know at www.growyourtomorrow.com • Building Financial Resiliency in Retirement to attend a session at one of Oregon Savings Growth Plan • PERS Health Insurance Program following locations. Seating is • Tier 1 & Tier 2: From Membership Advisory Committee limited, so register today to to Retirement 2nd Quarter 2020 • OPSRP: From Membership to Retirement reserve a seat. • PERS Informational Resources * Presentation topics are subject to change. October 14, 2017 Portland May 20, 2020 Please visit www.growyourtomorrow.com to October 17, 2017 Ontario 9:30 a.m. join us. We look forward to seeing you there. October 17, 2017 Medford Do something good for yourself and plan on October 17, 2017 Coos Bay attending. October 18, 2017 La Grande October 18, 2017 Klamath Falls October 18, 2017 Roseburg INFORMATIONAL PACKET Retire with Conﬁdence October 19, 2017 Pendleton October 19, 2017 Bend October 19, 2017 Eugene October 20, 2017 Hermiston October 20, 2017 Albany

For more information, visit www.growyourtomorrow.com or call 888-320-7377.

3048509.G.P OREGON SAVINGS GROWTH PLAN

Schwab Personal Choice Retirement Account (PCRA) Quarterly Report

As of 3/31/2020

©2017 Charles Schwab & Co., Inc. (“Schwab”). Member SIPC. All rights reserved. Compliance number: 0517-ZGX6 For Institutional Use Only The Schwab Personal Choice Retirement Account (PCRA) Quarterly Report OREGON SAVINGS GROWTH PLAN as of 3/31/2020

Plan Profile Information PCRA Participant Profile Information Plan Type 457B Average Participant Age 54 Total PCRA Assets $22,155,557 Percent Male Participants 74% Total Funded PCRA Accounts 327 Percent Female Participants 26% $369,789 Total Roth Assets Total Assets by Category Total Funded Roth Accounts 25 Cash Investments $3,119,707 Total Advisor Managed PCRA Assets $10,288,834 Equities $3,641,514 Total Advisor Managed Funded PCRA Accounts 108 ETFs $2,522,448 PCRA Accounts Opened This Quarter 35 Fixed Income $338,786 PCRA Assets In and Out This Quarter* $2,786,751 Mutual Funds $12,533,101 Average PCRA Account Balance $67,754 Other $0

Assets and Accounts (Trailing 4 Quarters) Average Positions Per Account

24M 0.35K Cash Investments 1.0 2.0 20M 0.30K Equities 0.25K ETFs 0.7 16M 0.20K Fixed Income 0.1 12M 0.15K Mutual Funds 1.7 8M 0.10K Other 0.0 4M 0.05K Total 5.4 0M 0.00K Average Trades Per Account

3/31/2020 9/30/2019 6/30/2019 3/31/2020 9/30/2019 6/30/2019 12/31/2019 12/31/2019 Equities 8.3 ETFs 3.9 Total Assets Total Funded Accounts Fixed Income 0.0 Mutual Funds 1.7 Total Advisor Managed Total Advisor Managed Assets Funded Accounts Other 0.0 Total 14.0 * Assets In and Out includes contributions and distributions.

Top 10 Mutual Fund Holdings**

Name Category Symbol OS* $MF Assets %MF Assets RISKPRO PFG BALANCED 20 TO 30 FD CL R Hybrid Funds PFDBX Y $5,058,198 41.21% RISKPRO PFG EQUITY 30 PLUS FD CL R Large Capitalization Stock Funds PFDEX Y $2,276,110 18.54% RISKPRO ALTERNATIVE 0 TO 15 FD CL R Hybrid Funds PFAOX Y $777,976 6.34% RISKPRO DYNAMIC 0 TO 10 FD CL R Taxable Bond Funds PFDOX Y $320,643 2.61% RISKPRO PFG 0 TO 15 FD CL R Hybrid Funds PFADX Y $194,134 1.58% RISKPRO PFG AGGRESSIVE 30 PLUS FD CL R International PFSUX Y $186,363 1.52% T ROWE PRICE CAP APPR FD INV Hybrid Funds PRWCX Y $165,228 1.35% VANGUARD WELLESLEY INCOME FD INVESTOR SHARE Hybrid Funds VWINX N $152,934 1.25% RISKPRO 30 PLUS FD CL R Large Capitalization Stock Funds PFSEX Y $139,293 1.13% RISKPRO PFG GLOBAL 30 PLUS FD CL R International PFDGX Y $122,713 1.00%

Top 10 Fund Families

Name $MF Assets %MF Assets VANGUARD $763,003 6.22% SCHWAB $335,856 2.74% T ROWE PRICE $262,059 2.13% DFA $200,978 1.64% COLUMBIA $83,930 0.68% FIDELITY $66,782 0.54% PARNASSUS $60,787 0.50% OPPENHEIMER $60,282 0.49% LEGG $59,258 0.48% BLACKROCK $55,775 0.45%

**Top 10 Mutual Funds does not include Money Market Funds. *OS = OneSource, no-load, no transaction fee.

Top 10 Equity Holdings

Name Category Symbol $EQ Assets %EQ Assets AMAZON.COM INC Consumer Discretionary AMZN $218,369 6.00% ALIBABA GROUP HOLDING FSPONSORED ADR Consumer Discretionary BABA $210,622 5.78% DOLLAR TREE INC Consumer Discretionary DLTR $166,483 4.57% MICROSOFT CORP Information Technology MSFT $125,977 3.46% SHOPIFY INC FCLASS A Information Technology SHOP $102,982 2.83% BERKSHIRE HATHAWAY CLASS B Other BRKB $100,557 2.76% NVIDIA CORP Information Technology NVDA $91,333 2.51% ZOOM VIDEO COMMUNICATION Information Technology ZM $85,626 2.35% APPLE INC Information Technology AAPL $78,798 2.16% FACEBOOK INC CLASS A Communication Services FB $75,394 2.07%

Top 10 ETF Holdings

Name Category Symbol OS* $ETF Assets %ETF Assets SPDR GOLD SHARES ETF Commodity GLD N $200,312 7.94% SCHWAB US DIVIDEND EQUITY ETF US Equity SCHD N $144,798 5.74% SPDR S&P 500 ETF US Equity SPY N $126,341 5.01% SCHWAB US BROAD MARKET ETF US Equity SCHB N $116,326 4.61% VANGUARD FTSE EUROPE ETF International Equity VGK N $114,393 4.53% VANGUARD FTSE PACIFIC ETF International Equity VPL N $100,351 3.98% VANGUARD S&P 500 ETF US Equity VOO N $86,913 3.45% FIDELITY MSCI HEALTH CARE INDX ETF Sector FHLC N $72,292 2.87% SCHWAB US LARGE CAP VALUE ETF US Equity SCHV N $71,795 2.85% PERTH MINT PHYSICAL GOLDSHS ETF Commodity AAAU N $62,094 2.46%

*OS = OneSource, no transaction fee.

Market Value Allocation - All Assets (Quarter over Quarter)

3/31/2020 12/31/2019

Mutual Funds Mutual Funds Mutual Funds (Transaction Fee) Mutual Funds (Transaction Fee) (OneSource) 4.80% (OneSource) 6.32% 51.31% Mutual Funds 57.16% Mutual Funds (Other) (Other) 0.45% 0.57%

Cash Cash Fixed Income 14.08% Fixed Income 8.86% 1.53% Equities 0.80% Equities ETFs 16.44% ETFs 14.19% 11.39% 12.11%

The above charts illustrate the percent of PCRA participant assets in each noted asset class as percentage of total PCRA assets. Percentages are calculated as of quarter-end. Money Market Funds are classified under Mutual Funds. Net Flow - All Non-Cash Assets (3-Month Period Ending 3/31/2020)

1.0M

0.8M

0.6M

0.4M

0.2M

0.0M

-0.2M

Mutual Funds Mutual Funds Equities ETFs Fixed Income (OneSource) (Transaction Fee)

Net Flow is the net of all cash inflows and outflows in and out of financial assets; the performance of an asset or fund is not taken into account, only share redemptions, or outflows, and share purchases, or inflows.

Market Value Allocation - Mutual Funds (Quarter over Quarter)

3/31/2020 12/31/2019

Money Market Money Market Fund Large Large Fund 2.06% Capitalization Capitalization 3.45% Stock Funds Small Stock Funds Small 25.63% Capitalization 23.05% Capitalization Stock Funds International International Stock Funds 1.17% 6.99% 9.59% 2.01% Specialized Funds Specialized Funds 1.82% 4.03% Taxable Bond Taxable Bond Funds Funds 7.38% 6.46%

Hybrid Funds Hybrid Funds 51.42% 54.95%

The above charts illustrate the percent of PCRA participant assets in each noted asset class as percentage of total PCRA assets. Percentages are calculated as of quarter-end. Money Market Funds are classified under Mutual Funds. Net Flow by Sector - Mutual Funds (3-Month Period Ending 3/31/2020)

1.0M

0.8M

0.6M

0.4M

0.2M

0.0M

-0.2M

-0.4M

Large Capitalization Small Capitalization Hybrid Funds International Money Market Fund Specialized Funds Stock Funds Stock Funds

Taxable Bond Funds

Market Value Allocation - Equities (Quarter over Quarter)

3/31/2020 12/31/2019

Materials Materials Information 2.18% Information 2.37% Technology Other Technology Other 31.95% 5.02% 36.02% 3.44% Industrials Real Estate Industrials Real Estate 8.11% 2.18% 4.74% 2.68% Utilities Utilities 1.90% 1.27%

Health Care Health Care 9.29% Communication 8.54% Communication Financials Services Financials Services 2.91% 6.75% 5.64% 15.36% Energy Consumer Energy Consumer 1.66% Discretionary 3.54% Discretionary Consumer Staples 23.73% Consumer Staples 13.11% 4.32% 3.29%

The above charts illustrate the percent of PCRA participant assets in each noted asset class as percentage of total PCRA assets. Percentages are calculated as of quarter-end. Money Market Funds are classified under Mutual Funds. Net Flow by Sector - Equities (3-Month Period Ending 3/31/2020)

0.6M

0.5M

0.4M

0.3M

0.2M

0.1M

0.0M

-0.1M

-0.2M

Communication Services Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Other Real Estate Utilities

Market Value Allocation - ETF (Quarter over Quarter)

3/31/2020 12/31/2019

US FI US FI US Equity 7.35% US Equity 13.80% 36.07% 29.87%

Sector 16.75% Sector Other 20.05% 0.40% Other Commodity Leveraged/Inverse 1.31% 5.63% 3.07% Leveraged/Inverse International International Commodity 3.37% Equity Equity 14.46% International FI 25.96% 21.91% 0.01%

0.4M

0.3M

0.2M

0.1M

0.0M

-0.1M

-0.2M

-0.3M

Commodity International Equity International FI Leveraged/Inverse Other Sector US Equity US FI

Average Monthly Trades Per Account (3-Month Period Ending 3/31/2020)

6.00

5.00

4.00

3.00

2.00

1.00

0.00 1/1/2020 2/1/2020 3/1/2020

Equities ETFs Fixed Income Mutual Funds

Trading Channel Mix (Month over Month)

100%

90% 18% 31% 80% 0% 47% 70% 1% 28% 60% 28% 50% 1%

40% 26% 30% 54% 20% 40% 26% 10%

0% 1/1/2020 2/1/2020 3/1/2020

Investment Manager Live Representative Mobile Web

Important Disclosures

Schwab Personal Choice Retirement Account (PCRA) is offered through Charles Schwab & Co., Inc. (Member SIPC), the registered broker/dealer, which also provides other brokerage and custody services to its customers.

For participants who utilize the Personal Choice Retirement Account (PCRA), the following fees and conditions may apply: Schwab's shortterm redemption fee of $49.95 will be charged on redemption of funds purchased through Schwab's Mutual Fund OneSource® service (and certain other funds with no transaction fee) and held for 90 days or less. Schwab reserves the right to exempt certain funds from this fee, including Schwab Funds®, which may charge a separate redemption fee, and funds that accommodate short-term trading.

Trades in no-load mutual funds available through Mutual Funds OneSource service (including Schwab Funds) as well as certain other funds, are available without transaction fees when placed through schwab.com or our automated phone channels. Schwab reserves the right to change the funds we make available without transaction fees and to reinstate fees on any funds. Funds are also subject to management fees and expenses.

Charles Schwab & Co., Inc., member SIPC, receives remuneration from fund companies for record keeping, shareholder services and other administrative services for shares purchased through its Mutual Fund OneSource service. Schwab also may receive remuneration from transaction fee fund companies for certain administrative services.

This material is for institutional use only.

The information contained herein is obtained from third-party sources and believed to be reliable, but its accuracy or completeness is not guaranteed. This report is for informational purposes only and is not a solicitation, or a recommendation that any particular investor should purchase or sell any particular security.

©2017 Charles Schwab & Co., Inc. (“Schwab”). Member SIPC. All rights reserved. Compliance number: 0517-ZGX6 For Institutional Use Only March 31, 2020 Oregon Savings Growth Plan Defined Contribution Plan

Investment Measurement Service Quarterly Review

Information contained herein includes confidential, trade secret and proprietary information. Neither this Report nor any specific information contained herein is to be used other than by the intended recipient for its intended purpose or disseminated to any other person without Callan’s permission. Certain information herein has been compiled by Callan and is based on information provided by a variety of sources believed to be reliable for which Callan has not necessarily verified the accuracy or completeness of or updated. This content may consist of statements of opinion, which are made as of the date they are expressed and are not statements of fact. This content is for informational purposes only and should not be construed as legal or tax advice on any matter. Any decision you make on the basis of this content is your sole responsibility. You should consult with legal and tax advisers before applying any of this information to your particular situation. Past performance is no guarantee of future results. For further information, please see Appendix for Important Information and Disclosures. Table of Contents March 31, 2020

Capital Markets Review 1

Asset Allocation and Performance Allocation Across Fund and Changes in Fund Values 11 Asset Distribution Across Investment Managers 12 Performance Across Investment Managers 13 Manager Performance Monitoring Summary 15 Manager Performance Monitoring Summary 17 Investment Option Fee Summary 18

Target Date Funds LifePath Index Retirement Fund L 24 LifePath Index 2025 Fund L 26 LifePath Index 2030 Fund L 28 LifePath Index 2035 Fund L 30 LifePath Index 2040 Fund L 32 LifePath Index 2045 Fund L 34 LifePath Index 2050 Fund L 36 LifePath Index 2055 Fund L 38 LifePath Index 2060 Fund L 40

Stable Value Option Stable Value Option 42

Active Fixed Income Option Active Fixed Income Option 47 BlackRock US Debt Index Fund 51 DoubleLine Total Return Bond Fund 55 Wellington Trust Core Bond Plus Fund 59

Stock Index Option Stock Index Option 64

Large Company Value Stock Option Large Company Value Stock Option 71

Large Company Growth Stock Option Large Company Growth Stock Option 78 Table of Contents March 31, 2020

Small Company Stock Option Small Company Stock Option 85 BlackRock S&P 600 Index Fund 91 Pleiades Small Cap Equity 95 DFA US Small Cap Portfolio 101

International Stock Option International Stock Option 108 Lazard International Equity Fund 115 DFA International Core Equity 123 DFA Emerging Markets Core Equity Fund 131 AQR ACWI ex-US Fund 139 Arrowstreet International Equity 147

Socially Responsible Option Socially Responsible Option 152 TIAA-CREF Social Choice Equity Fund 155

Real Return Option Real Return Option 162 State Street Real Asset Strategy 163

Definitions 166

Callan Research/Education 171

Disclosures 174 Capital Markets Review Capital Markets Review Capital Markets Capital Market Overview March 31, 2020

U.S. EQUITY U.S. Equity: Quarterly Returns During the 1st quarter of 2020, the COVID-19 pandemic coupled with an oil price war between Saudi Arabia and Russia Russell 3000 -20.9% spurred extreme global market volatility, which was further exacerbated by the realization that a shelter-in-place mandate was required to overcome the spread of the disease, Russell 1000 -20.2% subsequently inducing an all-but-certain global recession. Russell 1000 Growth -14.1% Large cap (S&P 500: -19.6%; Russell 1000: -20.2%) – Cyclicals were punished while Technology, Staples, and Russell 1000 Value -26.7% Health Care were more resilient. – Energy (-50.5%) plunged as demand declined and OPEC S&P 500 -19.6% and Russia refused to cut production, driving down oil prices globally. Russell Midcap -27.1% – Financials (-31.9%) and Industrials (-27.1%) fell sharply as interest rates were cut by the Fed in an emergency session, Russell 2500 -29.7% and due to expectations of a steep GDP decline because of COVID-19. Russell 2000 -30.6% – Technology fared the best (-11.9%). The FAAMG stocks had an average return of -7.9% in Q1, led by Amazon (+5.5%) and Microsoft (+0.3%); Health Care (-12.7%) and Consumer U.S. Equity: One-Year Returns Staples (-12.7%) also held up better than the index average.

-9.1% Large cap outpaced small cap for the quarter Russell 3000 – The Russell 2000 (-30.6%) experienced its worst quarter on Russell 1000 -8.0% record.

– The perceived safety of larger companies combined with Russell 1000 Growth 0.9% more acute exposure to COVID-19 impact (e.g., restaurants, hotels, airlines, REITs) drove the sell-off. Russell 1000 Value -17.2% – The performance of the Russell 2000 Value (-35.7%) was driven by its exposure to Energy (especially exploration and S&P 500 -7.0% production companies) and Financials (banks).

-18.3% Growth outpaces value across market capitalizations Russell Midcap – The spread between Russell 1000 Growth (-14.1%) and Russell 2500 -22.5% Russell 2000 Value (-35.7%) was one of the widest ever.

– Russell MidCap Value (-0.8%) and Russell 2000 Value (- Russell 2000 -24.0% 2.4%) now have negative annualized returns over a trailing five-year time period. Sources: FTSE Russell, Standard & Poor’s

S&P Sector Returns, Quarter Ended March 31, 2020

-12.7% -12.7% -11.9% -13.5% -17.0% -19.3% -19.2% -27.0% -26.1% -31.9%

GLOBAL/GLOBAL EX-U.S. EQUITY Global Equity: Quarterly Returns The COVID-19 pandemic coupled with the oil price war between Saudi Arabia and Russia injected significant volatility MSCI EAFE -22.8% into the global equity markets, with most major indices entering bear market territory. MSCI ACWI -21.4%

Global/Developed ex-U.S. (MSCI EAFE: -22.8%; MSCI World MSCI World -21.1% ex USA: -23.3%; MSCI ACWI ex USA: -23.4%; MSCI Japan: MSCI ACWI ex USA -23.4% -16.8%; MSCI Pacific ex Japan: -27.6%) – Fears of the pandemic and a global recession stoked the MSCI World ex USA -23.3% worst quarterly sell off since 2008 as economic activity halted worldwide. MSCI ACWI ex USA SC-29.0% – The oil price war further exacerbated the market meltdown, MSCI World ex USA SC -28.4% bidding up safe-haven assets and currencies. MSCI Europe ex UK -22.8% – The U.S. dollar outperformed the euro, the British pound, and other major currencies, while underperforming the Swiss MSCI United Kingdom -28.8% franc and yen. MSCI Pacific ex Japan -27.6% – Every sector posted negative returns, led by cyclicals like travel-related industries, Energy, and Financials given the MSCI Japan -16.8% state of the economy and oil prices. MSCI Emerging Markets -23.6% – Defensive sectors generally were under less pressure as demand for basic necessities to function (i.e., e-commerce MSCI China -10.2% and mobility) and combat the pandemic (i.e., diagnostics and treatment) helped stabilize Health Care, Consumer Staples, MSCI Frontier Markets -26.6% and Information Technology. – Factor performance in developed ex-U.S. markets reflected risk aversion, including beta, size, and volatility. Global Equity: One-Year Returns

Emerging Markets (MSCI Emerging Markets Index: -23.6%) MSCI EAFE -14.4% – Decisive actions to contain the pandemic and stimulate the economy allowed China to outperform every developed and MSCI ACWI -11.3% developing country. MSCI World -10.4% – A looming global recession and the collapse in oil prices decimated commodities-levered economies like Brazil, South MSCI ACWI ex USA -15.6% Africa, and Russia. MSCI World ex USA -14.9% – Every sector posted negative returns, led by cyclicals such as travel-related industries, Energy, and Financials. MSCI ACWI ex USA SC -21.2% – Defensive sectors generally were under less pressure as MSCI World ex USA SC -19.0% demand for basic necessities and for diagnostics and treatment helped stabilize Health Care, Consumer Staples, MSCI Europe ex UK -12.7% and Information Technology. MSCI United Kingdom -23.0% Global ex-U.S. Small Cap (MSCI World ex USA Small Cap: -28.4%; MSCI EM Small Cap: -31.4%; MSCI ACWI ex USA MSCI Pacific ex Japan -23.7% Small Cap: -29.0%) MSCI Japan -6.7% – “Risk-off” market environment challenged small cap relative to large cap in both developed and emerging markets. MSCI Emerging Markets -17.7%

– Growth significantly outperformed value both within MSCI China -5.8% developed and emerging markets, supported by strong performance in Health Care, Consumer Staples, and MSCI Frontier Markets -19.0% Information Technology.

Source: MSCI Capital Market Overview (continued) March 31, 2020

U.S. FIXED INCOME U.S. Fixed Income: Quarterly Returns

Treasuries rallied as investors sought safety Blmberg Barclays Gov/Cr 1-3 Yr 1.7% – The 10-year U.S. Treasury yield reached a low in March of 0.31% before closing the quarter at 0.70%, down sharply from the 2019 year-end level of 1.92%. Blmberg Barclays Interm Gov/Cr 2.4% – The Treasury yield curve steepened as the Fed cut rates to Blmberg Barclays Aggregate 3.1% 0%-0.25%.

– TIPS underperformed nominal Treasuries as expectations Blmberg Barclays Long Gov/Cr 6.2% for inflation sank. The 10-year breakeven spread ended the quarter at 87 bps, down sharply from 177 bps at year-end. Blmberg Barclays Universal 1.3% Investors spurned credit risk CS Leveraged Loans -13.2% – Investment grade and high yield bond funds experienced record outflows as investors flocked to cash. Blmberg Barclays High Yield -12.7% – Investment grade corporate spreads widened by 149 bps to 272 bps, representing the hardest hit sector in the 1.7% Bloomberg Barclays US Aggregate Bond Index, particularly Blmberg Barclays TIPS within Industrials, where several well-known issuers were downgraded to below investment grade, including Occidental Petroleum and Ford. U.S. Fixed Income: One-Year Returns – The quality bias was evident as BBB-rated credit (-7.4%) underperformed single A or higher (+0.5%). Blmberg Barclays Gov/Cr 1-3 Yr 4.5% – CCC-rated high yield corporates (-20.6%) lagged BB-rated corporates (-10.2%). Blmberg Barclays Interm Gov/Cr 6.9% – Energy (-38.9%) was the lowest-performing high yield bond sub-sector as oil prices collapsed. Blmberg Barclays Aggregate 8.9%

Blmberg Barclays Long Gov/Cr 19.3%

Blmberg Barclays Universal 7.2%

CS Leveraged Loans -9.5%

Blmberg Barclays High Yield -6.9%

Blmberg Barclays TIPS 6.8%

U.S. Treasury Yield Curves

3/31/2020 12/31/2019 3/31/2019 4%

0% 0 5 10 15 20 25 30 Maturity (Years)

Sources: Bloomberg, Bloomberg Barclays, Credit Suisse Capital Market Overview (continued) March 31, 2020

GLOBAL FIXED INCOME Global Fixed Income: Quarterly Returns

Global ex-U.S. fixed income ended slightly down Blmberg Barclays Gl Aggregate -0.3% – Developed market sovereign bond yields ended the quarter slightly higher even as central banks stepped in to provide support to their economies; the European Central Bank Blmberg Barclays Gl Agg (hdg) 1.4% launched a €750 billion stimulus program and the Bank of England cut interest rates. Blmberg Barclays Gl High Yield -15.0% – The U.S. dollar rose against the Australian dollar, British pound, and euro as investors sought safety within the Blmberg Barclays Gl Agg ex US -2.7% greenback. JPM EMBI Global Diversified -13.4% Emerging market debt plummeted in the risk-off environment JPM GBI-EM Global Diversified-15.2% – Within the dollar-denominated benchmark, returns were mixed amongst its 60+ constituents. JPM EMBI Gl Div/JPM GBI-EM Gl Div -14.3% – Within the local currency-denominated benchmark, several local market returns in Latin America dropped about 20% JPM CEMBI -8.6% (Brazil, Mexico, and Colombia) and South Africa dropped 29% as oil-sensitive economies suffered from the drop in oil prices. Global Fixed Income: One-Year Returns

Blmberg Barclays Gl Aggregate 4.2%

Blmberg Barclays Gl Agg (hdg) 6.6%

Blmberg Barclays Gl High Yield-10.0%

Blmberg Barclays Gl Agg ex US 0.7%

JPM EMBI Global Diversified -6.8%

JPM GBI-EM Global Diversified -6.5%

JPM EMBI Gl Div/JPM GBI-EM Gl Div -6.7%

JPM CEMBI -1.4%

Change in 10-Year Global Government Bond Yields

4Q19 to 1Q20

-150 -130 -110 -90 -70 -50 -30 -10 10 30 U.S. Treasury -125 bps

Germany -29 bps

U.K. -47 bps

Canada -101 bps

Japan 3 bps

Sources: Bloomberg, Bloomberg Barclays, JP Morgan Market Overview Active Management vs Index Returns

Market Overview The charts below illustrate the range of returns across managers in Callan’s Mutual Fund database over the most recent one quarter and one year time periods. The database is broken down by asset class to illustrate the difference in returns across those asset classes. An appropriate index is also shown for each asset class for comparison purposes. As an example, the first bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter. The triangle represents the S&P 500 return. The number next to the triangle represents the ranking of the S&P 500 in the Large Cap Equity manager database.

Range of Mutual Fund Returns by Asset Class One Quarter Ended March 31, 2020

10%

(12) (3) 0%

(10%)

(20%) (53) (50) Returns (30%) (54)

(40%)

(50%) Large Cap Small Cap Non-US Domestic Global Equity Equity Equity Fixed Income Fixed Income vs vs vs vs vs S&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi World Govt 10th Percentile (11.81) (18.53) (19.10) 3.69 (1.03) 25th Percentile (13.79) (22.21) (20.49) 2.20 (2.54) Median (19.15) (27.89) (22.82) 1.54 (3.81) 75th Percentile (26.26) (35.04) (26.13) 0.36 (6.69) 90th Percentile (29.21) (38.97) (30.97) (1.81) (8.42) Index (19.60) (30.61) (22.83) 3.15 2.00

Range of Mutual Fund Returns by Asset Class One Year Ended March 31, 2020

20%

10% (11) (3) 0% (50) (10%) (50) Returns (20%) (56) (30%)

(40%) Large Cap Small Cap Non-US Domestic Global Equity Equity Equity Fixed Income Fixed Income vs vs vs vs vs S&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi World Govt 10th Percentile 1.57 (8.89) (7.59) 9.09 4.29 25th Percentile (0.93) (14.29) (10.14) 7.73 2.42 Median (7.01) (21.40) (14.66) 7.36 0.43 75th Percentile (15.33) (30.06) (18.17) 6.44 (2.32) 90th Percentile (21.06) (33.18) (25.80) 3.80 (5.22) Index (6.98) (23.99) (14.38) 8.93 6.17

Oregon Savings Growth Plan 6 Domestic Equity Active Management Overview

The S&P 500 Index plunged 19.6% in the first quarter, its worst quarterly return since the Global Financial Crisis. After falling more than 30% from peak to trough in just a few weeks, the Index rallied 20% going into quarter-end as investors were heartened by the prospect of a $2 trillion stimulus package. Notably, the decline marked the fastest bear market (defined as 20% drop in prices) in history 16 days from the high mark hit on February 19. Every sector experienced double-digit declines, with Information Technology (-11.9%), Consumer Staples (-12.7%), and Health Care (-12.7%) feeling the least pain. Financials (-31.9%) and Energy (-50.5%) fell the most. Financials were hurt by sharp declines in interest rates, and Energy’s performance reflected plummeting oil prices. Oil prices tumbled 66%, with WTI Crude ending the quarter at $20.48, down from roughly $60 at the start of the year. From a style viewpoint, growth significantly outperformed value (Russell 1000 Growth: -14.1%; Russell 1000 Value: -26.7%). Growth indices benefited from Technology exposure while Value struggled with relatively heavy weights in Energy and Financials. Large cap (Russell 1000: -20.2%) outperformed small cap (Russell 2000:-30.6%). Small value (Russell 2000 Value: -35.7%) saw the sharpest decline.

S&P 500: (19.60%) S&P 500 Growth: (14.50%) S&P 500 Value: (25.34%) S&P Mid Cap: (29.70%) Mutual Fund Style Group Median Returns S&P 600: (32.64%) for Quarter Ended March 31, 2020 S&P 600 Growth: (28.11%) 10% S&P 600 Value: (37.37%)

(10%)

(13.25 )

(20%) (18.58 ) (20.02 ) Returns (22.22 ) (23.23 ) (30%) (27.89 ) (26.98 ) (31.33 ) (35.06 ) (40%)

(50%) Small Cap Small Cap Small Cap Mid Cap Mid Cap Mid Cap Large Cap Large Cap Large Cap Growth Value Broad Growth Value Broad Growth Value Core

S&P 500: (6.98%) S&P 500 Growth: (2.47%) S&P 500 Value: (12.20%) S&P Mid Cap: (22.51%) Mutual Fund Style Group Median Returns S&P 600: (25.89%) for One Year Ended March 31, 2020 S&P 600 Growth: (21.44%) 0% S&P 600 Value: (30.64%) (0.62 )

(5%)

(10%) (8.41 ) (8.76 )

(15%) (13.42 ) (15.28 )

Returns (20%) (18.53 )

(21.40 ) (25%) (23.79 )

(30%) (29.46 )

(35%) Small Cap Small Cap Small Cap Mid Cap Mid Cap Mid Cap Large Cap Large Cap Large Cap Growth Value Broad Growth Value Broad Growth Value Core

Oregon Savings Growth Plan 7 Domestic Fixed Income Active Management Overview

U.S. Treasury yields fell to record lows in March as investors sought safety and the Fed cut rates to 0%-0.25%. The 10-year U.S. Treasury yield reached a low in March of 0.31% before closing the quarter at 0.70%, down sharply from the year-end level of 1.92%. Most sectors underperformed U.S. Treasuries, hurt both by challenging liquidity conditions as well as a flight to safety. While the Bloomberg Barclays US Aggregate Bond Index rose 3.1% for the quarter, results were driven largely by performance of the Treasury sector (+8.2%). Corporates (-3.6%) and most securitized sectors underperformed U.S. Treasuries. The quality bias was evident in the return for the AAA-rated component (+5.8%) versus BBBs (-7.4%). TIPS (Bloomberg Barclays TIPS: +1.7%) sharply underperformed nominal Treasuries as expectations for inflation sank. The 10-year breakeven spread ended the quarter at 87 bps, down sharply from 177 bps at year-end. High yield corporate bonds (Bloomberg Barclays High Yield: -12.7%) fell sharply and ended the quarter with a yield-to-worst of 9.4% though it topped 10% in mid-March, the highest level since the GFC. Excluding the beleaguered Energy sector, high yield fell 9.1%. Leveraged loans performed even worse (S&P LSTA: -13.0%) and both high yield and loans experienced heavy outflows.

Mutual Fund Style Group Median Returns for Quarter Ended March 31, 2020 Blmbg Universal: 1.30% 10% Blmbg Aggregate: 3.15% Blmbg High Yield: (12.68%)

1.03 1.54 0% (0.71 ) (0.57 )

(5%) Returns

(10%)

(12.68 ) (15%)

(20%) Defensive Intermed Core Bond High Yield Core Plus

Mutual Fund Style Group Median Returns for One Year Ended March 31, 2020 Blmbg Universal: 7.15% 15% Blmbg Aggregate: 8.93% Blmbg High Yield: (6.94%)

10%

7.36

5.24 5.30 5%

2.13

Returns 0%

(5%)

(6.92 )

(10%) Defensive Intermed Core Bond High Yield Core Plus

Oregon Savings Growth Plan 8 International Equity Active Management Overview

Global ex-U.S. equity indices fell sharply in the first quarter; the MSCI ACWI ex-USA Index dropped 23.4%. Across developed markets, Canada (-28%), the U.K. (-30%), and Australia (-34%) were among the worst performers while Japan (-17%) fared better, in relative terms. Modest appreciation of the U.S. dollar versus a basket of developed market currencies acted as a headwind for U.S. investors. As in the U.S., growth (MSCI ACWI ex-USA Growth: -18%) outperformed value (MSCI ACWI ex-USA Value: -29%). Also mirroring performance in the U.S., Health Care (-9%) was a top-performing sector while Energy (-38%) was the worst.

Emerging markets equities (MSCI EM: -23.6%) also sold off with currency depreciation being a key driver. Collectively, Latin American countries fell 46% in U.S. dollar terms and 32% in local currency terms. Russia dropped 36% in U.S. dollars (-22% local) and South Africa fell 41% (-24% local). India sank 32% (-27% local) while China performed relatively well, down only 10% in the quarter in U.S. dollar terms.

MSCI AC World Index (21.26%) MSCI ACW ex US Free: (23.36%) MSCI EAFE: (22.83%) Mutual Fund Style Group Median Returns MSCI Europe: (24.33%) for Quarter Ended March 31, 2020 MSCI Pacific: (20.30%) 0% MSCI Emerging Markets: (23.60%)

(5%)

(10%)

(15%) Returns (16.99 ) (17.49 ) (20%)

(23.06 ) (25%) (23.27 ) (24.44 )

(30%) Europe Core Int’l Pacific Basin Japan Only Emerging Markets

MSCI AC World Index (10.76%) MSCI ACW ex US Free: (15.57%) MSCI EAFE: (14.38%) Mutual Fund Style Group Median Returns MSCI Europe: (15.50%) for One Year Ended March 31, 2020 MSCI Pacific: (12.42%) 0% MSCI Emerging Markets: (17.69%)

(5%)

(8.05 ) (8.39 ) (10%)

Returns (13.45 ) (15%) (15.03 )

(18.37 ) (20%)

(25%) Europe Core Int’l Pacific Basin Japan Only Emerging Markets

Oregon Savings Growth Plan 9 Asset Allocation and Performance Asset Allocation and Performance Changes in Investment Fund Balances Period Ended March 31, 2020

Allocation Across Investment Options The chart below illustrates the allocation of the aggregate fund assets across the various investment options as of March 31, 2020.

Target Date Funds 32%

Brokerage Window 1% Real Return Option 0% Socially Resp. Option 1% Stable Value Option International Stock Option 15% 5% Small Co. Stock Option 7%

Active Fixed Income Option Large Co. Growth Stock Option 9% 12%

Large Co. Value Stock Option Stock Index Option Option 7% 11%

Changes in Fund Values The chart below shows the net change in fund values across the various investment options for the quarter ended March 31, 2020. The change in value for each fund is the result of a combination of 3 factors: 1) market movements; 2) contributions or disbursements into or out of the funds by the participants (and any matching done by the company); and 3) transfers between funds by the participants.

Target Date Funds (99,285)

Stable Value Option 18,443

Active Fixed Income Option 16,489

Stock Index Option Option (67,010)

Large Co. Value Stock Option (61,487)

Large Co. Growth Stock Option (50,819)

Small Co. Stock Option (88,022)

International Stock Option (34,671)

Socially Resp. Option (4,289)

Real Return Option (899)

Brokerage Window (1,001)

(150,000) (100,000) (50,000) 0 50,000 100,000 Thousands$

Oregon Savings Growth Plan 11 Investment Manager Asset Allocation

The table below contrasts the distribution of assets across the Fund’s investment managers as of March 31, 2020, with the distribution as of December 31, 2019. The change in asset distribution is broken down into the dollar change due to Net New Investment and the dollar change due to Investment Return.

Asset Distribution Across Investment Managers

March 31, 2020 December 31, 2019 Market Value Weight Net New Inv. Inv. Return Market Value Weight Tier I - Asset Allocation Options

Tier II - Core Investment Options $1,401,773,734 65.56% $6,036,610 $(273,114,417) $1,668,851,541 66.47%

Stable Value Option Galliard 310,813,233 14.54% 16,936,108 1,507,338 292,369,787 11.65%

Active Fixed Income Option BlackRock / DoubleLine / Wellington 189,740,109 8.87% 14,509,473 1,979,732 173,250,904 6.90%

Stock Index Option BlackRock 230,563,217 10.78% (5,218,372) (61,791,679) 297,573,268 11.85%

Large Company Value Stock Option BlackRock 154,624,921 7.23% (4,259,836) (57,227,268) 216,112,025 8.61%

Large Company Growth Stock Option BlackRock 258,807,657 12.10% (6,799,826) (44,019,603) 309,627,086 12.33%

Small Company Stock Option BlackRock / Callan / DFA 155,595,949 7.28% (9,171,956) (78,850,501) 243,618,406 9.70%

International Stock Option AQR / Arrowstreet / DFA / Lazard 101,628,648 4.75% 41,018 (34,712,436) 136,300,065 5.43%

Tier III - Specialty Options $43,291,892 2.02% $3,334,391 $(9,522,880) $49,480,380 1.97%

Socially Responsible Investment Option TIAA-CREF 17,519,824 0.82% 635,187 (4,924,516) 21,809,152 0.87%

Real Return Option State Street 3,578,512 0.17% (157,152) (741,500) 4,477,164 0.18%

Brokerage Window 22,193,556 1.04% 2,856,355 (3,856,864) 23,194,064 0.92%

Total Fund $2,138,098,693 100.0% $9,605,922 $(382,146,692) $2,510,639,462 100.0%

Oregon Savings Growth Plan 12 Investment Fund Returns

The table below details the rates of return for the plan’s investment managers over various cumulative time periods. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. Returns for Periods Ended March 31, 2020 Last Last Last Last Last 3 5 10 Quarter Year Years Years Years

Tier I - Asset Allocation Options

LifePath Index Retirement Fund L (7.74%) (0.05%) 3.35% 3.17% 4.96% LifePath Index Retirement Benchmark (7.78%) (0.04%) 3.33% 3.17% 4.96%

LifePath Index 2025 Fund L (11.32%) (3.00%) 3.14% 3.35% 5.79% LifePath Index 2025 Benchmark (11.37%) (3.02%) 3.08% 3.31% 5.76%

LifePath Index 2030 Fund L (14.36%) (5.54%) 2.67% 3.22% 5.97% LifePath Index 2030 Benchmark (14.41%) (5.63%) 2.59% 3.14% 5.90%

LifePath Index 2035 Fund L (17.12%) (7.91%) 2.23% 3.10% 6.10% LifePath Index 2035 Benchmark (17.16%) (7.99%) 2.12% 2.99% 6.02%

LifePath Index 2040 Fund L (19.62%) (10.09%) 1.76% 2.92% 6.18% LifePath Index 2040 Benchmark (19.65%) (10.16%) 1.66% 2.81% 6.10%

LifePath Index 2045 Fund L (21.30%) (11.61%) 1.40% 2.76% 6.27% LifePath Index 2045 Benchmark (21.34%) (11.72%) 1.26% 2.62% 6.17%

LifePath Index 2050 Fund L (22.06%) (12.30%) 1.21% 2.66% 6.37% LifePath Index 2050 Benchmark (22.09%) (12.40%) 1.08% 2.53% 6.26%

LifePath Index 2055 Fund L (22.12%) (12.36%) 1.18% 2.64% 7.05% LifePath Index 2055 Benchmark (22.38%) (12.69%) 0.97% 2.46% -

LifePath Index 2060 Fund L (22.12%) (12.37%) 1.16% 2.64% - LifePath Index 2060 Benchmark (22.38%) (12.69%) 0.97% 2.49% -

Tier II - Core Investment Options

Stable Value Option 0.62% 2.58% 2.30% 2.07% 1.90% 3-month Treasury Bill 0.57% 2.25% 1.83% 1.19% 0.64%

Active Fixed Income Option 0.73% 6.16% 4.30% 3.32% 4.23% Bloomberg Aggregate Index 3.15% 8.93% 4.82% 3.36% 3.88%

Stock Index Option (20.93%) (9.11%) 4.05% 5.85% 10.21% Russell 3000 Index (20.90%) (9.13%) 4.00% 5.77% 10.15%

Large Company Value Stock Option (26.72%) (17.11%) (2.07%) 2.00% 7.80% Russell 1000 Value Index (26.73%) (17.17%) (2.18%) 1.90% 7.67%

Large Company Growth Stock Option (14.26%) 0.72% 11.20% 10.32% 12.80% Russell 1000 Growth Index (14.10%) 0.91% 11.32% 10.36% 12.97%

Small Company Stock Option (32.97%) (27.16%) (6.21%) (1.27%) 6.40% Russell 2000 Index (30.61%) (23.99%) (4.64%) (0.25%) 6.90%

International Stock Option (25.14%) (18.06%) (3.41%) (1.24%) 2.34% MSCI ACWI ex US Index (23.36%) (15.57%) (1.96%) (0.64%) 2.05%

Tier III - Specialty Options

Socially Responsible Option (20.59%) (8.38%) 4.25% 5.50% - Russell 3000 Index (20.90%) (9.13%) 4.00% 5.77% 10.15%

Real Return Option (19.97%) (16.58%) (4.43%) (3.27%) - Real Return Option Blended Benchmark (19.74%) (16.28%) (3.17%) (1.72%) 0.34% Consumer Price Index + 4% 1.34% 5.46% 5.89% 5.70% 5.65%

Oregon Savings Growth Plan 13 Investment Fund Returns

12/2019- 3/2020 2019 2018 2017 2016

Tier I - Asset Allocation Options

LifePath Index Retirement Fund L (7.74%) 15.63% (3.48%) 10.16% 6.07% LifePath Index Retirement Benchmark (7.78%) 15.63% (3.48%) 10.10% 6.01%

LifePath Index 2025 Fund L (11.32%) 18.57% (4.89%) 13.88% 7.26% LifePath Index 2025 Benchmark (11.37%) 18.56% (4.90%) 13.75% 7.10%

LifePath Index 2030 Fund L (14.36%) 20.77% (5.72%) 15.81% 7.84% LifePath Index 2030 Benchmark (14.41%) 20.70% (5.76%) 15.64% 7.61%

LifePath Index 2035 Fund L (17.12%) 22.85% (6.51%) 17.67% 8.40% LifePath Index 2035 Benchmark (17.16%) 22.72% (6.58%) 17.48% 8.08%

LifePath Index 2040 Fund L (19.62%) 24.70% (7.25%) 19.36% 8.84% LifePath Index 2040 Benchmark (19.65%) 24.62% (7.33%) 19.09% 8.51%

LifePath Index 2045 Fund L (21.30%) 26.02% (7.85%) 20.43% 9.15% LifePath Index 2045 Benchmark (21.34%) 25.90% (7.99%) 20.15% 8.77%

LifePath Index 2050 Fund L (22.06%) 26.61% (8.12%) 20.81% 9.22% LifePath Index 2050 Benchmark (22.09%) 26.48% (8.26%) 20.55% 8.82%

LifePath Index 2055 Fund L (22.12%) 26.65% (8.14%) 20.80% 9.18% LifePath Index 2055 Benchmark (22.38%) 26.58% (8.28%) 20.55% 8.82%

LifePath Index 2060 Fund L (22.12%) 26.64% (8.15%) 20.74% 9.19% LifePath Index 2060 Benchmark (22.38%) 26.58% (8.28%) 20.55% 8.82%

Tier II - Core Investment Options

Stable Value Option 0.62% 2.57% 2.24% 1.89% 1.77% 3-month Treasury Bill 0.57% 2.28% 1.87% 0.86% 0.33%

Active Fixed Income Option 0.73% 8.43% 0.50% 4.47% 3.48% Bloomberg Aggregate Index 3.15% 8.72% 0.01% 3.54% 2.65%

Stock Index Option (20.93%) 31.12% (5.21%) 21.23% 12.83% Russell 3000 Index (20.90%) 31.02% (5.24%) 21.13% 12.74%

Large Company Value Stock Option (26.72%) 26.67% (8.13%) 13.81% 17.21% Russell 1000 Value Index (26.73%) 26.54% (8.27%) 13.66% 17.34%

Large Company Growth Stock Option (14.26%) 36.42% (1.65%) 30.21% 7.11% Russell 1000 Growth Index (14.10%) 36.39% (1.51%) 30.21% 7.08%

Small Company Stock Option (32.97%) 24.23% (11.77%) 14.74% 21.43% Russell 2000 Index (30.61%) 25.52% (11.01%) 14.65% 21.31%

International Stock Option (25.14%) 20.78% (15.57%) 27.70% 3.46% MSCI ACWI ex US Index (23.36%) 21.51% (14.20%) 27.19% 4.50%

Tier III - Specialty Options

Socially Responsible Option (20.59%) 31.43% (5.61%) 20.71% 13.39% Russell 3000 Index (20.90%) 31.02% (5.24%) 21.13% 12.74%

Real Return Option (19.97%) 10.30% (6.11%) 7.49% 5.34% Real Return Option Blended Benchmark (19.74%) 13.68% (7.11%) 8.61% 14.28% Consumer Price Index + 4% 1.34% 6.32% 5.77% 6.18% 5.99%

Oregon Savings Growth Plan 14 Oregon Savings Growth Plan Investment Manager Performance Monitoring Summary Report March 31, 2020

Last Last 3 5 7 10 Quarter Year Year Year Year Year Investment Manager Return Return Return Return Return Return Tier I - Asset Allocation Options LifePath Index Retirement Fund L -7.7 60 -0.0 44 3.3 23 3.2 19 3.8 26 5.0 18 Callan Target Date Retirement Inc LifePath Index Retirement Benchmark -7.8 61 -0.0 44 3.3 24 3.2 19 3.8 27 5.0 18 LifePath Index 2025 Fund L -11.3 24 -3.0 23 3.1 25 3.4 39 4.6 74 5.8 76 Callan Target Date 2025 LifePath Index 2025 Benchmark -11.4 27 -3.0 23 3.1 27 3.3 41 4.5 79 5.8 76 LifePath Index 2030 Fund L -14.4 40 -5.5 38 2.7 38 3.2 51 4.7 80 6.0 74 Callan Target Date 2030 LifePath Index 2030 Benchmark -14.4 43 -5.6 39 2.6 45 3.1 59 4.6 83 5.9 79 LifePath Index 2035 Fund L -17.1 52 -7.9 45 2.2 43 3.1 51 4.8 80 6.1 82 Callan Target Date 2035 LifePath Index 2035 Benchmark -17.2 52 -8.0 45 2.1 50 3.0 62 4.7 83 6.0 84 LifePath Index 2040 Fund L -19.6 70 -10.1 61 1.8 47 2.9 55 4.8 77 6.2 76 Callan Target Date 2040 LifePath Index 2040 Benchmark -19.7 70 -10.2 64 1.7 51 2.8 64 4.7 79 6.1 77 LifePath Index 2045 Fund L -21.3 81 -11.6 70 1.4 53 2.8 58 4.8 80 6.3 77 Callan Target Date 2045 LifePath Index 2045 Benchmark -21.3 84 -11.7 73 1.3 57 2.6 64 4.7 87 6.2 85 LifePath Index 2050 Fund L -22.1 89 -12.3 79 1.2 54 2.7 57 4.9 78 6.4 69 Callan Target Date 2050 LifePath Index 2050 Benchmark -22.1 89 -12.4 79 1.1 57 2.5 63 4.8 82 6.3 74 LifePath Index 2055 Fund L -22.1 82 -12.4 76 1.2 50 2.6 60 5.0 76 7.0 38 Callan Target Date 2055 LifePath Index 2055 Benchmark -22.4 93 -12.7 82 1.0 59 2.5 67 4.8 81 LifePath Index 2060 Fund L -22.1 80 -12.4 76 1.2 54 2.6 70 Callan Target Date 2060 LifePath Index 2060 Benchmark -22.4 88 -12.7 79 1.0 62 2.5 72 Tier II - Core Investment Options

Returns: above median third quartile fourth quartile

15 Oregon Savings Growth Plan Investment Manager Performance Monitoring Summary Report March 31, 2020

Last Last 3 5 7 10 Quarter Year Year Year Year Year Investment Manager Return Return Return Return Return Return

Stable Value Option 0.6 1 2.6 1 2.3 8 2.1 13 1.9 19 1.9 35 Callan Stable Value CT 3-month Treasury Bill 0.6 5 2.3 22 1.8 56 1.2 96 0.9 99 0.6 99 Active Fixed Income Option 0.7 23 6.2 27 4.3 25 3.3 24 3.2 40 4.2 44 Callan Core Plus MFs Bloomberg Aggregate Index 3.1 6 8.9 4 4.8 3 3.4 21 3.2 41 3.9 76 Stock Index Option (i) -20.9 38 -9.1 28 4.1 20 5.8 10 9.0 11 10.2 9 Callan All Cap Core MFs Russell 3000 Index -20.9 38 -9.1 28 4.0 21 5.8 11 9.0 12 10.1 10 Large Company Value Stock Option (i) -26.7 44 -17.1 46 -2.1 49 2.0 44 5.9 31 7.8 29 Callan Large Cap Value MFs Russell 1000 Value Index -26.7 45 -17.2 46 -2.2 50 1.9 45 5.6 45 7.7 36 Large Company Growth Stock Option (i) -14.3 64 0.7 34 11.2 54 10.3 29 12.8 40 12.8 30 Callan Large Cap Growth MFs Russell 1000 Growth Index -14.1 62 0.9 32 11.3 50 10.4 29 12.9 36 13.0 22 Small Company Stock Option -33.0 63 -27.2 68 -6.2 61 -1.3 61 3.4 62 6.4 61 Callan Small Cap MFs Russell 2000 Index -30.6 54 -24.0 56 -4.6 57 -0.2 54 4.2 57 6.9 54 International Stock Option -25.1 68 -18.1 75 -3.4 67 -1.2 62 1.1 64 2.3 62 Callan Non US Equity MFs MSCI ACWI ex US Index -23.4 55 -15.6 55 -2.0 49 -0.6 48 1.1 64 2.1 66

Returns: above median third quartile fourth quartile

(i) - Indexed scoring method used. Green: manager & index ranking differ by <= +/- 10%tile. Yellow: manager & index ranking differ by <= +/- 20%tile. Red: manager & index ranking differ by > +/- 20%tile.

16 Oregon Savings Growth Plan Investment Manager Performance Monitoring Summary Report March 31, 2020

Last Last 3 5 7 10 Quarter Year Year Year Year Year Investment Manager Return Return Return Return Return Return Tier III - Specialty Options Socially Responsible Option -20.6 35 -8.4 23 4.2 19 5.5 12 Callan All Cap Core MFs Russell 3000 Index -20.9 38 -9.1 28 4.0 21 5.8 11 9.0 12 10.1 10 Real Return Option -20.0 62 -16.6 75 -4.4 81 -3.3 83 Callan Real Assets MFs Real Return Option Blended Bmk -19.7 61 -16.3 73 -3.2 70 -1.7 47 -2.2 68 0.3 67

Returns: above median third quartile fourth quartile

17 Oregon Savings Growth Plan Investment Options Fee Summary March 31, 2020

Investment Institutional

Management Peer Group Asset Class and Strategy Fees* Median

Asset Allocation Options LifePath Index Retirement, 2020 – 2060 Funds; L 0.080% 0.12% - 0.13%

Capital Preservation Stable Value Option 0.351% 0.36%

Fixed Income Active Fixed Income Option 0.162% 0.27%

U.S. Large Cap Equity Stock Index Option 0.036% 0.04% Large Company Value Stock Option 0.026% 0.04% Large Company Growth Stock Option 0.026% 0.04%

U.S. Small Cap Equity Small Company Stock Option 0.392% 0.73%

International Equity International Stock Option 0.538% 0.62%

Specialty Options Socially Responsible Investment Option 0.170% 0.55% Real Return Option 0.220% 1.10%

*Investment option fee data provided by OST

Oregon Savings Growth Plan 18 Target Date Funds Target Date Funds Target Date LifePath Index Fund Target Date Glide Path Analysis as of March 31, 2020

The following charts illustrate the asset allocation "glide path" underlying the relevant suite of target date funds. This analysis covers forty years of investor wealth accumulation up to retirement, as well as twenty years of wealth decumulation following retirement. The top chart shows the "pure" equity exposure (public equities excluding REITs) versus the peer group and index. The subsequent charts show more asset allocation detail at the high "macro" level.

Equity Rolldown Analysis 100% Callan Glide Path Universe (ALL)

75%

50% % Pure Equity 25%

Callan Consensus ALL Glidepath LifePath Index Fund 0% 40 30 20 10 0 -10 -20 Years Until Retirement Retirement

Macro-Level Asset Allocation Glide Path - LifePath Index Fund 100% 100%

75% 75%

50% 50% % Weight

25% Real Assets 25% Domestic Fixed Real Estate Intl Equity Domestic Broad Eq 0% 0% 40 30 20 10 0 -10 -20 Years Until Retirement Retirement

Macro-Level Asset Allocation Glide Path - Callan Consensus ALL Glidepath 100% 100%

75% 75%

50% 50% Real Assets Absolute Return/GTAA % Weight Cash Equiv Other 25% Intl Fixed-Inc 25% Domestic Fixed Real Estate Intl Equity Domestic Broad Eq 0% 0% 40 30 20 10 0 -10 -20 Years Until Retirement Retirement

Oregon Savings Growth Plan 20 LifePath Index Fund Target Date Glide Path Analysis as of March 31, 2020

The following charts illustrate the asset allocation "glide path" underlying the relevant suite of target date funds. This analysis covers forty years of investor wealth accumulation up to retirement, as well as twenty years of wealth decumulation following retirement. The top chart highlights any significant "macro-level" differences between the manager’s asset allocation glide path and that of the glide path index. The bottom two charts illustrate the asset allocation glide paths of both the manager and index at the more detailed "micro" level.

Relative Macro Asset Allocation - LifePath Index Fund vs. Callan Consensus ALL Glidepath 15%

10%

Domestic Broad Eq Intl Equity

% Relative Weights -5% Real Estate Domestic Fixed Intl Fixed-Inc Cash Equiv -10% 40 30 20 10 0 -10 -20 Years Until Retirement Retirement

Micro-Level Asset Allocation Glide Path - LifePath Index Fund

100% 100%

75% 75%

50% 50% Commodities

% Weight TIPS Core Bond 25% Global REITS Emerging Markets 25% Non-US Developed Small/Mid Cap Broad Large Cap Broad Eq 0% 0% 40 30 20 10 0 -10 -20 Years Until Retirement Retirement

Micro-Level Asset Allocation Glide Path - Callan Consensus ALL Glidepath

100% 100%

75% Commodities 75% Cash Equiv TIPS Core Bond 50% Global REITS Other-Real Estate 50% Emerging Markets

% Weight Non-US Developed Small/Mid Cap Broad 25% Large Cap Broad Eq Natural Resouces Eq 25% Sm Cap Dev ex-US Other-Dom Fixed Other 0% 0% 40 30 20 10 0 -10 -20 Years Until Retirement Retirement

Oregon Savings Growth Plan 21 LifePath Index Fund Target Date Glide Path Analysis as of March 31, 2020

The first two charts below illustrate the detailed composition over time of the "risky", or "growth" portion of the glide paths for both the manager and index, defined to be all public equity and real estate asset classes. These charts highlight both the levels of diversification and aggressiveness within the wealth creation portion of the glide paths. The last two charts serve a similar purpose but focus on the composition over time of the remaining wealth preservation portion (non-equity) of the manager and index glide paths.

Micro-Level Equity Allocation Glide Path - LifePath Index Fund

100% 100%

75% 75%

50% 50% Commodities Global REITS

% Weight Emerging Markets 25% Non-US Developed 25% Small/Mid Cap Broad Large Cap Broad Eq 0% 0% 40 30 20 10 0 -10 -20 Years Until Retirement Retirement

Micro-Level Equity Asset Allocation Glide Path - Callan Consensus ALL Glidepath

100% 100%

75% Commodities 75% Real Estate Global REITS 50% Domestic REIT 50% Emerging Markets Non-US Developed

% Weight Small/Mid Cap Broad 25% Large Cap Broad Eq 25% Natural Resouces Eq Sm Cap Dev ex-US 0% 0% 40 30 20 10 0 -10 -20 Years Until Retirement Retirement

Micro-Level Non-Equity Allocation Glide Path - LifePath Index Fund

100% 100%

75% 75%

50% 50% % Weight 25% 25% TIPS Core Bond 0% 0% 40 30 20 10 0 -10 -20 Years Until Retirement Retirement

Micro-Level Non-Equity Asset Allocation Glide Path - Callan Consensus ALL Glidep

100% 100% Absolute Return/GTAA Cash Equiv Stable Value 75% Intl Fixed-Inc 75% TIPS Short Term Fixed 50% Core Bond 50% Extended Maturity High Yield

% Weight ST TIPS 25% Int’l Fixed Hedged 25% Bank Loans Emerging Mkts Debt 0% 0% 40 30 20 10 0 -10 -20 Years Until Retirement Retirement

Oregon Savings Growth Plan 22 Equal-Weighted - BlackRock LifePath Index Target Date Fund Family Analysis as of March 31, 2020

The following is an analysis of the suite of target date funds as an aggregated portfolio using equal-weighting by target date. The upper-left pie chart shows equal-weighting across target dates. The rest of the charts compare different attributes of the aggregated target date portfolio to a peer group of target date fund families, as well as target date indices, by mimicking the equal-weighted target date suites using these alternatives. The first two charts evaluate the aggregate equity exposure and expense ratio via target date funds. The last two charts analyze aggregate target date performance on both an actual return basis as well as a "glide path return" basis (simulated returns using each funds’ asset allocation "glide path" weights and index returns). Glidepath Peer Group: ALL Fee/Return Type: Institutional Net

Fund Family Allocation Equity Exposure Expense Ratio

82% 0.25% Income 80% 11.1% 78% 0.20% 76% (14) 2060 74% 0.15% 2025 72% 11.1% 11.1% 70% (60) 0.10% (30) 68% 66% 0.05% 2055 2030 64% 11.1% 62% 0.00% 11.1% Passive 10th Percentile 79.08 Only 25th Percentile 75.45 Median 71.65 10th Percentile 0.21 2050 2035 75th Percentile 67.29 25th Percentile 0.12 11.1% 11.1% 90th Percentile 64.99 Median 0.08 75th Percentile 0.07 2045 BlackRock 90th Percentile 0.05 11.1% 2040 LifePath Index 76.40 11.1% BlackRock Callan Consensus LifePath Index 0.11 ALL Glidepath 70.30

Target Date Family Performance vs Peer Families

10% (25) (58) (33) (54) 5% (12) (11) (13) (26) 0% (5%) (23) (18) (10%) (15%) (21) (64) (20%) (25%) Last Last Last 3 Last 5 Last 7 Last 10 Quarter Year Years Years Years Years 10th Percentile (14.64) (5.86) 2.76 3.71 5.59 6.89 25th Percentile (16.19) (6.99) 2.35 3.30 5.22 6.61 Median (17.02) (7.92) 1.90 2.91 4.88 6.21 75th Percentile (17.75) (8.98) 1.30 2.50 4.54 5.86 90th Percentile (18.20) (9.34) 1.08 2.13 4.27 5.58 BlackRock LifePath Index (17.54) (6.45) 2.63 3.28 4.78 6.16 Callan Consensus ALL Glidepath (15.93) (6.77) 2.57 3.47 5.21 6.48

Target Date Family Glide Path Returns vs Peer Families

15% 10% 5% (72) (85) (72) (85) (42) (81) (60) (87) 0% (5%) (47) (76) (10%) (15%) (46) (78) (20%) (25%) Last Last Last 3 Last 5 Last 7 Last 10 Quarter Year Years Years Years Years 10th Percentile (13.28) (4.53) 3.65 4.31 6.39 7.45 25th Percentile (15.49) (6.10) 3.10 4.00 5.93 7.04 Median (16.09) (6.98) 2.46 3.60 5.48 6.75 75th Percentile (16.75) (7.65) 2.21 3.33 5.14 6.34 90th Percentile (17.53) (8.69) 1.71 2.93 4.56 5.95 BlackRock LifePath Index (16.94) (7.79) 2.13 3.00 4.66 6.07 Callan Consensus ALL Glidepath (15.93) (6.77) 2.57 3.47 5.21 6.48

Oregon Savings Growth Plan 23 LifePath Index Retirement Fund L Period Ended March 31, 2020

Investment Philosophy LifePath Index Retirement Portfolio seeks to maximize return consistent with the quantitatively measured risk that investors planning to retire (or begin to withdraw substantial portions of their investment) now or in the near future may be willing to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.

Quarterly Summary and Highlights LifePath Index Retirement Fund L’s portfolio posted a (7.74)% return for the quarter placing it in the 60 percentile of the Callan Target Date Retirement Income group for the quarter and in the 44 percentile for the last year. LifePath Index Retirement Fund L’s portfolio outperformed the LifePath Idx Retiremnt CB by 0.04% for the quarter and underperformed the LifePath Idx Retiremnt CB for the year by 0.01%.

Performance vs Callan Target Date Retirement Income (Institutional Net)

10%

5% (18) (18) (8) (8) (27) (26) (24) (23) (19) (19)

0% (44) (44)

(5%)

(61) (60)

(10%)

(15%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Last 14-3/4 Year Years 10th Percentile (4.57) 1.89 3.62 3.34 4.08 5.30 4.79 25th Percentile (5.57) 1.01 3.27 3.10 3.82 4.89 4.50 Median (7.47) (0.74) 2.69 2.79 3.31 4.40 4.16 75th Percentile (9.27) (2.46) 2.30 2.38 2.82 4.01 3.75 90th Percentile (10.37) (3.14) 1.69 1.79 2.16 3.45 3.16 LifePath Index Retirement Fund L (7.74) (0.05) 3.35 3.17 3.80 4.96 4.85 LifePath Idx Retiremnt CB (7.78) (0.04) 3.33 3.17 3.79 4.96 4.85

Callan Target Date Retirement Income (Institutional Net) Relative Return vs LifePath Idx Retiremnt CB Annualized Five Year Risk vs Return

0.10% 4.0% LifePath Index Retirement Fund L 3.5% 0.05% LifePath Idx Retiremnt CB 3.0%

2.5% 0.00%

2.0%

(0.05%) Returns 1.5% Relative Returns 1.0% (0.10%) 0.5%

(0.15%) 0.0% 2015 2016 2017 2018 2019 20 2 4 6 8 10 12 Standard Deviation LifePath Index Retirement Fund L

Oregon Savings Growth Plan 24 LifePath Index Retirement Fund L Target Date Fund Asset Allocation as of March 31, 2020

The charts below illustrate the current target asset allocation of the relevant target date fund based on its underlying glide path and compares it to an index. The top charts compare target asset allocation at a high "macro" asset class level, while the middle charts show a more detailed "micro" level view. The bottom chart compares the current "macro" level target asset allocation, and index, to a relevant peer group of target date funds by ranking the various target asset class weights versus those peer target date funds.

Macro-Level Asset Allocation 80%

70% 60.0 60% 54.5 50%

40%

30% 25.2 22.3 20% 11.6 10.5 10% 5.0 3.3 1.6 1.6 1.7 1.9 0.8 0% LifePath Index Retirement Fund L - Target Callan Tgt Dt Idx 2010 Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets

Micro-Level Asset Allocation 80% 70% 60% 54.2 50% 40% 32.0 30% 21.8 20% 18.1 14.0 8.8 8.4 10% 5.8 8.2 7.0 3.4 2.9 4.0 3.2 1.6 1.6 2.2 1.1 0.6 0.8 0.1 0.1 0% LifePath Index Retirement Fund L - Target Callan Tgt Dt Idx 2010 Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed

Macro Asset Allocation Rankings vs. Callan Target Date Retirement Income

90% 80% 70% 60% (51) (77) 50% 40% 30% (20) (12) % Weight 20% (39) (37) 10% (20) 0% (35) (38) (40) (6) (27) (25) (10%) Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ Real Eq Equity Estate Fixed Inc Value/Cash GTAA Assets 10th Percentile 25.21 13.68 4.58 78.12 11.26 22.37 0.00 3.50 25th Percentile 21.77 12.20 1.99 67.05 3.75 6.00 0.00 1.57 Median 17.55 9.63 1.01 59.99 0.00 0.00 0.00 0.00 75th Percentile 13.62 7.00 0.00 54.75 0.00 0.00 0.00 0.00 90th Percentile 9.51 4.00 0.00 33.74 0.00 0.00 0.00 0.00 LifePath Index Retirement Fund L - Targe 25.21 11.65 1.58 59.99 - - - 1.57 Callan Tgt Dt Idx 2010 22.29 10.53 1.70 54.47 5.03 3.27 1.89 0.83

Oregon Savings Growth Plan 25 LifePath Index 2025 Fund L Period Ended March 31, 2020

Investment Philosophy LifePath Index 2025 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2025 may be willing to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.

Quarterly Summary and Highlights LifePath Index 2025 Fund L’s portfolio posted a (11.32)% return for the quarter placing it in the 24 percentile of the Callan Target Date 2025 group for the quarter and in the 23 percentile for the last year. LifePath Index 2025 Fund L’s portfolio outperformed the LifePath Index 2025 CB by 0.05% for the quarter and outperformed the LifePath Index 2025 CB for the year by 0.02%.

Performance vs Callan Target Date 2025 (Institutional Net)

10%

(76) (76) 5% (79) (74) (27) (25) (41) (39)

(23) (23) (5%)

(10%) (27) (24)

(15%)

(20%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (8.83) (2.01) 3.64 3.74 5.67 7.01 25th Percentile (11.35) (3.25) 3.16 3.52 5.35 6.61 Median (12.44) (4.31) 2.67 3.21 4.93 6.24 75th Percentile (13.40) (5.38) 2.26 2.93 4.53 5.83 90th Percentile (14.86) (6.46) 1.94 2.58 4.04 5.31 LifePath Index 2025 Fund L (11.32) (3.00) 3.14 3.35 4.55 5.79 LifePath Index 2025 CB (11.37) (3.02) 3.08 3.31 4.51 5.76

Callan Target Date 2025 (Institutional Net) Relative Return vs LifePath Index 2025 CB Annualized Five Year Risk vs Return

0.20% 5.0%

4.5%

0.10% 4.0% LifePath Index 2025 Fund L 3.5% 0.00% LifePath Index 2025 CB 3.0% Returns

Relative Returns 2.5% (0.10%)

2.0%

(0.20%) 1.5% 2015 2016 2017 2018 2019 20 6 7 8 9 10 11 12 Standard Deviation LifePath Index 2025 Fund L

Oregon Savings Growth Plan 26 LifePath Index 2025 Fund L Target Date Fund Asset Allocation as of March 31, 2020

Macro-Level Asset Allocation 60%

50% 43.4 40% 38.6 33.3 34.1 30%

19.4 20% 17.3

10% 4.0 2.6 1.3 2.0 1.4 1.7 0.9 0% LifePath Index 2025 Fund L - Target Callan Tgt Dt Idx 2025 Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets

Micro-Level Asset Allocation 60%

50%

40% 38.5

30.3 30% 27.5 25.1 20% 14.6 13.4 10% 8.7 4.8 4.9 6.4 4.8 5.7 3.0 2.6 3.7 1.3 1.3 0.7 1.4 0.9 0.2 0.1 0% LifePath Index 2025 Fund L - Target Callan Tgt Dt Idx 2025 Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed

Macro Asset Allocation Rankings vs. Callan Target Date 2025

60% 50% (33) 40% (53) (63) (71) 30%

20% (71) (44)

% Weight 10% (34) (28) 0% (40) (11) (4) (22) (22) (10%) Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ Real Eq Equity Estate Fixed Inc Value/Cash GTAA Assets 10th Percentile 43.62 24.70 4.35 46.90 9.74 2.53 0.00 3.28 25th Percentile 39.04 20.40 2.83 45.16 4.46 0.00 0.00 0.62 Median 35.84 18.70 1.26 39.80 1.50 0.00 0.00 0.00 75th Percentile 30.76 16.31 0.00 31.92 0.00 0.00 0.00 0.00 90th Percentile 26.66 9.00 0.00 25.20 0.00 0.00 0.00 0.00 LifePath Index 2025 Fund L - Target 33.31 19.39 2.57 43.40 - - - 1.33 Callan Tgt Dt Idx 2025 34.06 17.30 2.02 38.62 3.98 1.41 1.70 0.90

Oregon Savings Growth Plan 27 LifePath Index 2030 Fund L Period Ended March 31, 2020

Investment Philosophy LifePath Index 2030 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2030 may be willing to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.

Quarterly Summary and Highlights LifePath Index 2030 Fund L’s portfolio posted a (14.36)% return for the quarter placing it in the 40 percentile of the Callan Target Date 2030 group for the quarter and in the 38 percentile for the last year. LifePath Index 2030 Fund L’s portfolio outperformed the LifePath Index 2030 CB by 0.05% for the quarter and outperformed the LifePath Index 2030 CB for the year by 0.08%.

Performance vs Callan Target Date 2030 (Institutional Net)

15%

10%

(79) (74) (39) 5% (83) (80) (51) (45) (38) (59) (51) 0%

(5%) (39) (38)

(10%)

(43) (40) (15%)

(20%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Last 14-3/4 Year Years 10th Percentile (11.61) (4.05) 3.80 3.99 6.12 7.32 6.23 25th Percentile (13.41) (4.80) 2.92 3.65 5.70 6.86 5.93 Median (14.76) (6.02) 2.45 3.25 5.23 6.58 5.20 75th Percentile (15.59) (7.17) 2.00 2.86 4.70 5.96 4.78 90th Percentile (16.57) (8.04) 1.46 2.43 4.00 5.34 4.66 LifePath Index 2030 Fund L (14.36) (5.54) 2.67 3.22 4.66 5.97 5.35 LifePath Index 2030 CB (14.41) (5.63) 2.59 3.14 4.59 5.90 5.20

Callan Target Date 2030 (Institutional Net) Relative Return vs LifePath Index 2030 CB Annualized Five Year Risk vs Return

0.25% 6.0%

0.20% 5.5%

0.15% 5.0% 4.5% 0.10% 4.0% 0.05% LifePath Index 2030 Fund L 3.5% 0.00% LifePath Index 2030 CB Returns 3.0% (0.05%)

Relative Returns 2.5%

(0.10%) 2.0%

(0.15%) 1.5%

(0.20%) 1.0% 2015 2016 2017 2018 2019 20 7 8 9 10 11 12 13 Standard Deviation LifePath Index 2030 Fund L

Oregon Savings Growth Plan 28 LifePath Index 2030 Fund L Target Date Fund Asset Allocation as of March 31, 2020

Macro-Level Asset Allocation 60%

50%

40.3 40% 39.2

31.3 30% 29.7 25.2 21.0 20%

10% 3.2 3.4 1.1 2.2 0.9 1.5 1.0 0% LifePath Index 2030 Fund L - Target Callan Tgt Dt Idx 2030 Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets

Micro-Level Asset Allocation 50%

40% 36.6 32.4 30% 27.3

20.2 20% 18.9 16.1

10% 6.2 7.8 6.4 4.6 4.9 2.7 3.2 4.0 3.1 1.1 1.4 0.8 0.9 1.0 0.3 0.1 0% LifePath Index 2030 Fund L - Target Callan Tgt Dt Idx 2030 Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed

Macro Asset Allocation Rankings vs. Callan Target Date 2030

60% 50% 40% (57) (66) 30% (56) (45) (32) 20% (64)

% Weight 10% (29) (29) 0% (33) (15) (6) (23) (23) (10%) Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ Real Eq Equity Estate Fixed Inc Value/Cash GTAA Assets 10th Percentile 48.88 30.14 4.19 36.14 9.40 4.39 0.00 3.67 25th Percentile 45.38 25.36 3.20 33.93 4.00 0.00 0.00 0.54 Median 40.95 22.65 1.00 30.66 0.73 0.00 0.00 0.00 75th Percentile 37.78 20.25 0.00 25.56 0.00 0.00 0.00 0.00 90th Percentile 31.08 13.81 0.00 16.16 0.00 0.00 0.00 0.00 LifePath Index 2030 Fund L - Target 39.24 25.17 3.20 31.31 - - - 1.09 Callan Tgt Dt Idx 2030 40.30 21.04 2.15 29.72 3.40 0.91 1.50 0.98

Oregon Savings Growth Plan 29 LifePath Index 2035 Fund L Period Ended March 31, 2020

Investment Philosophy LifePath Index 2035 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2035 may be willing to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.

Quarterly Summary and Highlights LifePath Index 2035 Fund L’s portfolio posted a (17.12)% return for the quarter placing it in the 52 percentile of the Callan Target Date 2035 group for the quarter and in the 45 percentile for the last year. LifePath Index 2035 Fund L’s portfolio outperformed the LifePath Index 2035 CB by 0.04% for the quarter and outperformed the LifePath Index 2035 CB for the year by 0.09%.

Performance vs Callan Target Date 2035 (Institutional Net)

15%

10%

(84) (82) 5% (83) (80) (62) (51) (50) (43) 0%

(5%) (45) (45) (10%)

(15%) (52) (52) (20%)

(25%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (13.52) (5.36) 3.20 4.00 6.24 7.45 25th Percentile (15.62) (6.96) 2.52 3.52 5.79 7.03 Median (17.09) (8.20) 2.11 3.14 5.34 6.65 75th Percentile (18.20) (9.23) 1.51 2.70 4.85 6.27 90th Percentile (18.92) (10.09) 1.05 2.34 4.54 5.73 LifePath Index 2035 Fund L (17.12) (7.91) 2.23 3.10 4.75 6.10 LifePath Index 2035 CB (17.16) (7.99) 2.12 2.99 4.66 6.02

Callan Target Date 2035 (Institutional Net) Relative Return vs LifePath Index 2035 CB Annualized Five Year Risk vs Return

0.30% 5.5%

5.0% 0.20% 4.5%

0.10% 4.0%

3.5% LifePath Index 2035 Fund L 0.00% 3.0% LifePath Index 2035 CB Returns (0.10%) 2.5% Relative Returns 2.0% (0.20%) 1.5%

(0.30%) 1.0% 2015 2016 2017 2018 2019 20 8 9 10 11 12 13 14 15 Standard Deviation LifePath Index 2035 Fund L

Oregon Savings Growth Plan 30 LifePath Index 2035 Fund L Target Date Fund Asset Allocation as of March 31, 2020

Macro-Level Asset Allocation 70%

60%

50% 44.7 46.2 40% 30.6 30% 24.7 20.1 21.0 20%

10% 3.8 0.8 2.3 2.7 0.7 1.3 1.0 0% LifePath Index 2035 Fund L - Target Callan Tgt Dt Idx 2035 Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets

Micro-Level Asset Allocation 60%

50% 42.3 40% 37.0

30% 23.0 20% 17.2 18.8 14.8 10% 7.6 9.0 5.5 4.5 2.4 3.8 2.9 4.0 0.8 1.4 0.9 1.7 0.7 1.0 0.4 0.2 0% LifePath Index 2035 Fund L - Target Callan Tgt Dt Idx 2035 Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed

Macro Asset Allocation Rankings vs. Callan Target Date 2035

70% 60% 50% (55) (68) 40% 30% (25) (70) 20% (57) (59) % Weight 10% (29) 0% (46) (24) (19) (4) (18) (23) (10%) Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ Real Eq Equity Estate Fixed Inc Value/Cash GTAA Assets 10th Percentile 55.17 33.36 4.52 26.41 5.78 2.60 0.00 3.91 25th Percentile 51.45 29.92 3.79 25.05 2.20 0.00 0.00 0.62 Median 46.47 25.99 1.78 21.80 0.72 0.00 0.00 0.00 75th Percentile 44.12 22.85 0.00 14.96 0.00 0.00 0.00 0.00 90th Percentile 39.11 16.38 0.00 11.00 0.00 0.00 0.00 0.00 LifePath Index 2035 Fund L - Target 44.73 30.58 3.77 20.13 - - - 0.80 Callan Tgt Dt Idx 2035 46.23 24.68 2.32 21.04 2.68 0.74 1.31 1.00

Oregon Savings Growth Plan 31 LifePath Index 2040 Fund L Period Ended March 31, 2020

Investment Philosophy LifePath Index 2040 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2040 may be willing to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.

Quarterly Summary and Highlights LifePath Index 2040 Fund L’s portfolio posted a (19.62)% return for the quarter placing it in the 70 percentile of the Callan Target Date 2040 group for the quarter and in the 61 percentile for the last year. LifePath Index 2040 Fund L’s portfolio outperformed the LifePath Index 2040 CB by 0.03% for the quarter and outperformed the LifePath Index 2040 CB for the year by 0.07%.

Performance vs Callan Target Date 2040 (Institutional Net)

15%

10%

(77) (76) 5% (79) (77) (64) (55) (51) (47) 0%

(5%)

(10%) (64) (61)

(15%)

(20%) (70) (70)

(25%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (15.04) (6.75) 2.92 3.89 6.41 7.55 25th Percentile (17.31) (8.44) 2.29 3.43 5.85 7.18 Median (18.84) (9.75) 1.68 2.97 5.39 6.71 75th Percentile (19.76) (10.74) 1.07 2.51 4.90 6.22 90th Percentile (20.57) (11.48) 0.57 1.99 3.99 5.63 LifePath Index 2040 Fund L (19.62) (10.09) 1.76 2.92 4.79 6.18 LifePath Index 2040 CB (19.65) (10.16) 1.66 2.81 4.69 6.10

Callan Target Date 2040 (Institutional Net) Relative Return vs LifePath Index 2040 CB Annualized Five Year Risk vs Return

0.30% 7%

0.20% 6%

0.10% 5%

0.00% 4%

Returns LifePath Index 2040 CB (0.10%) 3% LifePath Index 2040 Fund L Relative Returns

(0.20%) 2%

(0.30%) 1% 2015 2016 2017 2018 2019 20 9 10 11 12 13 14 15 16 Standard Deviation LifePath Index 2040 Fund L

Oregon Savings Growth Plan 32 LifePath Index 2040 Fund L Target Date Fund Asset Allocation as of March 31, 2020

Macro-Level Asset Allocation 70%

60% 50.7 50% 49.5

40% 35.4 30% 27.8

20% 14.4 10.4 10% 4.3 2.5 0.5 2.1 0.6 1.1 1.0 0% LifePath Index 2040 Fund L - Target Callan Tgt Dt Idx 2040 Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets

Micro-Level Asset Allocation 70%

60%

50% 47.4 40.5 40%

30% 26.6 21.0 20%

8.8 8.6 10.0 10.4 10% 6.3 4.3 3.1 3.3 2.2 1.8 0.5 1.5 1.0 0.7 0.6 1.0 0.5 0.2 0% LifePath Index 2040 Fund L - Target Callan Tgt Dt Idx 2040 Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed

Macro Asset Allocation Rankings vs. Callan Target Date 2040

70% 60% 50% (42) (61) 40% (20) 30% (57) 20%

% Weight (55) 10% (70) (25) 0% (44) (24) (16) (6) (22) (28) (10%) Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ Real Eq Equity Estate Fixed Inc Value/Cash GTAA Assets 10th Percentile 58.52 36.00 5.05 19.64 3.97 1.37 0.00 4.30 25th Percentile 55.00 33.52 4.28 19.20 1.97 0.00 0.00 0.75 Median 50.43 28.42 2.00 14.80 0.70 0.00 0.00 0.00 75th Percentile 47.78 24.80 0.00 10.18 0.00 0.00 0.00 0.00 90th Percentile 44.16 18.90 0.00 7.08 0.00 0.00 0.00 0.00 LifePath Index 2040 Fund L - Target 49.52 35.36 4.28 10.35 - - - 0.48 Callan Tgt Dt Idx 2040 50.68 27.76 2.45 14.40 2.05 0.58 1.07 1.01

Oregon Savings Growth Plan 33 LifePath Index 2045 Fund L Period Ended March 31, 2020

Investment Philosophy LifePath Index 2045 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2045 may be willing to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.

Quarterly Summary and Highlights LifePath Index 2045 Fund L’s portfolio posted a (21.30)% return for the quarter placing it in the 81 percentile of the Callan Target Date 2045 group for the quarter and in the 70 percentile for the last year. LifePath Index 2045 Fund L’s portfolio outperformed the LifePath Index 2045 CB by 0.04% for the quarter and outperformed the LifePath Index 2045 CB for the year by 0.11%.

Performance vs Callan Target Date 2045 (Institutional Net)

15%

10%

(85) (77) 5% (87) (80) (64) (58) (57) (53) 0%

(5%)

(10%) (73) (70) (15%)

(20%) (84) (81)

(25%)

(30%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (17.08) (8.28) 2.57 3.76 6.30 7.47 25th Percentile (18.89) (9.54) 2.00 3.33 5.78 7.15 Median (20.14) (10.71) 1.45 2.90 5.33 6.73 75th Percentile (20.98) (11.80) 0.86 2.44 4.93 6.36 90th Percentile (21.62) (12.60) 0.36 1.90 4.48 5.88 LifePath Index 2045 Fund L (21.30) (11.61) 1.40 2.76 4.84 6.27 LifePath Index 2045 CB (21.34) (11.72) 1.26 2.62 4.72 6.17

Callan Target Date 2045 (Institutional Net) Relative Return vs LifePath Index 2045 CB Annualized Five Year Risk vs Return

0.40% 5.5%

5.0% 0.30% 4.5%

0.20% 4.0%

3.5% 0.10% 3.0% 0.00% LifePath Index 2045 Fund L Returns 2.5% LifePath Index 2045 CB Relative Returns (0.10%) 2.0% 1.5% (0.20%) 1.0%

(0.30%) 0.5% 2015 2016 2017 2018 2019 20 11 12 13 14 15 16 Standard Deviation LifePath Index 2045 Fund L

Oregon Savings Growth Plan 34 LifePath Index 2045 Fund L Target Date Fund Asset Allocation as of March 31, 2020

Macro-Level Asset Allocation 70%

60% 52.7 53.5 50%

40% 38.5

29.9 30%

20% 10.1 10% 4.6 4.0 2.5 0.2 1.5 0.4 1.0 1.0 0% LifePath Index 2045 Fund L - Target Callan Tgt Dt Idx 2045 Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets

Micro-Level Asset Allocation 70%

60% 50.6 50% 42.7 40%

30% 29.0 22.4 20% 9.6 10.6 10% 6.9 7.2 4.6 3.2 2.5 2.5 2.0 0.8 0.2 1.5 1.0 0.4 0.4 1.0 0.5 0.2 0% LifePath Index 2045 Fund L - Target Callan Tgt Dt Idx 2045 Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed

Macro Asset Allocation Rankings vs. Callan Target Date 2045

70% 60% (52) 50% (57) 40% (10) 30% (53) 20% % Weight 10% (39) (27) (94) 0% (37) (23) (16) (6) (20) (26) (10%) Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ Real Eq Equity Estate Fixed Inc Value/Cash GTAA Assets 10th Percentile 60.79 38.53 5.45 16.68 2.92 1.00 0.00 4.16 25th Percentile 58.53 36.09 4.62 13.01 1.14 0.00 0.00 0.21 Median 53.66 30.23 2.25 9.16 0.00 0.00 0.00 0.00 75th Percentile 50.50 27.96 0.00 7.24 0.00 0.00 0.00 0.00 90th Percentile 49.15 20.62 0.00 4.48 0.00 0.00 0.00 0.00 LifePath Index 2045 Fund L - Target 52.66 38.53 4.62 3.98 - - - 0.21 Callan Tgt Dt Idx 2045 53.53 29.90 2.51 10.12 1.52 0.44 0.96 1.02

Oregon Savings Growth Plan 35 LifePath Index 2050 Fund L Period Ended March 31, 2020

Investment Philosophy LifePath Index 2050 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2050 may be willing to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.

Quarterly Summary and Highlights LifePath Index 2050 Fund L’s portfolio posted a (22.06)% return for the quarter placing it in the 89 percentile of the Callan Target Date 2050 group for the quarter and in the 79 percentile for the last year. LifePath Index 2050 Fund L’s portfolio outperformed the LifePath Index 2050 CB by 0.03% for the quarter and outperformed the LifePath Index 2050 CB for the year by 0.09%.

Performance vs Callan Target Date 2050 (Institutional Net)

15%

10% (74) (69) 5% (82) (78) (48) (63) (57) (70) (57) (54) 0%

(5%)

(10%) (79) (79) (15%)

(20%) (89) (89) (25%)

(30%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Last 12-1/2 Year Years 10th Percentile (17.58) (8.50) 2.56 3.76 6.35 7.47 4.86 25th Percentile (19.25) (10.17) 1.87 3.30 5.78 7.13 4.42 Median (20.41) (11.10) 1.34 2.85 5.34 6.81 3.96 75th Percentile (21.26) (12.01) 0.63 2.35 4.96 6.23 3.30 90th Percentile (22.11) (13.12) 0.09 1.88 3.74 5.53 2.83 LifePath Index 2050 Fund L (22.06) (12.30) 1.21 2.66 4.87 6.37 4.04 LifePath Index 2050 CB (22.09) (12.40) 1.08 2.53 4.77 6.26 3.38

Callan Target Date 2050 (Institutional Net) Relative Return vs LifePath Index 2050 CB Annualized Five Year Risk vs Return

0.40% 5.5%

5.0% 0.30% 4.5%

0.20% 4.0%

3.5% 0.10% 3.0% 0.00% LifePath Index 2050 Fund L Returns 2.5% LifePath Index 2050 CB Relative Returns (0.10%) 2.0% 1.5% (0.20%) 1.0%

(0.30%) 0.5% 2015 2016 2017 2018 2019 20 9 10 11 12 13 14 15 16 Standard Deviation LifePath Index 2050 Fund L

Oregon Savings Growth Plan 36 LifePath Index 2050 Fund L Target Date Fund Asset Allocation as of March 31, 2020

Macro-Level Asset Allocation 80%

70%

60% 54.0 54.7 50% 39.9 40% 30.9 30%

20%

10% 8.3 4.8 2.5 1.3 0.1 1.4 0.3 0.9 1.0 0% LifePath Index 2050 Fund L - Target Callan Tgt Dt Idx 2050 Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets

Micro-Level Asset Allocation 70%

60% 52.0 50% 43.6 40% 30.0 30% 23.2 20% 9.9 10.9 10% 7.2 4.8 5.8 2.0 1.1 0.2 0.1 1.5 1.1 0.3 0.3 1.0 0.5 0.2 2.3 2.1 0% LifePath Index 2050 Fund L - Target Callan Tgt Dt Idx 2050 Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed

Macro Asset Allocation Rankings vs. Callan Target Date 2050

70% 60% (48) (63) 50% 40% (7) 30% (52) 20% % Weight 10% (47) (24) 0% (36) (98)(23) (8) (8) (22) (28) (10%) Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ Real Eq Equity Estate Fixed Inc Value/Cash GTAA Assets 10th Percentile 62.43 38.50 5.45 14.14 3.00 0.00 0.00 4.50 25th Percentile 59.70 36.22 4.77 11.16 1.15 0.00 0.00 0.85 Median 54.02 31.00 2.00 8.05 0.00 0.00 0.00 0.00 75th Percentile 50.50 27.45 0.00 6.38 0.00 0.00 0.00 0.00 90th Percentile 49.10 22.14 0.00 3.15 0.00 0.00 0.00 0.00 LifePath Index 2050 Fund L - Target 53.96 39.90 4.77 1.30 - - - 0.06 Callan Tgt Dt Idx 2050 54.68 30.92 2.55 8.26 1.36 0.32 0.90 1.02

Oregon Savings Growth Plan 37 LifePath Index 2055 Fund L Period Ended March 31, 2020

Investment Philosophy LifePath Index 2055 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2055 may be willing to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.

Quarterly Summary and Highlights LifePath Index 2055 Fund L’s portfolio posted a (22.12)% return for the quarter placing it in the 82 percentile of the Callan Target Date 2055 group for the quarter and in the 76 percentile for the last year. LifePath Index 2055 Fund L’s portfolio outperformed the LifePath Index 2055 CB by 0.26% for the quarter and outperformed the LifePath Index 2055 CB for the year by 0.33%.

Performance vs Callan Target Date 2055 (Institutional Net)

15%

10% (38) 5% (81) (76) (67) (60) (59) (50) 0%

(5%)

(10%) (82) (76) (15%)

(20%) (93) (82) (25%)

(30%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (18.12) (8.80) 2.58 3.77 6.36 7.87 25th Percentile (19.88) (10.36) 1.85 3.30 5.86 7.45 Median (20.60) (11.40) 1.19 2.81 5.45 6.91 75th Percentile (21.78) (12.33) 0.71 2.34 4.99 6.23 90th Percentile (22.27) (13.36) 0.01 1.95 4.48 5.78 LifePath Index 2055 Fund L (22.12) (12.36) 1.18 2.64 4.96 7.05 LifePath Index 2055 CB (22.38) (12.69) 0.97 2.46 4.81 -

Callan Target Date 2055 (Institutional Net) Relative Return vs LifePath Index 2055 CB Annualized Five Year Risk vs Return

0.40% 5.5%

5.0% 0.30% 4.5%

0.20% 4.0%

3.5% 0.10% 3.0% 0.00% LifePath Index 2055 Fund L Returns 2.5%

Relative Returns (0.10%) 2.0% LifePath Index 2055 CB 1.5% (0.20%) 1.0%

(0.30%) 0.5% 2015 2016 2017 2018 2019 20 12 13 14 15 16 17 Standard Deviation LifePath Index 2055 Fund L

Oregon Savings Growth Plan 38 LifePath Index 2055 Fund L Target Date Fund Asset Allocation as of March 31, 2020

Macro-Level Asset Allocation 80%

70%

60% 54.1 55.1 50% 40.1 40% 31.4 30%

20%

10% 7.4 4.8 2.6 1.0 1.3 0.3 0.9 1.0 0% LifePath Index 2055 Fund L - Target Callan Tgt Dt Idx 2055 Domestic Broad Eq Intl Equity Real Estate Domestic Fixed Intl Fixed-Inc Stable Value/Cash Absolute Return/GTAA Real Assets

Micro-Level Asset Allocation 70%

60% 52.0 50% 43.9 40% 30.2 30% 23.5 20% 9.9 11.0 10% 7.3 4.8 5.2 2.0 0.9 0.1 1.5 1.1 0.3 0.3 1.0 0.5 0.2 2.2 2.0 0% LifePath Index 2055 Fund L - Target Callan Tgt Dt Idx 2055 Large Cap Broad Eq Small/Mid Cap Broad Non-US Developed Emerging Markets Other-Real Estate Global REITS Core Bond TIPS Cash Equiv Commodities Intl Equity Domestic Broad Eq Other Other-Dom Fixed

Macro Asset Allocation Rankings vs. Callan Target Date 2055

70% 60% (49) (55) 50% 40% (8) 30% (53) 20% % Weight 10% (27)(54) 0% (36) (100)(21) (9) (6) (20) (26) (10%) Domestic Broad Intl Real Domestic Intl Fixed- Stable Absolute Return/ Real Eq Equity Estate Fixed Inc Value/Cash GTAA Assets 10th Percentile 62.43 39.34 5.45 11.20 2.92 0.18 0.00 4.36 25th Percentile 59.85 36.33 4.79 9.50 1.00 0.00 0.00 0.04 Median 55.14 32.54 2.49 7.80 0.00 0.00 0.00 0.00 75th Percentile 51.53 28.17 0.00 5.60 0.00 0.00 0.00 0.00 90th Percentile 49.15 22.82 0.00 2.02 0.00 0.00 0.00 0.00 LifePath Index 2055 Fund L - Target 54.07 40.11 4.79 1.00 - - - 0.04 Callan Tgt Dt Idx 2055 55.15 31.37 2.56 7.42 1.29 0.32 0.87 1.02

Oregon Savings Growth Plan 39 LifePath Index 2060 Fund L Period Ended March 31, 2020

Investment Philosophy LifePath Index 2060 Portfolio seeks to maximize return consistent with the quantitatively measured risk that investors planning to retire (or begin to withdraw substantial portions of their investment) approximately in the year 2060 may be willing to accept. BlackRock LifePath Funds changed from Q class to L class on 10/26/17.

Quarterly Summary and Highlights LifePath Index 2060 Fund L’s portfolio posted a (22.12)% return for the quarter placing it in the 80 percentile of the Callan Target Date 2060 group for the quarter and in the 76 percentile for the last year. LifePath Index 2060 Fund L’s portfolio outperformed the LifePath Index 2060 CB by 0.26% for the quarter and outperformed the LifePath Index 2060 CB for the year by 0.32%.

Performance vs Callan Target Date 2060 (Institutional Net)

10%

5% (72) (70) (75) (71) (62) (54) 0%

(5%)

(10%) (79) (76) (15%)

(20%) (88) (80) (25%)

(30%) Last Quarter Last Year Last 3 Years Last 5 Years Last 5-1/4 Years 10th Percentile (18.14) (8.65) 2.69 3.91 4.19 25th Percentile (19.86) (10.19) 1.95 3.49 3.90 Median (20.64) (11.35) 1.32 3.16 3.52 75th Percentile (21.58) (12.27) 0.60 2.28 2.82 90th Percentile (22.52) (13.73) (0.19) 1.86 2.23 LifePath Index 2060 Fund L (22.12) (12.37) 1.16 2.64 3.01 LifePath Index 2060 CB (22.38) (12.69) 0.97 2.49 2.81

Callan Target Date 2060 (Institutional Net) Relative Return vs LifePath Index 2060 CB Annualized Five Year Risk vs Return

0.40% 6%

0.30% 5%

4% 0.20% LifePath Index 2060 CB 3% 0.10% LifePath Index 2060 Fund L 2% 0.00% 1% Returns (0.10%) 0% Relative Returns (0.20%) (1%)

(0.30%) (2%)

(0.40%) (3%) 2015 2016 2017 2018 2019 20 12 13 14 15 16 17 Standard Deviation LifePath Index 2060 Fund L

Oregon Savings Growth Plan 40 Stable Value Option Stable Value Option Stable Value Stable Value Option Period Ended March 31, 2020

Quarterly Summary and Highlights Stable Value Option’s portfolio posted a 0.62% return for the quarter placing it in the 1 percentile of the Callan Stable Value CT group for the quarter and in the 1 percentile for the last year. Stable Value Option’s portfolio outperformed the 3-month Treasury Bill by 0.04% for the quarter and outperformed the 3-month Treasury Bill for the year by 0.32%.

Performance vs Callan Stable Value CT (Institutional Net) 3.0%

(1) 2.5%

(22) (8) (13) 2.0% (19) (35) (56)

1.5%

(96) 1.0% (99)

(99) (5) (1) 0.5%

0.0% Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile 0.57 2.39 2.24 2.08 2.02 2.36 25th Percentile 0.53 2.24 2.02 1.86 1.82 2.09 Median 0.49 2.11 1.88 1.68 1.57 1.71 75th Percentile 0.45 1.94 1.72 1.57 1.40 1.47 90th Percentile 0.41 1.81 1.55 1.30 1.13 1.37 Stable Value Option 0.62 2.58 2.30 2.07 1.91 1.90 3-month Treasury Bill 0.57 2.25 1.83 1.19 0.86 0.64

Callan Stable Value CT (Institutional Net) Relative Return vs 3-month Treasury Bill Annualized Five Year Risk vs Return

0.50% 2.4%

2.2% 0.40% Stable Value Option 2.0% 0.30%

1.8% 0.20% 1.6% Returns 0.10%

Relative Returns 1.4%

0.00% 1.2% 3-month Treasury Bill

(0.10%) 1.0% 2015 2016 2017 2018 2019 20 0.00 0.10 0.20 0.30 0.40 0.50 Standard Deviation Stable Value Option

Oregon Savings Growth Plan 42 Stable Value Option Return Analysis Summary

Return Analysis The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark.

Risk Adjusted Return Measures vs 3-month Treasury Bill Five Years Ended March 31, 2020 Tracking Standard Sharpe Excess Downside Alpha Beta Error Deviation Ratio Return Risk Stable Value Option 0.87% 0.00 0.29 0.18% 5.00 0.88 0.00%

Performance vs Callan Stable Value CT (Institutional Net)

3.0%

2.5% (1) (18) (11) 2.0% (47) (13) (12) (16) 1.5% (28)

1.0% (100) (5) (1) 0.5% (98) 0.0% (94) (94) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile 0.57 2.41 2.28 1.91 1.85 1.93 1.87 25th Percentile 0.53 2.25 2.05 1.75 1.54 1.59 1.50 Median 0.49 2.12 1.78 1.54 1.34 1.37 1.27 75th Percentile 0.45 1.95 1.67 1.39 1.26 1.04 0.92 90th Percentile 0.41 1.82 1.43 1.17 1.14 0.54 0.52 Stable Value Option 0.62 2.57 2.24 1.89 1.77 1.65 1.44 3-month Treasury Bill 0.57 2.28 1.87 0.86 0.33 0.05 0.03

Cumulative and Quarterly Relative Return vs 3-month Treasury Bill

Relative Returns 1%

(1%) 2015 2016 2017 2018 2019 2020

Stable Value Option Callan Stable Value CT

Oregon Savings Growth Plan 43 Stable Value Option Stable Value Characteristics Analysis Summary

Portfolio Characteristics This graph compares the stable value fund’s portfolio characteristics with the range of characteristics for the portfolios which make up the fund’s style group. This analysis illustrates whether the fund’s current structure is consistent with other funds employing the same style.

Portfolio Characteristics Percentile Rankings Rankings Against Callan Stable Value CT as of March 31, 2020

0% 10% (16) 20% (19) (27) 30% (30) (37) 40% 50% (54) 60% 70% 80%

Percentile Ranking 90% 100% (100)

Market/Book Crediting Yield on Wrap Sub-Advisory Duration Ratio Rate Underlying Assets Fees Fees 10th Percentile 2.91 102.63 2.57 2.68 0.21 0.11 25th Percentile 2.80 102.26 2.46 2.40 0.17 0.03 Median 2.62 101.86 2.41 1.89 0.16 0.00 75th Percentile 2.49 101.07 2.32 1.75 0.14 0.00 90th Percentile 2.37 100.61 2.24 1.62 0.12 0.00 Stable Value Option 2.70 102.15 2.49 1.87 0.16 0.08 3-month Treasury Bill 0.16 - - - - -

Wrap Structure and Diversification The graph below represents the stable value fund’s wrap contract structure as of the most recent reporting period. The fund’s overall wrap structure may include exposure to constant duration or maturing synthetic GIC contracts, traditional GIC contracts, cash, or other exposures. These contracts allow stable value portfolios to maintain book value accounting practices and a stable net asset value.

Portfolio Wrap Exposure Wrap Contract Diversification March 31, 2020 March 31, 2020 14

Const Dur Synthetic 12 (14) 87.58% 10

0 Number of Cash Wrap Providers Stable Value Pooled 6.21% 0.35% Separate Account GIC 10th Percentile 12.6 5.86% 25th Percentile 9.0 Median 9.0 75th Percentile 5.5 90th Percentile 1.4 Stable Value Option 12.0

Oregon Savings Growth Plan 44 Stable Value Option Stable Value Portfolio Characteristics Summary As of March 31, 2020

Portfolio Structure Comparison The charts below compare the structure of the portfolio to that of the index from two perspectives that have the greatest influence on return. The first chart compares the portfolio’s duration distribution versus the benchmark, and the second chart compares the distributions across quality ratings.

Duration Distribution Weighted Average: Duration 120% Stable Value Option: 2.70 100.0 100% 3-month Treasury Bill: 0.16

80%

60%

40% 32.1 35.1 20.5 20% 7.4 Percent of Portfolio 4.1 0.8 0% <1 1-3 3-5 5-7 7-10 >10 Years Duration

Quality Distribution Weighted Average: Quality 120% Stable Value Option: AA 100.0 100% 3-month Treasury Bill: AAA

80% 66.7 60%

40% 16.3 20% 10.8

Percent of Portfolio 5.6 0.4 0.1 0% AAA AA A BBB BB B CCC CC C D Quality Rating Market-to-Book Ratio and Crediting Rates Over Time The market-to-book ratio chart below depicts the historical movement of the stable value portfolio’s market-to-book ratio over time. This statistic measures the overall health of the underlying portfolio. Portfolios with market-to-book ratios closer to 100% will be better positioned to absorb flows and should offer greater return stability over time. The crediting rate chart below depicts the historical movement of the stable value portfolio’s crediting rate over time. As a backdrop the range (from 10th to 90th percentile) is shown along with a white median line for the Callan Stable Value CT Universe.

Market-to-Book Ratio 104% Stable Value Option 103% 102.15% 102% 101.86% 101% 100% 99% Percent 98% 97% 96% 2015 2016 2017 2018 2019 2020 Crediting Rate 3.50% Stable Value Option 3.00% 2.49% 2.50% 2.41% 2.00%

Percent 1.50% 1.00% 0.50% 2015 2016 2017 2018 2019 2020

Oregon Savings Growth Plan 45 Active Fixed Income Option Active Fixed Income Option Active Fixed Income Option Period Ended March 31, 2020

Quarterly Summary and Highlights Active Fixed Income Option’s portfolio posted a 0.73% return for the quarter placing it in the 23 percentile of the Callan Core Plus Mutual Funds group for the quarter and in the 27 percentile for the last year. Active Fixed Income Option’s portfolio underperformed the Bloomberg Aggregate Index by 2.42% for the quarter and underperformed the Bloomberg Aggregate Index for the year by 2.77%.

Performance vs Callan Core Plus Mutual Funds (Institutional Net) 12%

10% (4) 8%

6% (27) (3) (25) (44) 4% (76) (6) (21) (24) (41) (40) 2% (23) 0%

(2%)

(4%)

(6%)

(8%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile 2.29 7.86 4.50 3.60 3.59 5.03 25th Percentile 0.42 6.26 4.29 3.31 3.34 4.72 Median (0.57) 5.30 3.80 3.09 3.01 4.20 75th Percentile (2.27) 3.81 3.32 2.76 2.73 3.91 90th Percentile (4.67) 0.44 2.07 1.94 2.32 3.64 Active Fixed Income Option 0.73 6.16 4.30 3.32 3.22 4.23 Bloomberg Aggregate Index 3.15 8.93 4.82 3.36 3.19 3.88

Relative Returns vs Callan Core Plus Mutual Funds (Institutional Net) Bloomberg Aggregate Index Annualized Five Year Risk vs Return

1.5% 5.5%

1.0% 5.0%

0.5% 4.5% 4.0% 0.0% 3.5% (0.5%) Bloomberg Aggregate Index 3.0% Active Fixed Income Option (1.0%) Returns 2.5% (1.5%)

Relative Returns 2.0%

(2.0%) 1.5%

(2.5%) 1.0%

(3.0%) 0.5% 2015 2016 2017 2018 2019 20 2 3 4 5 6 7 8 Standard Deviation Active Fixed Income Option

Oregon Savings Growth Plan 47 Active Fixed Income Option Return Analysis Summary

Performance vs Callan Core Plus Mutual Funds (Institutional Net)

15% 10% (81) (87) (43) (33) 5% (56) (6) (78) (90) (58) 0% (23) (12) (7) (14) (9) (5%) (10%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile 2.29 11.02 0.17 6.88 8.11 0.73 7.18 25th Percentile 0.42 10.22 (0.29) 5.32 4.68 0.38 6.35 Median (0.57) 9.50 (0.68) 4.70 3.70 0.02 5.88 75th Percentile (2.27) 9.00 (1.15) 3.83 3.14 (0.79) 5.44 90th Percentile (4.67) 8.18 (2.07) 3.14 2.62 (2.62) 4.64 Active Fixed Income Option 0.73 8.43 0.50 4.47 3.48 0.82 6.13 Bloomberg Aggregate Index 3.15 8.72 0.01 3.54 2.65 0.55 5.97

Cumulative and Quarterly Relative Return vs Bloomberg Aggregate Index

4% 3% 2% 1% 0% (1%) (2%)

Relative Returns (3%) (4%) (5%) 2015 2016 2017 2018 2019 2020

Active Fixed Income Option Callan Core Plus MFs

Risk Adjusted Return Measures vs Bloomberg Aggregate Index Rankings Against Callan Core Plus Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

1.0 0.8 (5) 0.6 (12) 0.4 0.2 0.0 (25) (0.2) (0.4) (0.6) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 0.64 0.69 0.13 25th Percentile 0.30 0.65 (0.03) Median 0.12 0.55 (0.16) 75th Percentile (0.13) 0.45 (0.28) 90th Percentile (0.36) 0.19 (0.37) Active Fixed Income Option 0.47 0.77 (0.03)

Oregon Savings Growth Plan 48 Active Fixed Income Option Risk Analysis Summary

Risk Analysis The graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows tracking error patterns versus the benchmark over time. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs Callan Core Plus Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

2.0 1.5 1.0 0.5 0.0 Active Fixed Income Option (0.5 ) (1.0 )

Excess Return (1.5 ) (2.0 ) (2.5 ) (3.0 ) 0 1 2 3 4 5 6 7 8 9 Tracking Error

Rolling 12 Quarter Tracking Error vs Bloomberg Aggregate Index

3.0% Active Fixed Income Option 2.5% Callan Core Plus MFs

2.0%

1.5%

1.0% Tracking Error 0.5%

0.0% 2015 2016 2017 2018 2019 2020

Risk Statistics Rankings vs Bloomberg Aggregate Index Rankings Against Callan Core Plus Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

5.0% 1.00 4.5% 0.90 (11) 4.0% 0.80 (73) 3.5% 0.70 3.0% (97) 0.60 2.5% 0.50 2.0% 1.5% 0.40 (90) 1.0% (83) 0.30 0.5% 0.20 0.0% 0.10 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 4.16 3.64 3.73 10th Percentile 0.88 0.88 25th Percentile 3.85 2.52 2.86 25th Percentile 0.86 0.79 Median 3.41 1.90 2.13 Median 0.82 0.61 75th Percentile 3.24 1.32 1.52 75th Percentile 0.76 0.46 90th Percentile 3.07 0.65 1.30 90th Percentile 0.58 0.23 Active Fixed Active Fixed Income Option 2.79 1.12 1.27 Income Option 0.76 0.86

Oregon Savings Growth Plan 49 Active Fixed Income Option Bond Characteristics Analysis Summary

Portfolio Characteristics This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other managers employing the same style.

Fixed Income Portfolio Characteristics Rankings Against Callan Core Plus Mutual Funds as of March 31, 2020

12 10 8 (52) (76) 6 (59) (81) 4 (95) (84) (79) 2 (99) 0 (30) (68) (2) (4) Average Effective Coupon OA Duration Life Yield Rate Convexity 10th Percentile 6.73 10.46 4.60 4.58 0.92 25th Percentile 6.42 8.68 4.02 3.97 0.50 Median 5.77 7.93 3.49 3.60 0.29 75th Percentile 5.38 7.35 3.15 3.45 0.09 90th Percentile 4.41 5.81 2.87 3.05 (1.07) Active Fixed Income Option 5.04 7.25 2.70 3.22 0.13 Bloomberg Aggregate Index 5.69 7.77 1.59 3.11 0.41

Sector Allocation and Quality Ratings The first graph compares the manager’s sector allocation with the average allocation across all the members of the manager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratings for the style.

Sector Allocation Quality Ratings March 31, 2020 vs Callan Core Plus Mutual Funds

37.0 Trsy

RMBS 21.3 50% 26.6 Mgr MV 21.9 AAA US Trsy 14.3 40.9 17.2 AA+ 47.8 Corp (incl 144A) 50%

24.1 Mgr MV (1) 12.7 AA Non-Agency RMBS 4.2

5.9 CMBS 4.9 AA- (27) 2.1 3.8 ABS 3.2 0.4 A+ 3.8 Gov Related 0.7 5.9 A 1.3 CMOs A- 0.6 Weighted Average Bk Ln 1.1 Quality Rating 10th Percentile AA- Other 25th Percentile AA- (4.1 ) Median A+ Cash 2.6 75th Percentile A+ 90th Percentile A- (20%) (10%) 0% 10% 20% 30% 40% 50% 60% Active Fixed Active Fixed Income Option Callan Core Plus Mutual Funds Income Option AA- Bloomberg Bloomberg Aggregate Index Aggregate Index AA+

Oregon Savings Growth Plan 50 BlackRock US Debt Index Fund Period Ended March 31, 2020

Investment Philosophy The U.S. Debt Index Fund is constructed to ensure that the risk and return profile of the Bloomberg Barclays Aggregate Bond index is replicated and tracking error is minimized.

Quarterly Summary and Highlights BlackRock US Debt Index Fund’s portfolio posted a 3.13% return for the quarter placing it in the 19 percentile of the Callan Core Bond Fixed Income group for the quarter and in the 21 percentile for the last year. BlackRock US Debt Index Fund’s portfolio underperformed the Bloomberg Aggregate Index by 0.02% for the quarter and underperformed the Bloomberg Aggregate Index for the year by 0.00%.

Performance vs Callan Core Bond Fixed Income (Gross)

12%

10%

(21) (21)

(41) (38)

4% (98) (88) (75) (66) (18) (19) (83) (71)

0% Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile 3.59 9.51 5.27 3.85 3.71 4.74 25th Percentile 2.98 8.83 5.03 3.68 3.56 4.51 Median 2.17 8.13 4.77 3.56 3.39 4.26 75th Percentile 1.41 7.24 4.51 3.35 3.25 4.08 90th Percentile 0.53 6.31 4.34 3.17 3.12 3.96 BlackRock US Debt Index Fund 3.13 8.93 4.89 3.43 3.27 3.97 Bloomberg Aggregate Index 3.15 8.93 4.82 3.36 3.19 3.88

Relative Returns vs Callan Core Bond Fixed Income (Gross) Bloomberg Aggregate Index Annualized Five Year Risk vs Return

0.06% 4.8%

0.05% 4.6%

0.04% 4.4% 4.2% 0.03% 4.0% 0.02% 3.8% 0.01% BlackRock US Debt Index Fund Returns 3.6% 0.00%

Relative Returns 3.4% Bloomberg Aggregate Index (0.01%) 3.2%

(0.02%) 3.0%

(0.03%) 2.8% 2015 2016 2017 2018 2019 20 2.5 3.0 3.5 4.0 4.5 5.0 Standard Deviation BlackRock US Debt Index Fund

Oregon Savings Growth Plan 51 BlackRock US Debt Index Fund Return Analysis Summary

Performance vs Callan Core Bond Fixed Income (Gross)

12% 10% (84) (82) 8% 6% (70) (48) 4% (87) (77) (18) (19) (87) (86) 2% (69) 0% (62) (57) (71) (2%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile 3.59 9.96 0.64 4.72 4.36 1.51 7.21 25th Percentile 2.98 9.61 0.35 4.32 3.78 1.13 6.61 Median 2.17 9.18 0.11 3.96 3.14 0.84 6.19 75th Percentile 1.41 8.89 (0.14) 3.73 2.85 0.50 5.90 90th Percentile 0.53 8.49 (0.44) 3.34 2.59 (0.04) 5.39 BlackRock US Debt Index Fund 3.13 8.78 0.07 3.66 2.73 0.61 6.22 Bloomberg Aggregate Index 3.15 8.72 0.01 3.54 2.65 0.55 5.97

Cumulative and Quarterly Relative Return vs Bloomberg Aggregate Index

2.5%

2.0%

1.5%

1.0%

0.5% Relative Returns 0.0%

(0.5%) 2015 2016 2017 2018 2019 2020

BlackRock US Debt Index Fund Callan Core Bond FI

Risk Adjusted Return Measures vs Bloomberg Aggregate Index Rankings Against Callan Core Bond Fixed Income (Gross) Five Years Ended March 31, 2020

2.0 (2) 1.5

1.0 (75) 0.5

0.0 (81)

(0.5) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 0.63 0.80 0.88 25th Percentile 0.49 0.76 0.62 Median 0.29 0.70 0.23 75th Percentile 0.12 0.66 (0.01) 90th Percentile (0.02) 0.61 (0.20) BlackRock US Debt Index Fund 0.06 0.65 1.73

Oregon Savings Growth Plan 52 BlackRock US Debt Index Fund Risk Analysis Summary

Risk Analysis vs Callan Core Bond Fixed Income (Gross) Five Years Ended March 31, 2020

1.4 1.2 1.0 0.8 0.6 0.4 0.2 BlackRock US Debt Index Fund Excess Return 0.0 (0.2 ) (0.4 ) (0.6 ) 0.0 0.5 1.0 1.5 2.0 2.5 3.0 Tracking Error

Rolling 12 Quarter Tracking Error vs Bloomberg Aggregate Index

1.00% 0.90% BlackRock US Debt Index Fund 0.80% Callan Core Bond FI 0.70% 0.60% 0.50% 0.40% 0.30% Tracking Error 0.20% 0.10% 0.00% 2015 2016 2017 2018 2019 2020

Risk Statistics Rankings vs Bloomberg Aggregate Index Rankings Against Callan Core Bond Fixed Income (Gross) Five Years Ended March 31, 2020

4.0% 1.10

3.5% (23) 1.05 3.0% 1.00 (17) (1) 2.5% 0.95 2.0% 0.90 1.5% 0.85 1.0% 0.5% 0.80 0.0% (99) (99) 0.75 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 3.51 1.30 1.62 10th Percentile 1.03 0.99 25th Percentile 3.40 0.94 1.15 25th Percentile 0.99 0.98 Median 3.31 0.53 0.81 Median 0.94 0.94 75th Percentile 3.22 0.27 0.46 75th Percentile 0.89 0.87 90th Percentile 3.10 0.16 0.31 90th Percentile 0.85 0.81 BlackRock US BlackRock US Debt Index Fund 3.42 0.01 0.04 Debt Index Fund 1.00 1.00

Oregon Savings Growth Plan 53 BlackRock US Debt Index Fund Bond Characteristics Analysis Summary

Fixed Income Portfolio Characteristics Rankings Against Callan Core Bond Fixed Income as of March 31, 2020

10 9 8 (52) (52) 7 6 (65) (65) 5 4 3 (67) (67) 2 (95) (95) 1 (52) (52) 0 Average Effective Coupon OA Duration Life Yield Rate Convexity 10th Percentile 6.06 8.54 3.05 3.59 0.85 25th Percentile 5.91 8.14 2.68 3.43 0.56 Median 5.77 7.80 2.43 3.26 0.42 75th Percentile 5.63 7.54 2.13 3.04 0.24 90th Percentile 5.50 7.19 1.80 2.81 0.03 BlackRock US Debt Index Fund 5.69 7.77 1.59 3.11 0.41 Bloomberg Aggregate Index 5.69 7.77 1.59 3.11 0.41

Sector Allocation Quality Ratings March 31, 2020 vs Callan Core Bond Fixed Income Trsy 40.9 US Trsy 19.2 50%

40.9 Mgr MV AAA 26.6 RMBS 30.2 AA+ 26.6 (9) (9) 50%

24.1 Mgr MV Corp (incl 144A) 38.3 AA 24.1 5.9 AA- Gov Related 2.6 5.9 A+ 2.1 CMBS 4.5 2.1 A 0.4 ABS 4.1 A- 0.4 Weighted Average Quality Rating Other 10th Percentile AA 25th Percentile AA Median AA Cash 1.0 75th Percentile AA 90th Percentile A 0% 10% 20% 30% 40% 50% BlackRock US BlackRock US Debt Index Fund Callan Core Bond Fixed Income Debt Index Fund AA+ Bloomberg Bloomberg Aggregate Index Aggregate Index AA+

Oregon Savings Growth Plan 54 DoubleLine Total Return Bond Fund Period Ended March 31, 2020

Investment Philosophy DoubleLine believes that the most reliable way to enhance returns is to exploit inefficiencies within the subsectors of the MBS market, while maintaining active risk management constraints. DoubleLine’s objective is to invest in securities that will outperform through the interest rate cycle, i.e., not only in today’s environment but also when rates are higher and lower. DoubleLine does not believe that an investor can meaningfully outperform the market through interest rate predictions, but rather, through security selection.

Quarterly Summary and Highlights DoubleLine Total Return Bond Fund’s portfolio posted a (0.54)% return for the quarter placing it in the 55 percentile of the Callan Core Plus Fixed Income group for the quarter and in the 78 percentile for the last year. DoubleLine Total Return Bond Fund’s portfolio underperformed the Bloomberg Aggregate Index by 3.69% for the quarter and underperformed the Bloomberg Aggregate Index for the year by 5.28%.

Performance vs Callan Core Plus Fixed Income (Gross)

12%

10% (4) 8% B(25) 6% A(2) (15) B(63) 4% A(78) (96) (3) A(71) (53) A(64) (71) A(38) B(4) B(78) B(87) B(100) 2%

0% A(55) (2%)

(4%)

(6%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 9-3/4 Year Years 10th Percentile 2.22 7.97 5.07 3.95 3.94 5.13 25th Percentile 0.99 6.96 4.63 3.68 3.65 4.72 Median (0.21) 5.77 4.18 3.41 3.35 4.39 75th Percentile (2.16) 4.22 3.77 3.13 3.17 4.19 90th Percentile (3.29) 2.12 2.95 2.65 2.83 3.94 DoubleLine Total Return Bond Fund A (0.54) 3.66 3.84 3.26 3.47 5.47 Bloomberg Mortgage Index B 2.82 7.03 4.04 2.94 2.91 3.07 Bloomberg Aggregate Index 3.15 8.93 4.82 3.36 3.19 3.62

Relative Returns vs Callan Core Plus Fixed Income (Gross) Bloomberg Aggregate Index Annualized Five Year Risk vs Return

2% 5.0%

1% 4.5%

0% 4.0% DoubleLine Total Return Bond Fund (1%) 3.5%

(2%) 3.0% Returns Bloomberg Mortgage Index

Relative Returns (3%) 2.5% Bloomberg Aggregate Index

(4%) 2.0%

(5%) 1.5% 2015 2016 2017 2018 2019 20 2.0 2.5 3.0 3.5 4.0 4.5 5.0 Standard Deviation DoubleLine Total Return Bond Fund

Oregon Savings Growth Plan 55 DoubleLine Total Return Bond Fund Return Analysis Summary

Performance vs Callan Core Plus Fixed Income (Gross)

14% 12% 10% 8% (93) A(99) A(13) 6% B(99) (62) B(55) 4% (95) A(80) (3) B(4) A(1) B(100)(100) A(100) A(1) 2% B(100) B(1) 0% A(55) (31) B(3) (38) (2%) (4%) (6%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile 2.22 11.20 0.52 6.10 6.64 1.05 7.34 25th Percentile 0.99 10.66 0.10 5.45 5.34 0.76 6.88 Median (0.21) 10.03 (0.25) 4.97 4.67 0.34 6.18 75th Percentile (2.16) 9.57 (0.82) 4.41 3.74 (0.36) 5.70 90th Percentile (3.29) 9.11 (1.27) 3.94 3.22 (1.08) 5.36 DoubleLine Total Return Bond Fund A (0.54) 6.52 2.43 4.36 2.58 2.79 7.24 Bloomberg Mortgage Index B 2.82 6.35 0.99 2.47 1.67 1.51 6.08 Bloomberg Aggregate Index 3.15 8.72 0.01 3.54 2.65 0.55 5.97

Cumulative and Quarterly Relative Return vs Bloomberg Aggregate Index

(2%) Relative Returns (4%)

(6%) 2015 2016 2017 2018 2019 2020

DoubleLine Total Return Bond Fund Bloomberg Mortgage Index Callan Core Plus FI

Risk Adjusted Return Measures vs Bloomberg Aggregate Index Rankings Against Callan Core Plus Fixed Income (Gross) Five Years Ended March 31, 2020

1.2 1.0 A(7) A(1) 0.8 B(29) 0.6 0.4 B(64) 0.2 0.0 A(63) (0.2) B(94) (0.4) (0.6) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 0.90 0.82 0.43 25th Percentile 0.70 0.75 0.18 Median 0.46 0.66 0.02 75th Percentile 0.22 0.56 (0.15) 90th Percentile (0.09) 0.39 (0.25) DoubleLine Total Return Bond Fund A 0.96 0.92 (0.05) Bloomberg Mortgage Index B 0.31 0.73 (0.32)

Oregon Savings Growth Plan 56 DoubleLine Total Return Bond Fund Risk Analysis Summary

Risk Analysis vs Callan Core Plus Fixed Income (Gross) Five Years Ended March 31, 2020

1.5

1.0

0.5

0.0 DoubleLine Total Return Bond Fund

(0.5 ) Bloomberg Mortgage Index Excess Return

(1.0 )

(1.5 ) 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 Tracking Error

Rolling 12 Quarter Tracking Error vs Bloomberg Aggregate Index

3.0% DoubleLine Total Return Bond Fund 2.5% Bloomberg Mortgage Index Callan Core Plus FI

2.0%

1.5% Tracking Error 1.0%

0.5% 2014 2015 2016 2017 2018 2019 2020

Risk Statistics Rankings vs Bloomberg Aggregate Index Rankings Against Callan Core Plus Fixed Income (Gross) Five Years Ended March 31, 2020

4.5% 1.10 4.0% 1.00 3.5% 0.90 B(12) 3.0% 0.80 2.5% B(100) 0.70 A(100) A(47) B(85) 2.0% 0.60 A(46) A(59) A(96) 1.5% B(82) 0.50 1.0% B(81) 0.40 0.5% 0.30 0.0% 0.20 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 4.04 3.18 3.48 10th Percentile 0.91 0.93 25th Percentile 3.63 2.45 2.75 25th Percentile 0.88 0.80 Median 3.36 1.60 1.90 Median 0.83 0.68 75th Percentile 3.22 1.23 1.46 75th Percentile 0.74 0.47 90th Percentile 3.14 0.68 0.91 90th Percentile 0.60 0.28 DoubleLine Total DoubleLine Total Return Bond Fund A 2.25 1.83 2.18 Return Bond Fund A 0.50 0.55 Bloomberg Bloomberg Mortgage Index B 2.41 1.06 1.32 Mortgage Index B 0.66 0.90

Oregon Savings Growth Plan 57 DoubleLine Total Return Bond Fund Bond Characteristics Analysis Summary

Fixed Income Portfolio Characteristics Rankings Against Callan Core Plus Fixed Income as of March 31, 2020

8 (58)

6 (61) (100) 4 (99) (35) (72) (87) 2 (99) (53) 0 (94) (2) Average Effective Coupon OA Duration Life Yield Rate Convexity 10th Percentile 6.41 9.39 5.08 4.03 0.95 25th Percentile 6.09 8.48 4.21 3.76 0.60 Median 5.80 8.03 3.64 3.60 0.43 75th Percentile 5.41 7.36 2.77 3.28 0.09 90th Percentile 5.05 6.81 2.54 3.08 (0.09) DoubleLine Total Return Bond Fund 3.48 4.85 2.93 3.68 (0.35) Bloomberg Aggregate Index 5.69 7.77 1.59 3.11 0.41

Sector Allocation Quality Ratings March 31, 2020 vs Callan Core Plus Fixed Income Trsy 45.3

RMBS 23.4 50% 26.6 Mgr MV 26.5 AAA Non-Agency RMBS 0.4

10.3 AA+ 50%

CMBS 5.3 Mgr MV (1) 2.1 9.2 AA US Trsy 15.3 40.9 7.6 AA- ABS 5.3 0.4 1.0 A+ Cash 1.5 A (94) Corp (incl 144A) 42.8 24.1 A- Weighted Average Gov Related 4.3 5.9 Quality Rating

CMOs 1.5 10th Percentile AA 25th Percentile AA- Median A Other 0.3 75th Percentile A 90th Percentile A 0% 10% 20% 30% 40% 50% 60% DoubleLine Total DoubleLine Total Return Bond Fund Callan Core Plus Fixed Income Return Bond Fund A Bloomberg Bloomberg Aggregate Index Aggregate Index AA+

Oregon Savings Growth Plan 58 Wellington Trust Core Bond Plus Fund Period Ended March 31, 2020

Investment Philosophy Wellington’s fixed income process focuses on fundamental research, diversification and risk control. The firm’s orientation is toward intensive, bottom-up research.

Quarterly Summary and Highlights Wellington Trust Core Bond Plus Fund’s portfolio posted a 0.33% return for the quarter placing it in the 33 percentile of the Callan Core Plus Fixed Income group for the quarter and in the 25 percentile for the last year. Wellington Trust Core Bond Plus Fund’s portfolio underperformed the Bloomberg Aggregate Index by 2.82% for the quarter and underperformed the Bloomberg Aggregate Index for the year by 2.05%.

Performance vs Callan Core Plus Fixed Income (Gross)

12%

10% (4) 8% (25) 6% (15) (17) (46) 4% (14) (97) (3) (53) (71) (42) 2%

(33) 0%

(2%)

(4%)

(6%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile 2.22 7.97 5.07 3.95 3.94 5.30 25th Percentile 0.99 6.96 4.63 3.68 3.65 4.93 Median (0.21) 5.77 4.18 3.41 3.35 4.51 75th Percentile (2.16) 4.22 3.77 3.13 3.17 4.32 90th Percentile (3.29) 2.12 2.95 2.65 2.83 4.12 Wellington Trust Core Bond Plus Fund 0.33 6.89 4.73 3.77 3.46 4.58 Bloomberg Aggregate Index 3.15 8.93 4.82 3.36 3.19 3.88

Relative Returns vs Callan Core Plus Fixed Income (Gross) Bloomberg Aggregate Index Annualized Five Year Risk vs Return

1.5% 5.0%

1.0% 4.5% 0.5% Wellington Trust Core Bond Plus Fund 0.0% 4.0%

(0.5%) 3.5% Bloomberg Aggregate Index (1.0%) 3.0% (1.5%) Returns

Relative Returns (2.0%) 2.5% (2.5%) 2.0% (3.0%)

(3.5%) 1.5% 2015 2016 2017 2018 2019 20 2.5 3.0 3.5 4.0 4.5 5.0 Standard Deviation Wellington Trust Core Bond Plus Fund

Oregon Savings Growth Plan 59 Wellington Trust Core Bond Plus Fund Return Analysis Summary

Performance vs Callan Core Plus Fixed Income (Gross)

14% 12% 10% (40) 8% (93) (62) 6% (30) (45) (77) 4% (3) (95) 2% (100) 0% (33) (31) (40) (38) (65) (2%) (4%) (6%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile 2.22 11.20 0.52 6.10 6.64 1.05 7.34 25th Percentile 0.99 10.66 0.10 5.45 5.34 0.76 6.88 Median (0.21) 10.03 (0.25) 4.97 4.67 0.34 6.18 75th Percentile (2.16) 9.57 (0.82) 4.41 3.74 (0.36) 5.70 90th Percentile (3.29) 9.11 (1.27) 3.94 3.22 (1.08) 5.36 Wellington Trust Core Bond Plus Fund 0.33 10.37 (0.14) 5.37 4.81 (0.03) 5.63 Bloomberg Aggregate Index 3.15 8.72 0.01 3.54 2.65 0.55 5.97

Cumulative and Quarterly Relative Return vs Bloomberg Aggregate Index

6% 5% 4% 3% 2% 1% 0% (1%)

Relative Returns (2%) (3%) (4%) 2015 2016 2017 2018 2019 2020

Wellington Trust Core Bond Plus Fund Callan Core Plus FI

Risk Adjusted Return Measures vs Bloomberg Aggregate Index Rankings Against Callan Core Plus Fixed Income (Gross) Five Years Ended March 31, 2020

1.2 1.0 0.8 (16) (15) 0.6 0.4 0.2 (16) 0.0 (0.2) (0.4) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 0.90 0.82 0.43 25th Percentile 0.70 0.75 0.18 Median 0.46 0.66 0.02 75th Percentile 0.22 0.56 (0.15) 90th Percentile (0.09) 0.39 (0.25) Wellington Trust Core Bond Plus Fund 0.77 0.80 0.25

Oregon Savings Growth Plan 60 Wellington Trust Core Bond Plus Fund Risk Analysis Summary

Risk Analysis vs Callan Core Plus Fixed Income (Gross) Five Years Ended March 31, 2020

1.5

1.0

0.5 Wellington Trust Core Bond Plus Fund

0.0

(0.5 ) Excess Return

(1.0 )

(1.5 ) 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 Tracking Error

Rolling 12 Quarter Tracking Error vs Bloomberg Aggregate Index

2.5% Wellington Trust Core Bond Plus Fund 2.0% Callan Core Plus FI

1.5%

1.0% Tracking Error 0.5%

0.0% 2015 2016 2017 2018 2019 2020

Risk Statistics Rankings vs Bloomberg Aggregate Index Rankings Against Callan Core Plus Fixed Income (Gross) Five Years Ended March 31, 2020

4.5% 1.10 4.0% 1.00 3.5% 0.90 (75) (47) 3.0% 0.80 (42) 2.5% 0.70 2.0% 0.60 (59) 1.5% (66) 0.50 1.0% 0.40 0.5% 0.30 0.0% 0.20 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 4.04 3.18 3.48 10th Percentile 0.91 0.93 25th Percentile 3.63 2.45 2.75 25th Percentile 0.88 0.80 Median 3.36 1.60 1.90 Median 0.83 0.68 75th Percentile 3.22 1.23 1.46 75th Percentile 0.74 0.47 90th Percentile 3.14 0.68 0.91 90th Percentile 0.60 0.28 Wellington Trust Wellington Trust Core Bond Plus Fund 3.22 1.38 1.65 Core Bond Plus Fund 0.83 0.75

Oregon Savings Growth Plan 61 Wellington Trust Core Bond Plus Fund Bond Characteristics Analysis Summary

Fixed Income Portfolio Characteristics Rankings Against Callan Core Plus Fixed Income as of March 31, 2020

10 (12) 8 (58)

6 (61) (50)

4 (37) (87) (96) 2 (99) (53) 0 (61)

(2) Average Effective Coupon OA Duration Life Yield Rate Convexity 10th Percentile 6.41 9.39 5.08 4.03 0.95 25th Percentile 6.09 8.48 4.21 3.76 0.60 Median 5.80 8.03 3.64 3.60 0.43 75th Percentile 5.41 7.36 2.77 3.28 0.09 90th Percentile 5.05 6.81 2.54 3.08 (0.09) Wellington Trust Core Bond Plus Fund 5.80 9.01 3.80 2.90 0.28 Bloomberg Aggregate Index 5.69 7.77 1.59 3.11 0.41

Sector Allocation Quality Ratings March 31, 2020 vs Callan Core Plus Fixed Income

41.0 Trsy

23.4 50%

RMBS Mgr MV 26.6 26.0 AAA Corp (incl 144A) 42.8 24.1 14.0 AA+ Non-Agency RMBS 0.4 50% Mgr MV (1) 12.0 AA US Trsy 15.3 40.9 6.0 CMBS 5.3 AA- (29) 2.1 5.0 Gov Related 4.3 5.9 A+ 4.0 ABS 5.3 0.4 A 4.0 CMOs 1.5 A- 2.0 Weighted Average Bk Ln Quality Rating 10th Percentile AA Other 0.3 25th Percentile AA- (14.0 ) Median A Cash 1.5 75th Percentile A 90th Percentile A (40%) (20%) 0% 20% 40% 60% Wellington Trust Wellington Trust Core Bond Plus Fund Callan Core Plus Fixed Income Core Bond Plus Fund AA- Bloomberg Bloomberg Aggregate Index Aggregate Index AA+

Oregon Savings Growth Plan 62 Stock Index Option Stock Index Option Stock Index Stock Index Option Period Ended March 31, 2020

Quarterly Summary and Highlights Stock Index Option’s portfolio posted a (20.93)% return for the quarter placing it in the 38 percentile of the Callan All Cap Core Mutual Funds group for the quarter and in the 28 percentile for the last year. Stock Index Option’s portfolio underperformed the Russell 3000 Index by 0.03% for the quarter and outperformed the Russell 3000 Index for the year by 0.01%.

Performance vs Callan All Cap Core Mutual Funds (Institutional Net) 20%

(10) (9) 10% (12) (11) (11) (10) (21) (20) 0%

(10%) (28) (28)

(20%) (38) (38)

(30%)

(40%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (16.16) (4.86) 5.65 5.91 9.29 10.16 25th Percentile (19.72) (8.68) 3.69 4.76 7.86 9.38 Median (22.08) (12.40) 1.14 2.94 6.78 7.99 75th Percentile (26.40) (17.66) (2.05) 0.58 4.54 6.48 90th Percentile (30.89) (23.47) (5.30) (1.60) 3.19 5.40 Stock Index Option (20.93) (9.11) 4.05 5.85 9.03 10.21 Russell 3000 Index (20.90) (9.13) 4.00 5.77 8.96 10.15

Callan All Cap Core Mutual Funds (Institutional Net) Relative Return vs Russell 3000 Index Annualized Five Year Risk vs Return

0.10% 15%

10% Stock Index Option

5% Russell 3000 Index 0.05%

(5%) Returns 0.00%

Relative Returns (10%)

(15%)

(0.05%) (20%) 2015 2016 2017 2018 2019 20 5 10 15 20 25 30 35 Standard Deviation Stock Index Option

Oregon Savings Growth Plan 64 Stock Index Option Return Analysis Summary

Performance vs Callan All Cap Core Mutual Funds (Institutional Net)

50% 40% 30% (29) (28) 20% (36) (36) 10% (30) (29) (25) (25) 0% (24) (22) (24) (23) (10%) (20%) (38) (38) (30%) (40%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile (16.16) 34.24 (2.70) 24.82 16.18 2.10 14.90 25th Percentile (19.72) 31.50 (5.39) 22.25 13.52 0.38 12.48 Median (22.08) 28.31 (7.81) 19.49 10.12 (2.12) 10.09 75th Percentile (26.40) 25.12 (10.90) 15.89 7.45 (4.62) 6.85 90th Percentile (30.89) 21.64 (14.16) 12.97 5.86 (8.17) 4.09 Stock Index Option (20.93) 31.12 (5.21) 21.23 12.83 0.61 12.61 Russell 3000 Index (20.90) 31.02 (5.24) 21.13 12.74 0.48 12.56

Cumulative and Quarterly Relative Return vs Russell 3000 Index

(5%)

(10%)

Relative Returns (15%)

(20%) 2015 2016 2017 2018 2019 2020

Stock Index Option Callan All Cap Core MFs

Risk Adjusted Return Measures vs Russell 3000 Index Rankings Against Callan All Cap Core Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

4 2 (1) 0 (13) (12) (2) (4) (6) (8) (10) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 0.58 0.33 0.11 25th Percentile (0.82) 0.22 (0.36) Median (2.71) 0.11 (0.72) 75th Percentile (4.89) (0.04) (1.15) 90th Percentile (7.25) (0.15) (1.37) Stock Index Option 0.07 0.29 1.75

Oregon Savings Growth Plan 65 Stock Index Option Risk Analysis Summary

Risk Analysis The graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs Callan All Cap Core Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

0 Stock Index Option

(5 )

(10 )

Excess Return (15 )

(20 )

(25 ) 0 5 10 15 20 25 30 Tracking Error

Market Capture vs Russell 3000 Index Rankings Against Callan All Cap Core Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

150% 140% 130% 120% 110% 100% (9) (62) 90% 80% 70% 60% 50% Up Market Down Capture Market Capture 10th Percentile 100.19 133.22 25th Percentile 92.42 117.48 Median 82.18 104.40 75th Percentile 70.95 95.07 90th Percentile 60.67 87.27 Stock Index Option 100.70 99.98

Risk Statistics Rankings vs Russell 3000 Index Rankings Against Callan All Cap Core Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

25% 1.30 20% 1.20 15% (61) 1.10 10% 1.00 (51) (1) 0.90 5% 0.80 0% (100) (100) Standard Downside Tracking 0.70 Deviation Risk Error Beta R-Squared 10th Percentile 20.22 6.78 6.86 25th Percentile 18.25 5.41 5.54 10th Percentile 1.23 0.98 Median 16.24 3.74 4.30 25th Percentile 1.11 0.97 75th Percentile 15.13 2.67 3.25 Median 1.01 0.94 90th Percentile 14.04 2.00 2.20 75th Percentile 0.93 0.92 90th Percentile 0.84 0.88 Stock Index Option 15.82 0.01 0.05 Stock Index Option 1.00 1.00

Oregon Savings Growth Plan 66 Stock Index Option Equity Characteristics Analysis Summary

Portfolio Characteristics Percentile Rankings Rankings Against Callan All Cap Core Mutual Funds as of March 31, 2020

0% 10% 20% (19) (19) (27) (27) 30% (34) (34) 40% (40) (40) (39) (39) (46) (46) 50% 60% 70%

Percentile Ranking 80% 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 109.48 18.18 3.65 14.22 3.03 0.42 25th Percentile 65.10 16.18 2.82 12.25 2.63 0.15 Median 45.74 13.74 2.24 10.96 2.17 (0.12) 75th Percentile 22.04 12.05 1.68 8.86 1.72 (0.42) 90th Percentile 9.91 10.62 1.40 7.18 1.34 (0.71) Stock Index Option 87.19 16.04 2.46 11.66 2.27 0.02 Russell 3000 Index 87.19 16.04 2.46 11.66 2.27 0.02

Sector Weights The graph below contrasts the manager’s sector weights with those of the benchmark and median sector weights across the members of the peer group. The magnitude of sector weight differences from the index and the manager’s sector diversification are also shown. Diversification by number and concentration of holdings are also compared to the benchmark and peer group. Issue Diversification represents by count, and Diversification Ratio by percent, the number of holdings that account for half of the portfolio’s market value.

Sector Allocation Diversification March 31, 2020 March 31, 2020

24.6 3500 24.6 Information Technology 24.1 15.6 3000 (1)

Health Care 15.6 50% Diversification Ratio 16.2 Mgr MV 11.4 Manager 2% 11.4 2500 Financials 12.4 Index 2% 10.0 Style Median 27% 10.0 2000 Consumer Discretionary 11.0 50%

9.8 Mgr MV 9.8 1500 Communication Services 9.8 9.0 9.0 Industrials 10.3 1000 7.1 7.1 Consumer Staples 6.6 500 3.9 Real Estate 3.9 2.4 0 (6) 3.5 Number of Issue 3.5 Utilities 2.5 Sector Diversification Securities Diversification 2.6 Manager 2.86 sectors Materials 2.6 10th Percentile 394 48 2.5 Index 2.86 sectors 25th Percentile 179 30 2.5 Energy 2.5 Median 63 18 2.1 75th Percentile 37 12 90th Percentile 29 9 0% 5% 10% 15% 20% 25% 30% Stock Index Option Russell 3000 Index Stock Index Option 2995 61 Callan All Cap Core MFs Russell 3000 Index 2995 61

Oregon Savings Growth Plan 67 Current Holdings Based Style Analysis Stock Index Option As of March 31, 2020

This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determine actual exposures to various market capitalization and style segments of the domestic equity market. The market is segmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.

Style Map vs Callan All Cap Core MFs Style Exposure Matrix Holdings as of March 31, 2020 Holdings as of March 31, 2020

Mega 13.7% (73) 27.8% (109) 38.1% (114) 79.6% (296) Stock Index Option Large Large 13.7% (73) 27.8% (109) 38.1% (114) 79.6% (296) Russell 3000 Index 4.0% (151) 4.2% (175) 6.5% (268) 14.6% (594) Mid 4.0% (151) 4.2% (175) 6.5% (268) 14.6% (594) Stock Index Option 1.5% (336) 2.0% (480) 1.7% (371)Russell5.2% 3000 (1187)Index Mid Small 1.5% (336) 2.0% (480) 1.7% (371) 5.2% (1187) 0.2% (345) 0.2% (395) 0.1% (150) 0.5% (890) Micro 0.2% (345) 0.2% (395) 0.1% (150) 0.5% (890) Small 19.4% (905) 34.3% (1159) 46.3% (903) 100.0% (2967) Total 19.4% (905) 34.3% (1159) 46.3% (903) 100.0% (2967) Micro Value Core Growth Value Core Growth Total

Combined Z-Score Style Distribution Holdings as of March 31, 2020

80% Large 70% Bar #1=Stock Index Option (Combined Z: 0.02 Growth Z: -0.01 Value Z: -0.03) Bar #2=Russell 3000 Index (Combined Z: 0.02 Growth Z: -0.01 Value Z: -0.03) Mid 60% (903) (903) Small 50% 46.3% 46.3% (1159) (1159) Micro 40% 34.3% 34.3% 30% (905) (905) 20% 19.4% 19.4% 10% 0% Value Core Growth

Sector Weights Distribution Holdings as of March 31, 2020

35% Bar #1=Stock Index Option Value 30% Bar #2=Russell 3000 Index Core 25% 24.6 24.6 Growth 20% 15.6 15.6 15% 11.4 11.4 10.0 10.0 10% 9.8 9.8 9.0 9.0 7.1 7.1 3.9 3.9 5% 2.5 2.5 3.5 3.5 2.6 2.6 0% COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH

Oregon Savings Growth Plan 68 Historical Holdings Based Style Analysis Stock Index Option For Three Years Ended March 31, 2020

This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determine average actual exposures to various market capitalization and style segments of the domestic equity market. The market is segmented quarterly by capitalization and style. The capitalization segments are dictated by capitalization decile breakpoints. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the average historical market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the average historical portfolio and index weights and stock counts (in parentheses) in each capitalization/style segment of the market. The next two style exposure charts illustrate the actual quarterly cap/style and style only segment exposures of the portfolio through history.

Average Style Map vs Callan All Cap Core MFs Average Style Exposure Matrix Holdings for Three Years Ended March 31, 2020 Holdings for Three Years Ended March 31, 2020

Mega 25.1% (104) 21.4% (96) 29.2% (98) 75.7% (298) Large Large 25.1% (104) 21.4% (96) 29.2% (98) 75.7% (298) Stock Index Option Russell 3000 Index 4.8% (171) 6.0% (211) 5.9% (214) 16.7% (596) Mid 4.8% (171) 6.0% (211) 5.9% (214) 16.7% (596) 2.0% (330) 2.7% (484) 2.1% (378) 6.8% (1192) Mid Small 2.0% (330) 2.7% (484) 2.1% (378) 6.8% (1192) 0.3% (296) 0.3% (380) 0.2% (209) 0.8% (885) Micro 0.3% (296) 0.3% (380) 0.2% (209) 0.8% (885) Small 32.2% (901) 30.4% (1171) 37.5% (899) 100.0% (2971) Total 32.2% (901) 30.4% (1171) 37.5% (899) 100.0% (2971) Micro Value Core Growth Value Core Growth Total

Stock Index Option Historical Cap/Style Exposures

100% 100% 90% 90% Micro-Growth 80% 80% Micro-Core Micro-Value 70% 70% Small-Growth 60% 60% Small-Core 50% 50% Small-Value 40% 40% Mid-Growth 30% 30% Mid-Core Mid-Value 20% 20% Large-Growth 10% 10% Large-Core 0% 0% Large-Value 2017 2018 2019 2020 Stock Index Option Historical Style Only Exposures

100% 100% 90% 90% Growth 80% 80% Core Value 70% 70% 60% 60% 50% 50% 40% 40% 30% 30% 20% 20% 10% 10% 0% 0% 2017 2018 2019 2020

Oregon Savings Growth Plan 69 Large Company Value Stock Option Stock Option Large Company Value Large Company Large Company Value Stock Option Period Ended March 31, 2020

Quarterly Summary and Highlights Large Company Value Stock Option’s portfolio posted a (26.72)% return for the quarter placing it in the 44 percentile of the Callan Large Cap Value Mutual Funds group for the quarter and in the 46 percentile for the last year. Large Company Value Stock Option’s portfolio outperformed the Russell 1000 Value Index by 0.01% for the quarter and outperformed the Russell 1000 Value Index for the year by 0.06%.

Performance vs Callan Large Cap Value Mutual Funds (Institutional Net) 20%

10% (36) (29) (45) (31) (45) (44) 0% (50) (49)

(10%)

(46) (46) (20%)

(45) (44) (30%)

(40%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (22.06) (10.36) 2.11 4.97 8.18 9.50 25th Percentile (24.75) (14.28) 0.22 2.89 6.52 8.07 Median (26.98) (18.53) (2.23) 1.83 5.45 7.00 75th Percentile (29.16) (21.71) (3.94) 0.31 4.26 6.18 90th Percentile (31.98) (23.82) (5.90) (1.18) 3.68 5.78 Large Company Value Stock Option (26.72) (17.11) (2.07) 2.00 5.89 7.80 Russell 1000 Value Index (26.73) (17.17) (2.18) 1.90 5.56 7.67

Callan Large Cap Value Mutual Funds (Institutional Net) Relative Return vs Russell 1000 Value Index Annualized Five Year Risk vs Return

0.12% 10%

0.10% 8% 0.08%

0.06% 6%

0.04% 4% Large Company Value Stock Option 0.02% 2% 0.00% Returns Russell 1000 Value Index

Relative Returns (0.02%) 0% (0.04%) (2%) (0.06%)

(0.08%) (4%) 2015 2016 2017 2018 2019 20 12 14 16 18 20 22 24 Standard Deviation Large Company Value Stock Option

Oregon Savings Growth Plan 71 Large Company Value Stock Option Return Analysis Summary

Performance vs Callan Large Cap Value Mutual Funds (Institutional Net)

40% 30% (45) (45) 20% (88) (87) (18) (19) (22) 10% (29) 0% (54) (52) (10%) (48) (47) (20%) (45) (44) (30%) (40%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile (22.06) 31.40 (4.84) 21.85 20.06 (0.27) 14.56 25th Percentile (24.75) 29.22 (6.42) 20.36 15.37 (1.52) 13.02 Median (26.98) 26.01 (8.46) 16.78 14.01 (3.56) 11.11 75th Percentile (29.16) 22.64 (10.68) 14.57 11.27 (5.43) 10.53 90th Percentile (31.98) 20.46 (13.50) 13.50 9.54 (7.46) 8.69 Large Company Value Stock Option (26.72) 26.67 (8.13) 13.81 17.21 (3.77) 12.18 Russell 1000 Value Index (26.73) 26.54 (8.27) 13.66 17.34 (3.83) 13.45

Cumulative and Quarterly Relative Return vs Russell 1000 Value Index

(1%)

(2%)

(3%)

(4%) Relative Returns

(5%)

(6%) 2015 2016 2017 2018 2019 2020

Large Company Value Stock Option Callan Lg Cap Value MF

Risk Adjusted Return Measures vs Russell 1000 Value Index Rankings Against Callan Large Cap Value Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

4 3 2 (2) 1 0 (43) (43) (1) (2) (3) (4) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 2.98 0.25 0.70 25th Percentile 1.08 0.10 0.31 Median 0.02 0.04 (0.03) 75th Percentile (1.44) (0.05) (0.50) 90th Percentile (2.68) (0.12) (0.64) Large Company Value Stock Option 0.09 0.05 1.31

Oregon Savings Growth Plan 72 Large Company Value Stock Option Risk Analysis Summary

Risk Analysis The graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs Callan Large Cap Value Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

0 Large Company Value Stock Option

Excess Return (2 )

(4 )

(6 ) 0 1 2 3 4 5 6 7 8 Tracking Error

Market Capture vs Russell 1000 Value Index Rankings Against Callan Large Cap Value Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

130% 125% 120% 115% 110% 105% 100% (55) (62) 95% 90% 85% 80% Up Market Down Capture Market Capture 10th Percentile 121.02 116.48 25th Percentile 113.73 107.92 Median 101.90 102.08 75th Percentile 95.12 97.17 90th Percentile 87.82 87.42 Large Company Value Stock Option 100.71 99.83

Risk Statistics Rankings vs Russell 1000 Value Index Rankings Against Callan Large Cap Value Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

25% 1.20

20% 1.10 (63) 15% 1.00 (58) (1) 10% 5% 0.90 0% (100) (100) 0.80 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 19.91 4.12 5.49 10th Percentile 1.16 0.99 25th Percentile 18.06 2.87 4.28 25th Percentile 1.07 0.98 Median 17.20 2.34 3.22 Median 1.01 0.97 75th Percentile 16.24 1.85 2.84 75th Percentile 0.96 0.96 90th Percentile 15.16 1.39 2.17 90th Percentile 0.88 0.94 Large Company Large Company Value Stock Option 16.71 0.03 0.07 Value Stock Option 1.00 1.00

Oregon Savings Growth Plan 73 Large Company Value Stock Option Equity Characteristics Analysis Summary

Portfolio Characteristics Percentile Rankings Rankings Against Callan Large Cap Value Mutual Funds as of March 31, 2020

0% 10% 20% 30% (31) (31) 40% (43) (43) 50% (53) (53) (57) (57) 60% 70% (68) (68) (69) (69) 80% Percentile Ranking 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 107.38 14.05 1.94 10.09 4.10 (0.54) 25th Percentile 80.87 12.59 1.76 8.75 3.89 (0.68) Median 59.11 11.53 1.60 8.06 3.35 (0.84) 75th Percentile 48.65 10.22 1.36 6.88 3.03 (1.02) 90th Percentile 33.65 9.65 1.18 6.27 2.70 (1.25) Large Company Value Stock Option 58.63 12.43 1.49 7.07 3.47 (0.96) Russell 1000 Value Index 58.63 12.43 1.49 7.07 3.47 (0.96)

Sector Allocation Diversification March 31, 2020 March 31, 2020

21.3 900 21.3 Financials 20.5 800 15.6 (1) 15.6 Diversification Ratio Health Care 17.0 700 10.6 Manager 6% 10.6 50% 600 Consumer Staples 8.4 Mgr MV Index 6% 9.5 500 Style Median 28% Industrials 9.5 10.2 400 8.6 Communication Services 8.6 9.0 50% 300 Mgr MV 7.8 7.8 200 Utilities 6.0 6.9 100 Information Technology 6.9 (1) 11.0 0 5.4 Number of Issue 5.4 Energy 5.6 Securities Diversification 5.1 5.1 Consumer Discretionary 6.2 Sector Diversification 10th Percentile 232 30 25th Percentile 89 21 5.0 Manager 3.27 sectors Real Estate 5.0 Median 60 17 2.8 Index 3.27 sectors 75th Percentile 45 14 4.2 4.2 90th Percentile 33 10 Materials 3.3 Large Company 0% 5% 10% 15% 20% 25% 30% Value Stock Option 755 46 Large Company Value Stock Option Russell 1000 Value Index Russell 1000 Callan Lg Cap Value MF Value Index 755 46

Oregon Savings Growth Plan 74 Current Holdings Based Style Analysis Large Company Value Stock Option As of March 31, 2020

Style Map vs Callan Lg Cap Value MF Style Exposure Matrix Holdings as of March 31, 2020 Holdings as of March 31, 2020

Mega 30.2% (72) 41.9% (90) 5.6% (28) 77.7% (190) Large Large 30.2% (72) 41.9% (90) 5.6% (28) 77.7% (190) 8.7% (148) 6.8% (127) 4.2% (107) 19.7% (382) Mid 8.7% (148) 6.8% (127) 4.2% (107) 19.7% (382) Large Company Value Stock Option Large Company Value Stock Option 1.5% (101) 0.9% (62)Russell 0.2%1000 Value(12) Index2.6% (175) Russell 1000 Value Index Mid Small 1.5% (101) 0.9% (62) 0.2% (12) 2.6% (175) 0.0% (1) 0.0% (2) 0.0% (1) 0.0% (4) Micro 0.0% (1) 0.0% (2) 0.0% (1) 0.0% (4) Small 40.4% (322) 49.6% (281) 10.0% (148) 100.0% (751) Total 40.4% (322) 49.6% (281) 10.0% (148) 100.0% (751) Micro Value Core Growth Value Core Growth Total

Combined Z-Score Style Distribution Holdings as of March 31, 2020

80% Large 70% Bar #1=Large Company Value Stock Option (Combined Z: -0.96 Growth Z: -0.48 Value Z: 0.4 Bar #2=Russell 1000 Value Index (Combined Z: -0.96 Growth Z: -0.48 Value Z: 0.49) Mid 60% (281) (281) Small (322) (322) 49.6% 49.6% 50% Micro 40.4% 40.4% 40% 30% 20% (148) (148) 10.0% 10.0% 10% 0% Value Core Growth

Sector Weights Distribution Holdings as of March 31, 2020

30% Bar #1=Large Company Value Stock Option Value 25% Bar #2=Russell 1000 Value Index Core 21.3 21.3 Growth 20% 15.6 15.6 15% 10.6 10.6 10% 8.6 8.6 9.5 9.5 7.8 7.8 6.9 6.9 5.1 5.1 5.4 5.4 5.0 5.0 5% 4.2 4.2

0% COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH

Oregon Savings Growth Plan 75 Historical Holdings Based Style Analysis Large Company Value Stock Option For Three Years Ended March 31, 2020

Average Style Map vs Callan Lg Cap Value MF Average Style Exposure Matrix Holdings for Three Years Ended March 31, 2020 Holdings for Three Years Ended March 31, 2020

Mega 49.2% (102) 24.7% (76) 3.4% (25) 77.4% (203) Large Large 49.2% (102) 24.7% (76) 3.4% (25) 77.4% (203) 9.7% (162) 8.0% (163) 2.7% (77) 20.4% (402) Mid Large Company Value Stock Option 9.7% (162) 8.0% (163) 2.7% (77) 20.4% (402) Russell 1000 Value Index 1.2% (62) 0.8% (45) 0.2% (17) 2.2% (124) Mid Small 1.2% (62) 0.8% (45) 0.2% (17) 2.2% (124) 0.0% (0) 0.0% (1) 0.0% (0) 0.0% (1) Micro 0.0% (0) 0.0% (1) 0.0% (0) 0.0% (1) Small 60.1% (326) 33.5% (285) 6.4% (119) 100.0% (730) Total 60.1% (326) 33.5% (285) 6.4% (119) 100.0% (730) Micro Value Core Growth Value Core Growth Total

Large Company Value Stock Option Historical Cap/Style Exposures

100% 100% 90% 90% Growth 80% 80% Core Value 70% 70% 60% 60% 50% 50% 40% 40% 30% 30% 20% 20% 10% 10% 0% 0% 2017 2018 2019 2020

Oregon Savings Growth Plan 76 Large Company Growth Stock Option Stock Option Large Company Growth Large Company Large Company Growth Stock Option Period Ended March 31, 2020

Quarterly Summary and Highlights Large Company Growth Stock Option’s portfolio posted a (14.26)% return for the quarter placing it in the 64 percentile of the Callan Large Cap Growth Mutual Funds group for the quarter and in the 34 percentile for the last year. Large Company Growth Stock Option’s portfolio underperformed the Russell 1000 Growth Index by 0.16% for the quarter and underperformed the Russell 1000 Growth Index for the year by 0.19%.

Performance vs Callan Large Cap Growth Mutual Funds (Institutional Net) 20%

15% (36) (40) (22) (30) (50) (54) 10% (29) (29)

(32) 0% (34)

(5%)

(10%)

(62) (15%) (64)

(20%)

(25%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (11.10) 2.71 14.16 11.47 14.22 13.85 25th Percentile (11.87) 1.49 12.86 10.60 13.16 12.85 Median (13.25) (0.62) 11.33 9.48 12.33 12.05 75th Percentile (15.05) (3.53) 9.51 8.00 11.04 11.36 90th Percentile (17.45) (5.64) 8.19 6.88 9.81 10.27 Large Company Growth Stock Option (14.26) 0.72 11.20 10.32 12.76 12.80 Russell 1000 Growth Index (14.10) 0.91 11.32 10.36 12.93 12.97

Callan Large Cap Growth Mutual Funds (Institutional Net) Relative Return vs Russell 1000 Growth Index Annualized Five Year Risk vs Return

0.10% 15%

0.05%

0.00% 10% Russell 1000 Growth Index Large Company Growth Stock Option (0.05%) Returns (0.10%) 5% Relative Returns

(0.15%)

(0.20%) 0% 2015 2016 2017 2018 2019 20 12 14 16 18 20 22 24 Standard Deviation Large Company Growth Stock Option

Oregon Savings Growth Plan 78 Large Company Growth Stock Option Return Analysis Summary

Performance vs Callan Large Cap Growth Mutual Funds (Institutional Net)

50% 40% (27) (26) 30% (57) (57) 20% (20) (35) 10% (10) (10) (56) (57) 0% (67) (67) (10%) (62) (64) (20%) (30%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile (11.10) 38.24 3.52 36.65 6.88 10.96 14.25 25th Percentile (11.87) 36.47 1.66 34.47 3.88 9.02 12.71 Median (13.25) 33.54 (0.86) 31.46 1.20 6.52 10.82 75th Percentile (15.05) 31.32 (3.17) 27.98 (1.18) 3.59 8.96 90th Percentile (17.45) 29.41 (4.70) 24.73 (4.43) 0.20 7.91 Large Company Growth Stock Option (14.26) 36.42 (1.65) 30.21 7.11 5.25 11.63 Russell 1000 Growth Index (14.10) 36.39 (1.51) 30.21 7.08 5.67 13.05

Cumulative and Quarterly Relative Return vs Russell 1000 Growth Index

(2%)

(4%)

(6%) Relative Returns (8%)

(10%) 2015 2016 2017 2018 2019 2020

Large Company Growth Stock Option Callan Large Cap Grwth MF

Risk Adjusted Return Measures vs Russell 1000 Growth Index Rankings Against Callan Large Cap Growth Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

3 2 1 (23) 0 (36) (66) (1) (2) (3) (4) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 1.72 0.71 0.25 25th Percentile 0.19 0.59 0.05 Median (0.53) 0.53 (0.24) 75th Percentile (2.35) 0.42 (0.63) 90th Percentile (3.34) 0.34 (0.99) Large Company Growth Stock Option (0.07) 0.59 (0.48)

Oregon Savings Growth Plan 79 Large Company Growth Stock Option Risk Analysis Summary

Risk Analysis The graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs Callan Large Cap Growth Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

0 Large Company Growth Stock Option

(2 )

(4 )

Excess Return (6 )

(8 )

(10 ) 0 1 2 3 4 5 6 7 8 9 10 11 12 Tracking Error

Market Capture vs Russell 1000 Growth Index Rankings Against Callan Large Cap Growth Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

130% 120% 110% 100% (12) (38) 90% 80% 70% 60% Up Market Down Capture Market Capture 10th Percentile 101.06 115.36 25th Percentile 97.63 103.31 Median 93.38 98.24 75th Percentile 87.01 93.80 90th Percentile 74.39 89.89 Large Company Growth Stock Option 99.97 100.41

Risk Statistics Rankings vs Russell 1000 Growth Index Rankings Against Callan Large Cap Growth Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

20% 1.15 18% 1.10 16% (64) 14% 1.05 12% 1.00 (37) (1) 10% 8% 0.95 6% 0.90 4% 2% 0.85 0% (100) (100) 0.80 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 17.40 5.67 6.09 10th Percentile 1.10 0.98 25th Percentile 16.46 3.85 5.11 25th Percentile 1.03 0.96 Median 15.63 3.25 4.02 Median 0.99 0.94 75th Percentile 15.02 2.51 3.31 75th Percentile 0.95 0.90 90th Percentile 14.08 1.99 2.27 90th Percentile 0.88 0.86 Large Company Large Company Growth Stock Option 15.36 0.09 0.09 Growth Stock Option 1.00 1.00

Oregon Savings Growth Plan 80 Large Company Growth Stock Option Equity Characteristics Analysis Summary

Portfolio Characteristics Percentile Rankings Rankings Against Callan Large Cap Growth Mutual Funds as of March 31, 2020

0% 10% (11) (11) 20% (26) (26) 30% 40% (40) (40) 50% 60% (66) (66) 70% 80% (81) (81) (81) (81) Percentile Ranking 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 167.35 27.73 7.18 19.35 1.38 1.34 25th Percentile 156.79 24.69 6.41 18.19 1.09 1.15 Median 117.66 22.71 5.19 15.92 0.90 1.06 75th Percentile 82.40 21.01 4.70 14.48 0.70 0.90 90th Percentile 59.12 18.37 4.23 12.91 0.62 0.72 Large Company Growth Stock Option 133.17 20.44 6.38 15.18 1.34 0.83 Russell 1000 Growth Index 133.17 20.44 6.38 15.18 1.34 0.83

Sector Allocation Diversification March 31, 2020 March 31, 2020

39.8 600

39.8 50%

Information Technology Mgr MV 39.2 (1) 14.9 500 14.9 Diversification Ratio Health Care 16.0 Manager 4% 14.1 400 Consumer Discretionary 14.1 Index 4%

15.5 50% 11.7 Mgr MV Style Median 21% 11.7 300 Communication Services 12.2 8.0 8.0 Industrials 7.2 200 4.7 4.7 Consumer Staples 3.5 100 2.9 Financials 2.9 (1) 3.4 0 2.5 Number of Issue 2.5 Real Estate 1.3 Securities Diversification 1.3 1.3 Materials 1.7 Sector Diversification 10th Percentile 123 16 25th Percentile 78 13 0.1 Manager 1.68 sectors Energy 0.1 Median 54 11 Index 1.68 sectors 75th Percentile 39 10 Utilities 90th Percentile 24 8 Large Company 0% 10% 20% 30% 40% 50% Growth Stock Option 521 20 Large Company Growth Stock Option Russell 1000 Growth Index Russell 1000 Callan Large Cap Grwth MF Growth Index 521 20

Oregon Savings Growth Plan 81 Current Holdings Based Style Analysis Large Company Growth Stock Option As of March 31, 2020

Style Map vs Callan Large Cap Grwth MF Style Exposure Matrix Holdings as of March 31, 2020 Holdings as of March 31, 2020

Mega 2.0% (10) 19.5% (74) 68.5% (109) 90.0% (193) Russell 1000 Growth Index Large Large Large Company Growth Stock Option 2.0% (10) 19.5% (74) 68.5% (109) 90.0% (193) 0.5% (30) 1.8% (71) 7.2% (169) 9.5% (270) Mid 0.5% (30) 1.8% (71) 7.2% (169) 9.5% (270) Large Company Growth Stock Option 0.1% (18) 0.2% (23)Russell 10000.2% Growth(14) Index0.4% (55) Mid Small 0.1% (18) 0.2% (23) 0.2% (14) 0.4% (55) 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) Micro 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) Small 2.6% (58) 21.5% (168) 75.9% (292) 100.0% (518) Total 2.6% (58) 21.5% (168) 75.9% (292) 100.0% (518) Micro Value Core Growth Value Core Growth Total

Combined Z-Score Style Distribution Holdings as of March 31, 2020

120% Bar #1=Large Company Growth Stock Option (Combined Z: 0.83 Growth Z: 0.38 Value Z: -0.4 Large 100% Bar #2=Russell 1000 Growth Index (Combined Z: 0.83 Growth Z: 0.38 Value Z: -0.45) Mid (292) (292) Small 80% 75.9% 75.9% Micro 60%

40% (168) (168) 21.5% 21.5% 20% (58) (58) 2.6% 2.6% 0% Value Core Growth

Sector Weights Distribution Holdings as of March 31, 2020

60% Bar #1=Large Company Growth Stock Option Value 50% Bar #2=Russell 1000 Growth Index Core 39.7 39.7 Growth 40%

30%

20% 14.1 14.1 14.9 14.9 11.7 11.7 10% 8.0 8.0 4.7 4.7 2.9 2.9 2.5 2.5 0.1 0.1 1.3 1.3 0% COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU RAWMAT REALES TECH

Oregon Savings Growth Plan 82 Historical Holdings Based Style Analysis Large Company Growth Stock Option For Three Years Ended March 31, 2020

Average Style Map vs Callan Large Cap Grwth MF Average Style Exposure Matrix Holdings for Three Years Ended March 31, 2020 Holdings for Three Years Ended March 31, 2020

Mega Large Company Growth Stock Option 5.3% (23) 21.6% (68) 58.5% (96) 85.4% (187) Large Russell 1000 Growth Index Large 5.3% (23) 21.6% (68) 58.5% (96) 85.4% (187) 0.6% (25) 4.5% (111) 8.9% (162) 14.0% (298) Mid 0.6% (25) 4.5% (111) 8.9% (162) 14.0% (298) 0.1% (10) 0.2% (18) 0.4% (22) 0.6% (50) Mid Small 0.1% (10) 0.2% (18) 0.4% (22) 0.6% (50) 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) Micro 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) Small 5.9% (58) 26.3% (197) 67.8% (280) 100.0% (535) Total 5.9% (58) 26.3% (197) 67.8% (280) 100.0% (535) Micro Value Core Growth Value Core Growth Total

Large Company Growth Stock Option Historical Cap/Style Exposures

100% 100% 90% 90% Micro-Growth 80% 80% Micro-Value Small-Growth 70% 70% Small-Core 60% 60% Small-Value 50% 50% Mid-Growth 40% 40% Mid-Core 30% 30% Mid-Value Large-Growth 20% 20% Large-Core 10% 10% Large-Value 0% 0% 2017 2018 2019 2020 Large Company Growth Stock Option Historical Style Only Exposures

100% 100% 90% 90% Growth 80% 80% Core Value 70% 70% 60% 60% 50% 50% 40% 40% 30% 30% 20% 20% 10% 10% 0% 0% 2017 2018 2019 2020

Oregon Savings Growth Plan 83 Small Company Stock Option Stock Option Small Company Small Company Stock Option Period Ended March 31, 2020

Quarterly Summary and Highlights Small Company Stock Option’s portfolio posted a (32.97)% return for the quarter placing it in the 63 percentile of the Callan Small Cap Mutual Funds group for the quarter and in the 68 percentile for the last year. Small Company Stock Option’s portfolio underperformed the Russell 2000 Index by 2.36% for the quarter and underperformed the Russell 2000 Index for the year by 3.17%.

Performance vs Callan Small Cap Mutual Funds (Institutional Net) 20%

10% (54) (61) (57) (62)

0% (54) (61) (57) (61) (10%)

(20%) (56) (68) (30%) (54) (63)

(40%)

(50%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (18.53) (8.89) 9.50 7.54 10.20 11.50 25th Percentile (22.21) (14.29) 4.50 4.30 8.18 10.30 Median (27.89) (21.40) (1.92) 0.53 5.02 7.89 75th Percentile (35.04) (30.06) (9.36) (3.23) 1.92 5.35 90th Percentile (38.97) (33.18) (11.93) (5.22) 0.07 3.57 Small Company Stock Option (32.97) (27.16) (6.21) (1.27) 3.40 6.40 Russell 2000 Index (30.61) (23.99) (4.64) (0.25) 4.21 6.90

Callan Small Cap Mutual Funds (Institutional Net) Relative Return vs Russell 2000 Index Annualized Five Year Risk vs Return

2.0% 15%

1.5% 10% 1.0%

0.5% 5% 0.0%

(0.5%) 0% Russell 2000 Index

(1.0%) Returns (5%) Small Company Stock Option

Relative Returns (1.5%)

(2.0%) (10%) (2.5%)

(3.0%) (15%) 2015 2016 2017 2018 2019 20 10 15 20 25 30 35 40 Standard Deviation Small Company Stock Option

Oregon Savings Growth Plan 85 Small Company Stock Option Return Analysis Summary

Performance vs Callan Small Cap Mutual Funds (Institutional Net)

50% 40% 30% (57) (66) (33) (33) 20% (57) (57) 10% (36) (37) 0% (59) (54) (10%) (53) (55) (20%) (30%) (54) (63) (40%) (50%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile (18.53) 37.15 0.17 28.61 29.16 1.04 8.47 25th Percentile (22.21) 31.82 (3.37) 24.09 24.48 (1.76) 6.23 Median (27.89) 26.16 (10.24) 16.39 15.80 (3.72) 3.48 75th Percentile (35.04) 22.69 (15.37) 10.84 8.41 (6.63) 0.16 90th Percentile (38.97) 19.95 (17.78) 7.64 5.37 (10.13) (3.23) Small Company Stock Option (32.97) 24.23 (11.77) 14.74 21.43 (4.17) 4.71 Russell 2000 Index (30.61) 25.52 (11.01) 14.65 21.31 (4.41) 4.89

Cumulative and Quarterly Relative Return vs Russell 2000 Index

(2%)

(4%) Relative Returns

(6%)

(8%) 2015 2016 2017 2018 2019 2020

Small Company Stock Option Callan Small Cap MFs

Risk Adjusted Return Measures vs Russell 2000 Index Rankings Against Callan Small Cap Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

10 8 6 4 2 0 (61) (60) (81) (2) (4) (6) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 7.45 0.30 0.84 25th Percentile 4.27 0.16 0.64 Median 0.65 (0.03) 0.13 75th Percentile (2.41) (0.19) (0.50) 90th Percentile (4.34) (0.27) (0.83) Small Company Stock Option (0.85) (0.11) (0.63)

Oregon Savings Growth Plan 86 Small Company Stock Option Risk Analysis Summary

Risk Analysis The graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs Callan Small Cap Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

0 Small Company Stock Option

(5 ) Excess Return

(10 )

(15 ) 0 2 4 6 8 10 12 14 16 18 20 Tracking Error

Market Capture vs Russell 2000 Index Rankings Against Callan Small Cap Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

180% 160% 140% 120% 100% (52) (30) 80% 60% 40% Up Market Down Capture Market Capture 10th Percentile 150.34 108.04 25th Percentile 131.34 103.76 Median 97.81 97.80 75th Percentile 77.65 88.07 90th Percentile 68.39 78.51 Small Company Stock Option 96.06 102.63

Risk Statistics Rankings vs Russell 2000 Index Rankings Against Callan Small Cap Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

30% 1.15 25% 1.10 (40) 1.05 (23) 20% 1.00 (1) 0.95 15% 0.90 10% 0.85 5% 0.80 (100) (100) 0.75 0% 0.70 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 23.78 6.49 10.42 10th Percentile 1.08 0.96 25th Percentile 22.52 5.33 8.30 25th Percentile 1.02 0.95 Median 21.26 4.34 6.46 Median 0.96 0.92 75th Percentile 20.17 3.53 5.28 75th Percentile 0.88 0.86 90th Percentile 18.15 2.79 4.59 90th Percentile 0.78 0.78 Small Company Small Company Stock Option 21.77 1.41 1.61 Stock Option 1.03 1.00

Oregon Savings Growth Plan 87 Small Company Stock Option Equity Characteristics Analysis Summary

Portfolio Characteristics Percentile Rankings Rankings Against Callan Small Cap Mutual Funds as of March 31, 2020

0% 10% 20% 30% 40% (47) (45) (46) 50% (53) (53) (52) (52) (57) (56) (55) 60% 70% (74) (76) 80% Percentile Ranking 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 3.58 38.80 3.48 20.77 3.17 0.71 25th Percentile 2.90 28.26 2.87 18.12 2.69 0.55 Median 2.20 17.49 1.74 14.49 1.64 0.12 75th Percentile 1.64 10.73 1.07 10.06 0.62 (0.50) 90th Percentile 1.21 9.56 0.90 8.77 0.44 (0.81) *Small Company Stock Option 1.57 13.75 1.36 12.65 1.94 (0.17) Russell 2000 Index 1.65 19.59 1.47 13.94 1.96 (0.08)

Sector Allocation Diversification March 31, 2020 March 31, 2020

19.3 3000 15.2 Industrials 18.4

16.7 50%

15.2 Mgr MV Information Technology 21.5 2500 16.7 (1) Diversification Ratio 16.7 Financials 11.4 Manager 13% 14.3 21.3 2000 Index 14% Health Care 22.7 Style Median 29%

12.1 50% 8.7 Consumer Discretionary 10.7 Mgr MV 1500 4.8 3.4 Materials 3.8 4.1 3.4 1000 Consumer Staples 3.9 3.7 7.6 Real Estate 4.3 3.2 500 2.3 Communication Services 2.4 (1) 2.9 4.4 0 Utilities Number of Issue 2.3 Sector Diversification 1.8 Securities Diversification Energy 0.9 Manager 2.84 sectors 0.1 Miscellaneous Index 2.79 sectors 10th Percentile 300 72 25th Percentile 147 41 Pooled Vehicles Median 101 29 75th Percentile 80 21 0% 5% 10% 15% 20% 25% 30% 90th Percentile 56 17 *Small Company Stock Option Russell 2000 Index *Small Company Callan Small Cap MFs Stock Option 2354 312 Russell 2000 Index 1998 286

*3/31/20 portfolio characteristics generated using most recently available holdings (1/31/20) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.

Oregon Savings Growth Plan 88 Current Holdings Based Style Analysis Small Company Stock Option As of March 31, 2020

Style Map vs Callan Small Cap MFs Style Exposure Matrix Holdings as of March 31, 2020 Holdings as of March 31, 2020

Mega 0.0% (0) 0.0% (0) 0.8% (9) 0.8% (9) Large Large 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 1.3% (28) 4.7% (71) 15.2% (155) 21.2% (254) Mid 0.2% (1) 7.1% (33) 15.9% (62) 23.3% (96) *Small Company Stock Option 14.2% (283) 26.2% (412) Russell26.6% 2000(346) Index67.0% (1041) Mid Small 14.4% (230) 26.6% (415) 26.7% (350) 67.8% (995) 4.7% (506) 4.2% (362) 2.2% (152) 11.1% (1020) Micro *Small Company Stock Option 3.4% (344) 3.9% (392) 1.7% (149) 9.0% (885) Small Russell 2000 Index 20.2% (817) 35.0% (845) 44.8% (662) 100.0% (2324) Total 18.0% (575) 37.6% (840) 44.3% (561) 100.0% (1976) Micro Value Core Growth Value Core Growth Total

Combined Z-Score Style Distribution Holdings as of March 31, 2020

70% Bar #1=*Small Company Stock Option (Combined Z: -0.17 Growth Z: -0.07 Value Z: 0.10) Large 60% Bar #2=Russell 2000 Index (Combined Z: -0.08 Growth Z: -0.13 Value Z: -0.05) Mid (662) (561) 50% (840) 44.8% 44.3% Small (845) Micro 40% 35.0% 37.6%

30% (817) (575) 20.2% 20% 18.0% 10% 0% Value Core Growth

Sector Weights Distribution Holdings as of March 31, 2020

30% Bar #1=*Small Company Stock Option Value 25% Bar #2=Russell 2000 Index Core 21.1 Growth 20% 19.3 16.7 16.7 16.7 15.3 15.2 15% 14.3 12.1 10% 8.8 7.5 4.0 4.5 4.7 5% 3.2 3.5 2.8 3.4 3.7 2.2 2.3 1.8 0.1 0.0 0% COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU MISC PUBUTL RAWMAT REALES TECH

Oregon Savings Growth Plan 89 Active Share Structure Analysis For One Quarter Ended March 31, 2020

This analysis compares multiple portfolios and composites in an active share context, illustrating the varying degrees of active risk taken by individual portfolios, and how they combine into active risk profiles for composites and the equity structure. Two sources of active share (active risk) are shown: 1) Total Holdings-Based Active Share based on individual position comparisons to the index (and the subcomponent from holding non-index securities), and 2) Sector Exposure Active Share that quantifies the more macro-level sector differences from the index.

Active Share Analysis Ended March 31, 2020

80%

70% Pleiades Small Cap Equity

60%

50%

40% Small Company Stock DFA US Small Cap Portfolio

30%

20% Holdings-Based Total Active Share

10%

BlackRock S&P 600 Index 0% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% Sector Exposure Active Share

Weight Total Non-Idx Sector Number Security % Index Act Share Act Share Act Share Securities Diverse *Small Company Stock 100.00% Russell 2000 40.67% 10.01% 12.50% 2354 311.55 BlackRock S&P 600 Index 29.14% S&P 600 Small Cap 0.00% 0.00% 0.00% 601 133.28 Pleiades Small Cap Equity 34.93% Russell 2000 69.05% 20.90% 15.65% 826 185.97 DFA US Small Cap Portfolio 35.93% Russell 2000 35.78% 7.94% 17.07% 2024 262.10

Oregon Savings Growth Plan 90 BlackRock S&P 600 Index Fund Period Ended March 31, 2020

Quarterly Summary and Highlights BlackRock S&P 600 Index Fund’s portfolio posted a (32.67)% return for the quarter placing it in the 58 percentile of the Callan Small Capitalization group for the quarter and in the 58 percentile for the last year. BlackRock S&P 600 Index Fund’s portfolio underperformed the S&P 600 Small Cap Index by 0.04% for the quarter and underperformed the S&P 600 Small Cap Index for the year by 0.00%.

Performance vs Callan Small Capitalization (Gross) 10%

(10%) (54) (54)

(20%)

(58) (58) (30%) (57) (58)

(40%)

(50%) Last Quarter Last Year Last 2-1/2 Years 10th Percentile (21.13) (12.42) 3.23 25th Percentile (25.42) (17.66) (1.60) Median (31.75) (24.59) (8.27) 75th Percentile (35.15) (29.42) (12.97) 90th Percentile (38.03) (32.41) (15.03) BlackRock S&P 600 Index Fund (32.67) (25.89) (9.10) S&P 600 Small Cap Index (32.64) (25.89) (9.14)

Callan Small Capitalization (Gross) Relative Return vs S&P 600 Small Cap Index Annualized Two and One-Half Year Risk vs Return

0.10% 15%

10%

5% 0.05% 0%

(5%) BlackRock S&P 600 Index Fund Returns (10%) 0.00% Relative Returns S&P 600 Small Cap Index (15%)

(20%)

(0.05%) (25%) 2017 2018 2019 2020 15 20 25 30 35 40 Standard Deviation BlackRock S&P 600 Index Fund

Oregon Savings Growth Plan 91 BlackRock S&P 600 Index Fund Equity Characteristics Analysis Summary

Portfolio Characteristics Percentile Rankings Rankings Against Callan Small Capitalization as of March 31, 2020

0% 10% 20% 30% (32) (32) 40% 50% (52) (52) (57) (57) (56) (56) 60% (65) (65) 70% 80% (81) (81) Percentile Ranking 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 3.18 37.17 3.41 20.88 3.07 0.68 25th Percentile 2.51 23.24 2.70 16.69 2.51 0.47 Median 2.00 14.03 1.48 12.85 1.82 (0.11) 75th Percentile 1.47 10.76 1.10 10.39 0.73 (0.52) 90th Percentile 1.17 9.41 0.95 8.70 0.45 (0.71) BlackRock S&P 600 Index Fund 1.37 13.88 1.31 11.35 2.30 (0.20) S&P 600 Small Cap Idx 1.37 13.88 1.31 11.35 2.30 (0.20)

Sector Allocation Diversification March 31, 2020 March 31, 2020

18.0 700 Industrials 18.0 17.5 (3) 17.3 600

Financials 17.3 50% Diversification Ratio 16.5 Mgr MV 15.3 500 Manager 22% 15.3 Information Technology 18.1 Index 22% 13.9 400 Style Median 30% 13.9 Health Care 19.5 50%

11.4 Mgr MV 300 11.4 Consumer Discretionary 9.9 8.0 200 Real Estate 8.0 (1) 6.0 100 4.7 Materials 4.7 3.6 0 3.9 Number of Issue 3.9 Consumer Staples 3.5 Securities Diversification 2.9 2.9 Utilities 2.2 Sector Diversification 10th Percentile 305 68 25th Percentile 143 41 2.8 Manager 2.96 sectors Communication Services 2.8 Median 93 28 1.9 Index 2.96 sectors 75th Percentile 69 21 1.8 1.8 90th Percentile 52 16 Energy 1.3 BlackRock S&P 0% 5% 10% 15% 20% 25% 600 Index Fund 601 133 BlackRock S&P 600 Index Fund S&P 600 Small Cap Idx S&P 600 Callan Small Cap Small Cap Idx 601 133

Oregon Savings Growth Plan 92 Current Holdings Based Style Analysis BlackRock S&P 600 Index Fund As of March 31, 2020

Style Map vs Callan Small Cap Style Exposure Matrix Holdings as of March 31, 2020 Holdings as of March 31, 2020

Mega 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) Large Large 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 2.9% (5) 7.3% (13) 10.1% (18) Mid 0.0% (0) 2.9% (5) 7.3% (13) 10.1% (18) BlackRock S&P 600 Index Fund 16.2% (104) 32.0% (166) S&P35.6% 600 Small(153) Cap 83.8%Index (423) Mid Small 16.2% (104) 32.0% (166) 35.6% (153) 83.8% (423) 3.1% (92) 2.3% (53) 0.7% (13) 6.1% (158) Micro 3.1% (92) 2.3% (53) 0.7% (13) 6.1% (158) S&P 600 Small Cap Index Small 19.3% (196) 37.2% (224) 43.5% (179) 100.0% (599) Total BlackRock S&P 600 Index Fund 19.3% (196) 37.2% (224) 43.5% (179) 100.0% (599) Micro Value Core Growth Value Core Growth Total

Combined Z-Score Style Distribution Holdings as of March 31, 2020

70% Bar #1=BlackRock S&P 600 Index Fund (Combined Z: -0.20 Growth Z: -0.08 Value Z: 0.13) Large 60% Bar #2=S&P 600 Small Cap Index (Combined Z: -0.20 Growth Z: -0.08 Value Z: 0.13) Mid (179) (179) 50% Small (224) (224) 43.5% 43.5% 40% 37.2% 37.2% Micro

30% (196) (196) 20% 19.3% 19.3% 10% 0% Value Core Growth

Sector Weights Distribution Holdings as of March 31, 2020

25% Bar #1=BlackRock S&P 600 Index Fund Value Bar #2=S&P 600 Small Cap Index Core 20% 18.0 18.0 17.3 17.3 Growth 15.2 15.2 15% 13.9 13.9 11.4 11.4

10% 8.0 8.0

5% 3.9 3.9 4.7 4.7 2.8 2.8 2.9 2.9 1.8 1.8 0% COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH

Oregon Savings Growth Plan 93 Historical Holdings Based Style Analysis BlackRock S&P 600 Index Fund For Three Years Ended March 31, 2020

Average Style Map vs Callan Small Cap Average Style Exposure Matrix Holdings for Three Years Ended March 31, 2020 Holdings for Three Years Ended March 31, 2020

Mega 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) Large Large 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 0.1% (0) 0.7% (1) 1.9% (3) 2.6% (4) Mid 0.1% (0) 0.7% (1) 1.9% (3) 2.6% (4) 21.1% (120) 38.5% (195) 30.6% (139) 90.2% (454) Mid Small 21.1% (120) 38.5% (195) 30.6% (139) 90.2% (454) 3.0% (62) 3.0% (57) 1.3% (21) 7.2% (140) Micro 3.0% (62) 3.0% (57) 1.3% (21) 7.2% (140) S&P 600 Small Cap Index Small 24.1% (182) 42.1% (253) 33.7% (163) 100.0% (598) Total BlackRock S&P 600 Index Fund 24.1% (182) 42.1% (253) 33.7% (163) 100.0% (598) Micro Value Core Growth Value Core Growth Total

BlackRock S&P 600 Index Fund Historical Cap/Style Exposures

100% 100% 90% 90% Micro-Growth 80% 80% Micro-Core Micro-Value 70% 70% Small-Growth 60% 60% Small-Core 50% 50% Small-Value 40% 40% Mid-Growth 30% 30% Mid-Core Mid-Value 20% 20% 10% 10% 0% 0% 2017 2018 2019 2020 BlackRock S&P 600 Index Fund Historical Style Only Exposures

100% 100% 90% 90% Growth 80% 80% Core Value 70% 70% 60% 60% 50% 50% 40% 40% 30% 30% 20% 20% 10% 10% 0% 0% 2017 2018 2019 2020

Oregon Savings Growth Plan 94 Pleiades Small Cap Equity Period Ended March 31, 2020

Quarterly Summary and Highlights Pleiades Small Cap Equity’s portfolio posted a (33.11)% return for the quarter placing it in the 62 percentile of the Callan Small Capitalization group for the quarter and in the 63 percentile for the last year. Pleiades Small Cap Equity’s portfolio underperformed the Russell 2000 Index by 2.49% for the quarter and underperformed the Russell 2000 Index for the year by 3.34%.

Performance vs Callan Small Capitalization (Gross) 20%

10% (68) (63) (60) (59)

0% (56) (57) (51) (49)

(10%)

(20%) (47) (63) (30%) (43) (62)

(40%)

(50%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (21.13) (12.42) 7.00 5.88 9.46 11.74 25th Percentile (25.42) (17.66) 1.60 3.27 7.53 10.32 Median (31.75) (24.59) (4.42) 0.35 5.10 8.22 75th Percentile (35.15) (29.42) (8.96) (2.30) 3.00 6.55 90th Percentile (38.03) (32.41) (10.68) (4.12) 1.48 5.58 Pleiades Small Cap Equity (33.11) (27.33) (4.38) (0.31) 4.27 7.23 Russell 2000 Index (30.61) (23.99) (4.64) (0.25) 4.21 6.90

Callan Small Capitalization (Gross) Relative Return vs Russell 2000 Index Annualized Five Year Risk vs Return

4% 15%

3% 10% 2%

1% 5%

Returns 0% (1%) Russell 2000 Index

Relative Returns Pleiades Small Cap Equity (2%) (5%) (3%)

(4%) (10%) 2015 2016 2017 2018 2019 20 14 16 18 20 22 24 26 28 Standard Deviation Pleiades Small Cap Equity

Oregon Savings Growth Plan 95 Pleiades Small Cap Equity Return Analysis Summary

Performance vs Callan Small Capitalization (Gross)

50% 40% 30% (51) (48) (42) (50) 20% (53) (35) 10% (58) (78) 0% (70) (76) (10%) (55) (49) (20%) (30%) (43) (62) (40%) (50%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile (21.13) 36.37 0.12 29.07 30.60 3.84 10.36 25th Percentile (25.42) 30.38 (4.56) 23.09 25.44 (0.06) 8.23 Median (31.75) 25.94 (10.56) 15.21 20.21 (2.30) 5.66 75th Percentile (35.15) 22.19 (14.34) 10.37 11.37 (5.11) 2.35 90th Percentile (38.03) 19.26 (16.78) 7.42 5.87 (8.14) (2.32) Pleiades Small Cap Equity (33.11) 26.20 (10.20) 19.06 20.34 (5.36) 1.78 Russell 2000 Index (30.61) 25.52 (11.01) 14.65 21.31 (4.41) 4.89

Cumulative and Quarterly Relative Return vs Russell 2000 Index

(2%) Relative Returns (4%)

(6%) 2015 2016 2017 2018 2019 2020

Pleiades Small Cap Equity Callan Small Cap

Risk Adjusted Return Measures vs Russell 2000 Index Rankings Against Callan Small Capitalization (Gross) Five Years Ended March 31, 2020

8 6 4 2 0 (55) (56) (57) (2) (4) (6) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 6.10 0.24 0.83 25th Percentile 3.70 0.10 0.57 Median 0.72 (0.04) 0.14 75th Percentile (1.58) (0.16) (0.38) 90th Percentile (3.27) (0.22) (0.67) Pleiades Small Cap Equity 0.25 (0.07) (0.03)

Oregon Savings Growth Plan 96 Pleiades Small Cap Equity Risk Analysis Summary

Risk Analysis The graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs Callan Small Capitalization (Gross) Five Years Ended March 31, 2020

0 Pleiades Small Cap Equity Excess Return

(5 )

(10 ) 0 2 4 6 8 10 12 14 16 18 Tracking Error

Market Capture vs Russell 2000 Index Rankings Against Callan Small Capitalization (Gross) Five Years Ended March 31, 2020

160% 150% 140% 130% 120% 110% (32) (14) 100% 90% 80% 70% 60% Up Market Down Capture Market Capture 10th Percentile 146.23 107.31 25th Percentile 118.86 102.30 Median 96.19 97.25 75th Percentile 80.41 92.23 90th Percentile 73.59 82.78 Pleiades Small Cap Equity 111.07 105.12

Risk Statistics Rankings vs Russell 2000 Index Rankings Against Callan Small Capitalization (Gross) Five Years Ended March 31, 2020

30% 1.15 25% 1.10 (26) (15) 20% 1.05 1.00 (2) 15% 0.95 10% 0.90 5% 0.85 (97) (98) 0% 0.80 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 23.89 5.89 9.19 10th Percentile 1.08 0.98 25th Percentile 22.65 4.80 7.45 25th Percentile 1.04 0.96 Median 21.59 3.79 5.71 Median 0.98 0.94 75th Percentile 20.35 2.71 4.37 75th Percentile 0.93 0.90 90th Percentile 19.20 2.18 3.10 90th Percentile 0.86 0.85 Pleiades Pleiades Small Cap Equity 22.55 1.58 2.47 Small Cap Equity 1.06 0.99

Oregon Savings Growth Plan 97 Pleiades Small Cap Equity Equity Characteristics Analysis Summary

Portfolio Characteristics Percentile Rankings Rankings Against Callan Small Capitalization as of March 31, 2020

0% 10% 20% 30% (31) 40% (42) (46) (44) (46) (50) (49) (48) (49) 50% (54) (54) 60% (65) 70% 80% Percentile Ranking 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 3.18 37.17 3.41 20.88 3.07 0.68 25th Percentile 2.51 23.24 2.70 16.69 2.51 0.47 Median 2.00 14.03 1.48 12.85 1.82 (0.11) 75th Percentile 1.47 10.76 1.10 10.39 0.73 (0.52) 90th Percentile 1.17 9.41 0.95 8.70 0.45 (0.71) Pleiades Small Cap Equity 1.93 14.66 1.48 13.65 1.67 (0.09) Russell 2000 Index 1.65 19.59 1.47 13.94 1.96 (0.08)

Sector Allocation Diversification March 31, 2020 March 31, 2020

19.5 1000 Industrials 15.2 17.5 900 18.9 15.2 50% Mgr MV (2) Information Technology 18.1 800 Diversification Ratio 17.9 21.3 Manager 23% Health Care 19.5 700 13.0 Index 14% 8.7 Consumer Discretionary 9.9 600 Style Median 30% 12.3 50% 16.7 Mgr MV 500 Financials 16.5 4.5 3.4 400 Materials 3.6 3.4 300 3.4 Consumer Staples 3.5 3.3 200 (1) 7.6 Real Estate 6.0 100 3.3 2.3 Communication Services 1.9 0 2.6 Number of Issue 1.8 Energy 1.3 Securities Diversification 1.0 4.4 Sector Diversification Utilities 2.2 10th Percentile 305 68 0.2 Manager 2.65 sectors 25th Percentile 143 41 Miscellaneous Index 2.79 sectors Median 93 28 0.1 75th Percentile 69 21 Pooled Vehicles 90th Percentile 52 16 0% 5% 10% 15% 20% 25% 30% Pleiades Pleiades Small Cap Equity Russell 2000 Index Small Cap Equity 826 186 Callan Small Cap Russell 2000 Index 1998 286

Oregon Savings Growth Plan 98 Current Holdings Based Style Analysis Pleiades Small Cap Equity As of March 31, 2020

Style Map vs Callan Small Cap Style Exposure Matrix Holdings as of March 31, 2020 Holdings as of March 31, 2020

Mega 0.0% (0) 0.0% (0) 2.4% (9) 2.4% (9) Large Large 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 3.4% (25) 6.3% (48) 21.8% (121) 31.5% (194) Mid 0.2% (1) 7.1% (33) 15.9% (62) 23.3% (96) Pleiades Small Cap Equity 10.3% (88) 19.1% (164) 18.5%Russell(147) 2000 Index47.9% (399) Mid Small 14.4% (230) 26.6% (415) 26.7% (350) 67.8% (995) 6.8% (92) 6.6% (78) 4.7% (46) 18.2% (216) Micro Pleiades Small Cap Equity 3.4% (344) 3.9% (392) 1.7% (149) 9.0% (885) Small Russell 2000 Index 20.6% (205) 32.0% (290) 47.4% (323) 100.0% (818) Total 18.0% (575) 37.6% (840) 44.3% (561) 100.0% (1976) Micro Value Core Growth Value Core Growth Total

Combined Z-Score Style Distribution Holdings as of March 31, 2020

80% Large 70% Bar #1=Pleiades Small Cap Equity (Combined Z: -0.09 Growth Z: -0.05 Value Z: 0.04) Bar #2=Russell 2000 Index (Combined Z: -0.08 Growth Z: -0.13 Value Z: -0.05) Mid 60% (323) (561) Small 47.4% 50% (840) 44.3% Micro 40% (290) 37.6% 32.0% 30% (205) (575) 20.6% 20% 18.0% 10% 0% Value Core Growth

Sector Weights Distribution Holdings as of March 31, 2020

30% Bar #1=Pleiades Small Cap Equity Value 25% Bar #2=Russell 2000 Index Core 21.1 19.7 19.0 Growth 20% 17.8 16.7 15.3 15.2 15% 13.1 12.2 10% 8.8 7.5 4.5 4.5 5% 3.4 3.2 3.5 3.4 3.3 2.2 2.6 1.8 1.0 0.1 0.0 0% COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU MISC PUBUTL RAWMAT REALES TECH

Oregon Savings Growth Plan 99 Historical Holdings Based Style Analysis Pleiades Small Cap Equity For Three Years Ended March 31, 2020

Average Style Map vs Callan Small Cap Average Style Exposure Matrix Holdings for Three Years Ended March 31, 2020 Holdings for Three Years Ended March 31, 2020

Mega 0.1% (1) 0.6% (3) 1.2% (6) 1.9% (10) Large Large 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 4.3% (34) 7.9% (59) 16.5% (102) 28.7% (195) Mid 1.4% (7) 3.7% (18) 6.8% (31) 11.9% (56) 10.4% (88) 19.0% (162) 18.8% (157) 48.2% (407) Mid Small 19.1% (266) 31.3% (434) 26.3% (349) 76.7% (1049) 7.2% (91) 8.4% (106) 5.7% (64) 21.3% (261) Micro Pleiades Small Cap Equity 3.9% (296) 4.6% (379) 2.9% (209) 11.4% (884) Small Russell 2000 Index 22.1% (214) 35.8% (330) 42.1% (329) 100.0% (873) Total 24.4% (569) 39.6% (831) 36.0% (589) 100.0% (1989) Micro Value Core Growth Value Core Growth Total

Pleiades Small Cap Equity Historical Cap/Style Exposures

100% 100% 90% 90% Growth 80% 80% Core Value 70% 70% 60% 60% 50% 50% 40% 40% 30% 30% 20% 20% 10% 10% 0% 0% 2017 2018 2019 2020

Oregon Savings Growth Plan 100 DFA US Small Cap Portfolio Period Ended March 31, 2020

Investment Philosophy Dimensional’s core philosophical principles are: public capital markets work (Dimensional uses information in market prices to identify reliable dimensions of expected market returns: size, relative price, and profitability and to design and implement strategies along those dimensions); diversification is essential (helps reduce uncertainty, manage risk, increase the reliability of outcomes, and provide flexibility); and managing tradeoffs adds value (Dimensional seeks to add value by targeting market premiums efficiently and continuously, reducing the costs associated with turnover, and implementing a flexible trading strategy).

Quarterly Summary and Highlights DFA US Small Cap Portfolio’s portfolio posted a (32.73)% return for the quarter placing it in the 62 percentile of the Callan Small Cap Mutual Funds group for the quarter and in the 68 percentile for the last year. DFA US Small Cap Portfolio’s portfolio underperformed the Russell 2000 Index by 2.12% for the quarter and underperformed the Russell 2000 Index for the year by 3.16%.

Performance vs Callan Small Cap Mutual Funds (Institutional Net)

20%

10% (54) (56) (57) (63) 0% (54) (66) (57) (65) (10%)

(20%) (56) (68) (30%) (54) (62)

(40%)

(50%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (18.53) (8.89) 9.50 7.54 10.20 11.50 25th Percentile (22.21) (14.29) 4.50 4.30 8.18 10.30 Median (27.89) (21.40) (1.92) 0.53 5.02 7.89 75th Percentile (35.04) (30.06) (9.36) (3.23) 1.92 5.35 90th Percentile (38.97) (33.18) (11.93) (5.22) 0.07 3.57 DFA US Small Cap Portfolio (32.73) (27.15) (7.72) (1.84) 3.25 6.73 Russell 2000 Index (30.61) (23.99) (4.64) (0.25) 4.21 6.90

Callan Small Cap Mutual Funds (Institutional Net) Relative Return vs Russell 2000 Index Annualized Five Year Risk vs Return

5% 15%

4% 10% 3% 5% 2%

1% 0% Russell 2000 Index

0% Returns (5%) DFA US Small Cap Portfolio Relative Returns (1%) (10%) (2%)

(3%) (15%) 2015 2016 2017 2018 2019 20 10 15 20 25 30 35 40 Standard Deviation DFA US Small Cap Portfolio

Oregon Savings Growth Plan 101 DFA US Small Cap Portfolio Return Analysis Summary

Performance vs Callan Small Cap Mutual Funds (Institutional Net)

50% 40% 30% (57) (79) (33) (28) 20% (57) 10% (71) (36) (40) 0% (59) (45) (10%) (53) (60) (20%) (30%) (54) (62) (40%) (50%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile (18.53) 37.15 0.17 28.61 29.16 1.04 8.47 25th Percentile (22.21) 31.82 (3.37) 24.09 24.48 (1.76) 6.23 Median (27.89) 26.16 (10.24) 16.39 15.80 (3.72) 3.48 75th Percentile (35.04) 22.69 (15.37) 10.84 8.41 (6.63) 0.16 90th Percentile (38.97) 19.95 (17.78) 7.64 5.37 (10.13) (3.23) DFA US Small Cap Portfolio (32.73) 21.75 (13.13) 11.52 23.53 (3.29) 4.44 Russell 2000 Index (30.61) 25.52 (11.01) 14.65 21.31 (4.41) 4.89

Cumulative and Quarterly Relative Return vs Russell 2000 Index

8% 6% 4% 2% 0% (2%) (4%)

Relative Returns (6%) (8%) (10%) 2015 2016 2017 2018 2019 2020

DFA US Small Cap Portfolio Callan Small Cap MFs

Risk Adjusted Return Measures vs Russell 2000 Index Rankings Against Callan Small Cap Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

10 8 6 4 2 0 (67) (75) (2) (68) (4) (6) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 7.45 0.30 0.84 25th Percentile 4.27 0.16 0.64 Median 0.65 (0.03) 0.13 75th Percentile (2.41) (0.19) (0.50) 90th Percentile (4.34) (0.27) (0.83) DFA US Small Cap Portfolio (1.54) (0.14) (0.50)

Oregon Savings Growth Plan 102 DFA US Small Cap Portfolio Risk Analysis Summary

Risk Analysis The graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs Callan Small Cap Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

0 DFA US Small Cap Portfolio

(5 ) Excess Return

(10 )

(15 ) 0 2 4 6 8 10 12 14 16 18 20 Tracking Error

Market Capture vs Russell 2000 Index Rankings Against Callan Small Cap Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

180% 160% 140% 120% 100% (44) 80% (67) 60% 40% Up Market Down Capture Market Capture 10th Percentile 150.34 108.04 25th Percentile 131.34 103.76 Median 97.81 97.80 75th Percentile 77.65 88.07 90th Percentile 68.39 78.51 DFA US Small Cap Portfolio 82.54 98.57

Risk Statistics Rankings vs Russell 2000 Index Rankings Against Callan Small Cap Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

30% 1.15 1.10 25% 1.05 (58) 20% 1.00 (35) (3) 0.95 15% 0.90 10% 0.85 5% 0.80 (98) (97) 0.75 0% 0.70 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 23.78 6.49 10.42 10th Percentile 1.08 0.96 25th Percentile 22.52 5.33 8.30 25th Percentile 1.02 0.95 Median 21.26 4.34 6.46 Median 0.96 0.92 75th Percentile 20.17 3.53 5.28 75th Percentile 0.88 0.86 90th Percentile 18.15 2.79 4.59 90th Percentile 0.78 0.78 DFA US Small DFA US Small Cap Portfolio 21.07 2.37 3.18 Cap Portfolio 0.99 0.98

Oregon Savings Growth Plan 103 DFA US Small Cap Portfolio Equity Characteristics Analysis Summary

Portfolio Characteristics Percentile Rankings Rankings Against Callan Small Cap Mutual Funds as of March 31, 2020

0% 10% 20% 30% 40% (47) (45) (46) 50% (53) (52) (52) (55) (57) 60% (59) (59) 70% (74) (74) 80% Percentile Ranking 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 3.58 38.80 3.48 20.77 3.17 0.71 25th Percentile 2.90 28.26 2.87 18.12 2.69 0.55 Median 2.20 17.49 1.74 14.49 1.64 0.12 75th Percentile 1.64 10.73 1.07 10.06 0.62 (0.50) 90th Percentile 1.21 9.56 0.90 8.77 0.44 (0.81) *DFA US Small Cap Portfolio 1.64 12.89 1.29 12.90 1.89 (0.20) Russell 2000 Index 1.65 19.59 1.47 13.94 1.96 (0.08)

Sector Allocation Diversification March 31, 2020 March 31, 2020

20.3 2500 15.2 Industrials 18.4 20.2 16.7 50% Financials 11.4 Mgr MV 2000 (1) Diversification Ratio 15.9 15.2 Manager 13% Information Technology 21.5 Index 14% 11.7 8.7 1500 Style Median 29% Consumer Discretionary 10.7 50%

11.3 Mgr MV 21.3 Health Care 22.7 1000 5.1 3.4 Materials 3.8 4.8 3.4 500 Consumer Staples 3.9 4.6 (1) Utilities 4.4 0 3.4 Number of Issue Communication Services 2.3 Sector Diversification 2.4 Securities Diversification 2.3 Manager 2.60 sectors 1.8 Energy 0.9 Index 2.79 sectors 10th Percentile 300 72 0.5 7.6 25th Percentile 147 41 Real Estate 4.3 Median 101 29 75th Percentile 80 21 0% 5% 10% 15% 20% 25% 30% 90th Percentile 56 17 *DFA US Small Cap Portfolio Russell 2000 Index *DFA US Small Callan Small Cap MFs Cap Portfolio 2024 262 Russell 2000 Index 1998 286

Oregon Savings Growth Plan 104 Current Holdings Based Style Analysis DFA US Small Cap Portfolio As of March 31, 2020

Style Map vs Callan Small Cap Style Exposure Matrix Holdings as of March 31, 2020 Holdings as of March 31, 2020

Mega 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) Large Large 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 0.3% (4) 4.7% (36) 15.8% (85) 20.8% (125) Mid 0.2% (1) 7.1% (33) 15.9% (62) 23.3% (96) *DFA US Small Cap Portfolio 16.2% (243) 27.8% (367) Russell26.6% 2000(318) Index70.6% (928) Mid Small 14.4% (230) 26.6% (415) 26.7% (350) 67.8% (995) 4.0% (480) 3.5% (338) 1.1% (132) 8.7% (950) Micro *DFA US Small Cap Portfolio 3.4% (344) 3.9% (392) 1.7% (149) 9.0% (885) Small Russell 2000 Index 20.5% (727) 36.0% (741) 43.5% (535) 100.0% (2003) Total 18.0% (575) 37.6% (840) 44.3% (561) 100.0% (1976) Micro Value Core Growth Value Core Growth Total

Combined Z-Score Style Distribution Holdings as of March 31, 2020

70% Bar #1=*DFA US Small Cap Portfolio (Combined Z: -0.20 Growth Z: -0.07 Value Z: 0.13) Large 60% Bar #2=Russell 2000 Index (Combined Z: -0.08 Growth Z: -0.13 Value Z: -0.05) Mid (535) (561) 50% Small (741) (840) 43.5% 44.3% Micro 40% 36.0% 37.6% (727) 30% (575) 20.5% 20% 18.0% 10% 0% Value Core Growth

Sector Weights Distribution Holdings as of March 31, 2020

30% Bar #1=*DFA US Small Cap Portfolio Value 25% Bar #2=Russell 2000 Index Core 20.4 21.1 20.2 Growth 20% 16.7 15.3 16.0 15.2 15% 11.7 11.3 10% 8.8 7.5 4.8 4.4 4.5 4.9 5% 3.4 3.5 3.4 2.2 2.3 1.8 0.1 0.0 0.5 0% COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU MISC PUBUTL RAWMAT REALES TECH

Oregon Savings Growth Plan 105 Historical Holdings Based Style Analysis DFA US Small Cap Portfolio For Three Years Ended March 31, 2020

Average Style Map vs Callan Small Cap MFs Average Style Exposure Matrix Holdings for Three Years Ended March 31, 2020 Holdings for Three Years Ended March 31, 2020

Mega 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) Large Large 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 1.2% (18) 3.0% (29) 5.8% (39) 10.0% (86) Mid 1.4% (7) 3.7% (18) 6.8% (31) 11.9% (56) 20.5% (251) 35.8% (406) 23.0% (282) 79.4% (939) Mid Small 19.1% (266) 31.3% (434) 26.3% (349) 76.7% (1049) 3.9% (395) 4.3% (402) 2.4% (176) 10.6% (973) Micro *DFA US Small Cap Portfolio 3.9% (296) 4.6% (379) 2.9% (209) 11.4% (884) Small Russell 2000 Index 25.7% (664) 43.1% (837) 31.2% (497) 100.0% (1998) Total 24.4% (569) 39.6% (831) 36.0% (589) 100.0% (1989) Micro Value Core Growth Value Core Growth Total

*DFA US Small Cap Portfolio Historical Cap/Style Exposures

100% 100% 90% 90% Micro-Growth 80% 80% Micro-Core Micro-Value 70% 70% Small-Growth 60% 60% Small-Core 50% 50% Small-Value 40% 40% Mid-Growth 30% 30% Mid-Core Mid-Value 20% 20% Large-Value 10% 10% 0% 0% 2017 2018 2019 2020 *DFA US Small Cap Portfolio Historical Style Only Exposures

100% 100% 90% 90% Growth 80% 80% Core Value 70% 70% 60% 60% 50% 50% 40% 40% 30% 30% 20% 20% 10% 10% 0% 0% 2017 2018 2019 2020 *3/31/20 portfolio characteristics generated using most recently available holdings (1/31/20) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.

Oregon Savings Growth Plan 106 International Stock Option International Stock Option International International Stock Option Period Ended March 31, 2020

Quarterly Summary and Highlights International Stock Option’s portfolio posted a (25.14)% return for the quarter placing it in the 68 percentile of the Callan Non US Equity Mutual Funds group for the quarter and in the 75 percentile for the last year. International Stock Option’s portfolio underperformed the MSCI ACWI ex US Index by 1.78% for the quarter and underperformed the MSCI ACWI ex US Index for the year by 2.48%.

Performance vs Callan Non US Equity Mutual Funds (Institutional Net) 10%

5% (66) (62) (64) (64) 0% (48) (49) (62) (67) (5%)

(10%)

(15%) (55) (75) (20%)

(55) (25%) (68)

(30%)

(35%)

(40%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (19.10) (7.59) 2.49 2.35 4.65 5.45 25th Percentile (20.49) (10.14) 0.81 1.16 3.05 4.32 Median (22.82) (14.66) (2.03) (0.79) 1.58 2.87 75th Percentile (26.13) (18.17) (4.48) (2.44) 0.49 1.56 90th Percentile (30.97) (25.80) (8.23) (4.42) (0.75) 0.60 International Stock Option (25.14) (18.06) (3.41) (1.24) 1.05 2.34 MSCI ACWI ex US Index (23.36) (15.57) (1.96) (0.64) 1.06 2.05

Callan Non US Equity Mutual Funds (Institutional Net) Relative Return vs MSCI ACWI ex US Index Annualized Five Year Risk vs Return

2.0% 8%

1.5% 6%

1.0% 4% 0.5% 2% 0.0% 0% (0.5%) MSCI ACWI ex US Index Returns (2%) (1.0%) International Stock Option Relative Returns (4%) (1.5%)

(2.0%) (6%)

(2.5%) (8%) 2015 2016 2017 2018 2019 20 10 15 20 25 Standard Deviation International Stock Option

Oregon Savings Growth Plan 108 International Stock Option Return Analysis Summary

Performance vs Callan Non US Equity Mutual Funds (Institutional Net)

50% 40% 30% (47) (43) 20% (67) (75) 10% (15) 0% (20) (93) (80) (32) (43) (10%) (33) (55) (20%) (55) (68) (30%) (40%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile (19.10) 29.86 (10.33) 32.71 5.78 4.89 0.25 25th Percentile (20.49) 28.07 (13.79) 30.00 2.66 2.35 (2.78) Median (22.82) 22.83 (15.04) 26.90 0.23 0.02 (5.48) 75th Percentile (26.13) 20.57 (17.67) 23.95 (2.25) (1.86) (6.75) 90th Percentile (30.97) 15.53 (19.35) 22.13 (5.47) (3.96) (9.16) International Stock Option (25.14) 20.78 (15.57) 27.70 3.46 (2.59) (5.06) MSCI ACWI ex US Index (23.36) 21.51 (14.20) 27.19 4.50 (5.66) (3.87)

Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Index

6% 5% 4% 3% 2% 1% 0% (1%)

Relative Returns (2%) (3%) (4%) 2015 2016 2017 2018 2019 2020

International Stock Option Callan Non US Equity MFs

Risk Adjusted Return Measures vs MSCI ACWI ex US Index Rankings Against Callan Non US Equity Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

4 3 2 1 0 (63) (59) (71) (1) (2) (3) (4) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 2.93 0.07 0.71 25th Percentile 1.75 (0.00) 0.47 Median (0.05) (0.12) (0.03) 75th Percentile (1.73) (0.22) (0.56) 90th Percentile (3.13) (0.29) (0.87) International Stock Option (0.47) (0.14) (0.39)

Oregon Savings Growth Plan 109 International Stock Option Risk Analysis Summary

Risk Analysis The graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs Callan Non US Equity Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

0 International Stock Option (2 ) Excess Return (4 )

(6 )

(8 ) 0 1 2 3 4 5 6 7 8 9 10 11 Tracking Error

Market Capture vs MSCI ACWI ex US Index Rankings Against Callan Non US Equity Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

140% 130% 120% 110% (45) 100% (54) 90% 80% 70% Up Market Down Capture Market Capture 10th Percentile 130.34 119.61 25th Percentile 117.68 107.04 Median 101.99 102.18 75th Percentile 93.27 95.73 90th Percentile 81.85 87.69 International Stock Option 99.88 103.56

Risk Statistics Rankings vs MSCI ACWI ex US Index Rankings Against Callan Non US Equity Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

25% 1.25 1.20 20% 1.15 (52) 15% 1.10 1.05 (37) 10% 1.00 (2) 5% 0.95 0.90 (99) (100) 0% 0.85 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 19.62 4.90 6.03 10th Percentile 1.17 0.97 25th Percentile 17.60 3.68 5.46 25th Percentile 1.05 0.96 Median 16.89 2.92 4.13 Median 1.01 0.95 75th Percentile 15.95 2.19 3.18 75th Percentile 0.95 0.92 90th Percentile 15.07 1.67 2.69 90th Percentile 0.90 0.89 International International Stock Option 16.78 1.22 1.53 Stock Option 1.03 0.99

Oregon Savings Growth Plan 110 International Stock Option Equity Characteristics Analysis Summary

Portfolio Characteristics Percentile Rankings Rankings Against Callan Non US Equity Mutual Funds as of March 31, 2020

0% 10% 20% 30% (36) (36) 40% (46) 50% (51) 60% (61) (63) (63) (70) (70) 70% (74) (71) 80% (80) Percentile Ranking 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 50.06 18.21 2.91 14.76 4.64 0.96 25th Percentile 36.04 15.60 2.19 11.29 3.97 0.61 Median 28.04 12.88 1.75 9.22 3.17 0.22 75th Percentile 20.16 10.42 1.06 7.61 2.25 (0.23) 90th Percentile 12.79 9.05 0.86 6.32 1.61 (0.66) *International Stock Option 18.88 10.62 1.20 8.50 3.54 (0.11) MSCI ACWI ex US Index 27.61 12.03 1.27 9.42 3.56 0.03

Sector Allocation Diversification March 31, 2020 March 31, 2020

14.2 12000 19.2 Financials 16.1 13.7 Health Care 10.5 10000 (1) 14.3 Diversification Ratio 13.6 50%

11.4 Mgr MV Industrials 14.5 Manager 1% 13.1 8000 10.2 Index 7% Information Technology 12.4 9.0 Style Median 28% 11.8 Consumer Discretionary 11.8 6000

8.5 50%

7.0 Mgr MV Materials 6.3 8.0 4000 10.5 Consumer Staples 11.9 7.7 7.5 Communication Services 6.6 2000 4.7 3.7 Utilities 1.2 (3) 3.5 0 5.2 Number of Issue Energy 3.4 Securities Diversification 2.7 Sector Diversification 3.0 Real Estate 1.6 Manager 3.65 sectors 1.0 10th Percentile 380 57 Miscellaneous Index 3.73 sectors 25th Percentile 162 36 0.5 Median 80 22 Pooled Vehicles 75th Percentile 60 17 90th Percentile 44 14 0% 5% 10% 15% 20% 25% *International *International Stock Option MSCI ACWI ex US Index Stock Option 9850 119 Callan Non US Equity MFs MSCI ACWI ex US Index 2409 167

Oregon Savings Growth Plan 111 Country Allocation International Stock Option VS MSCI ACWI ex US Index

Country Allocation The chart below contrasts the portfolio’s country allocation with that of the index as of March 31, 2020. This chart is useful because large deviations in country allocation relative to the index are often good predictors of tracking error in the subsequent quarter. To the extent that the portfolio allocation is similar to the index, the portfolio should experience more "index-like" performance.

Country Weights as of March 31, 2020

Argentina 3.0 Australia 3.9 0.1 Austria 0.1 0.7 Belgium 0.6 1.9 Brazil 1.4 Cambodia 3.7 Canada 6.3 0.2 Chile 0.2 8.1 China 11.3 Colombia 0.1 Cyprus Czech Republic 2.1 Denmark 1.4 Egypt 0.2 Emerging & Developed ex US 0.1 Europe 1.3 Finland 0.7 7.4 France 7.1 7.2 Germany 5.5 0.1 Greece 0.1 1.3 Hong Kong 2.5 Hungary 0.1 Iceland 1.8 India 2.1 0.4 Indonesia 0.4 1.2 Ireland 0.4 0.4 Israel 0.4 2.5 Italy 1.4 17.2 Japan 17.4 Luxembourg 0.4 Malaysia 0.5 0.5 Mexico 0.5 3.8 Netherlands 2.7 0.1 New Zealand 0.2 0.9 Norway 0.4 Pakistan Peru 0.1 0.1 Philippines 0.2 0.2 Poland 0.2 0.2 Portugal 0.1 Qatar 0.3 1.8 Russia 0.9 0.2 Saudi Arabia 0.7 0.8 Singapore 0.8 0.6 South Africa 1.0 4.2 South Korea 3.3 1.1 Spain 1.7 2.0 Sweden 1.8 7.2 Switzerland 7.1 3.1 Taiwan 3.4 0.4 Thailand 0.6 0.3 Turkey 0.1 Ukraine United Arab Emirates 0.2 10.2 United Kingdom 10.0 0.8 United States

0% 5% 10% 15% 20% 25% Percent of Portfolio

International Stock Option MSCI ACWI ex US Index

Oregon Savings Growth Plan 112 Current Holdings Based Style Analysis International Stock Option As of March 31, 2020

This page analyzes the current investment style of a portfolio utilizing a detailed holdings-based style analysis to determine actual exposures to various regional and style segments of the international/global equity market. The market is segmented quarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the current market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the current portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. The middle chart illustrates the total exposures and stock counts in the three style segments, with a legend showing the total growth, value, and "combined Z" (growth - value) scores. The bottom chart exhibits the sector weights as well as the style weights within each sector.

Style Map vs Callan Non US Equity MFs Style Exposure Matrix Holdings as of March 31, 2020 Holdings as of March 31, 2020

Mega 12.6% (650) 15.8% (602) 20.6% (491) 49.1% (1743) MSCI ACWI ex US Index Europe/ Mid East Large 10.8% (147) 10.3% (115) 19.6% (173) 40.7% (435) 1.1% (150) 0.8% (140) 2.0% (85) 3.9% (375) N. America 0.6% (23) 3.4% (32) 2.5% (34) 6.5% (89) *International Stock Option 6.3% (1199) 7.6% (895) 9.8% (811) 23.7% (2905) Mid Pacific 6.7% (163) 8.1% (133) 11.4% (173) 26.3% (469) 6.5% (1709) 8.7% (1459) 8.2% (999) 23.4% (4167) Emerging/ FM 6.9% (479) 7.4% (403) 12.2% (401) 26.5% (1283) Small 26.5% (3708) 32.9% (3096) 40.6% (2386) 100.0% (9190) Total 25.0% (812) 29.1% (683) 45.8% (781) 100.0% (2276) Micro Value Core Growth Value Core Growth Total

Combined Z-Score Style Distribution Holdings as of March 31, 2020

70% Europe/Mid East 60% Bar #1=*International Stock Option (Combined Z: -0.11 Growth Z: -0.02 Value Z: 0.09) Bar #2=MSCI ACWI ex US Index (Combined Z: 0.03 Growth Z: -0.00 Value Z: -0.03) (781) N. America 50% (2386) 45.8% Pacific (3096) 40.6% 40% (683) (3708) 32.9% Emerging/FM (812) 29.1% 30% 26.5% 25.0% 20% 10% 0% Value Core Growth

Sector Weights Distribution Holdings as of March 31, 2020

30% Bar #1=*International Stock Option Value 25% Bar #2=MSCI ACWI ex US Index Core 20% 18.8 Growth 15% 13.7 14.5 14.1 13.9 11.9 11.6 10.2 10.8 10.5 10% 8.1 8.9 8.1 7.6 8.0 6.9 4.8 4.6 5% 3.4 3.8 2.7 3.0 0.0 0.0 0.0 0.0 0.0 0.0 0% COMMUN CONCYC CONSTA ENERGY FINANC FUND HEALTH INDEQU MISC PUBUTL RAWMAT REALES TECH *3/31/20 portfolio characteristics generated using most recently available holdings (1/31/20) modified based on a "buy-and-hold" assumption (repriced and adjusted for corporate actions). Analysis is then done using current market and company financial data.

Oregon Savings Growth Plan 113 Active Share Structure Analysis For One Quarter Ended March 31, 2020

Active Share Analysis Ended March 31, 2020

100%

90% Lazard Intl Equity

80%

70% Arrowstreet Intl Equity

AQR ACWI ex-US Fund 60%

International Stock Option 50% DFA Intl Core Equity Holdings-Based Total Active Share

40% DFA Emerging Markets Core

30% 10% 12% 14% 16% 18% 20% 22% 24% Sector Exposure Active Share

Weight Total Non-Idx Sector Number Security % Index Act Share Act Share Act Share Securities Diverse *International Stock Option100.00% MSCI ACWI ex US 52.71% 9.47% 12.46% 9850 118.55 Lazard Intl Equity 25.53% MSCI EAFE 87.24% 11.69% 11.82% 67 20.04 DFA Intl Core Equity 14.75% MSCI World ex US 47.12% 17.80% 11.89% 5069 373.28 DFA Emerging Markets Core 9.65% MSCI EM 40.85% 12.91% 12.03% 4609 167.84 Arrowstreet Intl Equity 25.49% MSCI ACWI ex US 67.80% 12.02% 22.21% 663 76.76 AQR ACWI ex-US Fund 24.59% MSCI ACWI ex US 62.53% 2.47% 13.15% 574 66.41

Oregon Savings Growth Plan 114 Lazard International Equity Fund Period Ended March 31, 2020

Investment Philosophy The Lazard International Equity strategy seeks to generate strong relative returns over a full market cycle by investing in companies with strong and/or improving financial productivity at attractive valuations. The strategy typically invests in non-US companies, including those from emerging markets, with a market capitalization generally of $3 billion or greater. EAFE and ACWI ex-US benchmarked versions are available, resulting in different emerging markets exposure. A version that excludes emerging markets is also available.

Quarterly Summary and Highlights Lazard International Equity Fund’s portfolio posted a (23.19)% return for the quarter placing it in the 54 percentile of the Callan Non-US Developed Core Equity group for the quarter and in the 52 percentile for the last year. Lazard International Equity Fund’s portfolio underperformed the MSCI EAFE Index by 0.37% for the quarter and underperformed the MSCI EAFE Index for the year by 0.34%.

Performance vs Callan Non-US Developed Core Equity (Gross)

10%

5% (44) (79) (71) (95) 0% (54) (61) (39) (79) (5%)

(10%)

(15%) (48) (52)

(20%) (52) (54) (25%)

(30%)

(35%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (21.02) (10.37) (0.05) 1.89 4.00 4.80 25th Percentile (21.67) (12.03) (0.55) 0.54 3.14 4.38 Median (22.67) (14.50) (1.54) (0.25) 2.63 3.79 75th Percentile (24.13) (16.97) (3.36) (0.91) 1.85 3.31 90th Percentile (26.95) (19.61) (5.00) (1.71) 1.42 3.06 Lazard International Equity Fund (23.19) (14.72) (1.23) (1.03) 1.95 3.87 MSCI EAFE Index (22.83) (14.38) (1.82) (0.62) 1.75 2.72

Callan Non-US Developed Core Equity (Gross) Relative Return vs MSCI EAFE Index Annualized Five Year Risk vs Return

3% 4%

2% 3%

2% 1% 1% 0% 0% (1%)

Returns MSCI EAFE Index (1%)

Relative Returns (2%) (2%) Lazard International Equity Fund

(3%) (3%)

(4%) (4%) 2015 2016 2017 2018 2019 20 13 14 15 16 17 18 19 20 Standard Deviation Lazard International Equity Fund

Oregon Savings Growth Plan 115 Lazard International Equity Fund Return Analysis Summary

Performance vs Callan Non-US Developed Core Equity (Gross)

40% 30% (62) (80) 20% (59) (56) 10% 0% (49) (76) (35) (96) (57) (26) (10%) (29) (20) (20%) (52) (54) (30%) (40%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile (21.02) 27.03 (10.05) 30.76 4.85 4.96 (1.58) 25th Percentile (21.67) 24.59 (13.01) 28.87 2.96 2.84 (2.44) Median (22.67) 22.77 (15.26) 26.32 0.94 1.15 (4.45) 75th Percentile (24.13) 20.48 (17.48) 24.06 (0.44) (0.68) (5.73) 90th Percentile (26.95) 18.70 (19.10) 23.07 (2.25) (4.33) (8.54) Lazard International Equity Fund (23.19) 22.20 (12.78) 23.86 (3.79) 2.39 (2.62) MSCI EAFE Index (22.83) 22.01 (13.79) 25.03 1.00 (0.81) (4.90)

Cumulative and Quarterly Relative Return vs MSCI EAFE Index

(2%) Relative Returns (4%)

(6%) 2015 2016 2017 2018 2019 2020

Lazard International Equity Fund Callan NonUS Dev Core Eq

Risk Adjusted Return Measures vs MSCI EAFE Index Rankings Against Callan Non-US Developed Core Equity (Gross) Five Years Ended March 31, 2020

3.0 2.5 2.0 1.5 1.0 0.5 0.0 (87) (77) (0.5) (87) (1.0) (1.5) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 2.41 0.05 0.70 25th Percentile 1.23 (0.04) 0.49 Median 0.62 (0.09) 0.14 75th Percentile (0.23) (0.13) (0.13) 90th Percentile (0.94) (0.18) (0.34) Lazard International Equity Fund (0.51) (0.15) (0.14)

Oregon Savings Growth Plan 116 Lazard International Equity Fund Risk Analysis Summary

Risk Analysis The graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs Callan Non-US Developed Core Equity (Gross) Five Years Ended March 31, 2020

0 Lazard International Equity Fund (1 ) Excess Return (2 )

(3 )

(4 ) 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 Tracking Error

Market Capture vs MSCI EAFE Index Rankings Against Callan Non-US Developed Core Equity (Gross) Five Years Ended March 31, 2020

125% 120% 115% 110% 105% 100% (68) 95% (93) 90% 85% 80% Up Market Down Capture Market Capture 10th Percentile 119.22 110.92 25th Percentile 114.71 105.14 Median 103.46 102.09 75th Percentile 100.85 96.11 90th Percentile 96.25 86.24 Lazard International Equity Fund 94.27 99.50

Risk Statistics Rankings vs MSCI EAFE Index Rankings Against Callan Non-US Developed Core Equity (Gross) Five Years Ended March 31, 2020

25% 1.15 20% 1.10 15% (88) 1.05 10% 1.00 (60) 5% 0.95 (89) (22) (46) 0% 0.90 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 17.99 3.30 4.29 10th Percentile 1.11 0.99 25th Percentile 16.90 2.23 3.65 25th Percentile 1.07 0.99 Median 16.27 1.63 2.61 Median 1.02 0.98 75th Percentile 15.79 1.18 1.96 75th Percentile 0.99 0.96 90th Percentile 15.06 0.92 1.67 90th Percentile 0.94 0.95 Lazard International Lazard International Equity Fund 15.27 2.28 2.86 Equity Fund 0.95 0.97

Oregon Savings Growth Plan 117 Lazard International Equity Fund Equity Characteristics Analysis Summary

Portfolio Characteristics Percentile Rankings Rankings Against Callan Non-US Developed Core Equity as of March 31, 2020

0% 10% 20% (23) (20) 30% 40% (41) (45) (47) (48) (48) (46) (46) 50% (54) 60% 70% (76) 80% (79) Percentile Ranking 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 51.25 14.20 2.11 10.05 4.06 0.37 25th Percentile 32.60 13.35 1.65 8.60 3.69 0.27 Median 27.85 12.23 1.53 7.96 3.36 0.10 75th Percentile 19.79 10.63 1.32 7.02 3.06 (0.12) 90th Percentile 9.72 10.23 1.17 5.74 2.87 (0.22) Lazard International Equity Fund 28.39 12.39 1.67 8.20 3.00 0.17 MSCI EAFE Index 28.83 12.37 1.31 8.03 3.81 0.02

Sector Allocation Diversification March 31, 2020 March 31, 2020

18.5 500 14.2 Industrials 14.3 450 15.4 16.4 Financials 16.3 400 Diversification Ratio

14.1 50% Manager 30% 14.3 Mgr MV 350 Health Care 15.5 Index 11% 10.6 5.5 300 Style Median 29% Communication Services 5.9 9.6 250 Consumer Staples 12.6 13.2 50% 200 8.5 Mgr MV 7.6 Information Technology 9.2 150 5.8 6.7 100 Materials 6.6 5.6 (61) 4.2 50 Utilities 3.6 (62) 5.0 0 11.1 Number of Issue Consumer Discretionary 9.6 Securities Diversification 3.5 Real Estate 3.3 Sector Diversification 2.0 10th Percentile 439 63 3.4 Manager 3.19 sectors 4.0 25th Percentile 191 38 Energy 3.7 Index 3.38 sectors Median 82 25 75th Percentile 58 18 Miscellaneous 0.1 90th Percentile 45 16 0% 5% 10% 15% 20% 25% Lazard International Lazard International Equity Fund MSCI EAFE Index Equity Fund 67 20 Callan NonUS Dev Core Eq MSCI EAFE Index 917 105

Oregon Savings Growth Plan 118 Country Allocation Lazard International Equity Fund VS MSCI EAFE Index

Country Weights as of March 31, 2020 Index Rtns 1.2 Australia 5.9 (33.19%) Austria 0.2 (42.88%) Belgium 0.9 (32.55%) 3.8 Canada (27.37%) 2.6 China (11.47%) 2.3 Denmark 2.2 (8.03%) 2.2 Finland 1.0 (19.07%) 14.6 France 10.8 (27.55%) 9.7 Germany 8.3 (27.00%) 0.5 Hong Kong 3.7 (17.33%) 0.3 Indonesia (39.44%) 1.1 Ireland 0.6 (25.71%) 1.2 Israel 0.6 (18.08%) 2.3 Italy 2.2 (29.30%) 15.4 Japan 26.3 (16.58%) 0.7 Mexico (35.44%) 4.0 Netherlands 4.2 (20.65%) New Zealand 0.3 (16.42%) 3.0 Norway 0.5 (33.36%) 0.8 Portugal 0.2 (13.11%) 2.1 Singapore 1.2 (28.20%) 1.6 South Korea (22.40%) Spain 2.6 (29.76%) 2.7 Sweden 2.7 (21.37%) 7.7 Switzerland 10.7 (11.52%) 16.8 United Kingdom 15.1 (28.81%) 3.3 United States (21.27%) 0% 5% 10% 15% 20% 25% 30% 35% Percent of Portfolio Manager Total Return: (23.19%) Lazard International Equity Fund MSCI EAFE Index Index Total Return: (22.83%)

Oregon Savings Growth Plan 119 Oregon Savings Growth Plan History of Ending Regional Weights Period Ended March 31, 2020

Dev Europe/Mid East 80 68.49 60 62.59

0 2017 2018 2019 2020

Emerging Markets 6 5.22 4

0 0.00 2017 2018 2019 2020

Japan 30 26.29 20 15.44 10

0 2017 2018 2019 2020

North America 20

10 7.08 5

0 0.00 2017 2018 2019 2020

Pacific Basin 15

11.12 10

5 3.77

0 2017 2018 2019 2020

MSCI EAFE Index Lazard International Equity Fund

Oregon Savings Growth Plan 120 Current Holdings Based Style Analysis Lazard International Equity Fund As of March 31, 2020

Style Map vs Callan NonUS Dev Core Eq Style Exposure Matrix Holdings as of March 31, 2020 Holdings as of March 31, 2020

Mega 10.3% (7) 24.2% (13) 33.0% (19) 67.5% (39) Lazard International Equity Fund Europe/ Mid East Large MSCI EAFE Index 16.1% (147) 15.4% (115) 29.3% (173) 60.8% (435) 1.6% (1) 3.5% (1) 2.5% (2) 7.6% (4) N. America 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 1.5% (1) 7.2% (5) 10.7% (7) 19.3% (13) Mid Pacific 10.1% (163) 12.1% (133) 17.1% (173) 39.2% (469) 0.0% (0) 4.9% (4) 0.7% (1) 5.6% (5) Emerging 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) Small 13.4% (9) 39.8% (23) 46.8% (29) 100.0% (61) Total 26.1% (310) 27.5% (248) 46.4% (346) 100.0% (904) Micro Value Core Growth Value Core Growth Total

Combined Z-Score Style Distribution Holdings as of March 31, 2020

80% 70% Bar #1=Lazard International Equity Fund (Combined Z: 0.17 Growth Z: 0.05 Value Z: -0.11 Europe/Mid East Bar #2=MSCI EAFE Index (Combined Z: 0.02 Growth Z: -0.01 Value Z: -0.03) N. America 60% (29) (346) Pacific 50% (23) 46.8% 46.4% 39.8% Emerging 40% (310) (248) 30% 26.1% 27.5% (9) 20% 13.4% 10% 0% Value Core Growth

Sector Weights Distribution Holdings as of March 31, 2020

25% Bar #1=Lazard International Equity Fund Value 20% Bar #2=MSCI EAFE Index 18.5 Core 16.5 15.1 Growth 15% 14.1 14.6 14.5 11.4 12.3 11.0 10.3 10% 9.1 6.8 7.7 5.6 6.0 4.3 4.3 5% 4.0 3.6 3.5 3.7 3.2

0% COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH

Oregon Savings Growth Plan 121 Historical Holdings Based Style Analysis Lazard International Equity Fund For Three Years Ended March 31, 2020

This page analyzes the historical investment style of a portfolio utilizing a detailed holdings-based style analysis to determine average actual exposures to various region and style segments of the international/global equity market. The market is segmented quarterly by region and style. The style segments are determined using the "Combined Z Score", based on the eight fundamental factors used in the MSCI stock style scoring system. The upper-left style map illustrates the average historical market capitalization and style score of the portfolio relative to indices and/or peers. The upper-right style exposure matrix displays the average historical portfolio and index weights and stock counts (in parentheses) in each region/style segment of the market. The next two style exposure charts illustrate the actual quarterly region/style and style only segment exposures of the portfolio through history.

Average Style Map vs Callan NonUS Dev Core Eq Average Style Exposure Matrix Holdings for Three Years Ended March 31, 2020 Holdings for Three Years Ended March 31, 2020

Mega 11.7% (7) 21.2% (12) 31.0% (17) 64.0% (36) Lazard International Equity Fund Europe/ Mid East Large MSCI EAFE Index 19.4% (136) 17.8% (126) 25.4% (187) 62.5% (449) 2.1% (1) 4.7% (2) 3.6% (2) 10.4% (5) N. America 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 2.3% (1) 6.5% (4) 12.5% (9) 21.2% (14) Mid Pacific 12.8% (149) 10.9% (146) 13.8% (175) 37.5% (470) 0.6% (1) 2.4% (2) 1.3% (1) 4.4% (4) Emerging 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) Small 16.7% (10) 34.9% (20) 48.4% (29) 100.0% (59) Total 32.2% (285) 28.6% (272) 39.2% (362) 100.0% (919) Micro Value Core Growth Value Core Growth Total

Lazard International Equity Fund Historical Region/Style Exposures

100% 100% 90% 90% Emerging-Growth 80% 80% Emerging-Core Emerging-Value 70% 70% Pacific-Growth 60% 60% Pacific-Core 50% 50% Pacific-Value 40% 40% N. America-Growth 30% 30% N. America-Core 20% 20% N. America-Value 10% 10% Europe/Mid East-Growth Europe/Mid East-Core 0% 0% 2017 2018 2019 2020 Europe/Mid East-Value

Lazard International Equity Fund Historical Style Only Exposures

100% 100% 90% 90% Growth 80% 80% Core Value 70% 70% 60% 60% 50% 50% 40% 40% 30% 30% 20% 20% 10% 10% 0% 0% 2017 2018 2019 2020

Oregon Savings Growth Plan 122 DFA International Core Equity Period Ended March 31, 2020

Investment Philosophy DFA takes a highly structured approach in all investment strategies, and relies on very careful, long-term focused portfolio engineering and trading expertise to achieve performance. They believe this systematic approach produces a more reliable and consistent investment rather than sector rotation, market forecasts and other speculative tools of traditional active managers.

Quarterly Summary and Highlights DFA International Core Equity’s portfolio posted a (27.64)% return for the quarter placing it in the 94 percentile of the Callan Intl Eq Developed Mkts MFs group for the quarter and in the 91 percentile for the last year. DFA International Core Equity’s portfolio underperformed the MSCI World ex US Index by 4.38% for the quarter and underperformed the MSCI World ex US Index for the year by 5.11%.

Performance vs Callan Intl Eq Developed Mkts MFs (Institutional Net)

10%

5% (65) (68) (60) (67) 0% (47) (42) (59) (5%) (81)

(10%)

(15%) (48)

(20%) (91) (52) (25%) (94) (30%)

(35%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (19.44) (9.08) 1.91 1.89 3.41 5.03 25th Percentile (21.65) (11.47) (0.75) 0.58 2.60 3.60 Median (23.06) (15.03) (2.42) (0.86) 1.60 2.79 75th Percentile (25.03) (17.10) (4.16) (2.12) 0.85 2.23 90th Percentile (26.53) (19.11) (5.65) (3.13) (0.03) 1.43 DFA International Core Equity (27.64) (20.00) (4.68) (1.22) 1.21 2.39 MSCI World ex US Index (23.26) (14.89) (2.07) (0.76) 1.44 2.43

Callan Intl Eq Developed Mkts MFs (Institutional Net) Relative Return vs MSCI World ex US Index Annualized Five Year Risk vs Return

3% 8%

2% 6% 1% 4% 0%

(1%) 2% MSCI World ex US Index (2%) 0% Returns (3%)

Relative Returns (2%) (4%) DFA International Core Equity (4%) (5%)

(6%) (6%) 2015 2016 2017 2018 2019 20 13 14 15 16 17 18 19 20 21 Standard Deviation DFA International Core Equity

Oregon Savings Growth Plan 123 DFA International Core Equity Return Analysis Summary

Performance vs Callan Intl Eq Developed Mkts MFs (Institutional Net)

40% 30% (81) (36) 20% (56) (63) 10% (4) 0% (15) (39) (81) (37) (60) (10%) (33) (71) (20%) (52) (30%) (94) (40%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile (19.44) 28.12 (12.16) 31.87 3.15 3.09 1.17 25th Percentile (21.65) 26.34 (13.79) 29.87 1.87 0.76 (2.02) Median (23.06) 22.86 (15.06) 26.64 0.39 (0.73) (5.41) 75th Percentile (25.03) 20.43 (17.73) 24.76 (1.47) (2.86) (6.48) 90th Percentile (26.53) 18.82 (20.66) 22.83 (4.05) (4.93) (8.23) DFA International Core Equity (27.64) 21.68 (17.40) 28.05 5.34 (0.21) (5.98) MSCI World ex US Index (23.26) 22.49 (14.09) 24.21 2.75 (3.04) (4.32)

Cumulative and Quarterly Relative Return vs MSCI World ex US Index

12% 10% 8% 6% 4% 2% 0% (2%)

Relative Returns (4%) (6%) (8%) 2015 2016 2017 2018 2019 2020

DFA International Core Equity Callan Intl Eq Dev Mkt MF

Risk Adjusted Return Measures vs MSCI World ex US Index Rankings Against Callan Intl Eq Developed Mkts MFs (Institutional Net) Five Years Ended March 31, 2020

4 3 2 1 0 (49) (55) (59) (1) (2) (3) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 2.56 0.04 0.62 25th Percentile 1.25 (0.04) 0.37 Median 0.01 (0.12) (0.04) 75th Percentile (1.11) (0.19) (0.38) 90th Percentile (2.13) (0.25) (0.63) DFA International Core Equity 0.05 (0.13) (0.15)

Oregon Savings Growth Plan 124 DFA International Core Equity Risk Analysis Summary

Risk Analysis The graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs Callan Intl Eq Developed Mkts MFs (Institutional Net) Five Years Ended March 31, 2020

0 DFA International Core Equity

Excess Return (2 )

(4 )

(6 ) 0 1 2 3 4 5 6 7 8 9 Tracking Error

Market Capture vs MSCI World ex US Index Rankings Against Callan Intl Eq Developed Mkts MFs (Institutional Net) Five Years Ended March 31, 2020

140% 130% 120% 110% (35) (25) 100% 90% 80% Up Market Down Capture Market Capture 10th Percentile 126.57 113.85 25th Percentile 117.51 109.28 Median 103.71 104.65 75th Percentile 95.40 96.74 90th Percentile 88.67 90.16 DFA International Core Equity 112.72 109.15

Risk Statistics Rankings vs MSCI World ex US Index Rankings Against Callan Intl Eq Developed Mkts MFs (Institutional Net) Five Years Ended March 31, 2020

25% 1.20 20% 1.15 (8) (10) 1.10 15% 1.05 10% 1.00 (7) 0.95 5% (48) (71) 0.90 0% 0.85 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 18.12 3.78 4.83 10th Percentile 1.11 0.98 25th Percentile 17.27 3.02 3.98 25th Percentile 1.07 0.98 Median 16.71 2.40 3.42 Median 1.03 0.96 75th Percentile 16.01 1.78 2.81 75th Percentile 0.99 0.95 90th Percentile 14.90 1.56 2.37 90th Percentile 0.90 0.92 DFA International DFA International Core Equity 18.06 2.42 3.03 Core Equity 1.13 0.99

Oregon Savings Growth Plan 125 DFA International Core Equity Equity Characteristics Analysis Summary

Portfolio Characteristics Percentile Rankings Rankings Against Callan Intl Eq Developed Mkts MFs as of March 31, 2020

0% 10% 20% 30% (30) (32) 40% (46) 50% (52) (49) 60% (62) (62) (60) 70% (74) 80% (85) 90% Percentile Ranking (91) 100% (100) Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 48.34 16.95 2.69 12.93 4.25 0.74 25th Percentile 36.06 14.72 1.94 9.66 3.89 0.40 Median 29.27 12.19 1.48 8.10 3.40 0.11 75th Percentile 23.00 10.90 1.24 7.20 2.81 (0.14) 90th Percentile 17.93 9.38 1.08 6.56 1.85 (0.32) DFA International Core Equity 6.88 11.12 1.06 7.64 3.78 (0.26) MSCI World ex US Index 28.87 12.39 1.33 8.15 3.84 0.03

Sector Allocation Diversification March 31, 2020 March 31, 2020

17.6 6000 13.9 Industrials 13.9 14.6 18.3 5000 (1) Financials 15.9 Diversification Ratio

13.5 50%

10.4 Mgr MV Manager 7% Consumer Discretionary 12.0 4000 11.4 Index 12% 7.1 Materials 6.1 Style Median 26% 9.1 3000 12.0 Consumer Staples 12.3 50%

8.2 Mgr MV 13.2 Health Care 15.5 2000 7.1 7.6 Information Technology 11.7 1000 6.1 5.3 Communication Services 6.4 (1) 4.8 5.0 0 Energy 3.4 Number of Issue 3.9 Securities Diversification 4.2 Utilities 1.5 2.7 10th Percentile 692 82 3.1 Sector Diversification Real Estate 1.5 25th Percentile 244 40 1.0 Manager 3.38 sectors Median 80 22 Miscellaneous Index 3.38 sectors 75th Percentile 56 16 90th Percentile 40 12 Pooled Vehicles DFA International 0% 5% 10% 15% 20% 25% Core Equity 5073 377 DFA International Core Equity MSCI World ex US Index MSCI World Callan Intl Eq Dev Mkt MF ex US Index 1006 116

Oregon Savings Growth Plan 126 Country Allocation DFA International Core Equity VS MSCI World ex US Index

Country Weights as of March 31, 2020 Index Rtns 5.6 Australia 5.4 (33.19%) 0.6 Austria 0.2 (42.88%) 1.3 Belgium 0.8 (32.55%) Cambodia - 7.7 Canada 8.7 (27.53%) 0.1 China (11.47%) 1.9 Denmark 2.0 (8.03%) 1.7 Finland 0.9 (19.07%) 8.1 France 9.8 (27.55%) 7.2 Germany 7.5 (27.00%) 2.8 Hong Kong 3.4 (17.33%) 0.7 Ireland 0.5 (25.71%) 0.8 Israel 0.5 (18.08%) 2.7 Italy 2.0 (29.30%) 26.5 Japan 24.0 (16.58%) 0.1 Luxembourg - Malaysia (19.18%) 3.1 Netherlands 3.8 (20.65%) 0.5 New Zealand 0.3 (16.42%) 0.7 Norway 0.5 (33.36%) 0.2 Portugal 0.2 (13.11%) 0.9 Singapore 1.1 (28.20%) 0.1 South Korea (22.40%) 2.3 Spain 2.4 (29.76%) 2.6 Sweden 2.5 (21.37%) 7.8 Switzerland 9.8 (11.52%) 13.6 United Kingdom 13.8 (28.81%) 0.5 United States (21.27%) 0% 5% 10% 15% 20% 25% 30% 35% Percent of Portfolio Manager Total Return: (27.64%) DFA International Core Equity MSCI World ex US Index Index Total Return: (23.26%)

Oregon Savings Growth Plan 127 Oregon Savings Growth Plan History of Ending Regional Weights Period Ended March 31, 2020

Dev Europe/Mid East 80

60 57.12 55.26 40

0 2017 2018 2019 2020

Emerging Markets 0.4

0.3 0.24 0.2

0.1

0.0 0.00 2017 2018 2019 2020

Japan 30 26.50 24.00 20

0 2017 2018 2019 2020

North America 15

10 8.73 8.25 5

0 2017 2018 2019 2020

Pacific Basin 15

10 10.15 9.75 5

0 2017 2018 2019 2020

MSCI World ex US Index DFA International Core Equity

Oregon Savings Growth Plan 128 Current Holdings Based Style Analysis DFA International Core Equity As of March 31, 2020

Style Map vs Callan Intl Eq Dev Mkt MF Style Exposure Matrix Holdings as of March 31, 2020 Holdings as of March 31, 2020

Mega 17.8% (611) 17.4% (576) 18.8% (448) 54.0% (1635) MSCI World ex US Index Europe/ Mid East Large 14.6% (147) 14.0% (115) 26.7% (173) 55.4% (435) 1.8% (137) 3.9% (127) 2.4% (84) 8.1% (348) N. America 0.9% (23) 4.6% (32) 3.5% (34) 8.9% (89) 12.2% (1166) 13.4% (860) 12.2% (782) 37.8% (2808) Mid Pacific DFA International Core Equity 9.2% (163) 11.0% (133) 15.6% (173) 35.7% (469) 0.0% (5) 0.0% (2) 0.0% (4) 0.1% (11) Emerging 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) Small 31.8% (1919) 34.8% (1565) 33.4% (1318) 100.0% (4802) Total 24.7% (333) 29.6% (280) 45.7% (380) 100.0% (993) Micro Value Core Growth Value Core Growth Total

Combined Z-Score Style Distribution Holdings as of March 31, 2020

70% Europe/Mid East 60% Bar #1=DFA International Core Equity (Combined Z: -0.26 Growth Z: -0.08 Value Z: 0.18) Bar #2=MSCI World ex US Index (Combined Z: 0.03 Growth Z: -0.01 Value Z: -0.04) (380) N. America 50% 45.7% (1565) (1318) Pacific (1919) (280) 40% 34.8% 33.4% Emerging 31.8% (333) 29.6% 30% 24.7% 20% 10% 0% Value Core Growth

Sector Weights Distribution Holdings as of March 31, 2020

25% Bar #1=DFA International Core Equity Value Bar #2=MSCI World ex US Index 20% 18.4 18.1 Core 14.6 Growth 15% 13.7 13.4 14.1 11.6 11.4 10.4 10% 8.8 8.3 7.2 7.2 7.7 6.3 5.4 5.0 5% 4.5 3.9 4.3 2.7 3.0 0.0 0.0 0.0 0.0 0.0 0.0 0% COMMUN CONCYC CONSTA ENERGY FINANC FUND HEALTH INDEQU MISC PUBUTL RAWMAT REALES TECH

Oregon Savings Growth Plan 129 Historical Holdings Based Style Analysis DFA International Core Equity For Three Years Ended March 31, 2020

Average Style Map vs Callan Intl Eq Dev Mkt MF Average Style Exposure Matrix Holdings for Three Years Ended March 31, 2020 Holdings for Three Years Ended March 31, 2020

Mega 19.3% (602) 18.5% (644) 17.8% (555) 55.6% (1801) MSCI World ex US Index Europe/ Mid East Large 17.7% (136) 16.1% (126) 23.1% (187) 56.9% (449) 2.7% (133) 3.6% (146) 2.2% (98) 8.5% (377) N. America 2.5% (29) 4.0% (30) 2.6% (32) 9.1% (91) 13.6% (1171) 12.0% (908) 10.2% (820) 35.8% (2899) Mid Pacific DFA International Core Equity 11.7% (149) 9.9% (146) 12.5% (175) 34.0% (470) 0.1% (4) 0.0% (4) 0.0% (5) 0.1% (13) Emerging/ FM 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) Small 35.7% (1910) 34.1% (1702) 30.2% (1478) 100.0% (5090) Total 31.8% (314) 30.0% (302) 38.2% (394) 100.0% (1010) Micro Value Core Growth Value Core Growth Total

DFA International Core Equity Historical Region/Style Exposures

100% 100% 90% 90% Emerging/FM-Growth 80% 80% Emerging/FM-Core Emerging/FM-Value 70% 70% Pacific-Growth 60% 60% Pacific-Core 50% 50% Pacific-Value 40% 40% N. America-Growth 30% 30% N. America-Core 20% 20% N. America-Value 10% 10% Europe/Mid East-Growth Europe/Mid East-Core 0% 0% 2017 2018 2019 2020 Europe/Mid East-Value

DFA International Core Equity Historical Style Only Exposures

100% 100% 90% 90% Growth 80% 80% Core Value 70% 70% 60% 60% 50% 50% 40% 40% 30% 30% 20% 20% 10% 10% 0% 0% 2017 2018 2019 2020

Oregon Savings Growth Plan 130 DFA Emerging Markets Core Equity Fund Period Ended March 31, 2020

Investment Philosophy Dimensional’s core philosophical principles are: 1) Public capital markets work: Prices in liquid and competitive markets reflect the aggregate expectations of all market participant; 2) Diversification is essential as it helps reduce uncertainty, manage risk, increase the reliability of outcomes, and provide flexibility in implementation; 3) Managing tradeoffs adds value by targeting market premiums efficiently and continuously, reducing the costs associated with turnover, and implementing a flexible trading strategy.

Quarterly Summary and Highlights DFA Emerging Markets Core Equity Fund’s portfolio posted a (28.31)% return for the quarter placing it in the 90 percentile of the Callan Emerging Markets Equity Mut Funds group for the quarter and in the 93 percentile for the last year. DFA Emerging Markets Core Equity Fund’s portfolio underperformed the MSCI Emerging Markets Index by 4.71% for the quarter and underperformed the MSCI Emerging Markets Index for the year by 5.72%.

Performance vs Callan Emerging Markets Equity Mut Funds (Institutional Net)

10%

5% (60) 0% (48) (51) (66) (37) (81) (68) (5%) (87)

(10%)

(15%) (45) (20%) (31) (93) (25%) (90) (30%)

(35%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (22.06) (11.61) 3.07 2.75 1.98 2.45 25th Percentile (23.31) (14.10) 0.13 1.45 1.53 2.18 Median (24.44) (18.37) (2.53) (0.42) (0.35) 1.45 75th Percentile (26.60) (19.94) (4.19) (1.67) (1.76) (0.40) 90th Percentile (28.13) (22.13) (6.90) (3.27) (3.14) (1.34) DFA Emerging Markets Core Equity Fund (28.31) (23.40) (5.39) (2.01) (1.55) 0.12 MSCI Emerging Markets Index (23.60) (17.69) (1.62) (0.36) (0.40) 0.69

Relative Returns vs Callan Emerging Markets Equity Mut Funds (Institutional Net) MSCI Emerging Markets Index Annualized Five Year Risk vs Return

4% 5%

3% 4%

2% 3%

1% 2%

0% 1% MSCI Emerging Markets Index (1%) 0%

(2%) Returns (1%)

Relative Returns (3%) (2%)

(4%) (3%) DFA Emerging Markets Core Equity Fund (5%) (4%)

(6%) (5%) 2015 2016 2017 2018 2019 20 14 16 18 20 22 24 Standard Deviation DFA Emerging Markets Core Equity Fund

Oregon Savings Growth Plan 131 DFA Emerging Markets Core Equity Fund Return Analysis Summary

Performance vs Callan Emerging Markets Equity Mut Funds (Institutional Net)

60% 50% 40% (53) (54) 30% 20% (77) (87) 10% (59) (45) 0% (35) (21) (10%) (23) (26) (59) (59) (20%) (31) (30%) (90) (40%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile (22.06) 31.26 (12.44) 46.33 20.35 (8.62) 1.53 25th Percentile (23.31) 26.30 (14.89) 42.62 17.34 (12.22) (1.61) Median (24.44) 22.31 (16.91) 37.69 11.97 (13.88) (4.02) 75th Percentile (26.60) 18.58 (18.68) 32.52 8.60 (16.57) (6.61) 90th Percentile (28.13) 13.67 (21.05) 28.19 4.78 (25.74) (10.09) DFA Emerging Markets Core Equity Fund (28.31) 16.04 (15.25) 36.55 12.35 (14.86) (0.91) MSCI Emerging Markets Index (23.60) 18.44 (14.57) 37.28 11.19 (14.92) (2.19)

Cumulative and Quarterly Relative Return vs MSCI Emerging Markets Index

(2%)

(4%)

(6%) Relative Returns

(8%)

(10%) 2015 2016 2017 2018 2019 2020

DFA Emerging Markets Core Equity Fund Callan Emerging Equity MF

Risk Adjusted Return Measures vs MSCI Emerging Markets Index Rankings Against Callan Emerging Markets Equity Mut Funds (Institutional Net) Five Years Ended March 31, 2020

5 4 3 2 1 0 (79) (86) (1) (78) (2) (3) (4) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 3.38 0.07 0.67 25th Percentile 1.90 0.01 0.46 Median 0.02 (0.08) (0.02) 75th Percentile (1.20) (0.15) (0.36) 90th Percentile (2.47) (0.22) (0.55) DFA Emerging Markets Core Equity Fund (1.39) (0.16) (0.53)

Oregon Savings Growth Plan 132 DFA Emerging Markets Core Equity Fund Risk Analysis Summary

Risk Analysis The graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs Callan Emerging Markets Equity Mut Funds (Institutional Net) Five Years Ended March 31, 2020

5 4 3 2 1 0 (1 ) DFA Emerging Markets Core Equity Fund Excess Return (2 ) (3 ) (4 ) (5 ) 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5 8.0 Tracking Error

Market Capture vs MSCI Emerging Markets Index Rankings Against Callan Emerging Markets Equity Mut Funds (Institutional Net) Five Years Ended March 31, 2020

140% 130% 120% 110% (28) 100% (75) 90% 80% 70% Up Market Down Capture Market Capture 10th Percentile 132.41 110.85 25th Percentile 124.98 106.93 Median 111.07 103.26 75th Percentile 97.01 100.16 90th Percentile 85.12 95.82 DFA Emerging Markets Core Equity Fund 96.95 106.18

Risk Statistics Rankings vs MSCI Emerging Markets Index Rankings Against Callan Emerging Markets Equity Mut Funds (Institutional Net) Five Years Ended March 31, 2020

25% 1.15 20% (30) 1.10 15% 1.05 (30) 10% 1.00 (16) 5% 0.95 (56) (86) 0% 0.90 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 21.11 4.55 6.08 10th Percentile 1.09 0.98 25th Percentile 20.50 3.35 5.07 25th Percentile 1.07 0.97 Median 19.42 2.77 4.21 Median 1.02 0.96 75th Percentile 18.97 2.27 3.41 75th Percentile 0.99 0.94 90th Percentile 18.48 1.74 2.84 90th Percentile 0.94 0.93 DFA Emerging Markets DFA Emerging Markets Core Equity Fund 19.91 2.70 3.14 Core Equity Fund 1.05 0.98

Oregon Savings Growth Plan 133 DFA Emerging Markets Core Equity Fund Equity Characteristics Analysis Summary

Portfolio Characteristics Percentile Rankings Rankings Against Callan Emerging Markets Equity Mut Funds as of March 31, 2020

0% 10% (18) 20% (24) 30% 40% 50% 60% (57) (66) 70% (73) (76) (76) (76) (79) 80% (84) 90% (92) Percentile Ranking 100% (98) Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 46.40 16.75 3.01 17.10 4.52 0.84 25th Percentile 33.88 15.47 2.13 16.24 2.85 0.63 Median 18.33 12.32 1.61 14.31 2.36 0.38 75th Percentile 13.54 10.45 1.16 11.53 1.87 0.09 90th Percentile 9.57 8.77 1.01 6.54 1.58 (0.62) DFA Emerging Markets Core Equity Fund 6.22 10.00 0.97 11.21 3.27 (0.27) MSCI Emerging Markets Index 17.24 11.14 1.15 13.02 2.85 0.02

Sector Allocation Diversification March 31, 2020 March 31, 2020

20.6 6000 16.9 Information Technology 19.8 17.1 21.6 5000 Financials 21.5 (1) Diversification Ratio

10.7 50% 15.4 Mgr MV Manager 3% Consumer Discretionary 20.9 4000 10.1 Index 5% 13.1 Communication Services 13.0 Style Median 19% 9.0 3000 6.7 Materials 3.6 50%

7.5 Mgr MV 4.9 Industrials 3.0 2000 6.9 6.6 Consumer Staples 7.5 1000 5.8 5.9 Energy 5.1 4.6 (1) 2.9 0 Real Estate 2.1 Number of Issue 3.7 Securities Diversification 3.6 Health Care 1.9 3.1 10th Percentile 387 28 2.5 Sector Diversification Utilities 1.5 25th Percentile 157 24 1.0 Manager 3.16 sectors Median 102 19 Miscellaneous Index 2.76 sectors 75th Percentile 75 16 90th Percentile 59 13 Pooled Vehicles DFA Emerging Markets 0% 5% 10% 15% 20% 25% 30% Core Equity Fund 4681 162 DFA Emerging Markets Core Equity Fund MSCI Emerging MSCI Emerging Markets Index Callan Emerging Equity MF Markets Index 1403 67

Oregon Savings Growth Plan 134 Country Allocation DFA Emerging Markets Core Equity Fund VS MSCI Emerging Markets Index

Country Weights as of March 31, 2020 Index Rtns Argentina 0.1 6.2 (39.32%) Brazil 4.9 0.9 (50.23%) Chile 0.6 30.7 (33.63%) China 40.7 0.3 (11.47%) Colombia 0.2 (49.71%) Cyprus 0.1 - Czech Republic 0.1 0.1 (38.51%) Egypt 0.1 0.2 (27.12%) Greece 0.2 0.2 (45.16%) Hong Kong 0.3 (17.33%) Hungary 0.2 (39.01%) Iceland 10.8 - India 7.7 2.1 (31.13%) Indonesia 1.5 (39.59%) Luxembourg 2.5 - Malaysia 1.9 2.4 (19.18%) Mexico 1.9 (35.46%) Netherlands (20.63%) Pakistan 0.1 (39.71%) Peru 0.3 1.1 (35.76%) Philippines 0.8 1.0 (32.17%) Poland 0.7 (36.47%) Qatar 1.0 1.1 (17.28%) Russia 3.3 (36.36%) Saudi Arabia 2.6 4.4 (24.01%) South Africa 3.7 14.4 (40.34%) South Korea 11.8 17.3 (22.45%) Taiwan 12.3 2.0 (19.07%) Thailand 2.2 0.8 (33.75%) Turkey 0.4 (30.05%) Ukraine - United Arab Emirates 0.5 (27.14%) United Kingdom 0.9 (28.79%) United States (21.27%) 0% 10% 20% 30% 40% 50% Percent of Portfolio Manager Total Return: (28.31%) DFA Emerging Markets Core Equity Fund MSCI Emerging Markets Ind Index Total Return: (23.60%)

Oregon Savings Growth Plan 135 Oregon Savings Growth Plan History of Ending Regional Weights Period Ended March 31, 2020

Developed Markets 1.5 1.18 1.0 0.5 0.0 0.00 2017 2018 2019 2020

Developing Asia 80 71.23 60 70.11 40 20 0 2017 2018 2019 2020

Emerging Europe 8 6 5.01 4 3.48 2 0 2017 2018 2019 2020

Frontier Markets 0.4 0.3 0.2 0.1 0.13 0.0 0.02 2017 2018 2019 2020

Latin America 20 15 10 9.89 5 7.96 0 2017 2018 2019 2020

Mid East / Africa / Other 30 20 15.66 10 15.32 0 2017 2018 2019 2020

MSCI Emerging Markets Ind DFA Emerging Markets Core Equity Fund

Oregon Savings Growth Plan 136 Current Holdings Based Style Analysis DFA Emerging Markets Core Equity Fund As of March 31, 2020

Style Map vs Callan Emerging Equity MF Style Exposure Matrix Holdings as of March 31, 2020 Holdings as of March 31, 2020

Mega 0.0% (0) 0.0% (1) 0.0% (0) 0.0% (1) Europe/ Mid East Large 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 0.1% (5) 0.0% (0) 0.1% (5) MSCI Emerging Markets Ind N. America 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (18) 0.1% (19) 0.2% (9) 0.2% (46) Mid Pacific DFA Emerging Markets Core Equity Fund 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 31.3% (1664) 34.2% (1415) 34.2% (965) 99.6% (4044) Emerging/ FM 26.0% (479) 27.8% (403) 46.2% (401) 100.0% (1283) Small 31.3% (1682) 34.4% (1440) 34.3% (974) 100.0% (4096) Total 26.0% (479) 27.8% (403) 46.2% (401) 100.0% (1283) Micro Value Core Growth Value Core Growth Total

Combined Z-Score Style Distribution Holdings as of March 31, 2020

80% 70% Bar #1=DFA Emerging Markets Core Equity Fund (Combined Z: -0.27 Growth Z: -0.10 Value Z Europe/Mid East Bar #2=MSCI Emerging Markets Ind (Combined Z: 0.02 Growth Z: 0.00 Value Z: -0.02) N. America 60% (401) 46.2% Pacific 50% (1440) (974) (1682) Emerging/FM 40% (403) 31.3% (479) 34.4% 34.3% 30% 26.0% 27.8% 20% 10% 0% Value Core Growth

Sector Weights Distribution Holdings as of March 31, 2020

35% Value 30% Bar #1=DFA Emerging Markets Core Equity Fund Bar #2=MSCI Emerging Markets Ind Core 25% 22.6 Growth 20.1 20% 18.2 16.2 16.9 15% 13.7 10.7 10.7 8.2 10% 7.0 7.4 6.4 5.2 5.7 6.2 3.7 3.6 4.7 4.9 5% 2.6 2.3 2.9 0.0 0.0 0.0 0.0 0.1 0.0 0% COMMUN CONCYC CONSTA ENERGY FINANC FUND HEALTH INDEQU MISC PUBUTL RAWMAT REALES TECH

Oregon Savings Growth Plan 137 Historical Holdings Based Style Analysis DFA Emerging Markets Core Equity Fund For Three Years Ended March 31, 2020

Average Style Map vs Callan Emerging Equity MF Average Style Exposure Matrix Holdings for Three Years Ended March 31, 2020 Holdings for Three Years Ended March 31, 2020

Mega 0.0% (0) 0.0% (1) 0.0% (0) 0.1% (1) Europe/ Mid East Large 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (2) 0.1% (5) 0.0% (0) 0.1% (7) MSCI Emerging Markets Ind N. America 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (18) 0.0% (24) 0.1% (16) 0.2% (58) Mid Pacific 0.0% (0) 0.0% (0) 0.0% (0) 0.0% (0) DFA Emerging Markets Core Equity Fund 32.8% (1785) 34.8% (1524) 32.0% (1132) 99.6% (4441) Emerging/ FM 30.3% (387) 30.0% (338) 39.7% (340) 100.0% (1065) Small 32.8% (1805) 35.0% (1554) 32.2% (1148) 100.0% (4507) Total 30.3% (387) 30.0% (338) 39.7% (340) 100.0% (1065) Micro Value Core Growth Value Core Growth Total

DFA Emerging Markets Core Equity Fund Historical Region/Style Exposures

DFA Emerging Markets Core Equity Fund Historical Style Only Exposures

100% 100% 90% 90% Growth 80% 80% Core Value 70% 70% 60% 60% 50% 50% 40% 40% 30% 30% 20% 20% 10% 10% 0% 0% 2017 2018 2019 2020

Oregon Savings Growth Plan 138 AQR ACWI ex-US Fund Period Ended March 31, 2020

Investment Philosophy AQR Capital Management considers themselves fundamental investors who employ quantitative tools to maintain a diversified portfolio that is overweight cheap securities with good momentum and underweight expensive securities with poor momentum. They believe value and momentum make a powerful combination, as the two strategies are significantly negatively correlated and therefore produce an investment that may preserve the expected return of both strategies but with dramatically lower volatility.

Quarterly Summary and Highlights AQR ACWI ex-US Fund’s portfolio posted a (26.92)% return for the quarter placing it in the 79 percentile of the Callan Non US Equity Mutual Funds group for the quarter and in the 83 percentile for the last year. AQR ACWI ex-US Fund’s portfolio underperformed the MSCI ACWI ex US Index by 3.56% for the quarter and underperformed the MSCI ACWI ex US Index for the year by 6.86%.

Performance vs Callan Non US Equity Mutual Funds (Institutional Net)

10%

0% (48) (53) (49) (76) (76) (5%) (81) (10%)

(15%) (55)

(20%) (55) (83) (25%) (79) (30%)

(35%)

(40%) Last Quarter Last Year Last 3 Years Last 5 Years Last 5-1/4 Years 10th Percentile (19.10) (7.59) 2.49 2.35 3.20 25th Percentile (20.49) (10.14) 0.81 1.16 2.09 Median (22.82) (14.66) (2.03) (0.79) 0.21 75th Percentile (26.13) (18.17) (4.48) (2.44) (1.44) 90th Percentile (30.97) (25.80) (8.23) (4.42) (3.45) AQR ACWI ex-US Fund (26.92) (22.43) (6.24) (2.64) (1.62) MSCI ACWI ex US Index (23.36) (15.57) (1.96) (0.64) 0.04

Callan Non US Equity Mutual Funds (Institutional Net) Relative Return vs MSCI ACWI ex US Index Annualized Five Year Risk vs Return

4% 8%

3% 6%

2% 4% 1% 2% 0% 0% (1%) MSCI ACWI ex US Index Returns (2%) (2%) Relative Returns (4%) (3%) AQR ACWI ex-US Fund

(4%) (6%)

(5%) (8%) 2015 2016 2017 2018 2019 20 10 15 20 25 Standard Deviation AQR ACWI ex-US Fund

Oregon Savings Growth Plan 139 AQR ACWI ex-US Fund Return Analysis Summary

Performance vs Callan Non US Equity Mutual Funds (Institutional Net)

50% 40% 30% (47) (45) 20% (67) (83) 10% (15) (17) 0% (93) (76) (10%) (33) (85) (20%) (55) (30%) (79) (40%) 12/19- 3/20 2019 2018 2017 2016 2015 10th Percentile (19.10) 29.86 (10.33) 32.71 5.78 4.89 25th Percentile (20.49) 28.07 (13.79) 30.00 2.66 2.35 Median (22.82) 22.83 (15.04) 26.90 0.23 0.02 75th Percentile (26.13) 20.57 (17.67) 23.95 (2.25) (1.86) 90th Percentile (30.97) 15.53 (19.35) 22.13 (5.47) (3.96) AQR ACWI ex-US Fund (26.92) 18.26 (18.42) 27.53 4.17 (2.00) MSCI ACWI ex US Index (23.36) 21.51 (14.20) 27.19 4.50 (5.66)

Cumulative and Quarterly Relative Return vs MSCI ACWI ex US Index

6% 4% 2% 0% (2%) (4%) (6%)

Relative Returns (8%) (10%) (12%) 2015 2016 2017 2018 2019 2020

AQR ACWI ex-US Fund Callan Non US Equity MFs

Risk Adjusted Return Measures vs MSCI ACWI ex US Index Rankings Against Callan Non US Equity Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

4 3 2 1 0 (74) (78) (1) (74) (2) (3) (4) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 2.93 0.07 0.71 25th Percentile 1.75 (0.00) 0.47 Median (0.05) (0.12) (0.03) 75th Percentile (1.73) (0.22) (0.56) 90th Percentile (3.13) (0.29) (0.87) AQR ACWI ex-US Fund (1.67) (0.22) (0.62)

Oregon Savings Growth Plan 140 AQR ACWI ex-US Fund Risk Analysis Summary

Risk Analysis The graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs Callan Non US Equity Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

(2 ) AQR ACWI ex-US Fund Excess Return (4 )

(6 )

(8 ) 1 2 3 4 5 6 7 8 9 10 11 Tracking Error

Market Capture vs MSCI ACWI ex US Index Rankings Against Callan Non US Equity Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

140% 130% 120% 110% (20) 100% (69) 90% 80% 70% Up Market Down Capture Market Capture 10th Percentile 130.34 119.61 25th Percentile 117.68 107.04 Median 101.99 102.18 75th Percentile 93.27 95.73 90th Percentile 81.85 87.69 AQR ACWI ex-US Fund 95.81 109.80

Risk Statistics Rankings vs MSCI ACWI ex US Index Rankings Against Callan Non US Equity Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

25% 1.25 1.20 20% (21) 1.15 15% 1.10 (17) 1.05 10% 1.00 (14) 5% 0.95 (54) (74) 0.90 0% 0.85 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 19.62 4.90 6.03 10th Percentile 1.17 0.97 25th Percentile 17.60 3.68 5.46 25th Percentile 1.05 0.96 Median 16.89 2.92 4.13 Median 1.01 0.95 75th Percentile 15.95 2.19 3.18 75th Percentile 0.95 0.92 90th Percentile 15.07 1.67 2.69 90th Percentile 0.90 0.89 AQR ACWI AQR ACWI ex-US Fund 17.81 2.82 3.22 ex-US Fund 1.08 0.97

Oregon Savings Growth Plan 141 AQR ACWI ex-US Fund Equity Characteristics Analysis Summary

Portfolio Characteristics Percentile Rankings Rankings Against Callan Non US Equity Mutual Funds as of March 31, 2020

0% 10% 20% 30% (31) (36) 40% (46) 50% (51) 60% (61) (64) (63) 70% (70) (72) (76)

Percentile Ranking 80% (82) (86) 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 50.06 18.21 2.91 14.76 4.64 0.96 25th Percentile 36.04 15.60 2.19 11.29 3.97 0.61 Median 28.04 12.88 1.75 9.22 3.17 0.22 75th Percentile 20.16 10.42 1.06 7.61 2.25 (0.23) 90th Percentile 12.79 9.05 0.86 6.32 1.61 (0.66) AQR ACWI ex-US Fund 16.00 9.91 1.11 8.35 3.83 (0.25) MSCI ACWI ex US Index 27.61 12.03 1.27 9.42 3.56 0.03

Sector Allocation Diversification March 31, 2020 March 31, 2020

15.7 700 10.5 Health Care 14.3 14.7 600 10.2 (8) Information Technology 12.4 Diversification Ratio 14.7

50% 500 19.2 Manager 12% Financials 16.1 Mgr MV Index 7% 10.8 11.4 400 Style Median 28% Industrials 14.5 10.0 11.8 300 Consumer Discretionary 11.8 50%

8.2 Mgr MV 10.5 200 Consumer Staples 11.9 7.7 7.5 100 Communication Services 6.6 (6) 7.4 Materials 7.0 0 6.3 Number of Issue 5.9 3.7 Securities Diversification Utilities 1.2 2.9 10th Percentile 380 57 Real Estate 3.0 Sector Diversification 1.6 25th Percentile 162 36 1.5 Manager 3.46 sectors 5.2 Median 80 22 Energy 3.4 Index 3.73 sectors 75th Percentile 60 17 0.7 90th Percentile 44 14 Miscellaneous AQR ACWI 0% 5% 10% 15% 20% 25% ex-US Fund 574 66 AQR ACWI ex-US Fund MSCI ACWI ex US Index MSCI ACWI Callan Non US Equity MFs ex US Index 2409 167

Oregon Savings Growth Plan 142 Country Allocation AQR ACWI ex-US Fund VS MSCI ACWI ex US Index

Country Weights as of March 31, 2020 Index Rtns Argentina 4.7 (39.32%) Australia 3.9 (33.19%) Austria 0.1 0.8 (42.88%) Belgium 0.6 1.5 (32.55%) Brazil 1.4 4.7 (50.23%) Canada 6.3 0.3 (27.53%) Chile 0.2 11.1 (33.63%) China 11.3 (11.47%) Colombia 0.1 (49.71%) Czech Republic 2.3 (38.51%) Denmark 1.4 (8.03%) Egypt 1.4 (27.12%) Finland 0.7 6.3 (19.07%) France 7.1 4.9 (27.55%) Germany 5.5 (27.00%) Greece 0.1 2.5 (45.16%) Hong Kong 2.5 (17.33%) Hungary 0.1 1.9 (39.01%) India 2.1 0.7 (31.13%) Indonesia 0.4 (39.59%) Ireland 0.4 (25.71%) Israel 0.4 1.9 (18.08%) Italy 1.4 17.2 (29.30%) Japan 17.4 0.8 (16.58%) Malaysia 0.5 0.2 (19.18%) Mexico 0.5 3.5 (35.46%) Netherlands 2.7 (20.65%) New Zealand 0.2 (16.42%) Norway 0.4 (33.36%) Pakistan 0.1 (39.71%) Peru 0.1 0.2 (35.76%) Philippines 0.2 0.5 (32.17%) Poland 0.2 (36.47%) Portugal 0.1 0.1 (13.11%) Qatar 0.3 0.6 (17.28%) Russia 0.9 0.6 (36.36%) Saudi Arabia 0.7 0.7 (24.01%) Singapore 0.8 0.7 (28.20%) South Africa 1.0 4.1 (40.34%) South Korea 3.3 2.2 (22.45%) Spain 1.7 2.0 (29.76%) Sweden 1.8 8.0 (21.37%) Switzerland 7.1 3.5 (11.52%) Taiwan 3.4 0.9 (19.07%) Thailand 0.6 0.1 (33.75%) Turkey 0.1 0.1 (30.05%) United Arab Emirates 0.2 8.5 (27.14%) United Kingdom 10.0 0.4 (28.81%) United States (21.27%) 0% 5% 10% 15% 20% 25% Percent of Portfolio

AQR ACWI ex-US Fund MSCI ACWI ex US Index

Oregon Savings Growth Plan 143 Oregon Savings Growth Plan History of Ending Regional Weights Period Ended March 31, 2020

Dev Europe/Mid East 60

40 41.79 41.31

0 2017 2018 2019 2020

Emerging Markets 30 28.08 27.68 20

0 2017 2018 2019 2020

Japan 20 17.36 15 17.20

0 2017 2018 2019 2020

North America 10

6.31 5 5.09

0 2017 2018 2019 2020

Pacific Basin 10 7.83 7.34 5

0 2017 2018 2019 2020

MSCI ACWI ex US Index AQR ACWI ex-US Fund

Oregon Savings Growth Plan 144 Current Holdings Based Style Analysis AQR ACWI ex-US Fund As of March 31, 2020

Style Map vs Callan Non US Equity MFs Style Exposure Matrix Holdings as of March 31, 2020 Holdings as of March 31, 2020

Mega 14.5% (51) 10.6% (35) 17.0% (43) 42.1% (129) MSCI ACWI ex US Index Europe/ Mid East Large 10.8% (147) 10.3% (115) 19.6% (173) 40.7% (435) 0.7% (5) 0.6% (5) 3.2% (12) 4.5% (22) AQR ACWI ex-US Fund N. America 0.6% (23) 3.4% (32) 2.5% (34) 6.5% (89) 9.9% (48) 6.8% (46) 9.3% (37) 26.1% (131) Mid Pacific 6.7% (163) 8.1% (133) 11.4% (173) 26.3% (469) 8.8% (91) 8.3% (89) 10.2% (63) 27.3% (243) Emerging/ FM 6.9% (479) 7.4% (403) 12.2% (401) 26.5% (1283) Small 33.9% (195) 26.3% (175) 39.8% (155) 100.0% (525) Total 25.0% (812) 29.1% (683) 45.8% (781) 100.0% (2276) Micro Value Core Growth Value Core Growth Total

Combined Z-Score Style Distribution Holdings as of March 31, 2020

70% Europe/Mid East 60% Bar #1=AQR ACWI ex-US Fund (Combined Z: -0.25 Growth Z: -0.04 Value Z: 0.20) Bar #2=MSCI ACWI ex US Index (Combined Z: 0.03 Growth Z: -0.00 Value Z: -0.03) (781) N. America 50% (155) 45.8% Pacific (195) 39.8% (683) 40% 33.9% (175) Emerging/FM (812) 29.1% 30% 25.0% 26.3% 20% 10% 0% Value Core Growth

Sector Weights Distribution Holdings as of March 31, 2020

30% Bar #1=AQR ACWI ex-US Fund Value 25% Bar #2=MSCI ACWI ex US Index Core 20% 18.8 Growth 16.4 15.5 15% 13.9 11.9 11.5 11.6 10.4 10.2 10.8 10.5 10% 8.1 7.6 7.3 7.0 6.9 4.8 5.7 5% 3.8 3.0 3.0 1.2 0% COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH

Oregon Savings Growth Plan 145 Historical Holdings Based Style Analysis AQR ACWI ex-US Fund For Three Years Ended March 31, 2020

Average Style Map vs Callan Non US Equity MFs Average Style Exposure Matrix Holdings for Three Years Ended March 31, 2020 Holdings for Three Years Ended March 31, 2020

Mega 14.8% (53) 12.8% (37) 16.6% (50) 44.3% (140) Europe/ MSCI ACWI ex US Index Mid East Large 13.1% (136) 11.9% (126) 17.0% (187) 42.0% (449) 1.8% (11) 1.6% (9) 2.5% (12) 5.9% (32) N. America 1.8% (29) 3.0% (30) 1.9% (32) 6.7% (91) 9.3% (53) 7.6% (50) 7.0% (43) 23.9% (146) Mid AQR ACWI ex-US Fund Pacific 8.5% (149) 7.3% (146) 9.2% (175) 25.0% (470) 9.5% (104) 8.2% (86) 8.3% (69) 25.9% (259) Emerging/ FM 8.0% (387) 7.9% (339) 10.4% (340) 26.3% (1066) Small 35.3% (221) 30.2% (182) 34.5% (174) 100.0% (577) Total 31.4% (701) 30.0% (641) 38.6% (734) 100.0% (2076) Micro Value Core Growth Value Core Growth Total

AQR ACWI ex-US Fund Historical Region/Style Exposures

AQR ACWI ex-US Fund Historical Style Only Exposures

100% 100% 90% 90% Growth 80% 80% Core Value 70% 70% 60% 60% 50% 50% 40% 40% 30% 30% 20% 20% 10% 10% 0% 0% 2017 2018 2019 2020

Oregon Savings Growth Plan 146 Arrowstreet International Equity Period Ended March 31, 2020

Quarterly Summary and Highlights Arrowstreet International Equity’s portfolio posted a (22.73)% return for the quarter placing it in the 50 percentile of the Callan Non US Equity Mutual Funds group for the quarter and in the 49 percentile for the last year. Arrowstreet International Equity’s portfolio outperformed the MSCI ACWI ex US IMI by 1.38% for the quarter and outperformed the MSCI ACWI ex US IMI for the year by 2.22%.

Performance vs Callan Non US Equity Mutual Funds (Institutional Net) 0%

(5%)

(10%)

(49) (15%) (63)

(20%)

(50) (60) (25%)

(30%)

(35%) Last Quarter Last Year 10th Percentile (19.10) (7.59) 25th Percentile (20.49) (10.14) Median (22.82) (14.66) 75th Percentile (26.13) (18.17) 90th Percentile (30.97) (25.80) Arrowstreet International Equity (22.73) (14.10) MSCI ACWI ex US IMI (24.11) (16.32)

Cumulative Returns vs Relative Return vs MSCI ACWI ex US IMI MSCI ACWI ex US IMI

1.6% 3.0% Arrowstreet International Equity 1.4% Callan Non US Equity MFs 2.5% 1.2% 2.0% 1.0%

0.8% 1.5%

0.6% 1.0% Relative Returns 0.4% 0.5% 0.2% Cumulative Relative Returns

0.0% 0.0% 2019 2020 2019 2020

Arrowstreet International Equity

Oregon Savings Growth Plan 147 Arrowstreet International Equity Equity Characteristics Analysis Summary

Portfolio Characteristics Percentile Rankings Rankings Against Callan Non US Equity Mutual Funds as of March 31, 2020

0% 10% 20% 30% (31) (36) 40% (42) 50% 60% (61) (63) (64) (68) (68) 70% (70) (72) (71) 80% (82) Percentile Ranking 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 50.06 18.21 2.91 14.76 4.64 0.96 25th Percentile 36.04 15.60 2.19 11.29 3.97 0.61 Median 28.04 12.88 1.75 9.22 3.17 0.22 75th Percentile 20.16 10.42 1.06 7.61 2.25 (0.23) 90th Percentile 12.79 9.05 0.86 6.32 1.61 (0.66) Arrowstreet International Equity 20.88 9.77 1.13 8.42 3.76 (0.13) MSCI ACWI ex US IMI 21.02 12.05 1.24 9.65 3.51 0.02

Sector Allocation Diversification March 31, 2020 March 31, 2020

17.9 800 10.3 Health Care 14.3 16.5 700 10.4 (6) Information Technology 12.4 Diversification Ratio

11.5 50% 600 12.3 Mgr MV Manager 12% Industrials 14.5 10.9 Index 3% 18.1 500 Financials 16.1 Style Median 28% 10.4 7.3 400 Materials 6.3 50%

8.7 Mgr MV 11.7 Consumer Discretionary 11.8 300 5.9 10.1 Consumer Staples 11.9 200 5.0 7.1 Communication Services 6.6 100 (6) 3.9 4.8 Energy 3.4 0 3.6 Number of Issue 3.7 Utilities 1.2 Securities Diversification 3.1 Sector Diversification Miscellaneous 10th Percentile 380 57 1.8 Manager 3.37 sectors 25th Percentile 162 36 Pooled Vehicles Index 3.77 sectors Median 80 22 0.8 4.2 75th Percentile 60 17 Real Estate 1.6 90th Percentile 44 14 0% 5% 10% 15% 20% 25% Arrowstreet Arrowstreet International Equity MSCI ACWI ex US IMI International Equity 663 77 Callan Non US Equity MFs MSCI ACWI ex US IMI 6589 231

Oregon Savings Growth Plan 148 Country Allocation Arrowstreet International Equity VS MSCI ACWI ex US IMI

Country Weights as of March 31, 2020 Index Rtns Argentina 2.9 (43.60%) Australia 4.0 0.1 (33.77%) Austria 0.2 1.1 (38.21%) Belgium 0.7 2.3 (28.67%) Brazil 1.4 1.8 (50.82%) Canada 6.3 0.1 (28.90%) Chile 0.2 7.5 (34.21%) China 10.2 (10.31%) Colombia 0.1 (49.77%) Czech Republic 2.4 (37.54%) Denmark 1.4 (9.61%) Egypt 0.7 (29.07%) Emerging & Developed ex US 0.4 - Europe 0.6 - Finland 0.7 3.8 (20.73%) France 6.5 9.6 (28.00%) Germany 5.4 0.3 (26.99%) Greece 0.1 0.5 (42.77%) Hong Kong 2.4 (17.61%) Hungary 0.1 1.3 (38.71%) India 2.2 (31.79%) Indonesia 0.4 0.1 (41.39%) Ireland 0.4 (25.97%) Israel 0.5 4.0 (20.90%) Italy 1.6 20.4 (29.35%) Japan 18.3 (17.12%) Luxembourg - Malaysia 0.5 (21.27%) Mexico 0.5 5.6 (36.10%) Netherlands 2.6 (21.61%) New Zealand 0.2 0.2 (22.88%) Norway 0.5 (36.58%) Pakistan (34.21%) Peru 0.1 (35.76%) Philippines 0.2 (33.01%) Poland 0.2 (36.12%) Portugal 0.1 (19.23%) Qatar 0.3 5.9 (17.75%) Russia 0.8 (36.23%) Saudi Arabia 0.7 (23.44%) Singapore 0.9 0.1 (28.20%) South Africa 1.0 5.2 (41.56%) South Korea 3.3 1.0 (22.53%) Spain 1.7 1.8 (29.78%) Sweden 2.2 8.5 (22.57%) Switzerland 6.7 1.9 (12.16%) Taiwan 3.6 (19.56%) Thailand 0.6 0.6 (34.76%) Turkey 0.1 (29.58%) United Arab Emirates 0.1 6.8 (27.85%) United Kingdom 10.2 2.6 (30.03%) United States (21.27%) 0% 5% 10% 15% 20% 25% Percent of Portfolio Manager Total Return: (22.73%) Arrowstreet International Equity MSCI ACWI ex US IMI Index Total Return: (24.11%)

Oregon Savings Growth Plan 149 Current Holdings Based Style Analysis Arrowstreet International Equity As of March 31, 2020

Style Map vs Callan Non US Equity MFs Style Exposure Matrix Holdings as of March 31, 2020 Holdings as of March 31, 2020

Mega 14.8% (93) 13.8% (55) 19.5% (59) 48.0% (207) Europe/ Mid East Large 10.4% (455) 11.2% (491) 19.2% (447) 40.7% (1393) Arrowstreet International Equity 0.9% (7) 0.3% (6) 0.8% (6) 2.0% (19) N. America 0.7% (95) 3.3% (119) 2.5% (84) 6.5% (298) MSCI ACWI ex US IMI 6.6% (77) 8.3% (62) 11.4% (57) 26.3% (196) Mid Pacific 6.9% (564) 8.7% (591) 11.7% (612) 27.3% (1767) 6.0% (58) 8.6% (53) 9.0% (38) 23.6% (149) Emerging/ FM 6.6% (930) 7.3% (928) 11.7% (901) 25.5% (2759) Small 28.3% (235) 30.9% (176) 40.8% (160) 100.0% (571) Total 24.6% (2044) 30.4% (2129) 45.0% (2044) 100.0% (6217) Micro Value Core Growth Value Core Growth Total

Combined Z-Score Style Distribution Holdings as of March 31, 2020

70% Europe/Mid East 60% Bar #1=Arrowstreet International Equity (Combined Z: -0.13 Growth Z: 0.00 Value Z: 0.13 Bar #2=MSCI ACWI ex US IMI (Combined Z: 0.02 Growth Z: -0.01 Value Z: -0.03) (2044) N. America 50% (160) 45.0% Pacific (176) 40.8% 40% (235) (2129) Emerging/FM (2044) 28.3% 30.9% 30.4% 30% 24.6% 20% 10% 0% Value Core Growth

Sector Weights Distribution Holdings as of March 31, 2020

30% Bar #1=Arrowstreet International Equity Value 25% Bar #2=MSCI ACWI ex US IMI Core 19.4 20% 17.8 17.7 Growth 15% 11.8 12.3 12.5 11.2 10.6 10.5 10.7 10% 9.2 9.8 7.3 6.4 7.3 5.4 4.5 5% 4.2 3.1 3.7 4.1 0.1 0.0 0.6 0% COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU MISC PUBUTL RAWMAT REALES TECH

Oregon Savings Growth Plan 150 Socially Responsible Option Option Socially Responsible Socially Responsible Option Period Ended March 31, 2020

Quarterly Summary and Highlights Socially Responsible Option’s portfolio posted a (20.59)% return for the quarter placing it in the 35 percentile of the Callan All Cap Core Mutual Funds group for the quarter and in the 23 percentile for the last year. Socially Responsible Option’s portfolio outperformed the Russell 3000 Index by 0.31% for the quarter and outperformed the Russell 3000 Index for the year by 0.74%.

Performance vs Callan All Cap Core Mutual Funds (Institutional Net) 20%

10%

(11) (12) (21) (19) 0%

(23) (10%) (28)

(20%) (38) (35)

(30%)

(40%) Last Quarter Last Year Last 3 Years Last 5 Years 10th Percentile (16.16) (4.86) 5.65 5.91 25th Percentile (19.72) (8.68) 3.69 4.76 Median (22.08) (12.40) 1.14 2.94 75th Percentile (26.40) (17.66) (2.05) 0.58 90th Percentile (30.89) (23.47) (5.30) (1.60) Socially Responsible Option (20.59) (8.38) 4.25 5.50 Russell 3000 Index (20.90) (9.13) 4.00 5.77

Callan All Cap Core Mutual Funds (Institutional Net) Relative Return vs Russell 3000 Index Annualized Five Year Risk vs Return

1.5% 15%

1.0% 10% Socially Responsible Option

0.5% 5% Russell 3000 Index

0.0% 0%

(0.5%) (5%) Returns

Relative Returns (1.0%) (10%)

(1.5%) (15%)

(2.0%) (20%) 2015 2016 2017 2018 2019 20 5 10 15 20 25 30 35 Standard Deviation Socially Responsible Option

Oregon Savings Growth Plan 152 Socially Responsible Option Return Analysis Summary

Performance vs Callan All Cap Core Mutual Funds (Institutional Net)

50% 40% 30% (29) (26) 20% 10% 0% (24) (30) (10%) (20%) (38) (35) (30%) (40%) 12/19- 3/20 2019 2018 10th Percentile (16.16) 34.24 (2.70) 25th Percentile (19.72) 31.50 (5.39) Median (22.08) 28.31 (7.81) 75th Percentile (26.40) 25.12 (10.90) 90th Percentile (30.89) 21.64 (14.16) Socially Responsible Option (20.59) 31.43 (5.61) Russell 3000 Index (20.90) 31.02 (5.24)

Cumulative and Quarterly Relative Return vs Russell 3000 Index

(5%)

(10%)

Relative Returns (15%)

(20%) 2015 2016 2017 2018 2019 2020

Socially Responsible Option Callan All Cap Core MFs

Risk Adjusted Return Measures vs Russell 3000 Index Rankings Against Callan All Cap Core Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

2 (14) 0 (15) (20) (2)

(4)

(6)

(8)

(10) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 0.58 0.33 0.11 25th Percentile (0.82) 0.22 (0.36) Median (2.71) 0.11 (0.72) 75th Percentile (4.89) (0.04) (1.15) 90th Percentile (7.25) (0.15) (1.37) Socially Responsible Option (0.17) 0.28 (0.22)

Oregon Savings Growth Plan 153 Socially Responsible Option Risk Analysis Summary

Risk Analysis The graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs Callan All Cap Core Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

0 Socially Responsible Option

(5 )

(10 )

Excess Return (15 )

(20 )

(25 ) 0 5 10 15 20 25 30 Tracking Error

Market Capture vs Russell 3000 Index Rankings Against Callan All Cap Core Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

150% 140% 130% 120% 110% 100% (69) 90% (18) 80% 70% 60% 50% Up Market Down Capture Market Capture 10th Percentile 100.19 133.22 25th Percentile 92.42 117.48 Median 82.18 104.40 75th Percentile 70.95 95.07 90th Percentile 60.67 87.27 Socially Responsible Option 95.00 97.65

Risk Statistics Rankings vs Russell 3000 Index Rankings Against Callan All Cap Core Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

25% 1.30 20% 1.20 1.10 15% (69) 1.00 (60) (2) 10% 0.90 5% 0.80 (98) 0% (98) 0.70 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 20.22 6.78 6.86 10th Percentile 1.23 0.98 25th Percentile 18.25 5.41 5.54 25th Percentile 1.11 0.97 Median 16.24 3.74 4.30 Median 1.01 0.94 75th Percentile 15.13 2.67 3.25 75th Percentile 0.93 0.92 90th Percentile 14.04 2.00 2.20 90th Percentile 0.84 0.88 Socially Socially Responsible Option 15.46 0.94 1.20 Responsible Option 0.98 0.99

Oregon Savings Growth Plan 154 TIAA-CREF Social Choice Equity Fund Period Ended March 31, 2020

Investment Philosophy The Social Choice Equity fund uses the MSCI USA IMI ESG index as it’s starting universe, but rebalances stock weightings to match the risk factors of the Russell 3000. The goal is to neutralize, to the extent possible, the inherent biases introduced by using a screened universe of securities and minimize tracking error versus the Russell 3000.

Quarterly Summary and Highlights TIAA-CREF Social Choice Equity Fund’s portfolio posted a (20.49)% return for the quarter placing it in the 34 percentile of the Callan All Cap Core Mutual Funds group for the quarter and in the 23 percentile for the last year. TIAA-CREF Social Choice Equity Fund’s portfolio outperformed the Russell 3000 Index by 0.41% for the quarter and outperformed the Russell 3000 Index for the year by 0.87%.

Performance vs Callan All Cap Core Mutual Funds (Institutional Net)

20%

10% (10) (24) (12) (20) (11) (12) (21) (17) 0%

(23) (10%) (28)

(20%) (38) (34)

(30%)

(40%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (16.16) (4.86) 5.65 5.91 9.29 10.16 25th Percentile (19.72) (8.68) 3.69 4.76 7.86 9.38 Median (22.08) (12.40) 1.14 2.94 6.78 7.99 75th Percentile (26.40) (17.66) (2.05) 0.58 4.54 6.48 90th Percentile (30.89) (23.47) (5.30) (1.60) 3.19 5.40 TIAA-CREF Social Choice Equity Fund (20.49) (8.25) 4.36 5.60 8.30 9.48 Russell 3000 Index (20.90) (9.13) 4.00 5.77 8.96 10.15

Callan All Cap Core Mutual Funds (Institutional Net) Relative Return vs Russell 3000 Index Annualized Five Year Risk vs Return

1.5% 15%

1.0% 10% TIAA-CREF Social Choice Equity Fund

0.5% 5% Russell 3000 Index

0.0% 0%

(0.5%) (5%) Returns

Relative Returns (1.0%) (10%)

(1.5%) (15%)

(2.0%) (20%) 2015 2016 2017 2018 2019 20 5 10 15 20 25 30 35 Standard Deviation TIAA-CREF Social Choice Equity Fund

Oregon Savings Growth Plan 155 TIAA-CREF Social Choice Equity Fund Return Analysis Summary

Performance vs Callan All Cap Core Mutual Funds (Institutional Net)

50% 40% 30% (29) (25) 20% (36) (38) (25) 10% (30) (25) (37) 0% (24) (24) (27) (53) (10%) (20%) (38) (34) (30%) (40%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile (16.16) 34.24 (2.70) 24.82 16.18 2.10 14.90 25th Percentile (19.72) 31.50 (5.39) 22.25 13.52 0.38 12.48 Median (22.08) 28.31 (7.81) 19.49 10.12 (2.12) 10.09 75th Percentile (26.40) 25.12 (10.90) 15.89 7.45 (4.62) 6.85 90th Percentile (30.89) 21.64 (14.16) 12.97 5.86 (8.17) 4.09 TIAA-CREF Social Choice Equity Fund (20.49) 31.49 (5.53) 20.93 13.51 (2.39) 11.25 Russell 3000 Index (20.90) 31.02 (5.24) 21.13 12.74 0.48 12.56

Cumulative and Quarterly Relative Return vs Russell 3000 Index

(5%)

(10%)

Relative Returns (15%)

(20%) 2015 2016 2017 2018 2019 2020

TIAA-CREF Social Choice Equity Fund Callan All Cap Core MFs

Risk Adjusted Return Measures vs Russell 3000 Index Rankings Against Callan All Cap Core Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

2 0 (14) (14) (15) (2) (4) (6) (8) (10) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 0.58 0.33 0.11 25th Percentile (0.82) 0.22 (0.36) Median (2.71) 0.11 (0.72) 75th Percentile (4.89) (0.04) (1.15) 90th Percentile (7.25) (0.15) (1.37) TIAA-CREF Social Choice Equity Fund (0.08) 0.29 (0.14)

Oregon Savings Growth Plan 156 TIAA-CREF Social Choice Equity Fund Risk Analysis Summary

Risk Analysis The graphs below analyze the risk or variation of a manager’s return pattern. The first scatter chart illustrates the relationship, called Excess Return Ratio, between excess return and tracking error relative to the benchmark. The second chart shows Up and Down Market Capture. The last two charts show the ranking of the manager’s risk statistics versus the peer group.

Risk Analysis vs Callan All Cap Core Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

0 TIAA-CREF Social Choice Equity Fund

(5 )

(10 )

Excess Return (15 )

(20 )

(25 ) 0 5 10 15 20 25 30 Tracking Error

Market Capture vs Russell 3000 Index Rankings Against Callan All Cap Core Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

150% 140% 130% 120% 110% 100% (70) 90% (18) 80% 70% 60% 50% Up Market Down Capture Market Capture 10th Percentile 100.19 133.22 25th Percentile 92.42 117.48 Median 82.18 104.40 75th Percentile 70.95 95.07 90th Percentile 60.67 87.27 TIAA-CREF Social Choice Equity Fund 95.42 97.25

Risk Statistics Rankings vs Russell 3000 Index Rankings Against Callan All Cap Core Mutual Funds (Institutional Net) Five Years Ended March 31, 2020

25% 1.30 20% 1.20 1.10 15% (69) 1.00 (61) (2) 10% 0.90 5% 0.80 (98) 0% (98) 0.70 Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 20.22 6.78 6.86 10th Percentile 1.23 0.98 25th Percentile 18.25 5.41 5.54 25th Percentile 1.11 0.97 Median 16.24 3.74 4.30 Median 1.01 0.94 75th Percentile 15.13 2.67 3.25 75th Percentile 0.93 0.92 90th Percentile 14.04 2.00 2.20 90th Percentile 0.84 0.88 TIAA-CREF Social TIAA-CREF Social Choice Equity Fund 15.44 0.92 1.19 Choice Equity Fund 0.97 0.99

Oregon Savings Growth Plan 157 TIAA-CREF Social Choice Equity Fund Equity Characteristics Analysis Summary

Portfolio Characteristics Percentile Rankings Rankings Against Callan All Cap Core Mutual Funds as of March 31, 2020

0% 10% 20% (19) (27) (26) 30% (32) (34) 40% (40) (38) (39) (39) (46) 50% (51) (48) 60% 70% 80% Percentile Ranking 90% 100% Weighted Median Price/Fore- Price/Book Forecasted Dividend MSCI Market Cap casted Earnings Earnings Growth Yield Combined Z-Score 10th Percentile 109.48 18.18 3.65 14.22 3.03 0.42 25th Percentile 65.10 16.18 2.82 12.25 2.63 0.15 Median 45.74 13.74 2.24 10.96 2.17 (0.12) 75th Percentile 22.04 12.05 1.68 8.86 1.72 (0.42) 90th Percentile 9.91 10.62 1.40 7.18 1.34 (0.71) TIAA-CREF Social Choice Equity Fund 60.44 16.07 2.50 10.91 2.22 0.02 Russell 3000 Index 87.19 16.04 2.46 11.66 2.27 0.02

Sector Allocation Diversification March 31, 2020 March 31, 2020

22.9 800 Information Technology 24.6 24.1 700 15.6 (7) Health Care 15.6 50% Diversification Ratio 16.2 Mgr MV 600 12.6 Manager 6% 11.4 Financials 12.4 500 Index 2% 11.1 Style Median 27% 10.0 Consumer Discretionary 11.0 400 50%

9.6 Mgr MV 9.0 Industrials 10.3 300 9.1 9.8 Communication Services 9.8 200 6.7 7.1 100 Consumer Staples 6.6 3.8 (15) 3.9 0 Real Estate 2.4 Number of Issue 3.5 Securities Diversification 3.5 Utilities 2.5 Sector Diversification 10th Percentile 394 48 2.8 Manager 2.92 sectors Materials 2.6 25th Percentile 179 30 2.5 Index 2.86 sectors Median 63 18 2.5 Energy 2.5 75th Percentile 37 12 2.1 90th Percentile 29 9 0% 5% 10% 15% 20% 25% 30% TIAA-CREF Social TIAA-CREF Social Choice Equity Fund Russell 3000 Index Choice Equity Fund 663 40 Callan All Cap Core MFs Russell 3000 Index 2995 61

Oregon Savings Growth Plan 158 Current Holdings Based Style Analysis TIAA-CREF Social Choice Equity Fund As of March 31, 2020

Style Map vs Callan All Cap Core MFs Style Exposure Matrix Holdings as of March 31, 2020 Holdings as of March 31, 2020

Mega 14.1% (34) 29.5% (58) 39.1% (56) 82.7% (148) Large Large 13.7% (73) 27.8% (109) 38.1% (114) 79.6% (296) Russell 3000 Index 4.1% (51) 2.3% (45) 6.3% (82) 12.7% (178) Mid 4.0% (151) 4.2% (175) 6.5% (268) 14.6% (594) TIAA-CREF Social Choice Equity Fund TIAA-CREF Social Choice Equity Fund 0.8% (78) 1.6% Russell(93) 30001.5% Index(61) 3.9% (232) Mid Small 1.5% (336) 2.0% (480) 1.7% (371) 5.2% (1187) 0.2% (40) 0.3% (50) 0.1% (12) 0.7% (102) Micro 0.2% (345) 0.2% (395) 0.1% (150) 0.5% (890) Small 19.3% (203) 33.7% (246) 47.0% (211) 100.0% (660) Total 19.4% (905) 34.3% (1159) 46.3% (903) 100.0% (2967) Micro Value Core Growth Value Core Growth Total

Combined Z-Score Style Distribution Holdings as of March 31, 2020

80% Large 70% Bar #1=TIAA-CREF Social Choice Equity Fund (Combined Z: 0.02 Growth Z: -0.02 Value Z: - Bar #2=Russell 3000 Index (Combined Z: 0.02 Growth Z: -0.01 Value Z: -0.03) Mid 60% (211) (903) Small 50% 47.0% 46.3% Micro (246) (1159) 40% 33.7% 34.3% 30% (203) (905) 20% 19.3% 19.4% 10% 0% Value Core Growth

Sector Weights Distribution Holdings as of March 31, 2020

35% Bar #1=TIAA-CREF Social Choice Equity Fund Value 30% Bar #2=Russell 3000 Index Core 24.6 25% 22.9 Growth 20% 15.6 15.6 15% 12.6 11.4 11.1 10.0 10% 9.0 9.8 9.6 9.0 6.7 7.1 3.8 3.9 5% 2.5 2.5 3.5 3.5 2.8 2.6 0% COMMUN CONCYC CONSTA ENERGY FINANC HEALTH INDEQU PUBUTL RAWMAT REALES TECH

Oregon Savings Growth Plan 159 Historical Holdings Based Style Analysis TIAA-CREF Social Choice Equity Fund For Three Years Ended March 31, 2020

Average Style Map vs Callan All Cap Core MFs Average Style Exposure Matrix Holdings for Three Years Ended March 31, 2020 Holdings for Three Years Ended March 31, 2020

Mega 25.5% (56) 24.8% (54) 28.8% (50) 79.2% (160) Large Large 25.1% (104) 21.4% (96) 29.2% (98) 75.7% (298) Russell 3000 Index 4.2% (60) 4.8% (75) 5.9% (70) 14.9% (205) Mid 4.8% (171) 6.0% (211) 5.9% (214) 16.7% (596) TIAA-CREF Social Choice Equity Fund 1.1% (83) 2.0% (108) 2.1% (82) 5.2% (273) Mid Small 2.0% (330) 2.7% (484) 2.1% (378) 6.8% (1192) 0.2% (28) 0.3% (39) 0.2% (23) 0.7% (90) Micro 0.3% (296) 0.3% (380) 0.2% (209) 0.8% (885) Small 31.0% (227) 31.9% (276) 37.1% (225) 100.0% (728) Total 32.2% (901) 30.4% (1171) 37.5% (899) 100.0% (2971) Micro Value Core Growth Value Core Growth Total

TIAA-CREF Social Choice Equity Fund Historical Cap/Style Exposures

100% 100% 90% 90% Growth 80% 80% Core Value 70% 70% 60% 60% 50% 50% 40% 40% 30% 30% 20% 20% 10% 10% 0% 0% 2017 2018 2019 2020

Oregon Savings Growth Plan 160 Real Return Option Real Return Option Real Return Real Return Option Period Ended March 31, 2020

Investment Philosophy SSGA Custom Blended Benchmark comprised of: 15% Dow Jones US Select REIT Index, 25% Bloomberg Roll Select Commodity Index, 25% S&P Global LargeMidCap Commodity and Resources Index, 25% Bloomberg Barclays US Treasury Inflation Protected Securities Index, and 10% S&P Global Infrastructure Index.

Quarterly Summary and Highlights Real Return Option’s portfolio posted a (19.97)% return for the quarter placing it in the 62 percentile of the Callan Real Assets Mutual Funds group for the quarter and in the 75 percentile for the last year. Real Return Option’s portfolio underperformed the Consumer Price Index + 4% by 21.31% for the quarter and underperformed the Consumer Price Index + 4% for the year by 22.03%.

Performance vs Callan Real Assets Mutual Funds (Institutional Net)

10%

(8) 5% (9) (7) (9) 0% B(47) B(70) A(83) (5%) A(81)

(10%)

(15%) B(73) A(75) B(61) (20%) A(62)

(25%)

(30%)

(35%) Last Quarter Last Year Last 3 Years Last 5 Years 10th Percentile (4.40) 2.02 3.19 3.18 25th Percentile (10.89) (6.55) 0.07 0.60 Median (15.74) (11.01) (2.02) (1.83) 75th Percentile (21.47) (16.63) (3.37) (2.69) 90th Percentile (26.26) (22.86) (6.18) (3.87) Real Return Option A (19.97) (16.58) (4.43) (3.27) Real Return Option Blended Benchmark B (19.74) (16.28) (3.17) (1.72) Consumer Price Index + 4% 1.34 5.46 5.89 5.70

Cumulative Returns vs Relative Return vs Consumer Price Index + 4% Consumer Price Index + 4%

10% 30%

5% 20%

0% 10%

(5%) 0%

(10%) (10%)

Relative Returns (15%) (20%)

(20%) Cumulative Relative Returns (30%) Real Return Option Callan Real Assets MFs (25%) (40%) 2015 2016 2017 2018 2019 20 2015 2016 2017 2018 2019 20

Real Return Option

Oregon Savings Growth Plan 162 State Street Real Asset Strategy Period Ended March 31, 2020

Quarterly Summary and Highlights State Street Real Asset Strategy’s portfolio posted a (19.38)% return for the quarter placing it in the 53 percentile of the Callan Real Assets Database group for the quarter and in the 63 percentile for the last year. State Street Real Asset Strategy’s portfolio underperformed the Consumer Price Index + 4% by 20.73% for the quarter and underperformed the Consumer Price Index + 4% for the year by 21.40%.

Performance vs Callan Real Assets Database (Institutional Net)

10%

(6) 5% (6) (5) (5) (1) (6) B(63) 0% A(41) B(63) A(64) A(61) B(42) B(63) A(64) (5%)

(10%)

(15%) A(63) B(66) A(53) (20%) B(58)

(25%)

(30%)

(35%) Last Quarter Last Last 3 Years Last 5 Years Last 7 Years Last 10 Years Year 10th Percentile (9.86) (4.47) 1.63 1.39 2.23 1.76 25th Percentile (12.10) (8.00) (1.09) (0.39) (0.48) 1.66 Median (19.06) (14.54) (2.47) (2.02) (1.47) 1.54 75th Percentile (25.02) (20.40) (4.39) (2.79) (3.09) (2.05) 90th Percentile (26.29) (23.59) (6.80) (4.06) (5.44) (2.63) State Street Real Asset Strategy A (19.38) (15.94) (3.06) (1.69) (2.24) 0.06 SSGA Custom Blended Benchmark B (19.74) (16.28) (3.17) (1.72) (2.23) 0.34 Consumer Price Index + 4% 1.34 5.46 5.89 5.70 5.32 5.65

Callan Real Assets Database (Institutional Net) Relative Return vs Consumer Price Index + 4% Annualized Five Year Risk vs Return

15% 10%

8% 10% 6% Consumer Price Index + 4% 5% 4% 0% 2%

(5%) 0% State Street Real Asset Strategy

Returns (2%) (10%) SSGA Custom Blended Benchmark Relative Returns (4%) (15%) (6%) (20%) (8%)

(25%) (10%) 2015 2016 2017 2018 2019 20 0 5 10 15 20 Standard Deviation State Street Real Asset Strategy

Oregon Savings Growth Plan 163 State Street Real Asset Strategy Return Analysis Summary

Performance vs Callan Real Assets Database (Institutional Net)

30% 20% B(58) B(16) A(58) B(50) A(16) 10% (94) (2) (63) (56) (6) A(50) (1) (11) B(53) 0% B(38) A(53) (10%) A(39) B(84) A(53) A(84) (20%) B(58) (30%) (40%) 12/19- 3/20 2019 2018 2017 2016 2015 2014 10th Percentile (9.86) 19.86 (3.36) 19.10 17.36 0.46 4.56 25th Percentile (12.10) 16.89 (4.14) 10.90 9.97 (3.02) 1.87 Median (19.06) 14.76 (7.86) 8.56 7.89 (7.32) (0.62) 75th Percentile (25.02) 10.48 (10.57) 3.80 4.20 (12.24) (4.22) 90th Percentile (26.29) 7.55 (11.50) 1.66 3.04 (16.04) (8.50) State Street Real Asset Strategy A (19.38) 13.65 (7.17) 8.60 14.15 (14.11) (1.05) SSGA Custom Blended Benchmark B (19.74) 13.68 (7.11) 8.61 14.28 (14.05) (0.85) CPI + 4% 1.34 6.32 5.77 6.18 5.99 4.39 4.33

Cumulative and Quarterly Relative Return vs CPI + 4%

15% 10% 5% 0% (5%) (10%) (15%) (20%)

Relative Returns (25%) (30%) (35%) 2015 2016 2017 2018 2019 2020

State Street Real Asset Strategy SSGA Custom Blended Benchmark Callan Real Assets

Risk Adjusted Return Measures vs CPI + 4% Rankings Against Callan Real Assets Database (Institutional Net) Five Years Ended March 31, 2020

5 0 A(82) B(65) B(82) A(67) (5) (10) (15) A(74) (20) B(74) (25) (30) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile (4.95) 0.19 (0.31) 25th Percentile (11.90) (0.04) (0.50) Median (17.78) (0.16) (0.55) 75th Percentile (20.09) (0.22) (0.63) 90th Percentile (26.13) (0.36) (0.71) State Street Real Asset Strategy A (19.76) (0.23) (0.61) SSGA Custom Blended Benchmark B (19.76) (0.23) (0.60)

Oregon Savings Growth Plan 164 State Street Real Asset Strategy Risk Analysis Summary

Risk Analysis vs Callan Real Assets Database (Institutional Net) Five Years Ended March 31, 2020

(2 )

(4 )

(6 ) Excess Return State Street Real Asset Strategy SSGA Custom Blended Benchmark (8 )

(10 )

(12 ) 5 10 15 20 Tracking Error

Rolling 12 Quarter Tracking Error vs CPI + 4%

16% State Street Real Asset Strategy 14% SSGA Custom Blended Benchmark Callan Real Assets 12%

10%

6% Tracking Error 4%

2% 13 2014 2015 2016 2017 2018 2019 20

Risk Statistics Rankings vs CPI + 4% Rankings Against Callan Real Assets Database (Institutional Net) Five Years Ended March 31, 2020

20% 7 6 5 15% A(27) 4 B(27) B(43) B(43) A(45) B(38) A(45) A(40) 3 10% 2 1 A(20) 5% 0 B(29) Standard Downside Tracking Beta R-Squared Deviation Risk Error 10th Percentile 17.37 15.18 16.86 10th Percentile 6.03 0.22 25th Percentile 14.88 13.44 14.47 25th Percentile 4.54 0.21 Median 12.38 11.20 12.10 Median 4.14 0.19 75th Percentile 9.00 8.02 8.54 75th Percentile 2.92 0.14 90th Percentile 6.76 6.73 6.47 90th Percentile 1.63 0.08 State Street Real State Street Real Asset Strategy A 12.68 11.40 12.17 Asset Strategy A 4.39 0.21 SSGA Custom SSGA Custom Blended Benchmark B 12.80 11.53 12.30 Blended Benchmark B 4.39 0.21

Oregon Savings Growth Plan 165 Definitions Definitions Equity Market Indicators

The market indicators included in this report are regarded as measures of equity or fixed income performance results. The returns shown reflect both income and capital appreciation.

Russell 1000 Growth measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.

Russell 1000 Value measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.

Russell 2000 Index is composed of the 2000 smallest stocks in the Russell 3000 Index, representing approximately 11% of the U.S. equity market capitalization.

Standard & Poor’s 500 Index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index is capitalization-weighted, with each stock weighted by its proportion of the total market value of all 500 issues. Thus, larger companies have a greater effect on the index.

Fixed Income Market Indicators

90-Day U.S. Treasury Bills provide a measure of riskless return. The rate of return is the average interest rate available on the beginning of each month for a Treasury Bill maturing in ninety days.

Bloomberg Barclays Aggregate Bond Index is a combination of the Mortgage Backed Securities Index and the intermediate and long-term components of the Government/Credit Bond Index.

International Equity Market Indicators

Morgan Stanley Capital International (MSCI) EAFE Index is composed of approximately 1000 equity securities representing the stock exchanges of Europe, Australia, New Zealand and the Far East. The index is capitalization-weighted and is expressed in terms of U.S. dollars.

167 Definitions

Core Bond - Managers who construct portfolios to approximate the investment results of the Bloomberg Barclays Capital Government/Credit Bond Index or the Bloomberg Barclays Capital Aggregate Bond Index with a modest amount of variability in duration around the index. The objective is to achieve value added from sector and/or issue selection.

Core Equity - Managers whose portfolio holdings and characteristics are similar to that of the broader market as represented by the Standard & Poor’s 500 Index, with the objective of adding value over and above the index, typically from sector or issue selection. The core portfolio exhibits similar risk characteristics to the broad market as measured by low residual risk with Beta and R-Squared values close to 1.00 and combined growth and value z-score values close to 0.00.

Core Plus Broad International Equity Style This is a hybrid group incorporating the Core Plus, Growth Plus and Value Plus style groups. It incorporates managers that typically add value from increased tactical or strategic exposure to emerging markets and smaller capitalization stocks. Portfolios may undertake concentrated bets.

Intermediate Fixed-Income Style Mutual Funds - mutual funds whose objective is to lower interest rate risk by investing only in intermediate-term securities. The average portfolio maturity is typically five to seven years.

Large Cap Growth - Managers who invest mainly in large companies that are expected to have above average prospects for long-term growth in earnings and profitability. Future growth prospects take precedence over valuation levels in the stock selection process. Invests in companies with P/E ratios, Price-to-Book values, Return-on-Assets values, Growth-in-Earnings values above the broader market. The companies typically have zero dividends or dividend yields below the broader market. Invests in securities which exhibit greater volatility than the broader market as measured by the securities’ Beta and Standard Deviation. Portfolios have high growth z-scores and low value z-scores.

Large Cap Value - Managers who invest primarily in large companies believed to be currently undervalued in the general market and whose shares are priced below the market compared to their peers. Valuation issues take precedence over near term earnings prospects in the stock selection process. The Large Cap Value Style invests in companies with P/E ratios, Return-on-Equity values, and Price-to-Book values below the broader market and the middle capitalization segment. This style invests in securities with risk/reward profiles in the lower risk range of the medium capitalization market. Portfolios have low growth z-scores and high value z-scores.

Non-U.S. Equity Style Mutual Funds - Mutual funds that invest their assets only in non-U.S. equity securities but exclude regional and index funds.

Small Capitalization - Mututal funds that invest in companies with relatively small capitalization. The average market capitalization is approximately $1.4 billion. The companies typically have zero dividends or dividend yields below the broader market. The securities exhibit greater volatility than the broader market as measured by the risk statistics Beta and Standard Deviation. The Small Capitalization Style Group consists of the Small Capitalization (Growth) Style Group and the Small Capitalization (Value) Style Group.

Small Capitalization - Managers who invest in companies with relatively small capitalization. The average market capitalization is approximately $1.4 billion. The companies typically have zero dividends or dividend yields below the broader market. The securities exhibit greater volatility than the broader market as measured by the risk statistics Beta and Standard Deviation. The Small Capitalization Style Group consists of the Small Capitalization (Growth) Style Group and the Small Capitalization (Value) Style Group.

168 Risk/Reward Statistics

The risk statistics used in this report examine performance characteristics of a manager or a portfolio relative to a benchmark (market indicator) which assumes to represent overall movements in the asset class being considered. The main unit of analysis is the excess return, which is the portfolio return minus the return on a risk free asset (3 month T-Bill).

Alpha measures a portfolio’s return in excess of the market return adjusted for risk. It is a measure of the manager’s contribution to performance with reference to security selection. A positive alpha indicates that a portfolio was positively rewarded for the residual risk which was taken for that level of market exposure.

Beta measures the sensitivity of rates of portfolio returns to movements in the market index. A portfolio’s beta measures the expected change in return per 1% change in the return on the market. If a beta of a portfolio is 1.5, a 1 percent increase in the return on the market will result, on average, in a 1.5 percent increase in the return on the portfolio. The converse would also be true.

Downside Risk stems from the desire to differentiate between "good risk" (upside volatility) and "bad risk" (downside volatility). Whereas standard deviation punishes both upside and downside volatility, downside risk measures only the standard deviation of returns below the target. Returns above the target are assigned a deviation of zero. Both the frequency and magnitude of underperformance affect the amount of downside risk.

Excess Return Ratio is a measure of risk adjusted relative return. This ratio captures the amount of active management performance (value added relative to an index) per unit of active management risk (tracking error against the index.) It is calculated by dividing the manager’s annualized cumulative excess return relative to the index by the standard deviation of the individual quarterly excess returns. The Excess Return Ratio can be interpreted as the manager’s active risk/reward tradeoff for diverging from the index when the index is mandated to be the "riskless" market position.

Information Ratio measures the manager’s market risk-adjusted excess return per unit of residual risk relative to a benchmark. It is computed by dividing alpha by the residual risk over a given time period. Assuming all other factors being equal, managers with lower residual risk achieve higher values in the information ratio. Managers with higher information ratios will add value relative to the benchmark more reliably and consistently.

R-Squared indicates the extent to which the variability of the portfolio returns are explained by market action. It can also be thought of as measuring the diversification relative to the appropriate benchmark. An r-squared value of .75 indicates that 75% of the fluctuation in a portfolio return is explained by market action. An r-squared of 1.0 indicates that a portfolio’s returns are entirely related to the market and it is not influenced by other factors. An r-squared of zero indicates that no relationship exists between the portfolio’s return and the market.

Relative Standard Deviation is a simple measure of a manager’s risk (volatility) relative to a benchmark. It is calculated by dividing the manager’s standard deviation of returns by the benchmark’s standard deviation of returns. A relative standard deviation of 1.20, for example, means the manager has exhibited 20% more risk than the benchmark over that time period. A ratio of .80 would imply 20% less risk. This ratio is especially useful when analyzing the risk of investment grade fixed-income products where actual historical durations are not available. By using this relative risk measure over rolling time periods one can illustrate the "implied" historical duration patterns of the portfolio versus the benchmark.

Residual Portfolio Risk is the unsystematic risk of a fund, the portion of the total risk unique to the fund (manager) itself and not related to the overall market. This reflects the "bets" which the manager places in that particular asset market. These bets may reflect emphasis in particular sectors, maturities (for bonds), or other issue specific factors which the manager considers a good investment opportunity. Diversification of the portfolio will reduce or eliminate the residual risk of that portfolio.

169 Risk/Reward Statistics

Rising Declining Periods refer to the sub-asset class cycles vis-a-vis the broader asset class. This is determined by evaluating the cumulative relative sub-asset class index performance to that of the broader asset class index. For example, to determine the Growth Style cycle, the S&P 500 Growth Index (sub-asset class) performance is compared to that of the S&P 500 Index (broader asset class).

Sharpe Ratio is a commonly used measure of risk-adjusted return. It is calculated by subtracting the "risk-free" return (usually 3 Month Treasury Bill) from the portfolio return and dividing the resulting "excess return" by the portfolio’s risk level (standard deviation). The result is a measure of return gained per unit of risk taken.

Sortino Ratio is a downside risk-adjusted measure of value-added. It measures excess return over a benchmark divided by downside risk. The natural appeal is that it identifies value-added per unit of truly bad risk. The danger of interpretation, however, lies in these two areas: (1) the statistical significance of the denominator, and (2) its reliance on the persistence of skewness in return distributions.

Standard Deviation is a statistical measure of portfolio risk. It reflects the average deviation of the observations from their sample mean. Standard deviation is used as an estimate of risk since it measures how wide the range of returns typically is. The wider the typical range of returns, the higher the standard deviation of returns, and the higher the portfolio risk. If returns are normally distributed (ie. has a bell shaped curve distribution) then approximately 2/3 of the returns would occur within plus or minus one standard deviation from the sample mean.

Total Portfolio Risk is a measure of the volatility of the quarterly excess returns of an asset. Total risk is composed of two measures of risk: market (non-diversifiable or systematic) risk and residual (diversifiable or unsystematic) risk. The purpose of portfolio diversification is to reduce the residual risk of the portfolio.

Tracking Error is a statistical measure of a portfolio’s risk relative to an index. It reflects the standard deviation of a portfolio’s individual quarterly or monthly returns from the index’s returns. Typically, the lower the Tracking Error, the more "index-like" the portfolio.

Treynor Ratio represents the portfolio’s average excess return over a specified period divided by the beta relative to its benchmark over that same period. This measure reflects the reward over the risk-free rate relative to the systematic risk assumed.

Note: Alpha, Total Risk, and Residual Risk are annualized.

170 Callan Research/Education Callan Research/Education Education

1st Quarter 2020

Research and Educational Programs The Callan Institute provides research to update clients on the latest industry trends and carefully structured educational programs to enhance the knowledge of industry professionals. Visit www.callan.com/library to see all of our publications, and www.callan.com/blog to view our blog “Perspectives.” For more information contact Barb Gerraty at 415-274-3093 / [email protected].

New Research from Callan’s Experts

2020 National Workshop Summary: Turbocharging DC Plans assumptions to relect lower starting yields following the Fed pivot In this workshop, Connie Lee, Jana Steele, and James Veneruso in policy, but we held constant our real equity return over inlation. described ways in which deined contribution plan sponsors can 2020 National Workshop Summary: Fee Study | In this 2020 improve participant outcomes, including plan design strategies and workshop, presenters Butch Cliff, Mark Stahl, and Brady O’Connell investment implementation steps. discussed the major themes of our 2019 Investment Management 2019 Nuclear Decommissioning Funding Study | Callan’s an- Fee Study and their impact on the institutional investor community. nual study offers insights into the status of nuclear decommission- An Introduction to Our New Hedge Fund Peer Group | The Callan ing funding to make peer comparisons more accurate and relevant. Institutional Hedge Fund Peer Group is designed to help institutional 2020 National Workshop Summary: Diversifying Alternatives investors better understand alpha-oriented solutions that can diver- In this workshop, presenters Pete Keliuotis, Catherine Beard, and sify their existing stock and bond exposures, and it represents the Ashley DeLuce discussed three lesser-known alternatives strate- available pool of hedge fund talent that investors will want to con- gies: specialty lending, emerging market private equity, and insur- sider, or at least compare with their existing hedge fund portfolios. ance-linked strategies. Quarterly Periodicals 2020 DC Trends Survey | Callan’s 2020 Deined Contribution Trends Survey is designed to provide a benchmark for sponsors to Private Equity Trends, 4Q19 | A high-level summary of private evaluate their plans compared to peers, and to offer insights to help equity activity in the quarter through all the investment stages sponsors improve their plans and the outcomes for their participants. Active vs. Passive Charts, 4Q19 | A comparison of active man- How Sponsors Can Harness DC Plan Data for Better Outcomes agers alongside relevant benchmarks over the long term Deined contribution (DC) plans are designed to help participants Market Pulse Flipbook, 4Q19 | A quarterly market reference achieve the most beneicial outcomes. But participants’ choices may guide covering trends in the U.S. economy, developments for in- not necessarily relect asset allocation best practices. Sponsors can stitutional investors, and the latest data on the capital markets help participants by analyzing how investment options are used and make adjustments based on those observations. Capital Market Review, 4Q19 | Analysis and a broad overview of the economy and public and private market activity each quarter The Callan Periodic Table of Investment Returns | We of- across a wide range of asset classes fer our Periodic Table Collection and the Callan Periodic Table of Investment Returns (Key Indices: 2000-2019). Hedge Fund Quarterly, 4Q19 | Commentary on developments for hedge funds and multi-asset class (MAC) strategies Callan’s 2020-2029 Capital Market Assumptions | Callan de- velops capital market assumptions to help clients with their long- Real Assets Reporter, 4Q19 | Data and insights on real estate term strategic planning. This year, we reduced our ixed income and other real assets investment topics. Events Education

Miss out on a Callan conference or workshop? Event summaries Through the “Callan College,” the Callan Institute offers educational and speakers’ presentations are available on our website: sessions for industry professionals involved in the investment deci- www.callan.com/library/ sion-making process. It was founded in 1994 to provide both clients and non-clients with basic- to intermediate-level instruction. Please mark your calendar and look forward to upcoming invitations:

Upcoming Webinars Introduction to Investments for Institutional Investors May 21 – Hedge Fund Overview This program familiarizes institutional investor trustees and staff July 8 – China Update and asset management advisers with basic investment theory, terminology, and practices. It lasts one-and-a-half days and is de- For more information about events, please contact Barb signed for individuals with less than two years of experience w ith Gerraty: 415-274-3093 / [email protected] asset-management oversight and/or support responsibilities. Tu- ition is $2,350 per person and includes instruction, all materials, breakfast and lunch on each day, and dinner on the irst evening with the instructors.

Additional information including dates and registration can be found at: www.callan.com/callan-college-intro-2/

Alternative Investments for Institutional Investors

Alternative investments like private equity, hedge funds, and real estate can play a key role in any portfolio. In this one-day session, Callan experts will provide instruction about the importance Education: By the Numbers of allocations to alternatives, and how to integrate, evaluate, and monitor them. Unique pieces of research the 50+ Institute generates each year Learn from some of Callan’s senior consultants and experts, including Pete Keliuotis, the head of Alternatives Consulting. The session will cover private equity, private credit, hedge funds, real Attendees (on average) of the estate, and real assets; why invest in alternatives; risk/return 525 Institute’s annual National Conference characteristics and liquidity; designing and implementing an alternatives program; and trends and case studies. Total attendees of the “Callan Tuition is $2,000 per person and includes instruction, all materi- 3,700 College” since 1994 als, and breakfast and lunch with the instructors.

Additional information including dates and registration can be found at: https://www.callan.com/callan-college-alternatives-2/

“Research is the foundation of all we do at Callan, and sharing our best thinking with the investment community is our way of helping to foster dialogue to raise the bar across the industry.”

Greg Allen, CEO and Chief Research Oficer

@CallanLLC Callan Disclosures Disclosures

Quarterly List as of March 31, 2020

List of Callan’s Investment Manager Clients

Confidential – For Callan Client Use Only

Callan takes its fiduciary and disclosure responsibilities to clients very seriously. We recognize that there are numerous potential conflicts of interest encountered in the investment consulting industry and that it is our responsibility to manage those conflicts effectively and in the best interest of our clients. At Callan, we employ a robust process to identify, manage, monitor and disclose potential conflicts on an on-going basis.

The list below is an important component of our conflicts management and disclosure process. It identifies those investment managers that pay Callan fees for educational, consulting, software, database or reporting products and services. We update the list quarterly because we believe that our fund sponsor clients should know the investment managers that do business with Callan, particularly those investment manager clients that the fund sponsor clients may be using or considering using. Please note that if an investment manager receives a product or service on a complimentary basis (e.g. attending an educational event), they are not included in the list below. Callan is committed to ensuring that we do not consider an investment manager’s business relationship with Callan, or lack thereof, in performing evaluations for or making suggestions or recommendations to its other clients. Please refer to Callan’s ADV Part 2A for a more detailed description of the services and products that Callan makes available to investment manager clients through our Institutional Consulting Group, Independent Adviser Group and Fund Sponsor Consulting Group. Due to the complex corporate and organizational ownership structures of many investment management firms, parent and affiliate firm relationships are not indicated on our list.

Fund sponsor clients may request a copy of the most currently available list at any time. Fund sponsor clients may also request specific information regarding the fees paid to Callan by particular fund manager clients. Per company policy, information requests regarding fees are handled exclusively by Callan’s Compliance Department.

Manager Name Manager Name Aberdeen Standard Investments Cohen & Steers Capital Management, Inc. Acadian Asset Management LLC Columbia Threadneedle Investments AEGON USA Investment Management Inc. Columbus Circle Investors AllianceBernstein Credit Suisse Asset Management Allianz D.E. Shaw Investment Management, L.L.C. American Century Investments DePrince, Race & Zollo, Inc. Amundi Pioneer Asset Management Dimensional Fund Advisors LP AQR Capital Management Doubleline Ares Management LLC Duff & Phelps Investment Management Co. Ariel Investments, LLC DWS Aristotle Capital Management, LLC EARNEST Partners, LLC Atlanta Capital Management Co., LLC Eaton Vance Management Aviva Investors Americas Epoch Investment Partners, Inc. AXA Investment Managers Fayez Sarofim & Company Baillie Gifford International, LLC Federated Hermes, Inc. Baird Advisors Fidelity Institutional Asset Management Baron Capital Management, Inc. Fiera Capital Corporation Barrow, Hanley, Mewhinney & Strauss, LLC First Hawaiian Bank Wealth Management Division BlackRock First State Investments BMO Global Asset Management Fisher Investments BNP Paribas Asset Management Franklin Templeton BNY Mellon Asset Management Fred Alger Management, Inc. Boston Partners GAM (USA) Inc. Brandes Investment Partners, L.P. GCM Grosvenor Brandywine Global Investment Management, LLC Glenmeade Investment Management, LP BrightSphere Investment Group GlobeFlex Capital, L.P. Brown Brothers Harriman & Company Goldman Sachs Cambiar Investors, LLC Green Square Capital Advisors, LLC CapFinancial Partners, LLC Guggenheim Investments Capital Group GW&K Investment Management Carillon Tower Advisers Harbor Capital Group Trust CastleArk Management, LLC Hartford Investment Management Co. Causeway Capital Management LLC Heitman LLC Chartwell Investment Partners Hotchkis & Wiley Capital Management, LLC ClearBridge Investments, LLC Income Research + Management, Inc.

Knowledge. Experience. Integrity. Page 1 of 2 Manager Name Manager Name Insight Investment Management Limited Pathway Capital Management Intech Investment Management, LLC Peregrine Capital Management, LLC. Intercontinental Real Estate Corporation Perkins Investment Management Invesco PFM Asset Management LLC Investec Asset Management North America, Inc. PGIM Fixed Income Ivy Investments PineBridge Investments J.P. Morgan PNC Capital Advisors, LLC Janus Polen Capital Management Jennison Associates LLC Principal Global Investors Jobs Peak Advisors Putnam Investments, LLC KeyCorp QMA LLC Lazard Asset Management RBC Global Asset Management Legal & General Investment Management America Regions Financial Corporation Lincoln National Corporation Robeco Institutional Asset Management, US Inc. Longview Partners Rothschild & Co. Asset Management US Loomis, Sayles & Company, L.P. S&P Dow Jones Indices Lord Abbett & Company Schroder Investment Management North America Inc. Los Angeles Capital Management SLC Management LSV Asset Management Smith Graham & Co. Investment Advisors, L.P. MacKay Shields LLC State Street Global Advisors Macquarie Investment Management (MIM) Stone Harbor Investment Partners L.P. Manulife Investment Management Strategic Global Advisors Marathon Asset Management, L.P. T. Rowe Price Associates, Inc. McKinley Capital Management, LLC The TCW Group, Inc. Mellon Thompson, Siegel & Walmsley LLC MetLife Investment Management Thornburg Investment Management, Inc. MFS Investment Management Tri-Star Trust Bank MidFirst Bank UBS Asset Management Mondrian Investment Partners Limited USAA Real Estate Montag & Caldwell, LLC VanEck Morgan Stanley Investment Management Versus Capital Group Mountain Pacific Advisors, LLC Victory Capital Management Inc. MUFG Union Bank, N.A. Virtus Investment Partners, Inc. Natixis Investment Managers Vontobel Asset Management, Inc. Neuberger Berman Voya Newton Investment Management WCM Investment Management Nikko Asset Management Co., Ltd. WEDGE Capital Management Nile Capital Group LLC Wellington Management Company LLP Northern Trust Asset Management Wells Fargo Asset Management Nuveen Western Asset Management Company LLC P/E Investments Westfield Capital Management Company, LP Pacific Investment Management Company William Blair & Company LLC Parametric Portfolio Associates LLC

Knowledge. Experience. Integrity. Page 2 of 2 March 31, 2020 Release Date: 12-31-2019 BlackRock LifePath® Index 2025 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2025 QQQ Average Below Average 2025 Custom Benchmark See disclosure for details.

Allocation of Stocks and Bonds Portfolio Analysis Top 10 Holdings as of 12-31-19 % Assets 100 % Allocation 80 Bonds U.S. Debt Index Fund E 40.55 Russell 1000 Index Fund 29.18 60 U.S. Stocks BlackRock MSCI ACWI ex-US IMI Index Fd E 18.42 Non-U.S. Stocks 40 U.S. TIPS Fund E 4.93 Cash 20 Russell 2000 Index Fund 3.03 ...... 0 Other 45 40 35 30 25 20 15 10 5 0 Developed Real Estate Index Fund E 2.49 Years Until Retirement Commodity Index Daily Fund E 1.40 Black line designates target allocation for the Fund as of the date of this report.

Investment Objective and Strategy Morningstar Super Sectors as of 12-31-19 % Fund The Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down h Cyclical 39.19 phase based on quantitatively measured risk that investors, on average, may be willing to accept. j Sensitive 38.70 The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC"). 22.11 The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement k Defensive outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept. Morningstar F-I Sectors as of 12-31-19 % Fund % Category In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming ⁄ Government 47.61 36.10 more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including › Corporate 21.36 24.20 those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those € Securitized 22.09 18.86 issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other ‹ Municipal 0.53 0.70 entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents. ﬁ Cash 8.42 15.09 The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any Other 0.00 5.05 market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity. In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these Investment Information asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund Operations and Management may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain Product Inception Date 08-26-11 exposure to commodities. Strategy Inception Date 07-05-06 The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors Total Fund Assets ($mil) 1,903.18 analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over Investment Manager BlackRock Institutional Trust the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Company NA Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement ...... date approaches. Annual Turnover Ratio % 16.18 The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The Fees and Expenses as of 12-31-18 target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in Total Annual Operating Expense % 0.09% equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like Total Annual Operating Expense per $1000 $0.90 securities. BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected Additional Information for Total Annual Operating Expense return statistics, to recommend the portfolio allocation among the asset classes. The Total Annual Operating Expense ratio noted above Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the ("TAOE") reflects a management fee and administrative costs. global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen The administrative costs are capped at one (1) basis point index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the (0.01%) per year. The TAOE may also, if applicable, reflect indices (each, an "Underlying Fund"). certain third party acquired fund fees and expenses. There In the event of a conflict between this summary description of the Fund's investment objective and principal investment may be other fees and expenses not reflected in the TAOE strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information that bear on the value of the investment. The Portfolio related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements. Turnover Rate is that of the collective investment fund in which the Fund invests exclusively, either directly or indirectly.

697945 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 1 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2025 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2025 QQQ Average Below Average 2025 Custom Benchmark See disclosure for details.

Benchmark Description Performance The BlackRock LifePath® Index 2025 Fund L's Custom 32 Total Return% Benchmark is a comparison benchmark for the performance as of 12-31-19 24 Investment of the Fund. The Custom Benchmark is calculated using 16 Primary Bmark blended returns of third party indices that proportionally 8 Custom Bmark reflect the respective weightings of the Fund's asset classes. 0 The third party index proportions of the Custom Benchmark -8 are adjusted quarterly to reflect the Fund's changing asset -16 allocations over time. As the Fund's asset classes have been Average annual, if greater -24 than 1 year re-defined or added over time, the indices used to calculate Since InceptionL1 10 L2Year 5 L3Year 3 L4Year 1 YearL5 YTDL6 the Custom Benchmark have changed accordingly. As of 5.92 7.50 6.32 8.71 18.59 18.59 Investment Return % December 31, 2018, the indices used to calculate the 9.48 13.54 11.48 15.05 31.43 31.43 Primary Bmark Return % Custom Benchmark are: Russell 1000® Index, Russell 5.89 7.46 6.24 8.64 18.54 18.54 Custom Bmark Return % 2000® Index, MSCI ACWI ex-US IMI Net Dividend Return ...... Morningstar Rating™ Index[sm], Bloomberg Barclays U.S. Aggregate Bond Index, QQQ QQQ QQQ . 83 157 196 . . # of Funds in Category Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rate Developed Index, and the Bloomberg Commodity Index Total of 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year. Return. Since its inception the Fund has invested all of its assets in LifePath Index 2025 Fund F. Returns shown for periods prior to the Fund's inception are those of the LifePath Index 2025 Fund F net of the Fund's investment management Volatility Analysis fee. Investment

Low Moderate High Category Principal Risks Any of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet its In the past, this investment has shown a relatively small investment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates, range of price fluctuations relative to other investments. and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government. Based on this measure, currently more than two-thirds of all Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition and investments have shown higher levels of risk. Consequently, overall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than other this investment may appeal to investors looking for a asset classes. conservative investment strategy. Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting a non-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.

Best 3 Month Return Worst 3 Month Return corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund to 22.96% -25.47% fluctuations in foreign currency exchange prices. (Mar '09 - May '09) (Sep '08 - Nov '08) Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is no guarantee that the Fund will provide adequate income for an investor’s retirement. Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or be appropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance as compared to funds with similar investment objectives and strategies. Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk, and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund is committed to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses or become illiquid. Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reduce the Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overall securities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquid secondary market for derivatives could expose the Fund to losses. Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both the general and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate, the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates. Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differ from the Fund, and there is no assurance that an Underlying Fund will achieve its objective. Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by the Fund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securities that are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.

697945 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 2 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2030 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2030 QQQ Average Below Average 2030 Custom Benchmark See disclosure for details.

Allocation of Stocks and Bonds Portfolio Analysis Top 10 Holdings as of 12-31-19 % Assets 100 % Allocation 80 Bonds Russell 1000 Index Fund 35.50 U.S. Debt Index Fund E 29.15 60 U.S. Stocks BlackRock MSCI ACWI ex-US IMI Index Fd E 24.29 Non-U.S. Stocks 40 U.S. TIPS Fund E 4.05 Cash 20 Developed Real Estate Index Fund E 3.05 ...... 0 Other 45 40 35 30 25 20 15 10 5 0 Russell 2000 Index Fund 2.81 Years Until Retirement Commodity Index Daily Fund E 1.16 Black line designates target allocation for the Fund as of the date of this report.

Investment Objective and Strategy Morningstar Super Sectors as of 12-31-19 % Fund The Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down h Cyclical 39.30 phase based on quantitatively measured risk that investors, on average, may be willing to accept. j Sensitive 38.66 The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC"). 22.04 The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement k Defensive outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept. Morningstar F-I Sectors as of 12-31-19 % Fund % Category In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming ⁄ Government 47.91 38.33 more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including › Corporate 20.84 22.71 those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those € Securitized 21.55 16.55 issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other ‹ Municipal 0.51 0.69 entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents. ﬁ Cash 9.18 17.07 The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any Other 0.00 4.66 market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity. In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these Investment Information asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund Operations and Management may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain Product Inception Date 08-26-11 exposure to commodities. Strategy Inception Date 08-01-05 The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors Total Fund Assets ($mil) 2,179.65 analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over Investment Manager BlackRock Institutional Trust the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Company NA Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement ...... date approaches. Annual Turnover Ratio % 14.78 The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The Fees and Expenses as of 12-31-18 target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in Total Annual Operating Expense % 0.09% equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like Total Annual Operating Expense per $1000 $0.90 securities. BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected Additional Information for Total Annual Operating Expense return statistics, to recommend the portfolio allocation among the asset classes. The Total Annual Operating Expense ratio noted above Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the ("TAOE") reflects a management fee and administrative costs. global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen The administrative costs are capped at one (1) basis point index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the (0.01%) per year. The TAOE may also, if applicable, reflect indices (each, an "Underlying Fund"). certain third party acquired fund fees and expenses. There In the event of a conflict between this summary description of the Fund's investment objective and principal investment may be other fees and expenses not reflected in the TAOE strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information that bear on the value of the investment. The Portfolio related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements. Turnover Rate is that of the collective investment fund in which the Fund invests exclusively, either directly or indirectly.

697963 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 1 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2030 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2030 QQQ Average Below Average 2030 Custom Benchmark See disclosure for details.

Benchmark Description Performance The BlackRock LifePath® Index 2030 Fund L's Custom 32 Total Return% Benchmark is a comparison benchmark for the performance as of 12-31-19 24 Investment of the Fund. The Custom Benchmark is calculated using 16 Primary Bmark blended returns of third party indices that proportionally 8 Custom Bmark reflect the respective weightings of the Fund's asset classes. 0 The third party index proportions of the Custom Benchmark -8 are adjusted quarterly to reflect the Fund's changing asset -16 allocations over time. As the Fund's asset classes have been Average annual, if greater -24 than 1 year re-defined or added over time, the indices used to calculate Since InceptionL1 10 L2Year 5 L3Year 3 L4Year 1 YearL5 YTDL6 the Custom Benchmark have changed accordingly. As of 6.28 8.07 6.96 9.67 20.77 20.77 Investment Return % December 31, 2018, the indices used to calculate the 9.20 13.54 11.48 15.05 31.43 31.43 Primary Bmark Return % Custom Benchmark are: Russell 1000® Index, Russell 6.25 8.00 6.84 9.57 20.70 20.70 Custom Bmark Return % 2000® Index, MSCI ACWI ex-US IMI Net Dividend Return ...... Morningstar Rating™ Index[sm], Bloomberg Barclays U.S. Aggregate Bond Index, QQQ QQQ QQQ . 95 164 206 . . # of Funds in Category Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rate Developed Index, and the Bloomberg Commodity Index Total of 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year. Return. Since its inception the Fund has invested all of its assets in LifePath Index 2030 Fund F. Returns shown for periods prior to the Fund's inception are those of the LifePath Index 2030 Fund F net of the Fund's investment management Volatility Analysis fee. Investment

Low Moderate High Category Principal Risks Any of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet its In the past, this investment has shown a relatively moderate investment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates, range of price fluctuations relative to other investments. This and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government. investment may experience larger or smaller price declines or Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition and price increases depending on market conditions. Some of this overall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than other risk may be offset by owning other investments with different asset classes. portfolio makeups or investment strategies. Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting a non-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.

Best 3 Month Return Worst 3 Month Return corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund to 25.04% -27.47% fluctuations in foreign currency exchange prices. (Mar '09 - May '09) (Sep '08 - Nov '08) Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is no guarantee that the Fund will provide adequate income for an investor’s retirement. Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or be appropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance as compared to funds with similar investment objectives and strategies. Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk, and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund is committed to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses or become illiquid. Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reduce the Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overall securities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquid secondary market for derivatives could expose the Fund to losses. Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both the general and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate, the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates. Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differ from the Fund, and there is no assurance that an Underlying Fund will achieve its objective. Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by the Fund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securities that are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.

697963 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 2 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2035 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2035 QQQ Average Below Average 2035 Custom Benchmark See disclosure for details.

Allocation of Stocks and Bonds Portfolio Analysis Top 10 Holdings as of 12-31-19 % Assets 100 % Allocation 80 Bonds Russell 1000 Index Fund 41.35 BlackRock MSCI ACWI ex-US IMI Index Fd E 29.79 60 U.S. Stocks U.S. Debt Index Fund E 18.83 Non-U.S. Stocks 40 Developed Real Estate Index Fund E 3.61 Cash 20 U.S. TIPS Fund E 3.00 ...... 0 Other 45 40 35 30 25 20 15 10 5 0 Russell 2000 Index Fund 2.53 Years Until Retirement Commodity Index Daily Fund E 0.89 Black line designates target allocation for the Fund as of the date of this report.

Investment Objective and Strategy Morningstar Super Sectors as of 12-31-19 % Fund The Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down h Cyclical 39.41 phase based on quantitatively measured risk that investors, on average, may be willing to accept. j Sensitive 38.60 The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC"). 21.97 The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement k Defensive outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept. Morningstar F-I Sectors as of 12-31-19 % Fund % Category In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming ⁄ Government 48.01 31.75 more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including › Corporate 20.18 23.57 those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those € Securitized 20.87 16.56 issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other ‹ Municipal 0.50 0.78 entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents. ﬁ Cash 10.45 20.58 The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any Other 0.00 6.75 market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity. In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these Investment Information asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund Operations and Management may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain Product Inception Date 08-26-11 exposure to commodities. Strategy Inception Date 07-05-06 The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors Total Fund Assets ($mil) 1,784.57 analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over Investment Manager BlackRock Institutional Trust the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Company NA Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement ...... date approaches. Annual Turnover Ratio % 13.35 The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The Fees and Expenses as of 12-31-18 target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in Total Annual Operating Expense % 0.09% equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like Total Annual Operating Expense per $1000 $0.90 securities. BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected Additional Information for Total Annual Operating Expense return statistics, to recommend the portfolio allocation among the asset classes. The Total Annual Operating Expense ratio noted above Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the ("TAOE") reflects a management fee and administrative costs. global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen The administrative costs are capped at one (1) basis point index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the (0.01%) per year. The TAOE may also, if applicable, reflect indices (each, an "Underlying Fund"). certain third party acquired fund fees and expenses. There In the event of a conflict between this summary description of the Fund's investment objective and principal investment may be other fees and expenses not reflected in the TAOE strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information that bear on the value of the investment. The Portfolio related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements. Turnover Rate is that of the collective investment fund in which the Fund invests exclusively, either directly or indirectly.

697972 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 1 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2035 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2035 QQQ Average Below Average 2035 Custom Benchmark See disclosure for details.

Benchmark Description Performance The BlackRock LifePath® Index 2035 Fund L's Custom 32 Total Return% Benchmark is a comparison benchmark for the performance as of 12-31-19 24 Investment of the Fund. The Custom Benchmark is calculated using 16 Primary Bmark blended returns of third party indices that proportionally 8 Custom Bmark reflect the respective weightings of the Fund's asset classes. 0 The third party index proportions of the Custom Benchmark -8 are adjusted quarterly to reflect the Fund's changing asset -16 allocations over time. As the Fund's asset classes have been Average annual, if greater -24 than 1 year re-defined or added over time, the indices used to calculate Since InceptionL1 10 L2Year 5 L3Year 3 L4Year 1 YearL5 YTDL6 the Custom Benchmark have changed accordingly. As of 6.41 8.58 7.55 10.57 22.84 22.84 Investment Return % December 31, 2018, the indices used to calculate the 9.48 13.54 11.48 15.05 31.43 31.43 Primary Bmark Return % Custom Benchmark are: Russell 1000® Index, Russell 6.34 8.50 7.40 10.43 22.74 22.74 Custom Bmark Return % 2000® Index, MSCI ACWI ex-US IMI Net Dividend Return ...... Morningstar Rating™ Index[sm], Bloomberg Barclays U.S. Aggregate Bond Index, QQQ QQQ QQQ . 80 154 193 . . # of Funds in Category Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rate Developed Index, and the Bloomberg Commodity Index Total of 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year. Return. Since its inception the Fund has invested all of its assets in LifePath Index 2035 Fund F. Returns shown for periods prior to the Fund's inception are those of the LifePath Index 2035 Fund F net of the Fund's investment management Volatility Analysis fee. Investment

Low Moderate High Category Principal Risks Any of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet its In the past, this investment has shown a relatively moderate investment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates, range of price fluctuations relative to other investments. This and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government. investment may experience larger or smaller price declines or Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition and price increases depending on market conditions. Some of this overall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than other risk may be offset by owning other investments with different asset classes. portfolio makeups or investment strategies. Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting a non-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.

Best 3 Month Return Worst 3 Month Return corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund to 27.24% -29.38% fluctuations in foreign currency exchange prices. (Mar '09 - May '09) (Sep '08 - Nov '08) Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is no guarantee that the Fund will provide adequate income for an investor’s retirement. Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or be appropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance as compared to funds with similar investment objectives and strategies. Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk, and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund is committed to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses or become illiquid. Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reduce the Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overall securities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquid secondary market for derivatives could expose the Fund to losses. Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both the general and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate, the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates. Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differ from the Fund, and there is no assurance that an Underlying Fund will achieve its objective. Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by the Fund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securities that are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.

697972 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 2 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2040 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2040 QQQQ Average Average 2040 Custom Benchmark See disclosure for details.

Allocation of Stocks and Bonds Portfolio Analysis Top 10 Holdings as of 12-31-19 % Assets 100 % Allocation 80 Bonds Russell 1000 Index Fund 46.69 BlackRock MSCI ACWI ex-US IMI Index Fd E 34.89 60 U.S. Stocks U.S. Debt Index Fund E 9.63 Non-U.S. Stocks 40 Developed Real Estate Index Fund E 4.12 Cash 20 Russell 2000 Index Fund 2.29 ...... 0 Other 45 40 35 30 25 20 15 10 5 0 U.S. TIPS Fund E 1.80 Years Until Retirement Commodity Index Daily Fund E 0.58 Black line designates target allocation for the Fund as of the date of this report.

Investment Objective and Strategy Morningstar Super Sectors as of 12-31-19 % Fund The Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down h Cyclical 39.48 phase based on quantitatively measured risk that investors, on average, may be willing to accept. j Sensitive 38.57 The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC"). 21.93 The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement k Defensive outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept. Morningstar F-I Sectors as of 12-31-19 % Fund % Category In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming ⁄ Government 47.46 37.14 more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including › Corporate 19.04 20.18 those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those € Securitized 19.69 12.87 issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other ‹ Municipal 0.47 0.73 entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents. ﬁ Cash 13.34 23.88 The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any Other 0.00 5.20 market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity. In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these Investment Information asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund Operations and Management may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain Product Inception Date 08-26-11 exposure to commodities. Strategy Inception Date 08-01-05 The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors Total Fund Assets ($mil) 1,831.81 analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over Investment Manager BlackRock Institutional Trust the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Company NA Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement ...... date approaches. Annual Turnover Ratio % 12.24 The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The Fees and Expenses as of 12-31-18 target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in Total Annual Operating Expense % 0.09% equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like Total Annual Operating Expense per $1000 $0.90 securities. BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected Additional Information for Total Annual Operating Expense return statistics, to recommend the portfolio allocation among the asset classes. The Total Annual Operating Expense ratio noted above Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the ("TAOE") reflects a management fee and administrative costs. global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen The administrative costs are capped at one (1) basis point index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the (0.01%) per year. The TAOE may also, if applicable, reflect indices (each, an "Underlying Fund"). certain third party acquired fund fees and expenses. There In the event of a conflict between this summary description of the Fund's investment objective and principal investment may be other fees and expenses not reflected in the TAOE strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information that bear on the value of the investment. The Portfolio related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements. Turnover Rate is that of the collective investment fund in which the Fund invests exclusively, either directly or indirectly.

697981 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 1 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2045 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2045 QQQQ Above Average Average 2045 Custom Benchmark See disclosure for details.

Allocation of Stocks and Bonds Portfolio Analysis Top 10 Holdings as of 12-31-19 % Assets 100 % Allocation 80 Bonds Russell 1000 Index Fund 50.35 BlackRock MSCI ACWI ex-US IMI Index Fd E 38.37 60 U.S. Stocks Developed Real Estate Index Fund E 4.51 Non-U.S. Stocks 40 U.S. Debt Index Fund E 3.57 Cash 20 Russell 2000 Index Fund 2.11 ...... 0 Other 45 40 35 30 25 20 15 10 5 0 U.S. TIPS Fund E 0.80 Years Until Retirement Commodity Index Daily Fund E 0.29 Black line designates target allocation for the Fund as of the date of this report.

Investment Objective and Strategy Morningstar Super Sectors as of 12-31-19 % Fund The Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down h Cyclical 39.55 phase based on quantitatively measured risk that investors, on average, may be willing to accept. j Sensitive 38.55 The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC"). 21.90 The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement k Defensive outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept. Morningstar F-I Sectors as of 12-31-19 % Fund % Category In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming ⁄ Government 44.37 27.15 more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including › Corporate 16.85 19.25 those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those € Securitized 17.42 13.93 issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other ‹ Municipal 0.41 0.76 entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents. ﬁ Cash 20.94 30.45 The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any Other 0.00 8.46 market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity. In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these Investment Information asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund Operations and Management may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain Product Inception Date 08-26-11 exposure to commodities. Strategy Inception Date 07-05-06 The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors Total Fund Assets ($mil) 1,447.39 analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over Investment Manager BlackRock Institutional Trust the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Company NA Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement ...... date approaches. Annual Turnover Ratio % 11.58 The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The Fees and Expenses as of 12-31-18 target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in Total Annual Operating Expense % 0.09% equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like Total Annual Operating Expense per $1000 $0.90 securities. BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected Additional Information for Total Annual Operating Expense return statistics, to recommend the portfolio allocation among the asset classes. The Total Annual Operating Expense ratio noted above Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the ("TAOE") reflects a management fee and administrative costs. global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen The administrative costs are capped at one (1) basis point index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the (0.01%) per year. The TAOE may also, if applicable, reflect indices (each, an "Underlying Fund"). certain third party acquired fund fees and expenses. There In the event of a conflict between this summary description of the Fund's investment objective and principal investment may be other fees and expenses not reflected in the TAOE strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information that bear on the value of the investment. The Portfolio related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements. Turnover Rate is that of the collective investment fund in which the Fund invests exclusively, either directly or indirectly.

697990 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 1 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2045 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2045 QQQQ Above Average Average 2045 Custom Benchmark See disclosure for details.

Benchmark Description Performance The BlackRock LifePath® Index 2045 Fund L's Custom 32 Total Return% Benchmark is a comparison benchmark for the performance as of 12-31-19 24 Investment of the Fund. The Custom Benchmark is calculated using 16 Primary Bmark blended returns of third party indices that proportionally 8 Custom Bmark reflect the respective weightings of the Fund's asset classes. 0 The third party index proportions of the Custom Benchmark -8 are adjusted quarterly to reflect the Fund's changing asset -16 allocations over time. As the Fund's asset classes have been Average annual, if greater -24 than 1 year re-defined or added over time, the indices used to calculate Since InceptionL1 10 L2Year 5 L3Year 3 L4Year 1 YearL5 YTDL6 the Custom Benchmark have changed accordingly. As of 6.67 9.35 8.36 11.84 26.03 26.03 Investment Return % December 31, 2018, the indices used to calculate the 9.48 13.54 11.48 15.05 31.43 31.43 Primary Bmark Return % Custom Benchmark are: Russell 1000® Index, Russell 6.60 9.24 8.16 11.66 25.93 25.93 Custom Bmark Return % 2000® Index, MSCI ACWI ex-US IMI Net Dividend Return ...... Morningstar Rating™ Index[sm], Bloomberg Barclays U.S. Aggregate Bond Index, QQQ QQQQ QQQQ . 79 154 193 . . # of Funds in Category Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rate Developed Index, and the Bloomberg Commodity Index Total of 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year. Return. Since its inception the Fund has invested all of its assets in LifePath Index 2045 Fund F. Returns shown for periods prior to the Fund's inception are those of the LifePath Index 2045 Fund F net of the Fund's investment management Volatility Analysis fee. Investment

Low Moderate High Category Principal Risks Any of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet its In the past, this investment has shown a relatively moderate investment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates, range of price fluctuations relative to other investments. This and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government. investment may experience larger or smaller price declines or Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition and price increases depending on market conditions. Some of this overall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than other risk may be offset by owning other investments with different asset classes. portfolio makeups or investment strategies. Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting a non-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.

Best 3 Month Return Worst 3 Month Return corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund to 31.01% -32.50% fluctuations in foreign currency exchange prices. (Mar '09 - May '09) (Sep '08 - Nov '08) Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is no guarantee that the Fund will provide adequate income for an investor’s retirement. Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or be appropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance as compared to funds with similar investment objectives and strategies. Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk, and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund is committed to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses or become illiquid. Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reduce the Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overall securities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquid secondary market for derivatives could expose the Fund to losses. Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both the general and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate, the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates. Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differ from the Fund, and there is no assurance that an Underlying Fund will achieve its objective. Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by the Fund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securities that are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.

697990 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 2 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2040 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2040 QQQQ Average Average 2040 Custom Benchmark See disclosure for details.

Benchmark Description Performance The BlackRock LifePath® Index 2040 Fund L's Custom 32 Total Return% Benchmark is a comparison benchmark for the performance as of 12-31-19 24 Investment of the Fund. The Custom Benchmark is calculated using 16 Primary Bmark blended returns of third party indices that proportionally 8 Custom Bmark reflect the respective weightings of the Fund's asset classes. 0 The third party index proportions of the Custom Benchmark -8 are adjusted quarterly to reflect the Fund's changing asset -16 allocations over time. As the Fund's asset classes have been Average annual, if greater -24 than 1 year re-defined or added over time, the indices used to calculate Since InceptionL1 10 L2Year 5 L3Year 3 L4Year 1 YearL5 YTDL6 the Custom Benchmark have changed accordingly. As of 6.73 9.04 8.06 11.36 24.71 24.71 Investment Return % December 31, 2018, the indices used to calculate the 9.20 13.54 11.48 15.05 31.43 31.43 Primary Bmark Return % Custom Benchmark are: Russell 1000® Index, Russell 6.67 8.93 7.88 11.20 24.60 24.60 Custom Bmark Return % 2000® Index, MSCI ACWI ex-US IMI Net Dividend Return ...... Morningstar Rating™ Index[sm], Bloomberg Barclays U.S. Aggregate Bond Index, QQQ QQQQ QQQQ . 95 164 206 . . # of Funds in Category Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rate Developed Index, and the Bloomberg Commodity Index Total of 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year. Return. Since its inception the Fund has invested all of its assets in LifePath Index 2040 Fund F. Returns shown for periods prior to the Fund's inception are those of the LifePath Index 2040 Fund F net of the Fund's investment management Volatility Analysis fee. Investment

Low Moderate High Category Principal Risks Any of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet its In the past, this investment has shown a relatively moderate investment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates, range of price fluctuations relative to other investments. This and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government. investment may experience larger or smaller price declines or Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition and price increases depending on market conditions. Some of this overall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than other risk may be offset by owning other investments with different asset classes. portfolio makeups or investment strategies. Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting a non-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.

Best 3 Month Return Worst 3 Month Return corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund to 29.23% -31.01% fluctuations in foreign currency exchange prices. (Mar '09 - May '09) (Sep '08 - Nov '08) Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is no guarantee that the Fund will provide adequate income for an investor’s retirement. Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or be appropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance as compared to funds with similar investment objectives and strategies. Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk, and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund is committed to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses or become illiquid. Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reduce the Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overall securities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquid secondary market for derivatives could expose the Fund to losses. Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both the general and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate, the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates. Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differ from the Fund, and there is no assurance that an Underlying Fund will achieve its objective. Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by the Fund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securities that are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.

697981 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 2 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2050 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2050 QQQQ Above Average Above Average 2050 Custom Benchmark See disclosure for details.

Allocation of Stocks and Bonds Portfolio Analysis Top 10 Holdings as of 12-31-19 % Assets 100 % Allocation 80 Bonds Russell 1000 Index Fund 51.97 BlackRock MSCI ACWI ex-US IMI Index Fd E 40.09 60 U.S. Stocks Developed Real Estate Index Fund E 4.62 Non-U.S. Stocks 40 Russell 2000 Index Fund 2.02 Cash 20 U.S. Debt Index Fund E 0.98 ...... 0 Other 45 40 35 30 25 20 15 10 5 0 U.S. TIPS Fund E 0.20 Years Until Retirement Commodity Index Daily Fund E 0.12 Black line designates target allocation for the Fund as of the date of this report.

Investment Objective and Strategy Morningstar Super Sectors as of 12-31-19 % Fund The Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down h Cyclical 39.54 phase based on quantitatively measured risk that investors, on average, may be willing to accept. j Sensitive 38.55 The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC"). 21.90 The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement k Defensive outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept. Morningstar F-I Sectors as of 12-31-19 % Fund % Category In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming ⁄ Government 32.31 38.14 more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including › Corporate 12.66 16.06 those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those € Securitized 13.09 9.87 issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other ‹ Municipal 0.31 0.60 entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents. ﬁ Cash 41.63 28.42 The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any Other 0.00 6.91 market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity. In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these Investment Information asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund Operations and Management may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain Product Inception Date 08-26-11 exposure to commodities. Strategy Inception Date 09-30-07 The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors Total Fund Assets ($mil) 1,309.13 analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over Investment Manager BlackRock Institutional Trust the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Company NA Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement ...... date approaches. Annual Turnover Ratio % 10.75 The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The Fees and Expenses as of 12-31-18 target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in Total Annual Operating Expense % 0.09% equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like Total Annual Operating Expense per $1000 $0.90 securities. BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected Additional Information for Total Annual Operating Expense return statistics, to recommend the portfolio allocation among the asset classes. The Total Annual Operating Expense ratio noted above Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the ("TAOE") reflects a management fee and administrative costs. global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen The administrative costs are capped at one (1) basis point index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the (0.01%) per year. The TAOE may also, if applicable, reflect indices (each, an "Underlying Fund"). certain third party acquired fund fees and expenses. There In the event of a conflict between this summary description of the Fund's investment objective and principal investment may be other fees and expenses not reflected in the TAOE strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information that bear on the value of the investment. The Portfolio related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements. Turnover Rate is that of the collective investment fund in which the Fund invests exclusively, either directly or indirectly.

698007 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 1 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2050 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2050 QQQQ Above Average Above Average 2050 Custom Benchmark See disclosure for details.

Benchmark Description Performance The BlackRock LifePath® Index 2050 Fund L's Custom 32 Total Return% Benchmark is a comparison benchmark for the performance as of 12-31-19 24 Investment of the Fund. The Custom Benchmark is calculated using 16 Primary Bmark blended returns of third party indices that proportionally 8 Custom Bmark reflect the respective weightings of the Fund's asset classes. 0 The third party index proportions of the Custom Benchmark -8 are adjusted quarterly to reflect the Fund's changing asset -16 allocations over time. As the Fund's asset classes have been Average annual, if greater -24 than 1 year re-defined or added over time, the indices used to calculate Since InceptionL1 10 L2Year 5 L3Year 3 L4Year 1 YearL5 YTDL6 the Custom Benchmark have changed accordingly. As of 5.69 9.59 8.47 12.01 26.60 26.60 Investment Return % December 31, 2018, the indices used to calculate the 8.64 13.54 11.48 15.05 31.43 31.43 Primary Bmark Return % Custom Benchmark are: Russell 1000® Index, Russell 5.58 9.46 8.27 11.83 26.49 26.49 Custom Bmark Return % 2000® Index, MSCI ACWI ex-US IMI Net Dividend Return ...... Morningstar Rating™ Index[sm], Bloomberg Barclays U.S. Aggregate Bond Index, QQQQ QQQQ QQQQ . 77 164 206 . . # of Funds in Category Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rate Developed Index, and the Bloomberg Commodity Index Total of 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year. Return. Since its inception the Fund has invested all of its assets in LifePath Index 2050 Fund F. Returns shown for periods prior to the Fund's inception are those of the LifePath Index 2050 Fund F net of the Fund's investment management Volatility Analysis fee. Investment

Low Moderate High Category Principal Risks Any of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet its In the past, this investment has shown a relatively moderate investment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates, range of price fluctuations relative to other investments. This and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government. investment may experience larger or smaller price declines or Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition and price increases depending on market conditions. Some of this overall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than other risk may be offset by owning other investments with different asset classes. portfolio makeups or investment strategies. Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting a non-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.

Best 3 Month Return Worst 3 Month Return corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund to 32.62% -33.43% fluctuations in foreign currency exchange prices. (Mar '09 - May '09) (Sep '08 - Nov '08) Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is no guarantee that the Fund will provide adequate income for an investor’s retirement. Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or be appropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance as compared to funds with similar investment objectives and strategies. Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk, and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund is committed to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses or become illiquid. Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reduce the Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overall securities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquid secondary market for derivatives could expose the Fund to losses. Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both the general and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate, the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates. Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differ from the Fund, and there is no assurance that an Underlying Fund will achieve its objective. Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by the Fund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securities that are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.

698007 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 2 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2055 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2055 QQQQ Above Average Average 2055 Custom Benchmark See disclosure for details.

Allocation of Stocks and Bonds Portfolio Analysis Top 10 Holdings as of 12-31-19 % Assets 100 % Allocation 80 Bonds Russell 1000 Index Fund 52.00 BlackRock MSCI ACWI ex-US IMI Index Fd E 40.25 60 U.S. Stocks Developed Real Estate Index Fund E 4.62 Non-U.S. Stocks 40 Russell 2000 Index Fund 2.07 Cash 20 U.S. Debt Index Fund E 0.86 ...... 0 Other 45 40 35 30 25 20 15 10 5 0 U.S. TIPS Fund E 0.14 Years Until Retirement Commodity Index Daily Fund E 0.06 Black line designates target allocation for the Fund as of the date of this report.

Investment Objective and Strategy Morningstar Super Sectors as of 12-31-19 % Fund The Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down h Cyclical 39.55 phase based on quantitatively measured risk that investors, on average, may be willing to accept. j Sensitive 38.55 The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC"). 21.90 The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement k Defensive outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept. Morningstar F-I Sectors as of 12-31-19 % Fund % Category In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming ⁄ Government 30.20 26.33 more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including › Corporate 12.61 17.59 those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those € Securitized 13.04 11.90 issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other ‹ Municipal 0.31 0.82 entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents. ﬁ Cash 43.83 33.57 The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any Other 0.00 9.79 market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity. In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these Investment Information asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund Operations and Management may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain Product Inception Date 08-26-11 exposure to commodities. Strategy Inception Date 05-19-10 The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors Total Fund Assets ($mil) 880.93 analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over Investment Manager BlackRock Institutional Trust the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Company NA Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement ...... date approaches. Annual Turnover Ratio % 10.59 The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The Fees and Expenses as of 12-31-18 target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in Total Annual Operating Expense % 0.09% equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like Total Annual Operating Expense per $1000 $0.90 securities. BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected Additional Information for Total Annual Operating Expense return statistics, to recommend the portfolio allocation among the asset classes. The Total Annual Operating Expense ratio noted above Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the ("TAOE") reflects a management fee and administrative costs. global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen The administrative costs are capped at one (1) basis point index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the (0.01%) per year. The TAOE may also, if applicable, reflect indices (each, an "Underlying Fund"). certain third party acquired fund fees and expenses. There In the event of a conflict between this summary description of the Fund's investment objective and principal investment may be other fees and expenses not reflected in the TAOE strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information that bear on the value of the investment. The Portfolio related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements. Turnover Rate is that of the collective investment fund in which the Fund invests exclusively, either directly or indirectly.

698016 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 1 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2055 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2055 QQQQ Above Average Average 2055 Custom Benchmark See disclosure for details.

Benchmark Description Performance The BlackRock LifePath® Index 2055 Fund L's Custom 32 Total Return% Benchmark is a comparison benchmark for the performance as of 12-31-19 24 Investment of the Fund. The Custom Benchmark is calculated using 16 Primary Bmark blended returns of third party indices that proportionally 8 Custom Bmark reflect the respective weightings of the Fund's asset classes. 0 The third party index proportions of the Custom Benchmark -8 are adjusted quarterly to reflect the Fund's changing asset -16 allocations over time. As the Fund's asset classes have been Average annual, if greater -24 than 1 year re-defined or added over time, the indices used to calculate Since Inception 10 Year 5 Year 3 Year 1 Year YTD the Custom Benchmark have changed accordingly. As of L1 L2 L3 L4 L5 L6 10.28 . 8.47 12.02 26.66 26.66 Investment Return % December 31, 2018, the indices used to calculate the 13.98 . 11.48 15.05 31.43 31.43 Primary Bmark Return % Custom Benchmark are: Russell 1000® Index, Russell 10.19 . 8.27 11.84 26.56 26.56 Custom Bmark Return % 2000® Index, MSCI ACWI ex-US IMI Net Dividend Return ...... Morningstar Rating™ Index[sm], Bloomberg Barclays U.S. Aggregate Bond Index, . QQQQ QQQQ . . 149 191 . . # of Funds in Category Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rate Developed Index, and the Bloomberg Commodity Index Total of 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year. Return. Since its inception the Fund has invested all of its assets in LifePath Index 2055 Fund F. Returns shown for periods prior to the Fund's inception are those of the LifePath Index 2055 Fund F net of the Fund's investment management Volatility Analysis fee. Investment

Low Moderate High Category Principal Risks Any of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet its In the past, this investment has shown a relatively moderate investment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates, range of price fluctuations relative to other investments. This and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government. investment may experience larger or smaller price declines or Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition and price increases depending on market conditions. Some of this overall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than other risk may be offset by owning other investments with different asset classes. portfolio makeups or investment strategies. Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting a non-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.

Best 3 Month Return Worst 3 Month Return corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund to 13.75% -16.53% fluctuations in foreign currency exchange prices. (Jul '10 - Sep '10) (Jul '11 - Sep '11) Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is no guarantee that the Fund will provide adequate income for an investor’s retirement. Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or be appropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance as compared to funds with similar investment objectives and strategies. Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk, and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund is committed to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses or become illiquid. Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reduce the Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overall securities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquid secondary market for derivatives could expose the Fund to losses. Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both the general and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate, the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates. Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differ from the Fund, and there is no assurance that an Underlying Fund will achieve its objective. Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by the Fund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securities that are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.

698016 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 2 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2060 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2060+ QQQ Average Average 2060 Custom Benchmark See disclosure for details.

Allocation of Stocks and Bonds Portfolio Analysis Top 10 Holdings as of 12-31-19 % Assets 100 % Allocation 80 Bonds Russell 1000 Index Fund 52.00 BlackRock MSCI ACWI ex-US IMI Index Fd E 40.23 60 U.S. Stocks Developed Real Estate Index Fund E 4.63 Non-U.S. Stocks 40 Russell 2000 Index Fund 2.08 Cash 20 U.S. Debt Index Fund E 0.97 ...... 0 Other 45 40 35 30 25 20 15 10 5 0 U.S. TIPS Fund E 0.07 Years Until Retirement Commodity Index Daily Fund E 0.02 Black line designates target allocation for the Fund as of the date of this report.

Investment Objective and Strategy Morningstar Super Sectors as of 12-31-19 % Fund The Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down h Cyclical 39.56 phase based on quantitatively measured risk that investors, on average, may be willing to accept. j Sensitive 38.54 The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC"). 21.90 The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement k Defensive outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured risk that investors, on average, may be willing to accept. Morningstar F-I Sectors as of 12-31-19 % Fund % Category In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming ⁄ Government 28.95 26.78 more conservative over time if the Fund has a year in its name. The Fund’s investments may include: equity securities (including › Corporate 14.26 17.02 those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those € Securitized 14.75 10.32 issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other ‹ Municipal 0.35 1.30 entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents. ﬁ Cash 41.68 36.29 The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any Other 0.00 8.29 market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include securities and other obligations of any maturity. In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these Investment Information asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund Operations and Management may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain Product Inception Date 01-05-15 exposure to commodities. Strategy Inception Date 11-17-14 The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors Total Fund Assets ($mil) 265.04 analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over Investment Manager BlackRock Institutional Trust the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the Company NA Fund is managed more conservatively – prior to retirement – in terms of its allocation to equity securities and markets, on the premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement ...... date approaches. Annual Turnover Ratio % 11.58 The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the “glidepath”. The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The Fees and Expenses as of 12-31-18 target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in Total Annual Operating Expense % 0.09% equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like Total Annual Operating Expense per $1000 $0.90 securities. BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected Additional Information for Total Annual Operating Expense return statistics, to recommend the portfolio allocation among the asset classes. The Total Annual Operating Expense ratio noted above Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the ("TAOE") reflects a management fee and administrative costs. global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen The administrative costs are capped at one (1) basis point index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the (0.01%) per year. The TAOE may also, if applicable, reflect indices (each, an "Underlying Fund"). certain third party acquired fund fees and expenses. There In the event of a conflict between this summary description of the Fund's investment objective and principal investment may be other fees and expenses not reflected in the TAOE strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information that bear on the value of the investment. The Portfolio related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements. Turnover Rate is that of the collective investment fund in which the Fund invests exclusively, either directly or indirectly.

300694 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 1 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath Index 2065 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2060+ . . . 2065 Custom Benchmark See disclosure for details.

Allocation of Stocks and Bonds Portfolio Analysis Top 10 Holdings as of 12-31-19 % Assets 100 % Allocation 80 Bonds Russell 1000 Index Fund 51.92 BlackRock MSCI ACWI ex-US IMI Index Fd E 40.26 60 U.S. Stocks Developed Real Estate Index Fund E 4.69 Non-U.S. Stocks 40 Russell 2000 Index Fund 2.03 Cash 20 U.S. Debt Index Fund E 1.11 0 Other 45 40 35 30 25 20 15 10 5 0 Morningstar Super Sectors as of 12-31-19 % Fund Years Until Retirement h Cyclical 39.61 Investment Objective and Strategy j Sensitive 38.52 The Fund seeks to provide for retirement outcomes consistent with investor preferences throughout the savings and draw down k Defensive 21.89 phase based on quantitatively measured risk that investors, on average, may be willing to accept. The Fund is a collective investment trust maintained and managed by BlackRock Institutional Trust Company, N.A. ("BTC"). Morningstar F-I Sectors as of 12-31-19 % Fund % Category The Fund shall be invested and reinvested in securities and other assets with the objective of providing for retirement 27.57 30.66 outcomes consistent with investor preferences throughout the savings and drawdown phase based on quantitatively measured ⁄ Government risk that investors, on average, may be willing to accept. › Corporate 15.82 17.68 In pursuit of that objective, the Fund will be broadly diversified across global asset classes, with asset allocations becoming € Securitized 16.36 11.66 more conservative over time if the Fund has a year in its name. The Fund's investments may include: equity securities (including ‹ Municipal 0.39 1.37 those issued by real estate companies); depositary receipts; debt securities and other fixed income obligations (including those ﬁ Cash 39.86 30.30 issued or guaranteed by the U.S. government, its agencies or instrumentalities, and those issued by corporations or other Other 0.00 8.33 entities); mortgage-backed securities; other asset-backed securities; commodities; and/or cash equivalents. The Fund may invest in securities and other obligations of U.S. issuers or non-U.S. issuers, and those issuers may be of any Investment Information market capitalization. The Fund's fixed income investments may be investment-grade or non-investment grade, and may include Operations and Management securities and other obligations of any maturity. Product Inception Date 11-01-19 In addition to, or in lieu of, investing in the assets listed above, the Fund may engage in structured transactions in these Strategy Inception Date 09-23-19 asset classes, as well as over-the-counter forward contracts, swaps and options. When deemed appropriate by BTC, the Fund Total Fund Assets ($mil) 1.12 may invest in futures contracts, for the purpose of acting as a temporary substitute for investment in securities and/or to gain Investment Manager BlackRock Institutional Trust exposure to commodities. Company NA The difference between the normal and current securities holdings for the Fund varies over time and is based on the factors analyzed by the asset allocation model used by BTC to manage the Fund. The normal asset allocations will gradually change over the investment horizon of the Fund to become more heavily oriented toward debt and debt-like securities. As time passes, the ...... Fund is managed more conservatively - prior to retirement - in terms of its allocation to equity securities and markets, on the Annual Turnover Ratio % . premise that individuals investing for retirement desire to reduce investment risk in their retirement accounts as their retirement Fees and Expenses as of 11-01-19 date approaches. Total Annual Operating Expense % 0.09% The trajectory along which asset allocations are adjusted over time to gradually become more conservative is called the Total Annual Operating Expense per $1000 $0.90 "glidepath". The glidepath illustrates the target allocation among asset classes as the Fund approaches its target date. The target asset allocation of the Fund at its retirement date is expected to be 40% in underlying index funds that invest primarily in equity and equity-like securities and 60% in underlying index funds that invest primarily in fixed income and fixed income-like Additional Information for Total Annual Operating Expense securities. The Total Annual Operating Expense ratio noted above BTC employs a proprietary investment model that analyzes securities market data, including risk, correlation and expected ("TAOE") reflects a management fee and administrative costs. return statistics, to recommend the portfolio allocation among the asset classes. The administrative costs are capped at one (1) basis point Rather than choosing specific securities within each asset class, BTC selects among indices representing segments of the (0.01%) per year. The TAOE may also, if applicable, reflect global equity and debt markets and invests in securities that comprise the chosen index. The Fund generally invests in a chosen certain third party acquired fund fees and expenses. There index through a series of collective investment trusts maintained and managed by BTC, each such fund representing one of the may be other fees and expenses not reflected in the TAOE indices (each, an "Underlying Fund"). that bear on the value of the investment. TAOE is based on In the event of a conflict between this summary description of the Fund's investment objective and principal investment estimated amounts for the current fiscal year. The Portfolio strategies and the Trust Document under which the Fund was established, the Trust Document will govern. For more information Turnover Rate is that of the collective investment fund in related to the Fund, please see the Fund's Trust Document, Profile and most recent audited financial statements. which the Fund invests exclusively, either directly or indirectly.

305693 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 1 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath Index 2065 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2060+ . . . 2065 Custom Benchmark See disclosure for details.

Benchmark Description Performance The BlackRock LifePath Index 2065 Fund L's Custom 12 Total Return% Benchmark is a comparison benchmark for the performance as of 12-31-19 9 Investment of the Fund. The Custom Benchmark is calculated using 6 Primary Bmark blended returns of third party indices that proportionally 3 Custom Bmark reflect the respective weightings of the Fund's asset classes. 0 The third party index proportions of the Custom Benchmark -3 are adjusted quarterly to reflect the Fund's changing asset -6 allocations over time. As the Fund's asset classes have been Average annual, if greater -9 than 1 year re-defined or added over time, the indices used to calculate Since Inception 10 Year 5 Year 3 Year 1 Year YTD the Custom Benchmark have changed accordingly. As of L1 L2 L3 L4 L5 L6 7.91 . . . . . Investment Return % September 30, 2019, the indices used to calculate the 8.42 . . . . . Primary Bmark Return % Custom Benchmark are: Russell 1000[rt] Index, Russell 8.03 . . . . . Custom Bmark Return % 2000[rt] Index, MSCI ACWI ex-US IMI Net Dividend Return ...... Morningstar Rating™ Index[sm], Bloomberg Barclays U.S. Aggregate Bond Index, ...... # of Funds in Category Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rate Developed Index, and the Bloomberg Commodity Index Total of 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year. Return. Since its inception the Fund has invested all of its assets in BlackRock LifePath Index 2065 Fund F. Returns shown for periods prior to the Fund's inception are those of the BlackRock LifePath Index 2065 Fund F net of the Fund's Volatility Analysis investment management fee. Investment

Low Moderate High Category Principal Risks Any of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet its The volatility measure is not displayed for investments with investment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates, fewer than three years of history. The category average, and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government. however, is shown above. Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition and overall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than other

Best 3 Month Return Worst 3 Month Return asset classes. 8.58% 8.58% Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting a (Oct '19 - Dec '19) (Oct '19 - Dec '19) non-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S. corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund to fluctuations in foreign currency exchange prices. Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is no guarantee that the Fund will provide adequate income for an investor’s retirement. Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or be appropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance as compared to funds with similar investment objectives and strategies. Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk, and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund is committed to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses or become illiquid. Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reduce the Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overall securities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquid secondary market for derivatives could expose the Fund to losses. Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both the general and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate, the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates. Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differ from the Fund, and there is no assurance that an Underlying Fund will achieve its objective. Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by the Fund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securities that are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.

305693 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 2 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Disclosure

When used as supplemental sales literature, the Investment open-ended mutual funds are considered a single population The Morningstar Style Box reveals a fund's investment Profile must be preceded or accompanied by this disclosure for comparative purposes. It is calculated based on a strategy as of the date noted on this report. statement. The performance data given represents past Morningstar Risk-Adjusted Return measure that accounts for For equity funds the vertical axis shows the market performance and should not be considered indicative of variation in a managed product's monthly excess capitalization of the long stocks owned and the horizontal axis future results. Principal value and investment return will performance, placing more emphasis on downward variations shows investment style (value, blend, or growth). fluctuate, so that an investor's shares when redeemed may and rewarding consistent performance. The Morningstar For fixed-income funds, the vertical axis shows the credit be worth more or less than the original investment. Fund Rating does not include any adjustment for sales loads. The quality of the long bonds owned and the horizontal axis portfolio statistics change over time. The fund is not insured top 10% of products in each product category receive 5 stars, shows interest rate sensitivity as measured by a bond's by the Federal Deposit Insurance Corporation ("FDIC"), may the next 22.5% receive 4 stars, the next 35% receive 3 stars, effective duration. lose value and is not guaranteed by a bank or other financial the next 22.5% receive 2 stars, and the bottom 10% receive For corporate and municipal bonds, Morningstar surveys institution. 1 star. The Overall Morningstar Rating for a managed product credit rating information from fund companies on a periodic is derived from a weighted average of the performance basis (e.g., quarterly). In compiling credit rating information, Fund Structure figures associated with its three-, five-, and 10-year (if Morningstar instructs fund companies to only use ratings that The fund described herein is a bank-maintained collective applicable) Morningstar Rating metrics. The weights are: have been assigned by a Nationally Recognized Statistical investment fund maintained and managed by BlackRock 100% three-year rating for 36-59 months of total returns, Rating Organization (NRSRO). If two NRSROs have rated a Institutional Trust Company, N.A. ("BTC"). BTC is a national 60% five-year rating/40% three-year rating for 60-119 months security, fund companies are to report the lowest rating to banking association organized under the laws of the United of total returns, and 50% 10-year rating/30% five-year Morningstar. If a rating is unavailable or unpublished, then the States and operates as a limited purpose trust company. rating/20% three-year rating for 120 or more months of total security or issuer is categorized as Not Rated/Not Available. In reliance upon an exemption from the registration returns. While the 10-year overall star rating formula seems US Government Securities issued by the US Treasury or US requirements of the federal securities laws, investments in to give the most weight to the 10-year period, the most Government Agencies are included in the US Government the fund are not registered with the Securities and Exchange recent three-year period actually has the greatest impact category. PLEASE NOTE: Morningstar, Inc. is not itself an Commission (“SEC”) or any state securities commission. because it is included in all three rating periods. For private NRSRO nor does it issue a credit rating on the fund. An Likewise, in reliance upon an exclusion from the definition of funds, the Morningstar Rating presented is hypothetical, NRSRO rating on a fixed-income security can change from an investment company in the Investment Company Act of because Morningstar does not independently analyze private time-to-time. 1940, as amended (the “Company Act”); the fund is not funds. Rather, the rating is assigned as a means to compare registered with the SEC as an investment company under the these funds with the universe of mutual funds that Index Provider Information Company Act. The Office of the Comptroller of the Currency is Morningstar rates. The evaluation of this investment does not Funds with S&P® Benchmark: "Standard & Poor's®", responsible for ensuring that fiduciary powers are exercised affect the retail mutual fund data published by Morningstar. "S&P®", "S&P 500®", "Standard & Poor's 500®", "500", in a manner consistent with the best interests of BTC’s "Standard & Poor's MidCap 400®", "S&P MidCap", "Standard clients and sound fiduciary principles. Morningstar Return & Poor's 500® Growth Index", and "Standard & Poor's 500® The fund is offered to defined contribution plans ("Plans") The Morningstar Return rates a fund’s performance relative to Value Index" are trademarks of The McGraw-Hill Companies, that are qualified under Section 401(a) of the Internal other managed products in its Morningstar Category. It is an Inc. These marks have been licensed for use by BlackRock Revenue Code of 1986, as amended ("IRC"), and assessment of a product's excess return over a risk-free rate Institutional Trust Company, N.A. The fund is not sponsored, governmental Plans, such as state and municipal government (the return of the 90-day Treasury Bill) in comparison with the endorsed, sold or promoted by Standard & Poor's, and Plans that are described in IRC Section 818(a)(6), such as products in its Morningstar category. In each Morningstar Standard & Poor's makes no representation regarding the governmental IRC Section 457(b) Plans. The fund is category, the top 10% of products earn a High Morningstar advisability of investing in the fund. established and governed by a trust instrument, the Plan of Return (High), the next 22.5% Above Average (+Avg), the Funds with Dow Jones Benchmark: "Dow Jones", the BlackRock Institutional Trust Company, N.A. Investment middle 35% Average (Avg), the next 22.5% Below Average (- "Dow Jones U.S. Total Stock Market Index SM" and "Dow Funds for Employee Benefit Trusts (the "Plan Document"), Avg), and the bottom 10% Low (Low). Morningstar Return is Jones U.S. Completion Total Stock Market IndexSM" are which sets forth BTC's powers, authority and responsibilities measured for up to three time periods (three, five, and 10 service marks of Dow Jones & Company, Inc., and the "Dow regarding the administration, investment and operation of the years). These separate measures are then weighted and Jones-UBS Commodity Index" is a service mark or trademark fund. Plans investing in the fund become subject to the terms averaged to produce an overall measure for the product. of Dow Jones & Company, Inc. and UBS AG, and have been and conditions of the Plan Document. Products with less than three years of performance history licensed for use for certain purposes by BlackRock are not rated. Institutional Trust Company, N.A. ("BTC"). BTC’s Extended Best and Worst 3 Month Performance Equity Market Index Funds, US Equity Market Index Funds and Morningstar calculates best and worst 3-month period (in Morningstar Risk BlackRock Dow Jones-UBS Commodity Index Funds, based percentage) in-house on a monthly basis. Morningstar Risk evaluates a fund’s downside volatility on the Dow Jones U.S. Total Stock Market IndexSM ,the Dow Best 3-month Period: The highest total return the stock relative to that of other products in its Morningstar Category. Jones U.S. Completion Total Stock Market IndexSM and the has posted in a consecutive three-month period over the It is an assessment of the variations in monthly returns, with Dow Jones-UBS Commodity Index respectively, are not trailing 15 years, or if a fund does not have 15 years of an emphasis on downside variations, in comparison with the sponsored, endorsed, sold or promoted by Dow Jones and history, it will go back as far as the inception date. products in its Morningstar category. In each Morningstar Dow Jones does not make any representation regarding the Worst 3-month Period: The lowest total return the stock category, the 10% of products with the lowest measured risk advisability of investing in such products. has posted in a consecutive three-month period over the are described as Low Risk (Low), the next 22.5% Below Funds with a Citigroup Benchmark: “Citigroup 3 Month trailing 15 years, or if a fund does not have 15 years of Average (-Avg), the middle 35% Average (Avg), the next Treasury Bill Index, Citigroup 1 Month Treasury Bill Index history, it will go back as far as the inception date. 22.5% Above Average (+Avg), and the top 10% High (High). ©2012 Citigroup Index LLC. All rights reserved.” Morningstar Risk is measured for up to three time periods Funds with an MSCI Benchmark: The MSCI World ex-U.S. Morningstar Rating™ (three, five, and 10 years). These separate measures are then Index Funds, MSCI ACWI ex-US Index Funds, Emerging The Morningstar Rating™ for funds, or "star rating", is weighted and averaged to produce an overall measure for the Markets Index Funds, Active International Equity Index Funds, calculated for managed products (including mutual funds, product. Products with less than three years of performance EAFE Equity Index Funds, and US Real Estate Index Funds variable annuity and variable life subaccounts, exchange- history are not rated described herein are indexed to an MSCI index. The MSCI traded funds, closed-end funds, and separate accounts) with Indexes are the exclusive property of Morgan Stanley Capital at least a three-year history. Exchange-traded funds and Morningstar Style Box™ International Inc. ("MSCI"). MSCI, the MSCI Index Names

305693 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 3 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Disclosure

and EAFE® are trade or service marks of MSCI or its affiliates otherwise. Each Index is compiled and calculated by FTSE. 404a-5"), but please note that this Investment Profile may not and have been licensed for use for certain purposes by However, none of the Licensor Parties shall be liable (whether meet all of the disclosure requirements for an ERISA "Section BlackRock Institutional Trust Company, N.A. Neither MSCI in negligence or otherwise) to any person for any error in 404(c) plan", as described in the DOL regulations under nor any other party involved in or related to compiling, each Index and none of the Licensor Parties shall be under Section 404(c). Please also note that there may be additional computing or creating the MSCI data makes any express or any obligation to advise any person of any error therein. information required to be disclosed under Rule 404a-5 that is implied warranties or representations with respect to such FTSE® is a trademark of the Exchange and the FT, NAREIT® not included in this Investment Profile because BlackRock is data (or the results to be obtained by the use thereof), and all is a trademark of the National Association of Real Estate not the appropriate source for that information (e.g., plan- such parties hereby expressly disclaim all warranties of Investment Trusts and EPRA® is a trademark of EPRA and all related information or information related to fees and originality, accuracy, completeness, merchantability or fitness are used by FTSE under license. expenses that are charged to participant accounts rather than for a particular purpose with respect to any of such data. Funds with a Barclays Benchmark: The index is maintained to the BlackRock investment option). In addition, please note Without limiting any of the foregoing, in no event shall MSCI, by Barclays Inc. ("Barclays"). The fund is not sponsored, that BlackRock investment option-related information any of its affiliates or any third party involved in or related to endorsed, sold or promoted by Barclays. Barclays makes no received from sources other than BlackRock may not be compiling, computing or creating the data have any liability representation or warranty, express or implied, to the owners consistent with the BlackRock investment option-related for any direct, indirect, special, punitive, consequential or any of the fund or any member of the public regarding the information prepared by BlackRock. The information provided other damages (including lost profits) even if notified of the advisability of investing in securities generally or in the fund herein does not constitute individual investment advice for a possibility of such damages. NO further distribution or particularly or the ability of the Barclays index to track general Plan participant or investor, is only informational in nature and dissemination of the MSCI data is permitted without MSCI’s bond market performance. Barclays is not responsible for and should not be used by a Plan participant or investor as a express written consent. has not participated in the determination of the timing of, primary basis for making an investment decision. Funds with a Russell Benchmark: The Russell 1000 Index prices at, or quantities of the fund to be issued. Barclays has Please note that many collective investment funds Funds, Russell 1000 Growth Funds, Russell 1000 Value Funds, no obligation or liability in connection with the administration, maintained by BTC, including certain underlying funds in Russell 2000 Index Funds, Russell 2000 Growth Funds, marketing or trading of the fund. Barclays does not which such collective investment funds invest, engage in Russell 2000 Value Funds and Russell 3000 Index Funds are guarantee the accuracy and/or the completeness of the securities lending. not promoted, sponsored or endorsed by, nor in any way Barclays index or any data included therein. Barclays shall The American Banking Association's "Sample Glossary of affiliated with Frank Russell Company. Frank Russell Company have no liability for any errors, omissions or interruptions Collective Investment Fund Terms for Disclosure to is not responsible for and has not reviewed the Russell 1000 therein. Barclays makes no warranty, express or implied, as Retirement Plan Participants" is available upon request. Index Funds, Russell 1000 Growth Funds, Russell 1000 Value to the results to be obtained by BTC and the fund or owners Accordingly, the "Sample Glossary of Investment-Related Funds, Russell 2000 Index Funds, Russell 2000 Growth Funds, of the fund, or any other person or entity, from the use of the Terms for Disclosures to Retirement Plan Participants" Russell 2000 Value Funds and Russell 3000 Index Funds nor Barclays index or any data included therein. Barclays makes prepared by the Investment Company Institute and The any associated literature or publications and Frank Russell no express or implied warranties, and expressly disclaims all SPARK Institute is also available upon request. Company makes no representation or warranty, express or warranties of merchantability or fitness for a particular For additional defined terms that may assist participants implied, as to their accuracy, or completeness, or otherwise. purpose or use with respect to the Barclays index or any data and beneficiaries in understanding BlackRock Mutual Funds Frank Russell Company reserves the right, at any time and included therein. Without limiting any of the foregoing, in no and BlackRock Exchange Traded Funds, please see the terms without notice, to alter, amend, terminate or in any way event shall Barclays have any liability for any lost profits or defined in the relevant Fund's Prospectus and Statement of change the Russell Indexes. Frank Russell Company has no special, punitive, direct, indirect, or consequential damages Additional Information. obligation to take the needs of any particular fund or its even if notified thereof. participants or any other product or person into consideration in determining, composing or calculating any of the Russell Additional Information Indexes. Frank Russell Company's publication of the Russell BlackRock is a premier provider of asset management, risk Indexes in no way suggests or implies an opinion by Frank management, and advisory services to institutional, Russell Company as to the attractiveness or appropriateness intermediary, and individual clients worldwide. The firm offers of investment in any or all securities upon which the Russell a wide range of investment strategies across asset classes in Indexes are based. Russell Investment Group is the source separate accounts, mutual funds, other pooled investment and owner of the trademarks, service marks and copyrights vehicles, and the industry-leading iShares® exchange-traded related to the Russell Indexes, including the Russell 1000®, funds. Russell 1000® Growth, Russell 1000® Value, Russell Through BlackRock Solutions®, the firm offers risk 2000®, Russell 2000® Growth, Russell 2000® Value, management and advisory services that combine capital Russell 2500® and Russell 3000® Indexes Russell is a markets expertise with proprietarily-developed analytics, trademark of Russell Investment Group®. systems, and technology. BlackRock serves clients in North Funds with a FTSE EPRA/NAREIT Benchmark: The fund is and South America, Europe, Asia, Australia, Africa, and the not in any way sponsored, endorsed, sold or promoted by Middle East. Headquartered in New York, the firm maintains FTSE International Limited (FTSE), by the London Stock offices in 24 countries around the world. For more Exchange Plc (the "Exchange"), Euronext N.V. (Euronext), The information on BlackRock, please visit www.blackrock.com. Financial Times Limited (FT), European Public Real Estate The information provided in the Investment Profile and this Association (EPRA) or the National Association of Real Estate disclosure statement should not be considered a Investment Trusts (NAREIT) (together the "Licensor Parties") recommendation to purchase or sell a particular security. The and none of the Licensor Parties make any warranty or fund is a collective investment fund and is privately offered. representation whatsoever, expressly or impliedly, either as to Prospectuses are not required and prices are not available in the results to be obtained from the use of the FTSE EPRA/ local publications. To obtain pricing information, please NAREIT Developed Index, FTSE EPRA/NAREIT Developed ex contact your service representative. U.S. Index or the FTSE EPRA/NAREIT United States Index This Investment Profile includes investment option-related (each, an "Index") and/or the figure at which the said Index information prepared in accordance with the requirements of stands at any particular time on any particular day or Department of Labor ("DOL") Rule 404a-5 under ERISA ("Rule

305693 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 4 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com. Release Date: 12-31-2019 BlackRock LifePath® Index 2060 Fund L ...... Primary Benchmark Custom Benchmark Morningstar Category Overall Morningstar Rating™ Morningstar Return Morningstar Risk Russell 1000® Index BlackRock LifePath® Index Target-Date 2060+ QQQ Average Average 2060 Custom Benchmark See disclosure for details.

Benchmark Description Performance The BlackRock LifePath® Index 2060 Fund L's Custom 32 Total Return% Benchmark is a comparison benchmark for the performance as of 12-31-19 24 Investment of the Fund. The Custom Benchmark is calculated using 16 Primary Bmark blended returns of third party indices that proportionally 8 Custom Bmark reflect the respective weightings of the Fund's asset classes. 0 The third party index proportions of the Custom Benchmark -8 are adjusted quarterly to reflect the Fund's changing asset -16 allocations over time. As the Fund's asset classes have been Average annual, if greater -24 than 1 year re-defined or added over time, the indices used to calculate Since Inception 10 Year 5 Year 3 Year 1 Year YTD the Custom Benchmark have changed accordingly. As of L1 L2 L3 L4 L5 L6 8.21 . 8.47 11.99 26.65 26.65 Investment Return % December 31, 2018, the indices used to calculate the 11.45 . 11.48 15.05 31.43 31.43 Primary Bmark Return % Custom Benchmark are: Russell 1000® Index, Russell 8.07 . 8.27 11.84 26.56 26.56 Custom Bmark Return % 2000® Index, MSCI ACWI ex-US IMI Net Dividend Return ...... Morningstar Rating™ Index[sm], Bloomberg Barclays U.S. Aggregate Bond Index, . QQQ QQQQ . . 34 147 . . # of Funds in Category Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), FTSE EPRA Nareit Performance Disclosure: The Fund's returns are net of an investment management fee, currently at an annual rate Developed Index, and the Bloomberg Commodity Index Total of 0.08%. The Fund’s performance reflects fund level administrative costs capped at 1 basis point (0.01%) per year. Return. Since its inception the Fund has invested all of its assets in LifePath Index 2060 Fund F. Returns shown for periods prior to the Fund's inception are those of the LifePath Index 2060 Fund F net of the Fund's investment management Volatility Analysis fee. Investment

Low Moderate High Category Principal Risks Any of the principal risks summarized below may adversely affect the Fund's net asset value, performance, and ability to meet its In the past, this investment has shown a relatively moderate investment objective. An investment in the Fund is not a bank deposit, is not guaranteed by BlackRock, Inc. or any of its affiliates, range of price fluctuations relative to other investments. This and is not insured by the Federal Deposit Insurance Corporation or any other agency of the U.S. government. investment may experience larger or smaller price declines or Equity Investment Risk: The price of an equity security fluctuates based on changes in the issuer’s financial condition and price increases depending on market conditions. Some of this overall market and economic conditions. Equity securities are subject to changes in value that may be more volatile than other risk may be offset by owning other investments with different asset classes. portfolio makeups or investment strategies. Foreign Investment Risk 1: The Fund may suffer losses due to political, legal, economic and geographic events affecting a non-U.S. issuer or market. The prices of non-U.S. securities may be more volatile than those of securities issued by U.S.

Best 3 Month Return Worst 3 Month Return corporations or other U.S. entities. Securities of non-U.S. issuers denominated in non-U.S. currencies will expose the Fund to 12.55% -11.68% fluctuations in foreign currency exchange prices. (Jan '19 - Mar '19) (Oct '18 - Dec '18) Target Date Risk 1: A “target date” fund may incur losses close to or after the fund's target retirement date, and there is no guarantee that the Fund will provide adequate income for an investor’s retirement. Asset Allocation Model Risk: The asset allocation model may not effectively maximize returns or minimize risk, or be appropriate for every investor seeking a particular risk profile. The model developed by BTC could result in underperformance as compared to funds with similar investment objectives and strategies. Commodity-Related Investment Risk 2: The value of commodity-linked derivative investments may be significantly affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. Securities Lending Risk 1: The Fund may engage in securities lending, which involves borrower credit risk, settlement risk, and cash collateral-related risks, such as the risk that the return on the cash collateral is insufficient to cover the fees the Fund is committed to pay and the risk that cash collateral may be invested in securities or other instruments that suffer losses or become illiquid. Derivatives Risk 1: Investments in derivatives (such as futures contracts, forward contracts, swaps and options) may reduce the Fund's returns and/or increase volatility. Fluctuations in the values of derivatives may not correlate perfectly with the overall securities markets. The other party in the transaction may not fulfill its contractual obligation. The possible lack of a liquid secondary market for derivatives could expose the Fund to losses. Real Estate-Related Investment Risk 2: Real estate values can be negatively affected by many factors including both the general and local economies, the amount of new construction in a particular area, the laws and regulations affecting real estate, the costs of owning, maintaining and improving real estate, availability of mortgages, and changes in interest rates. Underlying Fund Risk 2: The investment objective and strategies of an Underlying Fund in which the Fund invests may differ from the Fund, and there is no assurance that an Underlying Fund will achieve its objective. Fixed Income Investment Risk 10: An increase in interest rates may cause the value of fixed income securities held by the Fund to decline. The Fund's income may decline when interest rates fall. Debt issuers may not honor their obligations. Securities that are rated below investment grade may be more volatile and less liquid than higher-rated securities of similar maturity.

300694 ©2020 Morningstar, Inc., Morningstar Investment Profiles™ 312-696-6000. All rights reserved. The information contained herein: (1) is proprietary to ® Page 2 of 4 Morningstar and/or its content providers; (2) may not be copied or distributed and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of information. Past performance is no guarantee of ß future performance. Visit our investment website at morningstar.com.

STATE OF OREGON STABLE VALUE FUND FIRST QUARTER 2020

FUND OVERVIEW AS OF 3/31/20 INVESTMENT OBJECTIVE The State of Oregon Stable Value Fund (the "Fund") is an investment option that 1 seeks to provide safety of principal and a stable credited rate of interest, while ANNUALIZED PERFORMANCE generating competitive returns over time compared to other comparable investments.

ICE BofAML INVESTMENT STRATEGY Periods Ending 3Mo. T-Bill The State of Oregon Stable Value Fund, managed by Galliard Capital Management, is 3/31/20 Fund (%) Benchmark (%) (%) primarily comprised of investment contracts issued by financial institutions and 1Q'20 0.55 0.28 0.57 other eligible stable value investments. All contract issuers and securities utilized in

YTD 0.55 0.28 0.57 the portfolio are rated investment grade by one of the Nationally Recognized Statistical Rating Organizations at time of purchase. The types of investment 1 Year 2.31 1.60 2.25 contracts in which the Fund invests include Security Backed Investment Contracts. 3 Year 2.02 2.01 1.83 These types of contracts seek to provide participants with safety of principal and

5 Year 1.77 1.64 1.19 accrued interest as well as a stable crediting rate.

10 Year 1.60 1.17 0.64 SECURITY BACKED INVESTMENT CONTRACTS are comprised of two components: 1) investment contracts issued by a financial institution and 2) underlying portfolios of fixed income securities (i.e. bonds) whose market prices fluctuate. The investment FUND FACTS contract is designed to allow participants to transact at book value (principal plus Fund Category Stable Value accrued interest) without reference to the price fluctuations of the underlying fixed Fund Assets $310,985,662 income securities.

Fund Advisor Galliard Capital Management Expense Ratio 0.46% INVESTMENT RISK Participant Withdrawals/Transfers Daily

FUND CHARACTERISTICS Blended Yield (after fees) 2.16% Effective Duration 2.64 Yrs

Annualized Turnover2 (as of 12/31/19) 53.71% The Fund's investment contracts are designed to allow for participant transactions at book value. A principal risk of the Fund is investment contract risk. This includes the risk that the issuer will default on its obligation under the contract or that another INVESTMENT CONTRACT ISSUERS event of default may occur under the contract rendering it invalid; that the contract will lapse before a replacement contract with favorable terms can be secured; or that Moody's S&P Issuer the occurrence of certain other events including employer-initiated events, could Rating Rating Transamerica Premier Life Ins. Co. A1 A+ cause the contract to lose its book value withdrawal features. These risks may result in a loss to a contract holder. Other primary risks include default risk, which is the Voya Ret. Ins. and Annuity Co. A2 A+ possibility that instruments the Fund holds will not meet scheduled interest and/or Prudential Ins. Co. of America Aa3 AA- principal payments; interest rate risk, which includes the risk of reinvesting cash Massachusetts Mutual Life Ins. Co. Aa3 AA+ flows at lower interest rates; and liquidity risk, which includes the effect of very large Royal Bank of Canada Aa2 AA - unexpected withdrawals on the Fund's total value. The occurrence of any of these events could cause the Fund to lose value. FUND ALLOCATION Fund (%) Security Backed Investment Contracts 93.9 Cash/Equivalents 6.1

SECTOR ALLOCATION OF THE UNDERLYING FIXED INCOME PORTFOLIO Fund (%) U.S. Treasury/Agency 16.5 Other U.S. Government 3.9 Corporate/Taxable Muni/Not for Profit 32.6 Mortgage Backed Securities (MBS) 27.7 Asset Backed Securities (ABS) 11.0 Sovereign/Supranationals 0.1 Cash/Equivalents 8.2

STATE OF OREGON STABLE VALUE FUND FIRST QUARTER 2020

FUND ADVISOR Galliard Capital Management is the Fund's Advisor. Galliard specializes in stable value management and currently manages $96.1 billion in assets for institutional investors. FEES AND EXPENSES The following table shows Galliard's fees and expense information for this investment option. Total Annual Operating Expenses are expenses that reduce the rate of return of the investment option. The cumulative effect of fees and expenses will reduce the growth of your retirement savings. Visit the Department of Labor's website for an example showing the long-term effect of fees and expenses. Fees and expenses are only one of many factors to consider when you decide to invest in this Fund. You may also want to think about whether an investment in this Fund, along with your other investments, will help you achieve your financial goals. TOTAL ANNUAL FUND OPERATING EXPENSES Total Annual Fund Operating Expenses are deducted directly from the Fund's net asset value and reduce the investment option's rate of return.

Expense Ratio Expenses Per $1,000 (as of 3/31/20) Investment Management Fees paid to Galliard 0.110% $1.10 Investment Management Fees paid to Non-Affiliated Investment Advisors None None Investment Contract Fees 1 0.155% $1.55 Acquired Fund Fees 2 0.058% $0.58 Investment Contract Fees None None Other Acquired Fund Fees and Non-Affiliated Investment Management Fees paid to Non-Affiliated Investment 3 0.058% $0.58 Advisors 12b-1 Distribution Fee None None Other Expenses 0.133% $1.33 Total Annual Fund Operating Expenses 4 0.456% $4.56

Please contact your plan administrator for additional information about this investment option.

1: These are fees paid to create and maintain the investments used by a stable value fund. 2: These are fees borne indirectly by the Fund when it acquires an interest in another fund which pays its own separate fees. 3: Includes audit fees for the cost of producing a report by a qualified auditor. 4: Total Annual Fund Operating Expenses are reflected daily in the Fund's net asset value (NAV).

INVESTMENT OPTION PERFORMANCE RESULTS

Investment Option Returns for the Period Ending January 31, 2020 CORE INVESTMENT OPTIONS Annualized OPTION 1 Month 3 Months Year to Date From Inception Since 1 Year 2 Years 3 Years 5 Years 10 Years BENCHMARKS (for comparison) 10/31/96 10/31/01 Stable Value Option 0.19% 0.57% 0.19% 3.26% 2.65% 2.31% 2.16% 1.97% 1.75% 1.59% 91-Day T-Bill 0.13% 0.40% 0.13% 2.23% 1.41% 2.22% 2.08% 1.70% 1.10% 0.59% Rolling Average 5 Year CMT** 0.16% 0.46% 0.16% 3.61% 2.94% 1.86% 1.79% 1.67% 1.51% 1.87% Active Fixed Income Option 1.83% 1.75% 1.83% 5.14% 4.73% 9.08% 5.65% 4.80% 3.32% 4.24% BC Aggregate 1.92% 1.80% 1.92% 5.19% 4.42% 9.64% 5.88% 4.62% 3.01% 3.79% Large Company Value Stock Option -2.14% 3.65% -2.14% 8.15% 8.04% 14.85% 4.56% 8.60% 8.63% 11.75% Russell 1000 Value -2.15% 3.65% -2.15% 8.57% 8.02% 14.88% 4.57% 8.63% 8.70% 11.87% Stock Index Option -0.12% 6.66% -0.12% 8.66% 8.54% 20.41% 8.44% 13.71% 11.74% 13.68% Russell 3000 -0.11% 6.68% -0.11% 8.87% 8.71% 20.53% 8.54% 13.82% 11.85% 13.82% Large Company Growth Stock Option 2.21% 9.94% 2.21% 8.41% 9.00% 27.76% 13.13% 19.88% 15.34% 15.78% Russell 1000 Growth 2.24% 9.99% 2.24% 8.82% 9.19% 27.94% 13.25% 20.04% 15.49% 15.99% International Stock Option -3.26% 2.05% -3.26% 5.68% 6.37% 8.39% -3.66% 6.40% 4.56% 5.50% MSCI ACWI EX-US BLENDED -2.69% 2.42% -2.69% 4.79% 5.98% 9.94% -1.96% 7.62% 4.96% 5.68% Small Company Stock Option -3.87% 2.64% -3.87% 9.95% 9.66% 7.02% 1.29% 6.28% 7.77% 11.59% RUSSELL SMALL CAP BLENDED -3.21% 3.68% -3.21% 9.50% 9.70% 9.21% 2.65% 7.28% 8.23% 12.37% Real Return Option -2.89% -0.31% -2.89% 2.18% -0.51% 2.03% 0.41% CPI + 3% 0.16% 0.51% 0.16% 5.05% 4.82% 4.92% 4.95% Environmental Social Governance Option -0.01% 6.92% -0.01% 20.96% 8.42% 13.67% 11.31% Russell 3000 -0.11% 6.68% -0.11% 20.53% 8.54% 13.82% 11.85% TARGET DATE FUNDS ( LIFEPATH PORTFOLIOS) Annualized OPTION 1 Month 3 Months Year to Date 1 Year 2 Years 3 Years 5 Years 10 Years BENCHMARKS (for comparison)

LifePath® Retirement 0.56% 2.89% 0.56% 11.73% 5.16% 6.80% 5.04% 6.06%

LifePath® 2025 0.11% 3.28% 0.11% 12.69% 4.93% 8.07% 6.17% 7.56%

LifePath® 2030 -0.29% 3.60% -0.29% 13.50% 5.02% 8.90% 6.89% 8.20%

LifePath® 2035 -0.65% 3.89% -0.65% 14.07% 4.90% 9.49% 7.35% 8.65%

LifePath® 2040 -0.98% 4.16% -0.98% 14.67% 4.85% 10.08% 7.82% 9.11%

LifePath® 2045 -1.20% 4.34% -1.20% 15.03% 4.78% 10.44% 8.09% 9.45%

LifePath® 2050 -1.30% 4.41% -1.30% 15.17% 4.75% 10.56% 8.18% 9.70%

LifePath® 2055 -1.31% 4.41% -1.31% 15.19% 4.75% 10.56% 8.18%

LifePath® 2060 -1.31% 4.41% -1.31% 15.16% 4.74% 10.53% 8.17%

LifePath® 2065 -1.32% -1.32% **5 Year Rolling Average of the 5 Year Constant Maturing Treasury Yield. Updated on 2/6/2020

Performance figures are net all fees including management, recordkeeping and other administrative fees. The results shown represent past performance and should not be considered a representation of performance of the options in the future. Investment returns and principal are not guaranteed.

Monthly performance results are published on growyourtomorrow.com To access current account information 24 hours a day call our customer service center at 1-800-365-8494 or visit our web site at growyourtomorrow.com INVESTMENT OPTION PERFORMANCE RESULTS

Investment Option Returns for the Period Ending February 29, 2020 CORE INVESTMENT OPTIONS Annualized OPTION 1 Month 3 Months Year to Date From Inception Since 1 Year 2 Years 3 Years 5 Years 10 Years BENCHMARKS (for comparison) 10/31/96 10/31/01 Stable Value Option 0.18% 0.56% 0.37% 3.26% 2.65% 2.31% 2.18% 2.00% 1.76% 1.60% 91-Day T-Bill 0.15% 0.42% 0.28% 2.23% 1.41% 2.18% 2.11% 1.73% 1.13% 0.61% Rolling Average 5 Year CMT** 0.15% 0.46% 0.31% 3.61% 2.93% 1.86% 1.80% 1.68% 1.52% 1.86% Active Fixed Income Option 1.57% 3.37% 3.43% 5.19% 4.80% 10.73% 6.89% 5.09% 3.75% 4.35% BC Aggregate 1.80% 3.69% 3.76% 5.25% 4.50% 11.68% 7.34% 5.01% 3.58% 3.93% Large Company Value Stock Option -9.72% -9.23% -11.65% 7.65% 7.41% 0.47% 1.81% 3.73% 5.43% 10.31% Russell 1000 Value -9.68% -9.20% -11.63% 8.07% 7.38% 0.54% 1.84% 3.78% 5.51% 10.40% Stock Index Option -8.20% -5.67% -8.31% 8.23% 7.99% 6.79% 5.87% 9.17% 8.62% 12.34% Russell 3000 -8.19% -5.64% -8.29% 8.44% 8.17% 6.90% 5.97% 9.28% 8.72% 12.48% Large Company Growth Stock Option -6.84% -1.92% -4.78% 8.06% 8.54% 14.91% 10.65% 15.50% 12.26% 14.56% Russell 1000 Growth -6.81% -1.85% -4.73% 8.46% 8.73% 15.11% 10.78% 15.67% 12.41% 14.79% International Stock Option -7.21% -6.33% -10.24% 5.32% 5.91% -1.24% -4.82% 3.23% 1.88% 4.74% MSCI ACWI EX-US BLENDED -7.90% -6.50% -10.38% 4.41% 5.48% -0.69% -3.62% 4.15% 2.18% 4.88% Small Company Stock Option -9.42% -10.39% -12.93% 9.45% 9.02% -7.81% -1.59% 2.34% 4.29% 9.99% RUSSELL SMALL CAP BLENDED -8.42% -8.80% -11.36% 9.06% 9.13% -4.92% 0.19% 3.52% 5.12% 10.85% Real Return Option -5.48% -5.14% -8.21% -3.93% -2.06% -0.17% -1.16% CPI + 3% -5.73% -5.23% -8.33% -1.82% 1.32% 2.62% 3.54% Environmental Social Governance Option -8.06% -5.01% -8.07% 7.28% 6.06% 9.37% 8.31% Russell 3000 -8.19% -5.64% -8.29% 6.90% 5.97% 9.28% 8.72% TARGET DATE FUNDS ( LIFEPATH PORTFOLIOS) Annualized OPTION 1 Month 3 Months Year to Date 1 Year 2 Years 3 Years 5 Years 10 Years BENCHMARKS (for comparison) LifePath® Retirement -2.03% -0.19% -1.49% 8.25% 5.24% 5.55% 4.30% 5.73%

LifePath® 2025 -3.39% -1.53% -3.29% 7.29% 4.69% 6.14% 4.85% 6.99%

LifePath® 2030 -4.56% -2.69% -4.83% 6.45% 4.37% 6.41% 5.16% 7.50%

LifePath® 2035 -5.64% -3.78% -6.25% 5.64% 3.88% 6.53% 5.29% 7.80%

LifePath® 2040 -6.63% -4.77% -7.54% 4.89% 3.48% 6.66% 5.44% 8.11%

LifePath® 2045 -7.31% -5.46% -8.43% 4.31% 3.18% 6.70% 5.51% 8.37%

LifePath® 2050 -7.62% -5.78% -8.83% 4.02% 3.03% 6.69% 5.52% 8.55%

LifePath® 2055 -7.64% -5.80% -8.85% 4.01% 3.03% 6.68% 5.51%

LifePath® 2060 -7.64% -5.80% -8.85% 3.98% 3.01% 6.66% 5.51%

LifePath® 2065 -7.68% -8.90% **5 Year Rolling Average of the 5 Year Constant Maturing Treasury Yield. Updated on 3/11/2020

Investment Option Returns for the Period Ending March 31, 2020 CORE INVESTMENT OPTIONS Annualized OPTION 1 Month 3 Months Year to Date From Inception Since 1 Year 2 Years 3 Years 5 Years 10 Years BENCHMARKS (for comparison) 10/31/96 10/31/01 Stable Value Option 0.18% 0.55% 0.55% 3.26% 2.64% 2.31% 2.19% 2.02% 1.78% 1.60% 91-Day T-Bill 0.29% 0.57% 0.57% 2.24% 1.42% 2.25% 2.19% 1.83% 1.19% 0.64% Rolling Average 5 Year CMT** 0.15% 0.46% 0.46% 3.60% 2.93% 1.86% 1.81% 1.69% 1.53% 1.84% Active Fixed Income Option -2.66% 0.67% 0.67% 5.05% 4.62% 5.96% 5.12% 4.11% 3.13% 4.04% BC Aggregate -0.59% 3.15% 3.15% 5.20% 4.45% 8.93% 6.68% 4.82% 3.36% 3.88% Large Company Value Stock Option -17.05% -26.71% -26.71% 6.77% 6.29% -17.19% -6.44% -2.20% 1.85% 7.62% Russell 1000 Value -17.09% -26.73% -26.73% 7.18% 6.26% -17.17% -6.44% -2.18% 1.90% 7.67% Stock Index Option -13.76% -20.92% -20.92% 7.52% 7.09% -9.23% -0.68% 3.90% 5.67% 10.01% Russell 3000 -13.75% -20.90% -20.90% 7.72% 7.27% -9.13% -0.58% 4.00% 5.77% 10.15% Large Company Growth Stock Option -9.81% -14.13% -14.13% 7.55% 7.89% 0.76% 6.56% 11.18% 10.22% 12.73% Russell 1000 Growth -9.84% -14.10% -14.10% 7.95% 8.08% 0.91% 6.67% 11.32% 10.36% 12.97% International Stock Option -16.66% -25.19% -25.19% 4.48% 4.84% -18.28% -12.79% -3.70% -1.53% 2.18% MSCI ACWI EX-US BLENDED -14.48% -23.36% -23.36% 3.70% 4.56% -15.57% -10.07% -1.96% -0.64% 2.63% Small Company Stock Option -22.96% -32.92% -32.92% 8.21% 7.45% -27.18% -14.04% -6.24% -1.33% 6.36% RUSSELL SMALL CAP BLENDED -21.73% -30.61% -30.61% 7.89% 7.65% -23.99% -11.93% -4.64% -0.25% 7.37% Real Return Option -12.20% -19.41% -19.41% -16.05% -8.33% -4.30% -3.18% CPI + 3% -12.44% -19.74% -19.74% -14.73% -5.41% -1.93% 0.65% Environmental Social Governance Option -13.54% -20.52% -20.52% -8.36% -0.63% 4.22% 5.44% Russell 3000 -13.75% -20.90% -20.90% -9.13% -0.58% 4.00% 5.77% TARGET DATE FUNDS ( LIFEPATH PORTFOLIOS) Annualized OPTION 1 Month 3 Months Year to Date 1 Year 2 Years 3 Years 5 Years 10 Years BENCHMARKS (for comparison) LifePath® Retirement -6.37% -7.77% -7.77% -0.15% 1.87% 3.21% 3.02% 4.79%

LifePath® 2025 -8.34% -11.35% -11.35% -3.11% 0.43% 3.01% 3.20% 5.61%

LifePath® 2030 -10.04% -14.39% -14.39% -5.66% -0.79% 2.60% 3.15% 5.86%

LifePath® 2035 -11.62% -17.15% -17.15% -8.02% -2.00% 2.09% 2.94% 5.92%

LifePath® 2040 -13.09% -19.64% -19.64% -10.19% -3.12% 1.63% 2.77% 6.01%

LifePath® 2045 -14.08% -21.32% -21.32% -11.71% -3.93% 1.27% 2.61% 6.10%

LifePath® 2050 -14.54% -22.09% -22.09% -12.41% -4.31% 1.07% 2.51% 6.19%

LifePath® 2055 -14.59% -22.15% -22.15% -12.47% -4.33% 1.05% 2.49%

LifePath® 2060 -14.59% -22.15% -22.15% -12.48% -4.35% 1.03% 2.49%

LifePath® 2065 -14.62% -22.22% -22.22% **5 Year Rolling Average of the 5 Year Constant Maturing Treasury Yield. Updated on 4/132020