Real Return Review Lane Transit District Why Are We Reviewing Real Return?

July 18, 2018 Real Return Review Lane Transit District Why are we reviewing Real Return?

In December 2017, RVK provided a downgrade memo for the Fidelity Real Return Fund and recommended a replacement search alongside taking the opportunity to provide a comprehensive review of the Real Return composite. The rationale for a replacement search for the Fidelity Real Return Fund was specifically for the following reasons:

• Departure of key personnel • Negative cash flows and AUM decline • Declining competitiveness as peers have reduced fees in recent years

Given the above concerns and continued outflows experienced by the Fund, RVK recommends replacing Fidelity with another real return manager.

Current LTD Real Return Portfolios

Real Return Union Salaried Target

PIMCO:All Asset;Inst (PAAIX) $1,678,901 $1,081,123 6.00% Fidelity Strat Rl Rtn (FSRRX) $1,171,299 $749,658 4.00% Total $2,850,200 $1,830,781 10.00%

Market Values as of June 30, 2018.

Page 2 Introduction What is a “Real Rate of Return”?

A real rate of return is the percentage return realized on an investment, which is adjusted for changes in price due to inflation or other external effects.

• RVK’s current long-term inflation assumption is 2.50%. Historical inflation rates are shown below. • While recent inflation has been low (near or below the long run average), the US has experienced several periods of high inflation in the past and current break-evens indicate market participants are bracing for upward trending future inflation.

Annual US Inflation Return 20%

15%

10%

-5%

-10%

-15% 1926 1936 1946 1956 1966 1976 1986 1996 2006 2016

Annual US Inflation Return Arithmetic Average Annual Return: 2.98% thru Dec-2016

Page 3 Introduction The Role of Real Return/Real Asset Investments in Institutional Portfolios

Real Return/Real Asset investments are typically expected to provide: 1. long-term returns in excess of inflation, 2. a return stream that is not highly correlated to traditional assets, and 3. meaningful diversification during periods of rising inflation and/or times of unexpected inflation. Potential Real Return and Real Asset investments include both public (liquid) and private (illiquid) investment strategies and can be both real and financial assets.

Public Investments Private Investments • Treasury Inflation Protected Securities • Private Real Estate (TIPS) • Private Natural Resources • Commodities – Oil and Gas, Mining and Minerals, • Master Limited Partnerships (MLPs) Timber, Agriculture, Renewables • Natural Resource Equities • Private Infrastructure • Listed Infrastructure – Transportation, Energy, Power, Water, • Real Estate Investment Trust (REITs) Communications, Social Infrastructure

4 Page 4 Introduction The Role of Real Return/Real Asset Investments in Institutional Portfolios

Rising Inflation is a Headwind for Traditional Assets Annualized Real Returns (1974 – 2016)

40.0 35.6 35.0 Rising Inflation Frequency: 18% 30.0 26.9

25.0 21.9

20.0

14.8 15.0

10.0

4.5 5.0 1.9

0.0 -0.4 -0.5 -5.0 World Equity US Fixed Income REIT US TIPS Infrastructure Natural Commodity Gold Resource Equity

Sources: RVK, ThompsonOne, Bloomberg, Morningstar, Federal Reserve. Rising inflation is defined as a +0.30% change in the CPI YoY rate from the prior month. Annualized real returns are calculated by subtracting the monthly equivalent of the YoY change in the CPI and annualized returns. 5 Page 5 Real Return Candidates Portfolio Characteristics RVK considered the following investment managers, all of which are currently approved for client use by RVK’s Investment Manager Research Group:

Cohen & Steers: PIMCO: Inflation PIMCO: All Asset Fidelity: Strategic Real Assets Multi- Response Multi- Strategy Real Return Strategy Asset Fund (Incumbent) (Incumbent) Fund Assets ($M) $1,171 M $1,259 M $19,801 M $513 M Stated Return CPI + 6-7% 3x CPI CPI + 5% CPI + 2.5% Target Target Volatility 12% 7-8% 6-8% 5-10%

Shorting Allowed Yes Yes Yes No

•REITs •REITs • Commodities •REITs •TIPS • Commodities • Natural Resource • Commodities • Commodities • Natural Resource Equities • Currency •REITs Allowable Asset Equities • Global Listed • TIPS & Other Bonds • Equities •MLPs Classes Infrastructure •Gold • Fixed Income • Bank Loans • Short Duration • Equity •Alts •TIPS Credit • Currency •Gold

Investment Vehicle Commingled Fund Mutual Fund Mutual Fund Mutual Fund

Management Fees 0.75%* 0.69% 0.865% 0.81%

*Cohen and Steers expense ratio is for the commingled fund. It’s 0.81% for the mutual fund RAPIX.

Page 6 Real Return Candidates Asset Allocation

Real Return Allocations

Allocations for PIMCO All Asset are as of December 31, 2017 due to guidelines set forth by the manager. • 1 - Includes global listed infrastructure. • 2 - Includes real estate related fixed income.

Allocation to "Other" consists of cash unless noted: • 3 - Cohen & Steers: Cash and gold • 4 - PIMCO IRMAF: foreign currencies, tail risk hedges & other derivatives • 5 - PIMCO All Asset: tail risk hedges & other derivatives, cash

Page 7 Real Return Candidates Trailing Returns and Ranking

RR REIT-Comm-US TIPS Blend is a 1/3 weighting to the Bloomberg Commodity, MSCI US REIT and Barclays US TIPS. Performance is gross of fees.

Page 8 Real Return Candidates 5 Year MPT Statistics

RR REIT-Comm-US TIPS Blend is a 1/3 weighting to the Bloomberg Commodity, MSCI US REIT and Barclays US TIPS. Performance is gross of fees.

Page 9 PIMCO Inflation Response Multi-Asset Fund (PIRMX) Fund Snapshot

Investment Strategy Product Snapshot The fund is managed by PIMCO's Real Return team and designed to take a Strategy: Inflation Response Multi-Asset comprehensive approach to help hedge inflation risks. The team incrementally Benchmark: PIMCO IRMA Index tilts tactical positioning given relative valuations and considering overall Product AUM: $1.3B portfolio volatility. By investing in a blend of TIPS, Commodities, Currency, Annual Mgmt. Fee: 0.69% Real Estate and Gold, the fund seeks to help preserve and grow purchasing Recommendation: Hire power, enhance portfolio diversification, and guard against market shocks across varying inflation environments. RVK Comments PIMCO is one of the largest U.S. investors in TIPS and is led by a deep and experienced investment team. The Inflation Response Multi-Asset strategy has generally produced positive returns during the recent low inflation environment. The strategy offers exposure to diversifying asset classes under a single fund while offering a relatively low fee compared to its peers.

Comparative Fund Performance (Period Ending March 31, 2018)

1 3 5 7 10 2017 2016 2015 2014 2013 2012 Year Years Years Years Years PIMCO:Infl Rsp MA;Inst (PIRMX) 6.04 3.14 0.51 N/A N/A 8.59 10.53 -6.77 1.57 -9.29 9.56 PIMCO IRMA Index 2.65 1.15 -1.28 0.16 1.30 5.08 6.76 -7.47 -0.34 -8.89 6.58 Difference 3.39 1.99 1.79 N/A N/A 3.51 3.77 0.70 1.91 -0.40 2.98 REITS/Commodity/TIPS Blend 0.17 0.01 -0.60 0.77 1.17 3.32 8.72 -8.01 4.26 -5.07 8.00 Difference 5.87 3.13 1.11 N/A N/A 5.27 1.81 1.24 -2.69 -4.22 1.56

Performance is net of fees and product specific. PIMCO IRMA Index consists of 45% Bloomberg Barclays U.S. TIPS Index, 20% Bloomberg Commodity Index Total Return, 15% JPMorgan Emerging Local Markets Index Plus (Unhedged), 10% Dow Jones U.S. Select REIT Total Return Index, 10% Bloomberg Gold Subindex Total Return Index.

Page 10 PIMCO Inflation Response Multi-Asset Fund (PIRMX) Historical Asset Allocation

Maximum and Minimum Allocations by Policy/Prospectus Fixed Income Equity Securities - Commodity Fixed Income - Equity - Non Inflation Linked REIT Other Natural Resources Contracts/ Index Nominal Real Asset Securities MinMaxMinMaxMinMaxMinMaxMinMaxMinMaxMinMax 0% 25% 0% 50% 0% 70%1 0% 15% 0% 25%2 0% 25% 0% 15%

20 quarters ending December 31, 2017. Allocation to “Other” for PIMCO consists of foreign currencies, tail risk hedges, and other derivatives. 1 - Does not have a prospectus maximum allocation pertaining to inflation-linked bonds, allocation shown is tactical maximum. 2 - Maximum prospectus allocation to "Fixed Income - Nominal" pertains to non-USD bonds. Page 11 LTD’s Current Real Return Composite Overview

Non-traditional real return asset classes that are represented elsewhere to varying degrees in other portions of the portfolio (international equity, fixed income and GTAA composites)

35%

30%

25%

20%

15%

10%

PIMCO:All Asset;Inst (PAAIX) Fidelity Strat Rl Rtn (FSRRX)

Page 12 Recommendation

RVK recommends LTD liquidate both the Fidelity Strategic Real Return Fund and PIMCO All Asset Fund and allocate the proceeds to the newly funded PIMCO Inflation Response Multi-Asset Fund for the following reasons:

1. PIMCO IRMAF is run by a strong portfolio management team with a focus on true real return/inflation hedging characteristics 2. Liquidate Fidelity Strategic Real Return for departure of key personnel, current negative cash flow and AUM decline, and declining competitiveness 3. Given the evolution of LTD’s Fixed Income and GTAA composites, which now include managers with overlapping exposures represented within PIMCO AA, RVK believes better true real return exposure can be obtained through a sole allocation to PIMCO IRMAF 4. Overall portfolio fees will be reduced by approximately 15bps as outlined in the graphic below

Current Real Return PortfolioTarget Fee PIMCO:All Asset;Inst (PAAIX) 6.0% 0.865% Potential Target Fee Fidelity Strat Rl Rtn (FSRRX) 4.0% 0.80% PIMCO:Infl Rsp MA;Inst (PIRMX) 10.0% 0.69% Total 10.0% 0.84%

The recommended portfolio would save approximately 15 basis points a year or $1,500 per $1 million invested.

Page 13 Appendix - Full Real Return Search Lane Transit District

Investment Manager Search Diversified Inflation Strategies Universe: eVestment Alliance Global Bal/TAA Performance Data as of: March 2018 Performance Format: Gross of Fees Table of Contents

Section 1 ...... Summary of Investment Managers

Section 2 ...... Investment Manager Profiles

Cohen & Steers: Real Assets Multi-Strategy PIMCO: Inflation Response Multi-Asset Fund Fidelity Strategic Real Return (Incumbent) PIMCO: All Asset Strategy (Incumbent)

Page 16 Firm Information

Errors & Total # of Firm Percentage Is Firm GIPS Omissions City State/ Province Total AUM ($M) Accounts Employee Owned Compliant? Coverage ($M)

Cohen & Steers: Real Assets Multi- New York New York $58,462 145 60% Yes $35 Strategy

PIMCO: Inflation Response Multi- Newport Beach California $1,774,082 2,024 0% Yes $100 Asset Fund

Fidelity: Strategic Real Return Boston Massachusetts $2,459,235 N/A1 51% No2 $100 (Inc.)

PIMCO: All Asset Strategy (Inc.) Newport Beach California $1,774,082 2,024 0% Yes $100

1 - Fidelity's data compliance policy precludes its disclosure of the number, identity, type or size of accounts in mutual funds, at the broader or firm-specific level. 2 - GIPS compliance refers to separately managed accounts. The mutual funds offered by Fidelity are in compliance with SEC and FINRA standards.

Page 17 Firm Assets Under Management ($M)

US Fixed Non-US US Equity Non-US Equity Income Non-US Fixed US Balanced Balanced Alternatives Other

Cohen & Steers: Real Assets Multi- $26,657 $17,277 $12,207 $97 $0 $82 $2,142 $0 Strategy

PIMCO: Inflation Response Multi- $17,334 $23,024 $1,006,511 $675,471 $30,875 $7,574 $13,293 $0 Asset Fund

Fidelity: Strategic Real Return $1,008,839 $382,068 $394,330 $40,747 $34,837 $79,300 $0 $519,1141 (Inc.)

PIMCO: All Asset Strategy (Inc.) $17,334 $23,024 $1,006,511 $675,471 $30,875 $7,574 $13,293 $0

1 - Fidelity "Other" assets includes cash and currency.

Page 18 Product Information

Product AUM Inception Return Target Target Shorting ($M) Date (Stated) Volatility Allowed Description Summary

Top down tactical allocation to inflation-sensitive assets combined Cohen & Steers: Real Assets Multi- with bottom up sector and security selection. Allocations include Real $1,171 1/31/2012 CPI + 6-7% 12% Yes Strategy Estate, Commodities, Natural Resource Equities, Global Listed Infrastructure, Short Duration Credit and Gold.

Managed by PIMCO's Real Return team and designed to hedge PIMCO: Inflation Response Multi- $1,259 8/3/2011 3x CPI1 7-8% Yes against high inflation and inflation surprises. The fund invests across Asset Fund TIPS, Commodities, Currency, Real Estate and Gold.

Allocates to four internally managed strategies with limited allocation Fidelity: Strategic Real Return ranges: TIPS, Commodities, Floating Rate Bank Debt and Real $624 9/7/2005 CPI + 2-5% 5-10% No (Inc.) Estate. The fund may also make opportunistic allocations to Natural Resource Equities and MLPs. Managed by Rob Arnott of Research Affiliates, a PIMCO sub-advisor. Tactically allocates across multiple PIMCO mutual funds, including PIMCO: All Asset Strategy (Inc.) $19,801 7/31/2002 CPI + 5% 6-8% Yes some with inflation-hedging properties such as TIPS, commodities, and real estate.

1 - PIMCO Inflation Response Multi-Asset seeks to provide a return of about 3.0 times the rate of change in the Consumer Price Index (CPI) over long periods of time.

Page 19 Maximum & Minimum Allocations by Policy/Prospectus

Equity Securities - Fixed Income Natural Commodity Inflation Linked Floating Rate Fixed Income - Equity - Non Other (Includes Resources Contracts/ Index Securities Bonds REIT Nominal Real Asset Cash) Min Max Min Max Min Max Min Max Min Max Min Max Min Max Min Max

Cohen & Steers: Real Assets Multi- 20% 40%1 20% 45% 0% 0% 0% 0% 20% 35% 0% 20% 0% 0% 0% 0% Strategy

PIMCO: Inflation Response Multi- 0% 25% 0% 50% 0% 70%2 0% N/A3 0% 15% 0% 25%4 0% 25% 0% 15% Asset Fund

Fidelity: Strategic Real Return 0% 10% 15% 35% 20% 40% 15% 35% 2% 40%5 0% 0% 0% 0% 0% 0% (Inc.)

PIMCO: All Asset Strategy (Inc.) 0% 0% 0% 50% 0% 75% 0% 50% 0% 50% 0% 50% 0% 50% 0% 50%

1 - Includes 10 - 20% global listed infrastructure. 2, 3, 4 - PIMCO IRMAF: 2 - Does not have a prospectus maximum allocation pertaining to inflation-linked bonds, allocation shown is tactical maximum. 3 - Does not have a prospectus weight for floating rate bonds or USD bonds. 4 - Maximum prospectus allocation to "Fixed Income - Nominal" pertains to non-USD bonds. 5 - Includes 0-18% real estate related fixed income.

Page 20 Current Allocation

Equity Fixed Income - Total Real Securities - Commodity Inflation Fixed Income - Return Natural Contracts/ Linked Floating Rate Other/ Equity - Non Allocation Resources Index Securities Bonds REIT Nominal Real Asset Other

Cohen & Steers: Real Assets Multi- 84% 31%1 28% 0% 0% 25% 12% 0% 4%3 Strategy

PIMCO: Inflation Response Multi- 85% 0% 25% 49% 0% 11% 0% 0% 15%4 Asset Fund

Fidelity: Strategic Real Return 98% 0% 26% 27% 24% 22%2 0% 0% 2% (Inc.)

PIMCO: All Asset Strategy (Inc.) 18% 0% 6% 4% 4% 4% 48% 30% 4%5

Allocations for PIMCO All Asset are as of December 31, 2017 due to guidelines set forth by the manager. 1 - Includes global listed infrastructure. 2 - Includes real estate related fixed income. Allocation to "Other" consists of cash unless noted: 3 - Cohen & Steers: Cash and gold 4 - PIMCO IRMAF: foreign currencies, tail risk hedges & other derivatives 5 - PIMCO All Asset: tail risk hedges & other derivatives, cash

Page 21 Fee Information Mandate Size: $1,100,000

Comm. Fund Acct. CF Minimum CF Minimum CF Annual Fee MF Ticker MF Min Availability Account Size ($M) Fee ($) (basis points) Symbol Size ($M) MF Fee (bps)

Cohen & Steers: Real Assets Multi- Open $0 --- 75 RAPIX $0 81 Strategy

PIMCO: Inflation Response Multi- Not Available ------PIRMX $11 69 Asset Fund

Fidelity: Strategic Real Return Not Available ------FSRRX $0 80 (Inc.)

PIMCO: All Asset Strategy (Inc.) Not Available ------PAAIX $11 87

1 - PIMCO accepts investments below the minimum initial investment for RVK consulted clients.

Page 22 Trailing Period Returns and Rankings As of March 2018 Benchmark: RR REIT-Com-US TIPS Blend Universe: eA Gbl Bal-TAA Universe Size: 708

Total Annualized Return, % 0

-5

QTD YTD 1 year 3 years 5 years 7 years 10 years

5th to 25th Percentile 25th to Median Median to 75th Percentile 75th to 95th Percentile Cohen & Steers: Real Assets PIMCO: IRMAF Fidelity Strat Real Return (Inc.) PIMCO: All Asset Strategy (Inc.) RR REIT-Com-US TIPS Blend Annualized Performance QTD YTD 1 year 3 years 5 years 7 years 10 years Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Cohen & Steers: Real Assets -2.1 81 -2.1 81 4.4 88 1.5 89 0.4 95 ------PIMCO: IRMAF 0.1 42 0.1 42 6.9 76 4.1 59 1.3 89 ------Fidelity Strat Real Return (Inc.) -0.6 57 -0.6 57 3.5 92 2.2 84 1.1 91 2.1 85 3.0 83 PIMCO: All Asset Strategy (Inc.) 0.5 34 0.5 34 9.7 56 6.6 19 4.5 50 5.6 36 6.2 22 RR REIT-Com-US TIPS Blend -3.1 91 -3.1 91 0.2 99 0.0 94 -0.6 97 0.8 94 1.2 94 eA Gbl Bal-TAA Median -0.3 50 -0.3 50 10.3 50 4.6 50 4.4 50 4.5 50 4.9 50

RR REIT-Comm-US TIPS Blend is a 1/3 weighting to the Bloomberg Commodity, MSCI US REIT and Barclays US TIPS. Performance is gross of fees. Page 23 Calendar Year Returns and Rankings As of March 2018 Benchmark: RR REIT-Com-US TIPS Blend Universe: eA Gbl Bal-TAA Universe Size: 708

-10

-20 Total Annualized Return, % -30

-40

-50

2017 2016 2015 2014 2013 2012 2011 2010 2009 2008

5th to 25th Percentile 25th to Median Median to 75th Percentile 75th to 95th Percentile Cohen & Steers: Real Assets PIMCO: IRMAF Fidelity Strat Real Return (Inc.) PIMCO: All Asset Strategy (Inc.) RR REIT-Com-US TIPS Blend Calendar Year Performance 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Return Rank Cohen & Steers: Real Assets 7.2 93 13.7 10 -12.7 89 0.3 65 -1.9 88 ------PIMCO: IRMAF 9.4 87 11.4 15 -5.9 60 2.2 46 -8.6 98 10.4 63 ------Fidelity Strat Real Return (Inc.) 4.9 97 10.0 21 -6.7 63 1.9 49 -1.4 86 9.0 73 2.5 18 14.8 28 29.4 40 -22.8 48 PIMCO: All Asset Strategy (Inc.) 15.0 61 14.3 8 -7.9 69 1.7 51 1.6 81 16.4 8 3.4 14 14.7 29 24.1 54 -14.7 27 RR REIT-Com-US TIPS Blend 3.3 98 8.7 25 -8.0 69 4.3 26 -5.1 95 8.0 80 2.9 16 17.6 15 22.2 60 -24.7 52 eA Gbl Bal-TAA Median 16.4 50 4.8 50 -4.6 50 1.8 50 9.7 50 11.4 50 -1.9 50 11.1 50 25.1 50 -23.8 50

Performance is gross of fees.

Page 24 Modern Portfolio Theory Statistics - Three Year As of March 2018 Benchmark: RR REIT-Com-US TIPS Blend Universe: eA Gbl Bal-TAA Universe Size: 708

Sharpe Ratio Standard Deviation Max Drawdown, % Beta 1.2 14.0 0.0 1.4

12.0 1.2 -5.0 0.8 10.0 1.0 -10.0

0.4 8.0 0.8 -15.0 6.0 0.6 0.0 -20.0 4.0 0.4

-0.4 2.0 -25.0 0.2

Cohen & Steers: Real Assets PIMCO: IRMAF Fidelity Strat Real Return (Inc.) PIMCO: All Asset Strategy (Inc.) RR REIT-Com-US TIPS Blend

Sharpe Standard Max Firm/Product Rank Rank Rank Beta Rank Ratio Deviation Drawdown, % Cohen & Steers: Real Assets 0.15 89 8.82 42 -16.47 82 1.21 5 PIMCO: IRMAF 0.61 41 6.01 85 -9.47 39 0.82 31 Fidelity Strat Real Return (Inc.) 0.39 72 4.38 96 -9.05 35 0.64 56 PIMCO: All Asset Strategy (Inc.) 0.81 16 7.66 62 -11.93 58 0.91 23 RR REIT-Com-US TIPS Blend -0.05 95 6.33 81 -9.67 41 1.00 14 eA Gbl Bal-TAA Median 0.53 50 8.32 50 -10.97 50 0.67 50

Page 25 Modern Portfolio Theory Statistics - Five Year As of March 2018 Benchmark: RR REIT-Com-US TIPS Blend Universe: eA Gbl Bal-TAA Universe Size: 708

Sharpe Ratio Standard Deviation Max Drawdown, % Beta 1.2 14.0 0.0 1.2

-5.0 12.0 1.0 0.8 -10.0 10.0 0.8 0.4 -15.0

8.0 0.6 -20.0 0.0 0.4 6.0 -25.0

-0.4 -30.0 0.2 4.0

Cohen & Steers: Real Assets PIMCO: IRMAF Fidelity Strat Real Return (Inc.) PIMCO: All Asset Strategy (Inc.) RR REIT-Com-US TIPS Blend

Sharpe Standard Max Firm/Product Rank Rank Rank Beta Rank Ratio Deviation Drawdown, % Cohen & Steers: Real Assets 0.04 95 8.67 44 -22.36 87 1.05 6 PIMCO: IRMAF 0.17 86 6.77 76 -12.96 45 0.86 15 Fidelity Strat Real Return (Inc.) 0.18 86 4.61 95 -12.21 40 0.62 46 PIMCO: All Asset Strategy (Inc.) 0.59 49 7.32 69 -14.60 51 0.79 20 RR REIT-Com-US TIPS Blend -0.10 98 6.94 74 -14.22 50 1.00 9 eA Gbl Bal-TAA Median 0.57 50 8.38 50 -14.41 50 0.60 50

Page 26 Modern Portfolio Theory Statistics - Seven Year As of March 2018 Benchmark: RR REIT-Com-US TIPS Blend Universe: eA Gbl Bal-TAA Universe Size: 708

Sharpe Ratio Standard Deviation Max Drawdown, % Beta 1.5 14.0 -6.0 1.4 -8.0 1.2 12.0 -10.0 -12.0 1.0 1.0 -14.0 10.0 -16.0 0.8 -18.0 8.0 -20.0 0.5 0.6 -22.0 6.0 -24.0 0.4 -26.0 0.0 4.0 -28.0 0.2

Cohen & Steers: Real Assets PIMCO: IRMAF Fidelity Strat Real Return (Inc.) PIMCO: All Asset Strategy (Inc.) RR REIT-Com-US TIPS Blend

Sharpe Standard Max Firm/Product Rank Rank Rank Beta Rank Ratio Deviation Drawdown, % Cohen & Steers: Real Assets ------PIMCO: IRMAF ------Fidelity Strat Real Return (Inc.) 0.36 68 5.48 92 -12.21 28 0.64 67 PIMCO: All Asset Strategy (Inc.) 0.71 30 7.67 76 -14.60 41 0.76 45 RR REIT-Com-US TIPS Blend 0.10 94 8.23 69 -14.22 40 1.00 11 eA Gbl Bal-TAA Median 0.52 50 9.34 50 -15.98 50 0.73 50

Page 27 Modern Portfolio Theory Statistics - Ten Year As of March 2018 Benchmark: RR REIT-Com-US TIPS Blend Universe: eA Gbl Bal-TAA Universe Size: 708

Sharpe Ratio Standard Deviation Max Drawdown, % Beta 1.0 20.0 -12.0 1.2 -14.0 18.0 -16.0 -18.0 -20.0 1.0 16.0 -22.0 -24.0 14.0 -26.0 -28.0 0.8 -30.0 12.0 0.5 -32.0 -34.0 10.0 -36.0 0.6 -38.0 8.0 -40.0 -42.0 0.4 -44.0 6.0 -46.0 -48.0 4.0 -50.0 0.2 0.0

Cohen & Steers: Real Assets PIMCO: IRMAF Fidelity Strat Real Return (Inc.) PIMCO: All Asset Strategy (Inc.) RR REIT-Com-US TIPS Blend

Sharpe Standard Max Firm/Product Rank Rank Rank Beta Rank Ratio Deviation Drawdown, % Cohen & Steers: Real Assets ------PIMCO: IRMAF ------Fidelity Strat Real Return (Inc.) 0.34 68 8.95 83 -31.44 43 0.68 63 PIMCO: All Asset Strategy (Inc.) 0.63 17 9.71 78 -23.11 20 0.64 71 RR REIT-Com-US TIPS Blend 0.13 93 12.72 47 -42.19 83 1.00 11 eA Gbl Bal-TAA Median 0.44 50 12.53 50 -33.83 50 0.75 50

Page 28 Up/Down Market Capture - Three and Five Year As of March 2018 Benchmark: RR REIT-Com-US TIPS Blend Universe: eA Gbl Bal-TAA Universe Size: 708

Three Year Up/Down Market Capture Ratio Five Year Up/Down Market Capture Ratio 150 150

125 125

100

100 75 Up Mkt Capture Ratio, % Up Mkt Capture Ratio, %

75 50 25 50 75 100 125 50 75 100 125 Down Mkt Capture Ratio, % Down Mkt Capture Ratio, %

Cohen & Steers: Real Assets PIMCO: IRMAF Fidelity Strat Real Return (Inc.) PIMCO: All Asset Strategy (Inc.) RR REIT-Com-US TIPS Blend

Down Mkt Down Up Mkt Up Down Mkt Down Up Mkt Up Cap Mkt Cap Mkt Cap Mkt Cap Mkt Ratio, % Months Ratio, % Months Ratio, % Months Ratio, % Months Cohen & Steers: Real Assets 114.05 19 134.16 17 Cohen & Steers: Real Assets 105.09 29 117.19 31 PIMCO: IRMAF 64.84 19 113.31 17 PIMCO: IRMAF 80.86 29 99.83 31 Fidelity Strat Real Return (Inc.) 56.47 19 81.18 17 Fidelity Strat Real Return (Inc.) 58.99 29 72.52 31 PIMCO: All Asset Strategy (Inc.) 51.41 19 130.44 17 PIMCO: All Asset Strategy (Inc.) 61.02 29 113.06 31 RR REIT-Com-US TIPS Blend 100.00 19 100.00 17 RR REIT-Com-US TIPS Blend 100.00 29 100.00 31 eA Gbl Bal-TAA Median 39.75 19 95.32 17 eA Gbl Bal-TAA Median 38.01 29 97.07 31

Page 29 Up/Down Market Capture - Seven and Ten Year As of March 2018 Benchmark: RR REIT-Com-US TIPS Blend Universe: eA Gbl Bal-TAA Universe Size: 708

Seven Year Up/Down Market Capture Ratio Ten Year Up/Down Market Capture Ratio 125 125

100 100

75 75 Up Mkt Capture Ratio, % Up Mkt Capture Ratio, %

50 50 50 75 100 125 50 75 100 125 Down Mkt Capture Ratio, % Down Mkt Capture Ratio, %

Cohen & Steers: Real Assets PIMCO: IRMAF Fidelity Strat Real Return (Inc.) PIMCO: All Asset Strategy (Inc.) RR REIT-Com-US TIPS Blend

Down Mkt Down Up Mkt Up Down Mkt Down Up Mkt Up Cap Mkt Cap Mkt Cap Mkt Cap Mkt Ratio, % Months Ratio, % Months Ratio, % Months Ratio, % Months Cohen & Steers: Real Assets ------Cohen & Steers: Real Assets ------PIMCO: IRMAF ------PIMCO: IRMAF ------Fidelity Strat Real Return (Inc.) 61.49 38 74.57 46 Fidelity Strat Real Return (Inc.) 61.42 53 72.88 67 PIMCO: All Asset Strategy (Inc.) 63.42 38 108.66 46 PIMCO: All Asset Strategy (Inc.) 54.44 53 86.62 67 RR REIT-Com-US TIPS Blend 100.00 38 100.00 46 RR REIT-Com-US TIPS Blend 100.00 53 100.00 67 eA Gbl Bal-TAA Median 61.22 38 98.80 46 eA Gbl Bal-TAA Median 71.59 53 95.83 67

Page 30 Risk/Return - Three and Five Year As of March 2018 Benchmark: RR REIT-Com-US TIPS Blend Universe: eA Gbl Bal-TAA Universe Size: 708

Three Year Risk/Return Five Year Risk/Return 8 6

6 5

5 3 4

3 2 2

Total Annualized Return, % Total Annualized Return, % 0 0

-1 -2 2 4 6 8 10 5 6 8 9 Total Annualized StdDev, % Total Annualized StdDev, %

Cohen & Steers: Real Assets PIMCO: IRMAF Fidelity Strat Real Return (Inc.) PIMCO: All Asset Strategy (Inc.) RR REIT-Com-US TIPS Blend

Annualized Annualized Number of Annualized Annualized Number of Return Std. Dev. Periods Return Std. Dev. Periods Cohen & Steers: Real Assets 1.46 8.82 36 Cohen & Steers: Real Assets 0.35 8.67 60 PIMCO: IRMAF 4.07 6.01 36 PIMCO: IRMAF 1.30 6.77 60 Fidelity Strat Real Return (Inc.) 2.18 4.38 36 Fidelity Strat Real Return (Inc.) 1.06 4.61 60 PIMCO: All Asset Strategy (Inc.) 6.63 7.66 36 PIMCO: All Asset Strategy (Inc.) 4.45 7.32 60 RR REIT-Com-US TIPS Blend 0.01 6.33 36 RR REIT-Com-US TIPS Blend -0.60 6.94 60 eA Gbl Bal-TAA Median 4.56 8.32 36 eA Gbl Bal-TAA Median 4.43 8.38 60

Page 31 Risk/Return - Seven and Ten Year As of March 2018 Benchmark: RR REIT-Com-US TIPS Blend Universe: eA Gbl Bal-TAA Universe Size: 708

Seven Year Risk/Return Ten Year Risk/Return 6 8

6 4

2 2 Total Annualized Return, % Total Annualized Return, %

0 0 4 6 8 10 8 10 12 14 Total Annualized StdDev, % Total Annualized StdDev, %

Cohen & Steers: Real Assets PIMCO: IRMAF Fidelity Strat Real Return (Inc.) PIMCO: All Asset Strategy (Inc.) RR REIT-Com-US TIPS Blend

Annualized Annualized Number of Annualized Annualized Number of Return Std. Dev. Periods Return Std. Dev. Periods Cohen & Steers: Real Assets ------Cohen & Steers: Real Assets ------PIMCO: IRMAF ------PIMCO: IRMAF ------Fidelity Strat Real Return (Inc.) 2.13 5.48 84 Fidelity Strat Real Return (Inc.) 3.01 8.95 120 PIMCO: All Asset Strategy (Inc.) 5.57 7.67 84 PIMCO: All Asset Strategy (Inc.) 6.20 9.71 120 RR REIT-Com-US TIPS Blend 0.77 8.23 84 RR REIT-Com-US TIPS Blend 1.17 12.72 120 eA Gbl Bal-TAA Median 4.52 9.34 84 eA Gbl Bal-TAA Median 4.88 12.53 120

Page 32 3 and 5 Year Correlations As of March 2018 Benchmark: RR REIT-Com-US TIPS Blend Universe: eA Gbl Bal-TAA Universe Size: 708

Correlation: Apr Cohen Fidelity PIMCO: 2015 & PIMCO: Strat All Asset - Steers: IRMAF Real Return Strategy Mar 2018 Real Assets (Inc.) (Inc.) Cohen & Steers: Real Assets 1.00 0.92 0.92 0.90 PIMCO: IRMAF 0.92 1.00 0.91 0.92 Fidelity Strat Real Return (Inc.) 0.92 0.91 1.00 0.81 PIMCO: All Asset Strategy (Inc.) 0.90 0.92 0.81 1.00 RR REIT-Com-US TIPS Blend 0.87 0.86 0.92 0.75

Correlation: Apr Cohen Fidelity PIMCO: 2013 & PIMCO: Strat All Asset - Steers: IRMAF Real Return Strategy Mar 2018 Real Assets (Inc.) (Inc.) Cohen & Steers: Real Assets 1.00 0.89 0.91 0.89 PIMCO: IRMAF 0.89 1.00 0.91 0.87 Fidelity Strat Real Return (Inc.) 0.91 0.91 1.00 0.82 PIMCO: All Asset Strategy (Inc.) 0.89 0.87 0.82 1.00 RR REIT-Com-US TIPS Blend 0.84 0.88 0.94 0.75

Page 33 7 and 10 Year Correlations As of March 2018 Benchmark: RR REIT-Com-US TIPS Blend Universe: eA Gbl Bal-TAA Universe Size: 708

Correlation: Apr Cohen Fidelity PIMCO: 2011 & PIMCO: Strat All Asset - Steers: IRMAF Real Return Strategy Mar 2018 Real Assets (Inc.) (Inc.) Cohen & Steers: Real Assets ------PIMCO: IRMAF ------Fidelity Strat Real Return (Inc.) ------1.00 0.86 PIMCO: All Asset Strategy (Inc.) ------0.86 1.00 RR REIT-Com-US TIPS Blend ------0.96 0.81

Correlation: Apr Cohen Fidelity PIMCO: 2008 & PIMCO: Strat All Asset - Steers: IRMAF Real Return Strategy Mar 2018 Real Assets (Inc.) (Inc.) Cohen & Steers: Real Assets ------PIMCO: IRMAF ------Fidelity Strat Real Return (Inc.) ------1.00 0.85 PIMCO: All Asset Strategy (Inc.) ------0.85 1.00 RR REIT-Com-US TIPS Blend ------0.96 0.84

Page 34 Cohen & Steers Real Assets Multi-Strategy Class A (CF) 5 Years Ending March 31, 2018 Historical Asset Allocation Sector Distribution (%)

Page 35 PIMCO:Infl Rsp MA;Inst (PIRMX) 5 Years Ending March 31, 2018 Historical Asset Allocation Sector Distribution (%)

Page 36 Fidelity Strat Rl Rtn (FSRRX) 10 Years Ending March 31, 2018 Historical Asset Allocation Sector Distribution (%)

Page 37 PIMCO:All Asset;Inst (PAAIX) 10 Years Ending December 31, 2017 Historical Asset Allocation Sector Distribution (%)

Page 38 Cohen & Steers Capital Management, Inc. March 31, 2018 Displayed in: US Dollar (USD) Firm Headquarters: 280 Park Avenue Key Facts New York, New York 10017 Total Assets Under Management ($ Million): $58,462.3 Total Number of Accounts: 145 United States Number of Portfolio Managers: 23 Phone/Fax: 212.832.3232 / 212.832.3904 Number of Analysts: 31 Registered Investment Advisor: Yes % Employee Owned: 60.00 % Year Firm Founded: 1986 Firm Website: www.cohenandsteers.com

Contact Information

Marketing Contact: Stephen Dunn Database Contact: Sarah Strange Title: EVP, Global Distribution Title: Product Information Manager Address: 280 Park Avenue Address: 280 Park Avenue City, State, Zip Code: New York, New York 10017 City, State, Zip Code: New York, New York 10017 Country: United States Country: United States Phone/Fax: 212.446.9187 / 212.832.3904 Phone/Fax: 212.478.4462 / Email Address: [email protected] Email Address: [email protected]

Asset & Account Information

Current Totals Assets ($ Mil) Accounts Historical Assets($ Million) Prior QTR YE 2017 YE 2016 Total in Firm $58,462.3 145 Total Firmwide $62,106.1 $62,106.1 $57,198.0 Total Taxable $51,884.9 97 Total Taxable $55,267.7 $55,267.7 $51,223.2 Total Tax-Exempt $6,577.4 48 Total Tax-Exempt $6,838.3 $6,838.3 $5,974.8 Total Institutional $30,400.4 123 Total Institutional $33,084.0 $33,084.0 $31,971.3 Accts Gained Number ($ Million) % Firm Assets Assets By Geographic Region & Client Domicile Assets ($ Million) Current Quarter 3 $238.2 0.4 % United States $40,977.9 2017 0 $0.0 0.0 % Canada $1,482.2 2016 7 $1,155.7 57.6 % United Kingdom $184.6 Accts Lost Number ($ Million) % Firm Assets Europe ex-UK $2,780.5 Current Quarter 1 $191.4 0.3 % - Denmark $0.0 2017 0 $0.0 0.0 % - Eastern Europe $0.0 2016 6 $716.3 91.5 % - Finland $0.0 - France $0.0 Assets By Type Equity Fixed Inc. Balanced Alts Other - Germany $0.0 United States $26,656.7 $12,207.4 $0.0 $32.8 $0.0 - Italy $0.0 Canada $0.0 $0.0 $0.0 $0.0 $0.0 - Netherlands $867.2 United Kingdom $0.0 $0.0 $0.0 $0.0 $0.0 - Norway $777.5 Europe ex-UK $167.0 $0.0 $0.0 $0.0 $0.0 - Spain $0.0 Australia $0.0 $0.0 $0.0 $0.0 $0.0 - Sweden $0.0 Japan $0.0 $0.0 $0.0 $0.0 $0.0 - Switzerland $574.9 Hong Kong $0.0 $0.0 $0.0 $0.0 $0.0 - Other Europe $560.7 Singapore $0.0 $0.0 $0.0 $0.0 $0.0 Japan $10,165.9 Other Asia ex-Japan $542.4 $0.0 $0.0 $0.0 $0.0 Australia $591.4 China $0.0 $0.0 $0.0 $0.0 $0.0 Hong Kong $0.0 Latin America $0.0 $0.0 $0.0 $0.0 $0.0 Singapore $0.0 Africa/Middle East $0.0 $0.0 $0.0 $0.0 $0.0 Other Asia ex-Japan $2,279.8 Developed Intl Mkts (EAFE) $0.0 $0.0 $0.0 $0.0 $0.0 Africa/Middle East $0.0 Global $16,567.7 $97.0 $82.3 $2,109.2 $0.0 Latin America $0.0 Emerging Markets $0.0 $0.0 $0.0 $0.0 $0.0 Other $0.0 Other $0.0 $0.0 $0.0 $0.0 $0.0 5 Largest Accounts Aggregate ($ Mil) 1) Sub-Advised $4,368.8 2) Sub-Advised $3,146.2 3) Sovereign Wealth funds $1,042.7 4) Other $1,009.2 5) Sub-Advised $934.2

Ownership Information GIPS Compliance & Insurance Information

% Employee Owned 60.0% GIPS Standards Compliant? Yes Effective Date 08/31/1986 % Parent Owned --- Performance Audited: Yes Effective Date 12/31/2016 % Publicly Held 40.0% Errors & Omissions Insurance: Yes Coverage ($ Mil) $35.00 Total Minority/Female Ownership 0.0% Fiduciary Liability Insurance: Yes Coverage ($ Mil) $21.85 Firm Bonded: Yes Coverage ($ Mil) $23.50

Firm Background Narratives

Cohen & Steers is a leading global investment manager with a long history of innovation and a focus on real assets, including real estate, infrastructure and commodities, along with preferred securities and other income solutions. Headquartered in New York City, with offices in London, Hong Kong, Tokyo and Seattle, Cohen & Steers manages approximately $62 billion for institutional and individual investors around the world.

Cohen & Steers is a wholly owned subsidiary of Cohen & Steers, Inc., a public company (NYSE ticker: CNS). Martin Cohen, Chairman of the Board of Directors of Cohen & Steers, Inc., and Robert Steers, Chief Executive Officer, own approximately 50% of Cohen & Steers Inc.’s common stock and voting rights, respectively. The remainder is held by other Cohen & Steers employees and the public.

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Page 39 Founded in 1986 by Martin Cohen and Robert Steers, Cohen & Steers was the first investment advisor to focus on managing real estate securities as a distinct asset class. Since the firm’s inception, Cohen & Steers has been a pioneer in creating investment strategies and vehicles for the management of real estate and other real asset portfolios. In 1999, we started investing in preferred securities to increase the yield in real estate securities portfolios, and in 2003 offered a stand-alone preferred securities strategy. Also in 2003, we started investing in listed infrastructure to offer a value-added approach to investing in infrastructure, an asset class historically characterized by attractive and predictable income, strong total returns, low long-term volatility and correlations to broader equity and fixed income markets. In January 2012, we launched the Cohen & Steers Real Assets strategy to offer our clients customized solutions to invest in a diversified portfolio of real assets. In April 2013, we added a leading commodities research and investment team to further expand our capabilities in real assets investing.

Over the years, as Cohen & Steers strategically expanded its investment capabilities, we added experienced, industry-leading professionals to manage these portfolios. With these broad product offerings, Cohen & Steers has a leading role in managing real asset strategies.

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Page 40 Cohen & Steers Capital Management, Inc. March 31, 2018 Displayed in: US Dollar (USD) Cohen & Steers Real Assets Multi-Strategy - USA - SA - Composite - Cohen & Steers Real Assets Separate Account Product Snapshot

Asset Class: Global-Balanced/Multi-Asset Key Facts Primary Universe: eVestment Liquid Real Assets Primary Capitalization: All Cap Primary Style Emphasis: Value Marketing Contact: Stephen Dunn Preferred Benchmark: Blended Index Title: EVP, Global Distribution Total Product Assets: $1,171.1 Phone/Fax: 212.446.9187 / 212.832.3904 Total Product Accounts: 2 Product Offered As: PF,SA,CF Email Address: [email protected] Investment Focus: Tactical Asset Allocation

Asset & Account Information

Current Totals Assets ($ Million) Accounts Assets by Vehicle Type Assets ($ Million) Total in Product $1,171.1 2 Separate/Segregated Assets $0.0 Total Taxable $1,171.1 2 Pooled/Commingled Assets $1,009.2 Total Tax-Exempt $0.0 0 Mutual Fund/Institutional Assets $0.0 Total Institutional $1,009.2 1 Mutual Fund/Retail Assets $161.8

Accounts Gained Number ($ Million) % Product Assets Assets Lost Number ($ Million) % Product Assets Current Quarter 0 $0.0 0.0 % Current Quarter 0 $0.0 0.0 % 2017 0 $0.0 0.0 % 2017 0 $0.0 0.0 % 2016 1 $361.9 325.9 % 2016 0 $0.0 0.0 %

Portfolio Characteristics

Strategy Snapshot Characteristics (Equity/Fixed Income) Key Country Allocations Equity Capitalization: All Cap Current Number Of Holdings: --- France: --- Equity Style Emphasis: Value Current P/E (12-mo Trailing): --- Germany: --- Fixed Income Style Emphasis: Cash Mgmt Weighted Avg. Mkt Cap (Mil): $0 Japan: --- Fixed Income Duration Emphasis: Long Median Market Cap (Mil): $0 Netherlands: --- Preferred Benchmark: Blended Index Average Quality Issue: --- Switzerland: --- Current Cash Position: 1.3 % Dev. Markets Governments/Sovereigns: --- United Kingdom: --- Equity Approach Towards Currency Hedging: --- Dev. Markets Corporates: --- United States: --- % Max Allowed In Emerging Markets: --- Dev. Markets Non-Agency ABS/MBS: --- Emerging Markets ---

Performance Information

Track Record (6 Available): USA - SA - Composite - Cohen & Steers Real Assets Separate Account - Gross of Fees Risk Index: Blended Index Frequency: Quarterly Risk-Free Index: Citigroup 3-Month T-Bill

Returns Trailing Periods Product Benchmark Excess Std Dev Alpha Beta Trk Error Info Ratio Sharpe Ratio 1 Year 4.45 ------5.78 ------0.58 2 Year 6.27 ------5.97 ------0.93 3 Year 1.46 ------8.80 ------0.11 4 Year 0.10 ------9.05 ------0.03 5 Year 0.35 ------9.32 ------0.00 6 Year 0.93 ------9.18 ------0.07 7 Year ------8 Year ------9 Year ------10 Year ------Since Inception (6/2012) 0.93 ------9.18 ------0.07

Calendar Years MRQ YTD 2017 2016 2015 2014 2013 2012 2011 Product Returns: -2.11 -2.11 7.21 13.66 -12.75 0.32 -1.87 ------Benchmark Returns: ------Excess Returns: ------

Fee Information Professional Information

Vehicle Type Available Min. Size($ Mil) Minimum Fee Separate/Segregated Open $100 --- Team Description No. Avg. Yrs. Exp. Avg. Yrs. @ Firm Pooled/Commingled Open ------Portfolio Managers: 22 21 11 Institutional MFs Open $0.10 --- Research Analysts: 28 12 5 Traders: 8 18 10 Risk Portfolio/Monitoring: 0 0 0 Fees By Acct. Size $25M $50M $75M $100M Separate/Segregated $187,500 $375,000 $562,500 $750,000 Professional Turnover Port Mgrs. Analysts 75 bps 75 bps 75 bps 75 bps Professionals Gained MRQ 0 1 Pooled/Commingled $187,500 $375,000 $562,500 $750,000 2017 0 0 75bps 75bps 75bps 75bps 2016 0 1 Institutional MFs $230,000 $460,000 $690,000 $920,000 92 bps 92 bps 92 bps 92 bps Professionals Lost MRQ 0 0 2017 0 0 2016 0 0

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Page 41 Cohen & Steers Capital Management, Inc. Cohen & Steers Real Assets Multi-Strategy - USA - SA - Composite - Cohen & Steers Real Assets Separate Account

Investment Strategy

In our view, investments in real assets—properly diversified and intelligently managed—have the potential to diversify many of the long-term risks associated with a traditional stock and bond allocation. Real assets offer an exceptionally large investment universe made up of diverse subsectors across many different industry groups. However, this complexity calls for a framework that approaches the various categories of real assets as a unique, but coherent, asset class. Our research-based framework emphasizes three key criteria that should be met in building a long-term, strategic allocation to real assets:

• The potential to outperform during periods of joint stock and bond underperformance. • The potential to provide attractive long-term expected returns across a full market or economic cycle. • The potential to show higher sensitivity than stocks or bonds to “unexpected” inflation accelerations—surprise conditions that can create an especially difficult environment for the investor concentrated in stocks and bonds.

We believe that the performance potential of a diversified allocation to real assets is not dependent on the inflationary backdrop, a concern that has preoccupied many investors in the past. However, while inflation is not central to the case for real assets investing, we believe that a real assets strategy should do better than broad equities and bonds over inflationary periods. We also believe that active management—with respect to both return and risk—is essential. In our judgment, both top-down tactical allocation and the fundamental research that drives bottom-up sector and security selection can play powerful roles in the management of a real assets portfolio, provided that the implementation is undertaken as part of a disciplined risk management process. Properly managed, we believe real assets can serve as an ideal complement to a portfolio of stocks and bonds.

Screening Process

Each of our sub-strategies is managed by a team of dedicated, experienced investment professionals. A brief description of each sub-strategy’s investment process is below.

• Global Real Estate Securities: Led by Jon Cheigh, global portfolio manager, Cohen & Steers employs an integrated, relative value investment process for investing in global real estate securities. A proprietary valuation model ranks global securities on price-to-net asset value and price-to-dividend discount model, which we believe are the primary determinants of real estate security valuation. Analysts incorporate both quantitative and qualitative analysis in their estimates. The company research process includes an evaluation of management, strategy, property quality, financial strength and corporate structure. The team also uses a country macroeconomic framework that guides implementation of country over/underweights and adjusts for unique country stock drivers. Judgments with respect to risk control, diversification, liquidity and other factors overlay the model's output and drive the portfolio managers' investment decisions.

• Commodities: Cohen & Steers employs an active, long-biased investment process based on fundamental research to invest in commodities. The team, led by portfolio managers Nick Koutsoftas and Ben Ross, conducts in-depth, bottom-up analysis on all commodities analyzing supply and demand fundamentals, analysis of inventory, marginal cost structure and composition of market participants. We utilize a variety of proprietary commodity tools, on-the-ground due diligence and research from both internal and external sources to build a diversified portfolio invested in a broad basket of commodities. The strategy invests in commodity related derivative investments, primarily in exchange traded futures contracts, from all commodity sectors including energy, industrial metals, agriculture, livestock and precious metals.

• Global Natural Resource Equities: The natural resource equity sleeve of the Real Assets strategy uses a risk parity-based approach to managing the asset class. The existing universe of natural resource equity managers and indexes tends to have sector allocations based on market capitalization, which we believe may lead to sub-optimal portfolio construction. Our approach, led by portfolio manager Chris Rhine, equalizes volatility contributions across energy sub-sectors, creating a more balanced allocation. We believe this approach more broadly captures the economics of global demand for natural resources, aligns with our investment thesis of long-term growth in demand for agricultural resources, balances sector allocations and reduces volatility.

• Global Infrastructure and MLPs: Cohen & Steers infrastructure investment process begins with the identification of the core global infrastructure investment universe and our analysts formulate independent views on fundamentals, regulatory trends and company financials on all companies in our universe. We use a proprietary macro sector overlay, which ranks the relative attractiveness of the infrastructure subsectors based on several key drivers—industry fundamentals, regulation, economic sensitivity, commodity price leverage, capital markets and valuation. After we establish our subsector weights, portfolio managers Robert Becker and Benjamin Morton, who lead the infrastructure investment process, determine appropriate security level weightings based upon the output of our analyst- driven fundamental research and valuation models.

• Diversifiers: We include gold and short-duration fixed income for their ability to complement the core real assets and reduce volatility relative to individual real asset categories. In addition to performing well in periods of rising inflation, gold has also served as an effective store of value during times of geopolitical and financial uncertainty. High-quality short-duration fixed income, such as Treasury bills and short-term variable-rate notes, can provide current income and portfolio stability without adding significant interest-rate risk. Short-term investment grade corporate debt can further enhance the income from T-Bills. The fixed income allocation is managed by portfolio managers Bill Scapell and Elaine Zaharis-Nikas.

Portfolio Construction Methodology

The Real Assets Multi-Strategy harnesses the extensive investment management and research capabilities of Cohen & Steers’ 51-member investment team, led by Cohen & Steers President and Chief Investment Officer, Joseph Harvey. Vince Childers is the lead portfolio manager for the Real Assets Multi-Strategy and maintains final decision-making responsibility with respect to the top-down asset allocation of the strategy. He works directly with the product’s Asset Allocation Committee to determine the strategy’s asset allocation. The Committee includes Mr. Childers, Mr. Harvey, Yigal Jhirad, Director of Quantitative & Derivatives Strategies, Jon Cheigh, Global Real Estate Securities portfolio manager, and Nick Koutsoftas, Commodities portfolio manager. The Committee oversees allocation ranges, rebalancing decisions and risk management. The underlying components of the Real Assets Multi-Strategy are managed by Cohen & Steers’ dedicated investment teams, which is comprised of 15 portfolio managers, including Mr. Cheigh and Mr. Koutsoftas, and 24 research professionals. The teams are supported by eight trading professionals and one macro-strategist.

Risk Control Methodology: Risk assessment is incorporated into our investment process for the overall portfolio and underlying sleeves. Evaluation of portfolio beta, volatility, tracker error, value-at-risk, historical scenario/drawdown analyses are included into our top-down asset allocation process. The portfolio is also monitored on a regular basis for additional portfolio factor exposures (e.g. equity market beta, volatility, interest rates), which informs portfolio manager risk assessment. Risk analyses are conducted at sleeve-level using both historical and prospective metrics, which is part of the standard Cohen & Steers practice. Additionally, the strategy’s short duration credit sleeve is utilized as a strategic and tactical risk management tool to help reduce risk in the portfolio when necessary.

We utilize the following asset allocation ranges to ensure adherence to our investment discipline. Note these ranges can vary for the different real asset portfolios that we manage.

Global real estate securities (20-35%) Commodities (20-35%) Global natural resource equities (10-20%) Global listed infrastructure and MLPs (10-20%) Short duration credit (0-20%) Gold (0-10%)

In addition to adhering to ranges within the underlying asset classes noted above, we adhere to portfolio-level constraints for each of the underlying sub-strategies.

Also assisting the risk management function is the firm’s Investment Risk Committee, which helps the firm manage investment risk and other firm-wide risks such as counterparty, liquidity and operational and regulatory risk. The committee periodically reviews the risk profiles of the portfolios. Periodically, the lead portfolio manager of each strategy reviews his respective portfolio with the committee. Yigal Jhirad, Director of Quantitative Strategies, and Sue Seto, Director of Performance and Risk Analytics, are co-heads of the Investment Risk Committee. Other individuals on the committee include the firm’s Executive committee and senior professionals from each of the firm’s functional areas, including members from the investment, trading, legal and compliance, administration and operations, marketing and sales, and quantitative and performance departments.

The Risk Management Committee and our portfolio managers work together with our compliance department and administration department to monitor risks on a regular basis.

The Quantitative and Performance teams utilize various systems and tools to measure risks. We employ a proprietary risk system, as well as third party risk and performance systems including MSCI Barra, Morningstar Direct, Zephyr, BiSAM and Bloomberg to calculate performance and measure and analyze risks. Our systems have the capability to run risk analytics on the underlying strategies as well as on an aggregate portfolio level. The portfolio is set-up on the accounting and attribution systems with multiple sleeves. We aggregate these sleeves to provide holdings and returns to run further performance and risk analytics

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Page 42

Buy/Sell Discipline

The buy/sell discipline for each sub-strategy is based primarily on valuation.

Trading/Execution Strategy

Cohen & Steers is a leader in managing several real asset strategies, including real estate, infrastructure and commodities, and an integral part of the investment process for each strategy lies in the firm’s established and highly efficient global trading platform. Cohen & Steers’ trading team consists of eight fully dedicated trading professionals. With trading desks in New York, London and Hong Kong, our traders cover each of the major regions for global real strategies. This regional presence has enabled our traders to build strong brokerage relationships locally, while delivering on-the-ground market intelligence to the investment team members domiciled in each region.

Portfolio managers and traders meet daily in each regional office to discuss market conditions and establish a trade execution strategy for the day. This close proximity between traders and portfolio decision makers enhances our ability to capitalize on real-time market opportunities. Our traders are equipped with a comprehensive suite of tools, including a premiere global order management system (Eze OMS), which streamlines the investment cycle from idea generation through trade settlement, while integrating the trading process across all regions.

We believe our trading process is a value-added operation. Head trader Matt Karcic, who has 17 years of trading experience, has been with the firm since 2003. The eight traders have an average of 17 years of experience and have been with the firm for an average of seven years. Their longstanding experience not only enhances the ability to leverage long-term brokerage relationships, but also adds stability to our trading process.

The size and scope of our trading operations is an important factor in helping to minimize transaction costs. As a prominent investor in the global real estate securities markets, broker/dealers view us as a “first call,” providing us with timely market intelligence, unique liquidity opportunities and top-tier allocations to IPO and secondary offerings. Our traders utilize a variety of techniques to implement our trade execution strategy, including cash desks, dark pools, ATS and ECNs. We use these techniques interchangeably in order to help reduce overall commission costs, while maintaining a focus on best execution.

Our extensive trade cost analysis brings further oversight to the trading process and ensures that our clients benefit from trading efficiencies. Our team reviews implicit costs such as price impact and opportunity costs, as well as explicit costs such as commissions and fees. The trading department utilizes various internal and external trade cost analysis and market data systems, including Bloomberg, FactSet and Abel/Noser, that enable the traders to monitor numerous trading metrics on both a pre-trade and post-trade basis. This extensive analysis allows the trading desk to work closely with portfolio managers to optimally implement portfolio decisions. Lastly, the trading department stays abreast of new developments in trading cost analyses to ensure our firm’s use of state-of-the-art technology and systems.

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Page 43 Cohen & Steers Capital Management, Inc. Cohen & Steers Real Assets Multi-Strategy - USA - SA - Composite - Cohen & Steers Real Assets Separate Account

Investment Professionals Managing This Strategy

Jon Cheigh Vince Childers

Current Position/Ownership Details Current Position/Ownership Details Title: EVP - Head of Global Real Estate Securities Title: CFA, Portfolio Manager - Real Assets Allocation Strategy Primary Role: Portfolio Manager Primary Role: Portfolio Manager Start Year Industry: 1995 Start Year Industry: 1999 Start Year Firm: 2005 Start Year Firm: 2013 Equity Owner: Yes Equity Owner: Yes Equity Ownership: Equity Ownership: 0

Educational History Educational History Undergraduate: Undergraduate: Williams College BA Vanderbilt University ---

Post Graduate: Post Graduate: University of Chicago MBA Carnegie Mellon University ------Prior Experience Start End Prior Experience Firm Title Year Year Firm Title Start Year End Year Security Capital Research & AllianceBernstein --- Vice President, Senior REIT Analyst Management --- Vice President, Real Estate --- InterPark Acquisitions Urban Growth Property Trust Acquisitions Associate Biography:

Biography: Vince Childers, CFA, Senior Vice President, is a portfolio manager for Cohen & Steers’ real assets strategy. He has 14 years of investment experience. Prior to joining the firm in Jon Cheigh, Executive Vice President, is a global portfolio manager for the firm’s real 2013, Mr. Childers was a portfolio manager for real asset strategies at AllianceBernstein, estate securities portfolios and oversees the global research process for real estate where he co-managed a research team overseeing $2.3 billion in assets. Previously, Mr. securities. Prior to joining Cohen & Steers in 2005, Mr. Cheigh was a vice president and Childers was an associate in the financial advisory services department of Houlihan Lokey. senior REIT analyst for two years at Security Capital Research & Management. Mr. Childers has an MBA from Carnegie Mellon University and a BS from Vanderbilt Previously, he was a vice president of real estate acquisitions at InterPark and an University. He is based in New York. acquisitions associate at Urban Growth Property Trust, two privately held REITs. Mr. Cheigh holds a BA cum laude from Williams College and an MBA from the University of Chicago. He is based in New York.

Joe Handelman Joseph Harvey

Current Position/Ownership Details Current Position/Ownership Details Title: CFA, Real Assets Analyst Title: President & Chief Investment Officer Primary Role: Equity Analyst Primary Role: Portfolio Manager Start Year Industry: 2007 Start Year Industry: 1987 Start Year Firm: 2016 Start Year Firm: 1992 Equity Owner: Yes Equity Owner: Yes Equity Ownership: --- Equity Ownership: 0

Educational History Educational History Undergraduate: Undergraduate: Computer Princeton University BSE Tufts University 2003 Science Post Graduate: Post Graduate: NYU MBA 2007 ------Prior Experience Prior Experience Firm Title Start Year End Year Firm Title Start Year End Year Robert A. Stanger and Co. VP, Analyst 1987 1992 J.P. Morgan Head of Portfolio Construction & Risk 2007 2016 ------Biography: Biography: Joseph Harvey, President and Chief Investment Officer, is a senior portfolio manager for Joseph Handelman, CFA, Vice President, is a research analyst for the Cohen & Steers’ real real estate securities portfolios. Prior to joining the firm in 1992, Mr. Harvey was a vice assets multi-strategy. He has 13 years of investment experience. Prior to joining the firm president with Robert A. Stanger & Co., where he was an analyst specializing in real in 2016, Mr. Handelman was the global head of portfolio construction & risk for the estate and related securities for the firm’s research and consulting activities. Mr. Harvey endowments & foundations group at J.P. Morgan Asset Management. Previously, he was holds a BSE from Princeton University. He is based in New York. a quantitative researcher and strategist at Credit Suisse. Mr. Handelman has an MBA from New York University and a BS from Tufts University and is based in New York.

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Page 44 Yigal Jhirad Nick Koutsoftas

Current Position/Ownership Details Current Position/Ownership Details Title: SVP - Portfolio Manager, Real Assets Strategy Title: SVP, Portfolio Manager - Commodities Primary Role: Portfolio Manager Primary Role: Portfolio Manager Start Year Industry: 1987 Start Year Industry: 1995 Start Year Firm: 2007 Start Year Firm: 2013 Equity Owner: Yes Equity Owner: Yes Equity Ownership: Equity Ownership: 0

Educational History Educational History Undergraduate: Undergraduate: Wharton School BS University of Massachusetts Amherst BS

Post Graduate: Post Graduate: New York University MBA ------Prior Experience Firm Title Start Year End Year Prior Experience Morgan Stanley Executive Director Firm Title Start Year End Year GE Asset Management ------Biography: Biography: Yigal D. Jhirad, Senior Vice President, is Portfolio Manager of the Cohen & Steers Real Assets Fund. He is a director of Quantitative Strategies and is a portfolio manager of the Nick Koutsoftas, senior vice president and co-portfolio manager. Mr. Koutsoftas was firm's options strategies. In addition, he heads the Real Asset Allocation Committee and previously senior vice president and co-portfolio manager at GE Asset Management the Investment Risk Committee. Prior to joining the firm in 2007, Mr. Jhirad was an (“GEAM”), as head of the Active Commodities strategy since its 2006 inception. He joined executive director in the institutional equities division of Morgan Stanley, where he GEAM in 1999 and began his career at GE in 1995. Mr. Koutsoftas has a BS degree from headed the company’s portfolio and derivatives strategies effort. He was responsible for University of Massachusetts at Amherst and an MBA from NYU Stern School of Business. developing, implementing and marketing quantitative and derivatives products to a broad array of institutional clients, including hedge funds, active and passive funds, pension funds and endowments. Mr. Jhirad holds a BS from the Wharton School. He is a Financial Risk Manager (FRM), as Certified by the Global Association of Risk Professionals. He is based in New York.

Michael Penn

Current Position/Ownership Details Title: VP, Macro Strategist Primary Role: Strategist Start Year Industry: 2003 Start Year Firm: 2011 Equity Owner: Yes Equity Ownership:

Educational History Undergraduate: University of Nottingham BS

Post Graduate: University Collge, London MS

Prior Experience Firm Title Start Year End Year Bank of America Merrill Lynch Macro Strategist

Biography:

Michael Penn, Vice President, is a macro strategist responsible for providing economic analysis and forecasts to Cohen & Steers’ investment committees. Prior to joining the firm in 2011, Mr. Penn was a macro strategist at Bank of America Merrill Lynch, where he focused on global and emerging equity markets. Mr. Penn has a BS degree in economics from the University of Nottingham and an MS degree with distinction in economics from University College, London. He is based in New York.

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Page 45 PIMCO March 31, 2018 Displayed in: US Dollar (USD) Firm Headquarters: 650 Newport Center Dr Key Facts Newport Beach, California 92660 Total Assets Under Management ($ Million): $1,774,081.9 Total Number of Accounts: 2,024 United States Number of Portfolio Managers: 238 Phone/Fax: 949.720.6000 / 949.720.1376 Number of Analysts: 148 Registered Investment Advisor: Yes % Employee Owned: --- Year Firm Founded: 1971 Firm Website: www.pimco.com

Contact Information

Marketing Contact: Michael Saracco Database Contact: Abby John Title: Vice President, Account Manager Title: Database / RFP Manager Address: 650 Newport Center Drive Address: 650 Newport Center Drive City, State, Zip Code: Newport Beach, California 92660 City, State, Zip Code: Newport Beach, California 92660 Country: United States Country: United States Phone/Fax: 949-720-7848 / Phone/Fax: 9497207719 / Email Address: [email protected] Email Address: [email protected]

Asset & Account Information

Current Totals Assets ($ Mil) Accounts Historical Assets($ Million) Prior QTR YE 2017 YE 2016 Total in Firm $1,774,081.9 2,024 Total Firmwide $1,755,666.0 $1,755,666.0 $1,467,000.2 Total Taxable $1,386,729.3 985 Total Taxable $1,370,671.3 $1,370,671.3 $1,146,487.6 Total Tax-Exempt $387,352.6 1,039 Total Tax-Exempt $384,994.7 $384,994.7 $320,512.6 Total Institutional $1,611,846.9 2,020 Total Institutional $1,584,339.4 $1,584,339.4 $1,333,197.3 Accts Gained Number ($ Million) % Firm Assets Assets By Geographic Region & Client Domicile Assets ($ Million) Current Quarter 0 $0.0 0.0 % United States $833,751.5 2017 0 $0.0 0.0 % Canada $28,012.1 2016 0 $0.0 0.0 % United Kingdom $28,390.9 Accts Lost Number ($ Million) % Firm Assets Europe ex-UK $621,271.4 Current Quarter 0 $0.0 0.0 % - Denmark $4,005.6 2017 0 $0.0 0.0 % - Eastern Europe $0.0 2016 0 $0.0 0.0 % - Finland $0.0 - France $5,497.1 Assets By Type Equity Fixed Inc. Balanced Alts Other - Germany $339,689.1 United States $17,333.8 $1,006,511.1 $30,875.5 $8,935.9 $0.0 - Italy $12,195.1 Canada $0.0 $12,396.3 $0.0 $0.0 $0.0 - Netherlands $7,622.3 United Kingdom $0.0 $19,586.9 $0.0 $202.5 $0.0 - Norway $301.2 Europe ex-UK $0.0 $330,379.9 $1,965.9 $1,024.2 $0.0 - Spain $143.0 Australia $0.0 $14,720.8 $0.0 $432.4 $0.0 - Sweden $0.0 Japan $0.0 $13,638.5 $0.0 $0.0 $0.0 - Switzerland $18,570.6 Hong Kong $0.0 $0.0 $0.0 $0.0 $0.0 - Other Europe $233,247.4 Singapore $0.0 $0.0 $0.0 $0.0 $0.0 Japan $20,526.9 Other Asia ex-Japan $0.0 $27.4 $0.0 $0.0 $0.0 Australia $30,081.9 China $0.0 $0.0 $0.0 $0.0 $0.0 Hong Kong $12,325.7 Latin America $0.0 $0.0 $0.0 $0.0 $0.0 Singapore $1,411.7 Africa/Middle East $0.0 $0.0 $0.0 $0.0 $0.0 Other Asia ex-Japan $25,853.1 Developed Intl Mkts Africa/Middle East $26,066.4 $0.0 $0.0 $0.0 $0.0 $0.0 (EAFE) Latin America $4,157.8 Global $3,991.5 $215,537.5 $5,607.6 $2,615.9 $0.0 Other $142,232.5 Emerging Markets $12,415.6 $49,584.1 $0.0 $0.0 $0.0 5 Largest Accounts Aggregate ($ Mil) Other $6,616.6 $19,599.9 $0.0 $82.2 $0.0 1) Public Fund $24,230.2 2) Insurance $7,122.4 3) Public Fund $6,798.7 4) Wrap Accounts $5,549.3 5) Public Fund $5,105.2

Ownership Information GIPS Compliance & Insurance Information

% Employee Owned --- GIPS Standards Compliant? Yes Effective Date 01/01/1987 % Parent Owned --- Performance Audited: Yes Effective Date 12/31/2017 % Publicly Held --- Errors & Omissions Insurance: Yes Coverage ($ Mil) $100.00 Total Minority/Female Ownership --- Fiduciary Liability Insurance: Yes Coverage ($ Mil) $100.00 Firm Bonded: Yes Coverage ($ Mil) $25.00

Firm Background Narratives

Pacific Investment Management Company LLC (“PIMCO”)* was founded in Newport Beach, California in 1971 and is a global investment solutions provider. PIMCO started as a subsidiary of Pacific Life Insurance Company managing institutional separately managed fixed income accounts. In 2000, PIMCO was acquired by Allianz SE (“Allianz”), a large global financial services company based in Germany with the agreement that it would be able to operate as a separate and autonomous subsidiary. While primarily known as one of the world’s largest fixed income managers, PIMCO also manages a broad range of strategies across different asset classes including alternatives, equities, and real assets.

* Includes PIMCO's global affiliates, as appropriate. PIMCO directly owns and controls PIMCO Investments LLC and may directly or indirectly own and control certain other global PIMCO entities.

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Page 46 PIMCO March 31, 2018 Displayed in: US Dollar (USD) Inflation Response Multi-Asset - USA - SA - Composite - Inflation Response Multi-Asset Composite Product Snapshot

Asset Class: Global-Balanced/Multi-Asset Key Facts Primary Universe: eVestment Liquid Real Assets Primary Capitalization: All Cap Primary Style Emphasis: Other Marketing Contact: Michael Saracco Preferred Benchmark: Inflation Response Index Title: Vice President, Account Manager Total Product Assets: $1,258.9 Phone/Fax: 949-720-7848 / Total Product Accounts: 2 Product Offered As: PF,SA Email Address: [email protected] Investment Focus: Tactical Asset Allocation

Asset & Account Information

Current Totals Assets ($ Million) Accounts Assets by Vehicle Type Assets ($ Million) Total in Product $1,258.9 2 Separate/Segregated Assets $0.0 Total Taxable $1,258.9 2 Pooled/Commingled Assets $94.9 Total Tax-Exempt $0.0 0 Mutual Fund/Institutional Assets $1,142.8 Total Institutional $1,229.9 2 Mutual Fund/Retail Assets $21.2

Portfolio Characteristics

Strategy Snapshot Characteristics (Equity/Fixed Income) Key Country Allocations Equity Capitalization: All Cap Current Number Of Holdings: --- France: -3.45 % Equity Style Emphasis: Other Current P/E (12-mo Trailing): --- Germany: 2.33 % Fixed Income Style Emphasis: Inflation Indexed Weighted Avg. Mkt Cap (Mil): $0 Japan: -3.68 % Fixed Income Duration Emphasis: Core/All Durations Median Market Cap (Mil): $0 Netherlands: 0.71 % Preferred Benchmark: Inflation Response Index Average Quality Issue: AA Switzerland: 1.10 % Current Cash Position: --- Dev. Markets Governments/Sovereigns: --- United Kingdom: 3.83 % Equity Approach Towards Currency Hedging: --- Dev. Markets Corporates: --- United States: 78.11 % % Max Allowed In Emerging Markets: --- Dev. Markets Non-Agency ABS/MBS: --- Emerging Markets 13.48 %

Performance Information

Track Record (4 Available): USA - SA - Composite - Inflation Response Multi-Asset Composite - Gross of Fees Risk Index: Inflation Response Index Frequency: Quarterly Risk-Free Index: Citigroup 3-Month T-Bill

Returns Trailing Periods Product Benchmark Excess Std Dev Alpha Beta Trk Error Info Ratio Sharpe Ratio 1 Year 6.86 2.65 4.22 3.50 3.61 1.20 0.93 4.55 1.65 2 Year 7.55 2.95 4.61 4.02 4.87 0.88 1.18 3.90 1.70 3 Year 4.07 1.15 2.93 6.27 2.87 1.05 1.89 1.55 0.57 4 Year 2.97 -0.33 3.31 6.72 3.38 1.09 1.95 1.70 0.39 5 Year 1.30 -1.28 2.58 7.76 2.82 1.12 1.97 1.31 0.13 6 Year 2.29 -0.57 2.86 7.34 2.98 1.11 1.86 1.53 0.28 7 Year ------8 Year ------9 Year ------10 Year ------Since Inception (12/2011) 3.03 0.32 2.72 7.16 2.72 1.09 1.81 1.50 0.39

Calendar Years MRQ YTD 2017 2016 2015 2014 2013 2012 2011 Product Returns: 0.08 0.08 9.43 11.39 -5.92 2.23 -8.55 10.43 --- Benchmark Returns: -0.69 -0.69 5.07 6.75 -7.56 -0.34 -8.82 6.58 --- Excess Returns: 0.77 0.77 4.36 4.63 1.64 2.57 0.27 3.86 ---

Fee Information Professional Information

Vehicle Type Available Min. Size($ Mil) Minimum Fee Separate/Segregated Open ------Team Description No. Avg. Yrs. Exp. Avg. Yrs. @ Firm Pooled/Commingled ------Portfolio Managers: 7 18 6 Institutional MFs Open $1 --- Research Analysts: 148 13 6 Traders: 0 0 0 Risk Portfolio/Monitoring: 0 0 0 Fees By Acct. Size $25M $50M $75M $100M Separate/Segregated ------Professional Turnover Port Mgrs. Analysts ------Professionals Gained MRQ 0 18 Pooled/Commingled ------2017 1 23 ------2016 2 10 Institutional MFs $172,500 $345,000 $517,500 $690,000 69 bps 69 bps 69 bps 69 bps Professionals Lost MRQ 0 3 2017 0 8 2016 1 14

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Page 47 PIMCO Inflation Response Multi-Asset - USA - SA - Composite - Inflation Response Multi-Asset Composite

Investment Strategy

Fund Background The Fund is intended for investors who prefer to have their asset allocation decisions made by professional investment managers. To that end, PIMCO uses a three-step approach in seeking to achieve the Fund’s investment objective which consists of 1) developing a target asset allocation (build the beta); 2) developing a series of relative value strategies designed to add value beyond the target allocation (add the alpha); and 3) utilizing hedging techniques to help manage risks (hedge the tails). PIMCO evaluates these three steps daily and adjusts its positioning accordingly.

By diversifying strategies, or relying on multiple sources of value, we seek to generate a solid track record with a high degree of consistency. We seek to add value through “top-down” asset allocation decisions driven by PIMCO’s global macroeconomic views, using a risk factor framework. These asset allocation “beta” decisions are implemented across a range of inflation-related assets in a manner that we feel best achieves PIMCO’s risk factor targets. We employ “bottom-up” relative value strategies driven by PIMCO’s deep expertise in each asset class. The strategies may include exploiting price dislocations among securities, as well as other structural inefficiencies within markets. The managers have the benefit of PIMCO’s analytical teams, which bring to bear specialized expertise across sectors, regions, industries and layers of the capital structure. These “alpha” strategies seek to add excess return beyond the asset allocation decisions. Additionally, “tail-risk” hedging strategies are incorporated and actively managed in an effort to further increase long-term return potential by seeking to limit losses from periodic market shocks. By combining these elements into a single asset allocation portfolio, we believe the Fund is able to offer investors a comprehensive solution that combines strategic exposure across inflation-related asset classes with a robust risk management return-seeking framework.

Screening Process

The investment process for the Fund builds off of the forward-looking views produced by PIMCO's secular and cyclical investment process. This process begins with PIMCO's three- to five-year secular outlook, which identifies key longer-term trends, risks and opportunities across the global economy. It is supplemented by PIMCO's cyclical outlook, which specifies a near-term forecast by assessing drivers and risks to economic growth and inflation in key regions globally. PIMCO's Investment Committee, comprised of senior portfolio managers and headed by PIMCO’s Chief Investment Officer and CIOs, then combines these top-down macro views with bottom-up inputs from the firm's sector and regional specialist portfolio management teams. The result is a series of forward-looking investment views regarding the attractiveness of key global risk factors.

As the PM Team refines views to drive allocations in IRMAF, it considers various qualitative and quantitative factors relating to the U.S. and non-U.S. economies, securities and commodities markets. These factors include projected growth trends in the U.S. and non-U.S. economies; forecasts for interest rates and the relationship between short- and long-term interest rates (yield curve); current and projected trends in inflation; relative valuation levels in the equity, fixed income, commodity and real estate markets and various segments within those markets; the outlook and projected growth of various industrial sectors; information relating to business cycles, borrowing needs and the cost of capital; political trends data relating to trade balances; and labor information. The Team uses these factors to help determine the Fund’s target asset allocation and to identify potentially attractive relative value and risk hedging strategies. PIMCO has the flexibility to reallocate the Fund’s assets based on its ongoing analyses of the global economy and financial markets. While these analyses are performed daily, material shifts in investment exposures typically take place over longer periods of time.

Portfolio Construction Methodology

The below information provides further details on how we approach investing in each strategic component of IRMAF:

In partnership with the Real Return PMs, the IRMAF team utilizes a number of tools to develop their active views in ILBs, including a library of ILB-specific models. These include top-down and bottom-up inflation models covering various regions, proprietary ILB pricing models, inflation swap and ILB asset swap pricing models and inflation seasonality models. Their views can generally be characterized as both top-down and bottom-up strategies as illustrated in the following figure. Top-down views primarily refer to global macroeconomic-based risk exposures. These include active management decisions regarding duration (real and nominal), curve positioning (real and nominal), break-even trades (real vs. nominal), country rotation, and currency weights. The second category is bottom-up, which refers to rigorous, sector-specific risk exposures or trades. Bottom-up strategies include inflation seasonality, inflation capture (inflation-driven price gains on short-maturity ILBs), real and nominal security selection, and additional sector allocation.

Bottom-up security selection is an important aspect of portfolio construction. An important resource for Real Return PMs is PIMCO’s staff of highly seasoned analysts who conduct independent security analysis. PIMCO also utilizes an extensive library of proprietary analytical software to help quantify risks and relative value in different securities. PIMCO’s Real Return portfolio managers employ a variety of proprietary models and actively monitor the global ILB markets and dealer activity to help identify and exploit security level inefficiencies as they occur, net of any transaction costs.

PIMCO adds a range of active commodity strategies – using fundamental and structural perspectives – that focus on relative dislocations across closely related commodities or contracts, utilizing all commodity sectors as our opportunity set. Specifically, we compare our research findings versus what is being priced into the commodity forward curves, with the goal of identifying instances where the market is under- or overvaluing a risk scenario.

Examples of relative value trades include: Calendar/Time spreads; Geographic arbitrage; Substitute commodities; Inputs versus products. In addition, we may at times take advantage of opportunistic dislocations in commodity volatility and put on incremental directional exposure to fade an outsized market reaction to a specific event.

The portfolio managers leverage both a risk premia valuation model for REITs, as well as fundamental real estate expertise to extract value within the REIT allocation. From a risk premium perspective, our tactical positioning in real estate is guided primarily by a model that compares the yield available on REIT investments (as measured by adjusted funds from operations, AFFO) relative to a buildup of appropriate risk exposures. From a fundamentals perspective, we start by evaluating richness/cheapness in the private real estate market and determining to what extent valuations are incorporated into REIT pricing, both at the sector and company level. In parallel, we look at how REITs are trading relative to the net asset value of the underlying properties. However, rather than simply relying on discounts/premiums, we conduct further analysis to determine whether dislocations are warranted. We look at the following factors: management’s capital allocation track record, balance sheet strategy, G&A loads, recurring cap-ex requirements, company and sector growth profiles and supply/demand dynamics, corporate governance, share liquidity. Furthermore, we incorporate a top-down perspective including cyclical and secular themes within each real estate sector including supply/demand dynamics, growth rates, occupancy levels and industry-specific variables. In combination, this analysis drives the formulation of views on the asset class, sectors and individual companies.

Within emerging market currencies, IRMAF’s tactical over/underweight decisions and alpha decisions are driven by our view of medium and long-term valuation of the currencies and temporal deviations from fundamentally justified levels. We use three basic tools in our EM currency analysis: Fundamentals, Short-Term Yields, and Technicals.

Given that exposure to three of the five strategic components of IRMAF – commodities, currency, and gold – primarily are expressed through derivative and forwards, we need to fully back these exposures with collateral. The collateral portion of the portfolio is managed as an active fixed income portfolio, with the goal of delivering the strategic characteristics of short-term fixed portfolio in a way that enhances total real returns.

RISK MANAGEMENT: PIMCO’s Portfolio Risk Management team enforces internal Investment Committee defined targets and limits, and partners with portfolio managers to provide analysis and insights on portfolio construction, stress tests, potential drawdowns and other market risks.

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Page 48

Buy/Sell Discipline

RISK MANAGEMENT (CONTINUED): Following each forum, the Investment Committee and CIOs establish the macro targets and limits for a subset of benchmark portfolios; each specialty portfolio team then works with the Portfolio Risk Management team to establish appropriate targets for their specific specialty portfolios that incorporate those targets and themes. Once each portfolio has been reviewed and approved by the Global Head of Portfolio Risk Management and the CIOs, the Portfolio Risk Management team enters the targets and limits into PIMCO’s risk factor reporting systems. From time to time, as market conditions and economic information changes, the Investment Committee and CIOs may change targets and positioning between forums. If this occurs, the Portfolio Risk Management team will work with the specialty desks to adjust targets and highlight positions that need to be adjusted to bring portfolios in line with the adjusted investment strategy.

Enhanced partnership between the Portfolio Risk Management team has been a more recent development under the direction of Group CIO Dan Ivascyn and Global Head of Portfolio Risk Management Bill De Leon. The goal of this enhanced partnership is for risk managers to move beyond the historic limits framework to gain a more advanced understanding of each portfolio manager’s approach to managing portfolios and generating alpha. In addition to the historic goals of controlling risk, ensuring consistency with PIMCO investment themes and ‘avoiding surprises,’ the Portfolio Risk Management team now seeks to offer high level insights on portfolio positioning and offer more actionable trade recommendations to optimize portfolio positioning and mitigate potential drawdowns. The focus on partnership extends beyond just the Portfolio Management group, as the Portfolio Risk Management team works in concert with other functional groups within the Analytics and Credit Research departments to help produce cross-functional reporting capabilities and to play to strengths within more than one area of expertise. For example, one or two dedicated risk managers have been assigned to each of the major strategy areas. These risk managers conduct detailed portfolio strategy reviews and generally meet with the portfolio management team weekly or bi-weekly to discuss positioning and to share insights. Expanded strategy risk reviews often include customized stress tests, additional scrutiny of relative value or sector specific trades, an analysis of portfolios betas and correlations to market factors, and drill downs into the drivers of realized return and volatility.

While PIMCO’s Portfolio Risk Management team is part of the broader portfolio management unit, it operates with a high degree of independence and autonomy. The Portfolio Risk Management team has a standing weekly slot to present to PIMCO’s Investment Committee. In this meeting, the Portfolio Risk Management team provides an update on portfolio manager adherence to the Investment Committee limits framework, tracking which portfolio managers deviated from the agreed upon ranges and how long it took to resolve such deviations. The Portfolio Risk Management team also utilizes this opportunity to highlight any potential concerns beyond the Investment Committee limits framework. These presentations can focus on top down broad market risks and scenarios, or bottom up trade, strategy, or sector specific concerns. In both cases, the Portfolio Risk Management team sets its own agenda for the meeting and conducts its own analysis. Additionally, the head of the Portfolio Risk Management team reports to the CEO and Group CIO. This dual reporting framework provides a mechanism designed to provide an additional level of independence and provides an avenue to escalate potential issues outside of the portfolio management team.

BUY/SELL DISCIPLINE: Buy and sell decisions are executed in order to optimize the risk/return and the relative value characteristics of the portfolio. For example, if a long maturity TIPS issue appreciates due to an anticipated flattening of the real yield curve, the position might be replaced with another one that offers better upside from that point forward (for example, a relatively cheaper issue across the U.S. TIPS curve or a comparable issue from a different country).

PIMCO does not have any systematic selling procedures. Securities are sold subject to portfolio manager discretion, while keeping portfolios directionally consistent with the Investment Committee’s themes. Current holdings are constantly re-evaluated for their relative attractiveness versus investments available in the marketplace.

It is important to note that the Fund’s investments are governed by its prospectus, Statement of Additional Information, and applicable laws and regulations.

Trading/Execution Strategy

At PIMCO, our goal is to keep transaction costs to a minimum through competitive execution on all trades. Trading costs are factored into all of our analysis to help ensure the potential benefit of each trade outweighs the costs.

We strive to execute all transactions on a competitive, best-effort basis. As one of the largest bond managers in the world, we feel that the spreads we leave with brokers are reasonable to compensate them for the risks they incur as principals on trades and for other services they provide, such as research. There are no explicit commissions on secondary market bond trades, which comprise the bulk of our activity. Bid/ask spreads typically reflect the liquidity of the item being traded as well as overall market volatility.

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Page 49 PIMCO Inflation Response Multi-Asset - USA - SA - Composite - Inflation Response Multi-Asset Composite

Investment Professionals Managing This Strategy

Michael Althof Yi Chian Chang

Current Position/Ownership Details Current Position/Ownership Details Title: Senior Vice President Title: Vice President Primary Role: Portfolio Manager Primary Role: Portfolio Manager Start Year Industry: 2004 Start Year Industry: 2008 Start Year Firm: 2004 Start Year Firm: 2011 Equity Owner: --- Equity Owner: --- Equity Ownership: --- Equity Ownership:

Educational History Educational History Undergraduate: Undergraduate: ------University of Pennsylvania

Post Graduate: Post Graduate: --- MIT Sloan School of Management MBA ------Prior Experience Prior Experience Firm Title Start Year End Year Firm Title Start Year End Year Singapore Armed Forces Plans Staff Officer ------Biography: Biography: Mr. Chang is a vice president and portfolio manager on the real return desk in the Mr. Althof is a senior vice president in the Munich office and a portfolio manager focusing Newport Beach office, focusing on commodities. Prior to joining PIMCO in 2011, he served on real return strategies. As a member of PIMCO's real return portfolio management as a combat officer in the Singapore Armed Forces, and subsequently as a staff officer in team, he helps manage European and global inflation-linked bond mandates and charge of long-term strategic plans. He was concurrently a member of the Singapore contributes to the management of commodity portfolios. Mr. Althof joined PIMCO in 2004. Administrative Service, responsible for national competition policy and local enterprise He has 13 years of investment experience and holds a master's degree from the Ecole development. He holds an MBA from the Sloan School of Business at the Massachusetts Supérieure de Commerce de Paris, with a focus on finance. He also holds a Certificate in Institute of Technology. He also holds a master's degree in economics from Yale University Quantitative Finance (CQF). and an undergraduate degree from the Wharton School at the University of Pennsylvania.

Nicholas Johnson Greg Sharenow

Current Position/Ownership Details Current Position/Ownership Details Title: Managing Director Title: Executive Vice President Primary Role: Portfolio Manager Primary Role: Portfolio Manager Start Year Industry: 2004 Start Year Industry: 1999 Start Year Firm: 2004 Start Year Firm: 2011 Equity Owner: --- Equity Owner: --- Equity Ownership: --- Equity Ownership: ---

Educational History Educational History Undergraduate: Undergraduate: ------B.S. Mathematical Northwestern University --- Methods and Post Graduate: Economics University of Chicago MS ------Post Graduate: --- Prior Experience ------Firm Title Start Year End Year ------Prior Experience ------Firm Title Start Year End Year Hess Energy Energy Trader --- 2011 Biography: ------Mr. Johnson is a managing director in the Newport Beach office and a portfolio manager focusing on commodity, quantitative and multi-asset strategies. He specializes in structural Biography: risk premiums as well as overall portfolio construction, and leads the quantitative strategies portfolio management group. In 2012 he co-authored “Intelligent Commodity Mr. Sharenow is an executive vice president in the Newport Beach office and a portfolio Indexing,” published by McGraw-Hill. Prior to joining PIMCO in 2004, he was a research manager focusing on real assets. Prior to joining PIMCO in 2011, he was an energy trader fellow at NASA's Jet Propulsion Laboratory, helping to develop Mars missions and new at Hess Energy Trading, Goldman Sachs, and DE Shaw. Mr. Sharenow was previously methods of autonomous navigation. He has 13 years of investment experience and holds senior energy economist at Goldman Sachs. He has 18 years of investment and financial a master’s degree in financial mathematics from the University of Chicago and an services experience and holds bachelor's degrees in mathematical methods in the social undergraduate degree from California Polytechnic State University. sciences and in economics from Northwestern University.

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Page 50 Mihir Worah

Current Position/Ownership Details Title: Managing Director, CIO Real Return & Asset Allocation Primary Role: Portfolio Manager Start Year Industry: 2000 Start Year Firm: 2001 Equity Owner: --- Equity Ownership: ---

Educational History Undergraduate: ------

Post Graduate: University of Chicago PhD ------

Prior Experience Firm Title Start Year End Year University of California, Berkeley ------

Biography:

Mr. Worah is CIO Asset Allocation and Real Return and a managing director in the Newport Beach office. He is a member of the Investment Committee and the Executive Committee, and oversees portfolio management for the U.S. He is a generalist portfolio manager who manages a variety of fixed income, commodity and multi-asset portfolios. Prior to joining PIMCO in 2001, he was a postdoctoral research associate at the University of California, Berkeley, and the Stanford Linear Accelerator Center, where he built models to explain the difference between matter and anti-matter. In 2012 he co-authored “Intelligent Commodity Indexing,” published by McGraw-Hill. He has 16 years of investment experience and holds a Ph.D. in theoretical physics from the University of Chicago.

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Page 51 FMR Corp. March 31, 2018 Displayed in: US Dollar (USD) Firm Headquarters: 245 Summer Street Key Facts Boston, Massachusetts 02210 Total Assets Under Management ($ Million): $2,459,235.3 Total Number of Accounts: 1 United States Number of Portfolio Managers: 187 Phone/Fax: 617.563.9934 / 508-490-5552 Number of Analysts: 379 Registered Investment Advisor: Yes % Employee Owned: 51.00 % Year Firm Founded: 1946 Firm Website: www.fidelity.com

Contact Information

Marketing Contact: Dave Burt Database Contact: FIAM Consultant Support Title: Director of Sales / Business Development Title: n/a Address: 200 Seaport Blvd, V7D Address: 245 Summer Street City, State, Zip Code: Boston, Massachusetts 02210 City, State, Zip Code: Boston, Massachusetts 02210 Country: United States Country: United States Phone/Fax: (617) 563-9640 / Phone/Fax: 617.563.9934 / Email Address: [email protected] Email Address: [email protected]

Asset & Account Information

Current Totals Assets ($ Mil) Accounts Historical Assets($ Million) Prior QTR YE 2017 YE 2016 Total in Firm $2,459,235.3 1 Total Firmwide $2,448,802.1 $2,448,802.1 $2,130,798.4 Total Taxable $2,459,235.3 1 Total Taxable $2,448,802.1 $2,448,802.1 $2,130,798.4 Total Tax-Exempt $0.0 0 Total Tax-Exempt $0.0 $0.0 $0.0 Total Institutional $2,459,235.3 1 Total Institutional $2,448,802.1 $2,448,802.1 $2,130,798.4 Accts Gained Number ($ Million) % Firm Assets Assets By Geographic Region & Client Domicile Assets ($ Million) Current Quarter 0 $0.0 0.0 % United States $2,459,235.3 2017 0 $0.0 0.0 % Canada $0.0 2016 0 $0.0 0.0 % United Kingdom $0.0 Accts Lost Number ($ Million) % Firm Assets Europe ex-UK $0.0 Current Quarter 0 $0.0 0.0 % - Denmark $0.0 2017 0 $0.0 0.0 % - Eastern Europe $0.0 2016 0 $0.0 0.0 % - Finland $0.0 - France $0.0 Assets By Type Equity Fixed Inc. Balanced Alts Other - Germany $0.0 United States $1,008,839.3 $394,329.9 $34,837.0 $0.0 $517,980.6 - Italy $0.0 Canada $42,973.2 $24,799.5 $3,678.2 $0.0 $905.1 - Netherlands $0.0 United Kingdom $835.4 $0.0 $0.0 $0.0 $0.0 - Norway $0.0 Europe ex-UK $490.1 $5,018.4 $0.0 $0.0 $221.9 - Spain $0.0 Australia $0.0 $0.0 $0.0 $0.0 $0.0 - Sweden $0.0 Japan $8,009.1 $8,595.4 $683.8 $0.0 $0.0 - Switzerland $0.0 Hong Kong $0.0 $0.0 $0.0 $0.0 $0.0 - Other Europe $0.0 Singapore $0.0 $0.0 $0.0 $0.0 $0.0 Japan $0.0 Other Asia ex-Japan $0.0 $0.0 $0.0 $0.0 $0.0 Australia $0.0 China $0.0 $0.0 $0.0 $0.0 $0.0 Hong Kong $0.0 Latin America $0.0 $0.0 $0.0 $0.0 $0.0 Singapore $0.0 Africa/Middle East $0.0 $0.0 $0.0 $0.0 $0.0 Other Asia ex-Japan $0.0 Developed Intl Mkts Africa/Middle East $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 (EAFE) Latin America $0.0 Global $329,760.5 $2,333.5 $74,938.4 $0.0 $6.1 Other $0.0 Emerging Markets $0.0 $0.0 $0.0 $0.0 $0.0 5 Largest Accounts Aggregate ($ Mil) Other $0.0 $0.0 $0.0 $0.0 $0.0 1) --- $--- 2) --- $--- 3) --- $--- 4) --- $--- 5) --- $---

Ownership Information GIPS Compliance & Insurance Information

% Employee Owned 51.0% GIPS Standards Compliant? No Effective Date --- % Parent Owned 0.0% Performance Audited: No Effective Date --- % Publicly Held 0.0% Errors & Omissions Insurance: Yes Coverage ($ Mil) $100.00 Total Minority/Female Ownership --- Fiduciary Liability Insurance: Yes Coverage ($ Mil) $100.00 Firm Bonded: Yes Coverage ($ Mil) $100.00

Firm Background Narratives

The seeds of Fidelity's corporate history were sown as far back as 1930 when a small fund - called the Fidelity Fund - was started by a group of Boston investors. By 1943, Fidelity Fund had not made significant inroads in the industry, and the president resigned. Edward Crosby Johnson 2d was elected to take over as president and director. Under Mr. Johnson's management, and infused with some family trust funds, the fund would grow, to the satisfaction of its shareholders. In fact, the fund's assets grew from $3 million at the time of his arrival to $10 million two years later. In 1946, Fidelity Management & Research Company (FMRCo) was formed by Mr. Johnson to serve as investment advisor to Fidelity Fund.

Since our founding in 1946, Fidelity Investments has been known for our professional money management and comprehensive client services. Fidelity Investments is one of the world’s largest providers of financial services. In 1977, Edward C. Johnson 3d became Chairman and Chief Executive Officer of FMRCo, succeeding his father, Edward C. Johnson 2d. In 2014, Abigail P. Johnson, daughter of Edward

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Page 52 3d, was named Chief Executive Officer of FMR. In 2016, Edward C. Johnson 3d retired as Chairman of FMR LLC, Fidelity’s parent company. Abigail P. Johnson, Chief Executive Officer of Fidelity, assumed the role of Chairman of FMR LLC, with responsibility for the management of all FMR LLC businesses, including Fidelity Financial Services and Fidelity’s other diversified businesses and investments.

Fidelity is a privately held company, with its stock entirely owned by employees and members of the Johnson family. Each stockholder not only has an interest in the company's success, but also has an ability to contribute to that achievement.

Headquartered in Boston, Massachusetts, Fidelity employs over 40,000 people with several regional centers across the United States and Canada, including: Albuquerque, NM; Cincinnati, OH/Covington, KY; Dallas, TX; Denver, Co; North Carolina; Merrimack, NH; New York/New Jersey; Salt Lake City, UT; Smithfield, RI; Jacksonville, FL and Toronto, Canada.

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Page 53 FMR Corp. March 31, 2018 Displayed in: US Dollar (USD) Fidelity Strategic Real Return Fund - USA - PF - SEC-Registered 1940 Act Mutual Fund - Fidelity Strategic Real Return Fund Product Snapshot

Asset Class: United States-Balanced/Multi-Asset Key Facts Primary Universe: eVestment US Balanced Primary Capitalization: All Cap Primary Style Emphasis: Core Marketing Contact: Dave Burt Preferred Benchmark: Bloomberg Barclays US TIPS Title: Director of Sales / Business Development Total Product Assets: $624.1 Phone/Fax: (617) 563-9640 / Total Product Accounts: 1 Product Offered As: PF Email Address: [email protected] Investment Focus: Tactical Asset Allocation

Asset & Account Information

Current Totals Assets ($ Million) Accounts Assets by Vehicle Type Assets ($ Million) Total in Product $624.1 1 Separate/Segregated Assets $0.0 Total Taxable $624.1 1 Pooled/Commingled Assets $0.0 Total Tax-Exempt $0.0 0 Mutual Fund/Institutional Assets $624.1 Total Institutional $624.1 1 Mutual Fund/Retail Assets $0.0

Portfolio Characteristics

Strategy Snapshot Equity Portfolio Information Fixed Income Portfolio Information Equity Capitalization: All Cap Current Number Of Holdings: --- Current Number of Issues: 825 Equity Style Emphasis: Core Current Dividend Yield: --- Modified Duration (Years): --- Fixed Income Style Emphasis: Core/Aggregate Current P/E (12-mo Trailing): --- Average Quality Issue: --- Fixed Income Duration Emphasis: Core/All Durations Current P/B (12-mo Trailing): --- Minimum Quality Issue: --- Preferred Benchmark: Bloomberg Barclays US TIPS 5 Year ROE: --- US Markets Governments/Sovereigns: --- Current Cash Position: 2.6 % Earnings Growth (Past 5 Yrs): --- US Inv. Grade Corporates: --- Annual Equity Turnover (LTM): --- Weighted Avg. Mkt Cap (Mil): $0 US High Yield Grade Corporates: --- Annual Fixed Income Turnover (LTM): 24 % Median Market Cap (Mil): $0 US Non-Agency ABS/MBS: ---

Performance Information

Track Record (2 Available): USA - PF - SEC-Registered 1940 Act Mutual Fund - Fidelity Strategic Real Return Fund - Net of Fees Risk Index: Bloomberg Barclays US TIPS Frequency: Quarterly Risk-Free Index: Citigroup 3-Month T-Bill

Returns Trailing Periods Product Benchmark Excess Std Dev Alpha Beta Trk Error Info Ratio Sharpe Ratio 1 Year 2.67 0.92 1.75 2.80 1.36 1.42 0.84 2.09 0.57 2 Year 4.80 1.20 3.60 3.83 3.90 0.76 3.25 1.11 1.07 3 Year 1.37 1.30 0.06 5.02 0.32 0.85 4.00 0.02 0.17 4 Year 0.28 1.75 -1.47 5.01 -1.21 0.89 3.70 -0.40 -0.02 5 Year 0.25 0.05 0.20 5.31 0.26 0.78 3.79 0.05 -0.01 6 Year 1.32 0.97 0.36 5.21 0.62 0.77 3.85 0.09 0.20 7 Year 1.32 2.50 -1.18 5.55 0.10 0.52 5.45 -0.22 0.19 8 Year 3.04 3.16 -0.12 6.10 1.63 0.48 6.16 -0.02 0.46 9 Year 5.95 3.49 2.46 7.66 4.11 0.58 7.45 0.33 0.75 10 Year 2.19 2.93 -0.73 10.68 -0.10 0.95 9.57 -0.08 0.18 Since Inception (12/2005) 2.61 3.70 -1.09 9.60 0.19 0.76 8.86 -0.12 0.15

Calendar Years MRQ YTD 2017 2016 2015 2014 2013 2012 2011 Product Returns: -0.79 -0.79 4.08 9.09 -7.43 1.11 -2.16 8.19 1.69 Benchmark Returns: -0.79 -0.79 3.01 4.69 -1.44 3.64 -8.61 6.98 13.56 Excess Returns: 0.00 0.00 1.07 4.40 -5.99 -2.53 6.45 1.20 -11.87

Fee Information Professional Information

Vehicle Type Available Min. Size($ Mil) Minimum Fee Separate/Segregated Not Available ------Team Description No. Avg. Yrs. Exp. Avg. Yrs. @ Firm Pooled/Commingled Not Available ------Portfolio Managers: 6 24 22 Institutional MFs Open ------Research Analysts: 53 16 10 Traders: 28 20 13 Risk Portfolio/Monitoring: 0 0 0 Fees By Acct. Size $25M $50M $75M $100M Separate/Segregated ------Professional Turnover Port Mgrs. Analysts ------Professionals Gained MRQ 1 1 Pooled/Commingled ------2017 1 2 ------2016 0 2 Institutional MFs $200,000 $400,000 $600,000 $800,000 80 bps 80 bps 80 bps 80 bps Professionals Lost MRQ 1 4 2017 1 1 2016 0 1

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Page 54 FMR Corp. Fidelity Strategic Real Return Fund - USA - PF - SEC-Registered 1940 Act Mutual Fund - Fidelity Strategic Real Return Fund

Investment Strategy

The fund is an active inflation sensitive investment strategy providing disciplined risk-efficient diversification. We view the diversified combination of the fund’s asset classes as a more effective way to mitigate inflation risk than owning any one of these asset classes alone. Treasury inflation protected securities are part of the inflation solution, but not the sole answer. We employ disciplined, controlled asset allocation and careful security selection in order to maximize return per unit of risk.

In order to provide diversification, contain volatility and protect returns from inflation, the fund’s assets are allocated among four general categories: inflation-protected debt securities, floating rate loans, commodity-linked notes and related investments, and REITs and other real estate related investments.

The strategic asset allocation for the fund was selected based on an analysis of the historical performances and characteristics of various targeted asset classes. Specifically, different combinations of commodities, treasury inflation protected notes (TIPS), floating rate bank debt and real estate were compared for a period of over 30 years — both in terms of risk and real returns. The most efficient combinations were identified in terms of the returns per unit of risk over a 30-year period as well as other sub-periods. The optimal benchmark was then chosen to represent a mix of the relevant asset classes, achieving diversification of risks while maintaining a reasonable level of real return. In addition, the optimization of the portfolio strives to be multi-dimensional, beyond maximizing return per unit of risk, the portfolio attempts to maximize its correlation to measures like realized current inflation (CPI) and expected inflation (TIPs breakeven rates). These analyses work to produce an allocation that is optimized along multiple metrics including risk, return, and relationships to different inflation measures. The asset allocation neutral mix is 30% TIPS, 25% commodities, 25% floating rate bank debt, and 20% real estate related securities.

Screening Process

The fund will add value first through the security selection of the underlying sub-portfolio managers and secondly through the asset allocation decisions made by Adam Kramer and Ford O’Neil. Underlying investment decisions within each sub-portfolio are made by the corresponding sub-portfolio managers after extensive fundamental analysis and dialogue with Fidelity’s research teams. Co-lead portfolio managers Adam and Ford are responsible for top-down asset allocation decisions and will typically maintain strategic allocation weights within 5%–10% of the neutral asset allocation mix. The asset allocation is evaluated constantly. Asset Allocation Process

The fund portfolio co-managers, Adam Kramer and Ford O’Neil, participate in and use research from across the complex in addition to their portfolio management responsibilities to assist in the asset allocation decision making process for the fund. As part of this, the co-portfolio managers have access to Fidelity’s vast fundamental research platform as well as quantitative and asset allocation research resources. The portfolio management team follows a large number of economic and market signals in the asset allocation process. Filtering this data and reconciling opposing inputs is a key part of the process. Macro, quantitative, and fundamental tools are used in this filtering process: First, the fund portfolio managers rely on the sub-portfolio managers and the fundamental research teams that support each of them. The conviction levels that our sub-portfolio managers provide on their markets are invaluable inputs to the asset allocation process. The co-fund portfolio managers are in constant dialogue with the sub-portfolio managers. Fundamental analyst research is also part of our process.

The top-down view is built by using bottom-up inputs. Fidelity has deep access and insights into the companies in which we invest. Some of the largest market movers in the world come to our offices in Boston and we have the opportunity to sit-down with them face-to-face and get their take on the economy. Portfolio managers may also travel globally to gain further insights. Our bottom-up perspectives are part of the investment “mosaic” and can be vital to the formation of our macro view. Third party research is also a complement to our proprietary research.

Second, Fidelity has a Global Asset Allocation Committee and a U.S. Asset Allocation Committee comprised of portfolio managers in our various regions around the world who regularly discuss their relative views on global markets and asset classes. There is an output recommendation, but the fund portfolio managers are not bound by these recommendations.

Finally, in order to conduct asset allocation, we use models from our quantitative analysts to highlight drivers that have explanatory power in the returns for these asset classes. We also have a technical team that complements our fundamental research and can be useful in signaling tops and bottoms, and entry and exit points for the timing of trades. It is also important to note, we have a chief economist, Lisa Emsbo-Mattingly. Lisa and her team supply econometric models as additional inputs into the fund’s asset allocation process. Her team includes an inflation analyst, a business cycle analyst, secular analyst, a tactical analyst, and a quantitative analyst. Finally, although the co-portfolio managers leverage data and research from various sources, they serve as inputs to assist the asset allocation process, and are not the final arbiter of asset allocation decisions. The quantitative data from various sources and models are also inputs to the asset allocation process.

Adam and Ford are the final filter for all asset allocation research and data, and how it is used in making asset allocation decisions for the fund. The sub portfolio managers make security selection decisions for their respective portfolios. If the team is not convinced of an investment thesis, then the fund would remain neutral. Once an asset allocation thesis has been formulated, it is implemented through gradual asset allocation shifts when market inefficiencies are detected.

Portfolio Construction Methodology

The Index is a hypothetical representation of the performance of the fund's unmanaged indices. The Index combines the total returns of the Bloomberg Commodity Index Total Return (25% weighting), the S&P/LSTA Leveraged Performing Loan Index (25%), the Bloomberg Barclays Capital U.S. TIPS Index (30%), the Dow Jones U.S. Select Real Estate Securities Index(12%), Merrill Lynch U.S. Real Estate Corporate Bond Index (8%). Co-portfolio managers Adam Kramer and Ford O’Neil are typically responsible for top down asset allocation decisions and will typically maintain strategic allocation weights within 5%–10% of the neutral asset allocation mix described above. The strategy may be in a neutral position versus the target allocations up to 50% of the time. In order to maintain a consistent risk profile, clients will not see large asset allocation shifts.

In addition, risk control is central to our investment process with a keen focus overall volatility, averaging around 8% since inception. The co-portfolio managers control risk with measured allocation changes while the sub-portfolio managers control risk at the security level.

We do not target a particular level of tracking error, however we do monitor tracking error and other aggregated risk factors relative to the benchmark. Risk management is an integral part of our approach to active management. We have dedicated significant resources to this effort and have developed an in depth, multi-step process for managing portfolio risk factors. This process has three distinct phases:

• Ex-Ante • Continuous • Ex-Post

In the Ex-Ante phase, the effort is focused on setting risk parameters for a given portfolio. Before any investments are made, it is critically important to understand and define the guidelines within which the portfolio manager will operate. Ultimately, portfolio risk can only be measured and understood once the fund’s objective and limitations for achieving that objective are defined.

On-going monitoring of risk exposures occurs within the Continuous phase of the process. Building off the documentation from the ex-ante phase, the portfolio manager constructs the portfolio with securities in weightings deemed appropriate for delivering expected portfolio alpha. Various groups within the organization provide the portfolio manager with feedback on the suitability of the portfolio’s risks as well as the likelihood of success under various scenarios.

Examination of portfolio results occurs in the Ex-Post phase. At this point in the process, a full review of investment performance is conducted to determine how closely the results came to expectations. Management provides feedback and suggestions for further improving the process. Additionally, the portfolio manager is able to reflect upon and critique the results of his thought process behind the investment choices made.

While the fund’s risk management process is neatly divided among these distinct phases, in practice elements of each stage are intertwined and occur constantly throughout the portfolio management process. This is further confirmation that risk management is fully embedded in portfolio management at Fidelity.

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Buy/Sell Discipline

Each sub portfolio requires its own independent buying and selling discipline. Below is a sampling of the factors and thought processes that influence our sell recommendations. Investment decisions are not made by a team or committee. After extensive dialogue with the research analysts, the portfolio co-managers have the final decision for critical investment decision making such as buy and sell security selections and portfolio construction.

• High Yield issues that either demonstrate deteriorating credit fundamentals or reach unattractive relative valuation levels will become sell candidates. We will not hold corporate issues that we believe are deteriorating fundamentally regardless of the yield advantage they might offer.

• Mortgage issues will be sold when specific prepayment characteristics become unattractive or when alternative mortgage issues offer more attractive relative valuations.

• Treasury issues are sold based on relative value decisions driven by output from our term structure model, market technicals, and other qualitative factors.

• Emerging Market Debt and Global Bond securities are sold based on country fundamentals (top-down) and bottom-up security selection supported by fundamental and quantitative analysis.

Trading/Execution Strategy

Fidelity has a state-of-the-art, global trading operation with synchronized desks in Boston, London, and Hong Kong. These desks are connected through a global trading system that allows Fidelity to deliver to its clients 24-hour trading capabilities in local markets.

When selecting a broker or dealer for a specific securities transaction, FMR or its affiliates evaluate a variety of criteria and use good faith judgment in seeking to obtain execution of portfolio securities transactions at commissions or costs that are reasonable in relation to the brokerage and research services provided.

In selecting securities brokers, including affiliates of FMR, to execute client portfolio securities transactions, FMR or its affiliates consider the factors they deem relevant in the context of a particular trade and in regard to FMR’s or its affiliates’ overall responsibilities with respect to the fund and other investment accounts, including any instructions from the client’s portfolio manager, which may emphasize, for example, speed of execution over other factors. Based on the factors considered, FMR may choose to execute an order using electronic communications networks (ECNs), including algorithmic trading, crossing networks, direct market access and program trading, or by actively working an order. Other possibly relevant factors may include, but are not limited to, the following: price; the size and type of the securities transaction; the reasonableness of compensation to be paid, including spreads and commission rates; the speed and certainty of trade executions, including broker willingness to commit capital; the nature and characteristics of the markets for the security to be purchased or sold, including the degree of specialization of the broker in such markets or securities; the availability of liquidity in the security, including the liquidity and depth afforded by a market center or market-maker; the reliability of a market center or broker; the broker’s overall trading relationship with FMR or its affiliates; the trader’s assessment of whether and how closely the broker likely will follow the trader’s instructions to the broker; the degree of anonymity that a particular broker or market can provide; the potential for avoiding or lessening market impact; the execution services rendered on a continuing basis; the execution efficiency, settlement capability, and financial condition of the broker or dealer; arrangements for payment of fund expenses, if applicable; and the provision of additional brokerage and research products and services, if applicable

On a semi-annual basis, Equity Trading management presents to a trade oversight committee who is charged with oversight of the implementation of the policies and procedures and corresponding fiduciary supervision necessary for the internal and external trading desks.

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Page 56 FMR Corp. Fidelity Strategic Real Return Fund - USA - PF - SEC-Registered 1940 Act Mutual Fund - Fidelity Strategic Real Return Fund

Investment Professionals Managing This Strategy

Franco Castagliuolo Sean Corcoran

Current Position/Ownership Details Current Position/Ownership Details Title: CFA, Portfolio Manager Title: CFA, Portfolio Manager Primary Role: Portfolio Manager Primary Role: Portfolio Manager Start Year Industry: 1997 Start Year Industry: 2002 Start Year Firm: 1997 Start Year Firm: 2002 Equity Owner: --- Equity Owner: --- Equity Ownership: --- Equity Ownership: ---

Educational History Educational History Undergraduate: Undergraduate: Bryant University ------

Post Graduate: Post Graduate: ------

Prior Experience Prior Experience Firm Title Start Year End Year Firm Title Start Year End Year ------

Biography: Biography:

------

Adam Kramer Ford O'Neil

Current Position/Ownership Details Current Position/Ownership Details Title: Portfolio manager Title: Portfolio Manager Primary Role: --- Primary Role: Portfolio Manager Start Year Industry: Start Year Industry: 1985 Start Year Firm: Start Year Firm: 1990 Equity Owner: --- Equity Owner: --- Equity Ownership: --- Equity Ownership: ---

Educational History Educational History Undergraduate: Undergraduate: Harvard Government 1985 Post Graduate: Post Graduate: Finance and Wharton 1990 Accounting Prior Experience --- Firm Title Start Year End Year

Prior Experience

Firm Title Start Year End Year Advest, Inc Investment Banking Associate 1985 1988 Biography: ------

Biography:

Please contact us for current biography.

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Page 57 Mark Snyderman Samuel Wald

Current Position/Ownership Details Current Position/Ownership Details Title: CFA, Portfolio Manager Title: CFA, Portfolio Manager Primary Role: Portfolio Manager Primary Role: Portfolio Manager Start Year Industry: 1979 Start Year Industry: 1996 Start Year Firm: 1994 Start Year Firm: 1996 Equity Owner: --- Equity Owner: --- Equity Ownership: Equity Ownership: ---

Educational History Educational History Undergraduate: Undergraduate: Dartmouth College BS - Chemistry 1979 ------

Post Graduate: Post Graduate: Stanford University MBA 1983 ------Prior Experience Firm Title Start Year End Year Prior Experience Firm Title Start Year End Year ------Biography: Biography: Please contact us for current biography. Samuel J. Wald, CFA Portfolio Manager Sam Wald is a portfolio manager at Fidelity Management & Research Company (FMRCo), the investment advisor for Fidelity’s family of mutual funds. Fidelity Investments is a leading provider of investment management, retirement planning, portfolio guidance, brokerage, benefits outsourcing and other financial products and services to more than 20 million individuals, institutions and financial intermediaries. In this role, he manages Fidelity Advisor Real Estate Fund, VIP Real Estate Portfolio, Fidelity Series Real Estate Equity Fund, Pyramis US Institutional REIT Pool, and an institutional separate account. He also manages the real estate investment trust (REIT) subportfolios of Fidelity Strategic Dividend and Income Fund, the real estate equities subportfolio of Fidelity Strategic Real Return Fund, the Real Estate subportfolio of Stock Selector Mid Cap Fund, and the REIT subportfolio of Fidelity Canada- US Monthly Income Fund. Prior to assuming his current position in 2004, Sam held various other positions at FMRCo, including that of research analyst and research associate in the Equity Research division following real estate, REITs and specialty and generic pharmaceuticals stocks. He has been in the investments industry since joining Fidelity in 1996. Sam earned his bachelor of science degree in finance, magna cum laude, from Yeshiva University. He is a Chartered Financial Analyst (CFA) charterholder, and is also published in the Fall 2013 Journal of Portfolio Management with his paper titled "Searching for a Common Factor in Public and Private Real Estate Returns."

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Page 58 PIMCO March 31, 2018 Displayed in: US Dollar (USD) All Asset Strategy - USA - PF - SEC-Registered 1940 Act Mutual Fund - PIMCO All Asset Fund Product Snapshot

Asset Class: Global-Balanced/Multi-Asset Key Facts Primary Universe: eVestment Global Tactical Asset Allocation - Unhedged Primary Capitalization: All Cap Primary Style Emphasis: Enhanced Index Marketing Contact: Michael Saracco Preferred Benchmark: Bloomberg Barclays US TIPS 1-10 Yr Title: Vice President, Account Manager Total Product Assets: $28,605.4 Phone/Fax: 949-720-7848 / Total Product Accounts: 6 Product Offered As: PF Email Address: [email protected] Investment Focus: Tactical Asset Allocation

Asset & Account Information

Current Totals Assets ($ Million) Accounts Assets by Vehicle Type Assets ($ Million) Total in Product $28,605.4 6 Separate/Segregated Assets $0.0 Total Taxable $28,605.4 4 Pooled/Commingled Assets $0.0 Total Tax-Exempt $0.0 2 Mutual Fund/Institutional Assets $24,200.7 Total Institutional $24,200.7 6 Mutual Fund/Retail Assets $4,404.6

Portfolio Characteristics

Strategy Snapshot Characteristics (Equity/Fixed Income) Key Country Allocations Equity Capitalization: All Cap Current Number Of Holdings: --- France: -0.93 % Equity Style Emphasis: Enhanced Index Current P/E (12-mo Trailing): --- Germany: 5.38 % Fixed Income Style Emphasis: Core Plus Weighted Avg. Mkt Cap (Mil): $0 Japan: 5.68 % Fixed Income Duration Emphasis: Core/All Durations Median Market Cap (Mil): $0 Netherlands: 0.82 % Preferred Benchmark: Bloomberg Barclays US TIPS 1-10 Yr Average Quality Issue: A Switzerland: 1.12 % Current Cash Position: --- Dev. Markets Governments/Sovereigns: --- United Kingdom: 1.52 % Equity Approach Towards Currency Hedging: --- Dev. Markets Corporates: --- United States: 68.41 % % Max Allowed In Emerging Markets: --- Dev. Markets Non-Agency ABS/MBS: --- Emerging Markets 38.33 %

Performance Information

Track Record (2 Available): USA - PF - SEC-Registered 1940 Act Mutual Fund - PIMCO All Asset Fund - Net of Fees Risk Index: Bloomberg Barclays US TIPS 1-10 Yr Frequency: Quarterly Risk-Free Index: Citigroup 3-Month T-Bill

Returns Trailing Periods Product Benchmark Excess Std Dev Alpha Beta Trk Error Info Ratio Sharpe Ratio 1 Year 8.78 0.43 8.35 2.78 7.85 2.07 1.83 4.56 2.77 2 Year 10.97 0.94 10.03 3.79 9.08 1.91 2.16 4.64 2.71 3 Year 5.71 1.24 4.47 7.53 3.49 1.91 6.07 0.74 0.69 4 Year 3.89 1.20 2.69 7.34 1.95 1.74 5.58 0.48 0.48 5 Year 3.55 -0.06 3.61 7.02 3.78 1.30 5.07 0.71 0.46 6 Year 4.55 0.59 3.95 6.84 3.89 1.32 5.05 0.78 0.62 7 Year 4.66 1.61 3.05 7.32 2.97 1.15 6.08 0.50 0.60 8 Year 5.83 2.25 3.58 7.16 3.30 1.18 5.87 0.61 0.78 9 Year 8.24 2.73 5.51 8.12 4.89 1.27 6.91 0.80 0.99 10 Year 5.29 2.22 3.07 8.99 3.01 1.13 7.61 0.40 0.55 Since Inception (12/2002) 6.90 3.68 3.22 7.88 3.58 0.94 6.76 0.48 0.72

Calendar Years MRQ YTD 2017 2016 2015 2014 2013 2012 2011 Product Returns: 0.27 0.27 13.99 13.34 -8.71 0.79 0.76 15.45 2.47 Benchmark Returns: -0.40 -0.40 1.90 4.01 -0.52 0.91 -5.59 5.04 8.93 Excess Returns: 0.67 0.67 12.10 9.33 -8.20 -0.12 6.35 10.41 -6.46

Fee Information Professional Information

Vehicle Type Available Min. Size($ Mil) Minimum Fee Separate/Segregated Not Available ------Team Description No. Avg. Yrs. Exp. Avg. Yrs. @ Firm Pooled/Commingled Open ------Portfolio Managers: 2 37 11 Institutional MFs Open $1 --- Research Analysts: 148 13 6 Traders: 0 0 0 Risk Portfolio/Monitoring: 0 0 0 Fees By Acct. Size $25M $50M $75M $100M Separate/Segregated ------Professional Turnover Port Mgrs. Analysts ------Professionals Gained MRQ 0 18 Pooled/Commingled ------2017 0 26 ------2016 0 10 Institutional MFs $216,250 $432,500 $648,750 $865,000 87 bps 87 bps 87 bps 87 bps Professionals Lost MRQ 0 3 2017 0 9 2016 0 14

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Page 59 PIMCO All Asset Strategy - USA - PF - SEC-Registered 1940 Act Mutual Fund - PIMCO All Asset Fund

Investment Strategy

The PIMCO All Asset Strategy is a real return-oriented, global tactical asset allocation strategy that seeks to provide three concurrent investor benefits: inflation protection, diversification and compelling long-term returns. Specifically, the All Asset Strategy has a primary benchmark of the Barclays U.S. TIPS 1-10 Year Index and a secondary benchmark of the Consumer Price Index (CPI) + 5%.PIMCO believes that this secondary benchmark reflects the Fund’s long-term investment strategy more accurately than the Barclays U.S. TIPS 1-10 Year Index. As a result, the Strategy may be an attractive solution for investors seeking returns that track and meaningfully exceed inflation in a manner that also helps diversify equity risk.

In efforts to achieve this goal, the All Asset Strategy invests across a broad spectrum of underlying strategies, which cover global bonds, global equities, real estate and commodities. The percentage allocation to each underlying strategy is actively managed and changes over time based on changing relative value, subject to certain investment guidelines and in a manner consistent with the long-term volatility level of the Strategy. This tactical asset allocation process is managed by the Strategy’s sub-advisor, Research Affiliates, LLC (“RA”). RA was founded by Robert Arnott and brings significant investment experience, research expertise and technology infrastructure. Collectively this helps RA to effectively manage and add value through the tactical asset allocation component of the All Asset Strategy.

Each underlying strategy is also actively managed by PIMCO in an effort to provide additional return potential. Specifically, each underlying strategy is managed by a dedicated specialty portfolio manager from PIMCO, with the goal of outperforming that strategy’s respective benchmark. The PIMCO All Asset Strategy is offered as a mutual fund of funds; it gains exposure to the range of underlying strategies by investing in institutional shares of other PIMCO mutual funds.

In summary, the All Asset Strategy offers the potential for high real returns at modest total volatility levels by combining three key return drivers: 1) Access to a broad opportunity set: All Asset has access to a wide range of traditional and alternative underlying strategies covering a breadth of global asset classes. 2) Value-added from within each strategy: PIMCO actively manages each underlying strategy versus its own benchmark in an effort to enhance returns. 3) Value-added from tactical asset allocation: RA manages the mix of exposures across the broad list of underlying strategies in an effort to achieve maximum real returns consistent with real-capital preservation and prudent investment management.

Screening Process

Research Affiliates, LLC ("RA") is primarily responsible for performing the asset allocation research and related activities that drive the selection of the underlying strategies, and by extension, the asset allocation mix. RA has developed a range of allocation models which embed its investment philosophy and provide discipline to the investment process. There is also a final subjective component that compliments the model-driven segments. This five step investment process is described below:

1. Assess the long-term real return potential of each underlying strategy/asset class. The sub-advisor quantifies the implied real yield of each asset class, plus anticipated growth in that yield. This provides a basis of a long-term real return expectation in each asset class, absent any valuation changes.

2. Assess the potential value added by PIMCO specialty portfolio managers in each underlying strategy. The sub-advisor quantifies the alpha expectation of each portfolio manager within each underlying strategy, based in part on the consistency and level of historical alpha. Positive alpha effectively adds to the implied real yield of each asset class, increasing the long-term return expectation.

3. Assess current valuation levels for each strategy/asset class. The sub-advisor quantifies the level of risk premium of each asset class in an effort to predict likely price changes that may add to or detract from the implied real yield. The risk premium of each asset class is compared to its own historical levels and to the present levels of other assets classes.

4. Consider the stage of the business cycle and other technical factors. The sub-advisor considers how the behavior of asset classes changes across different stages of the business cycle. Lead, lag, trend and reversal relationships that are prevalent in some asset classes are also considered, though with reduced significance.

5. Subjectively assess, “What are the models missing?” Experts at PIMCO and Research Affiliates possess an uncommon depth and breadth of experience within various asset classes. Formally once a month, and informally throughout the month as required, key personnel at both firms engage in substantive dialogue to assess what is going on in global economies or markets that may impact returns but that the models would be unable to detect. Examples include geopolitical conflicts, reduced liquidity in a sector or regulatory driven investment trends. These assessments are used to adjust allocations around the model outputs.

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Portfolio Construction Methodology

The All Asset Strategy is comprised of a mix of underlying strategies spanning global equities, global bonds, real estate and commodities. The mix changes over time as relative value shifts but remains consistent with the goals of maximizing real returns subject to modest long-term volatility, and subject to certain investment guidelines. A summary of those key guidelines is below:

All Asset Strategy Maximum invested in a single strategy not normally to exceed: 50% Maximum invested in equity strategies combined not normally to exceed: 50% Maximum invested in inflation-related strategies combined not normally to exceed: 75% No shorting; investments are long-only exposures No leverage permitted

In addition, PIMCO also offers the All Asset All Authority Strategy, which seeks a higher long-term return of CPI + 6.5% with modestly higher volatility. Key guidelines for the All Asset All Authority Strategy are below:

All Asset All Authority Strategy Maximum invested in a single strategy not normally to exceed: 50% Maximum invested in domestic equity strategies combined not normally to exceed: 50% Maximum invested in international equity strategies combined not normally to exceed: 33 1/3% Maximum invested in combined investments in equity strategies not normally to exceed: 66 2/3% Maximum invested in inflation-related strategies combined not normally to exceed: 75% Maximum allowed in the Short S&P 500 Strategy not normally to exceed: 20% Leverage permitted up to 33 1/3% of gross assets

PIMCO is responsible for the management of all the underlying strategies used within the All Asset Strategy. The underlying strategies employ PIMCO’s core investment process, which incorporates “top down” global macroeconomic views and “bottom up” security-specific views to provide multiple concurrent sources of added value, regardless of the specific strategy.

PIMCO’s “top down” views are driven by the firm’s quarterly economic forums. Once a year, all PIMCO investment professionals gather for a week-long secular forum, in which they identify forces that are likely to affect U.S. and world economies and financial markets over a 3-5 year horizon. At the other three quarterly intervals, PIMCO investment professionals convene for cyclical forums, in which they identify shorter-term economic forces that are likely to prevail over a 3-12 month horizon. The conclusions of these forums are further refined by the Portfolio Management group during an all day “strategy meeting”, in which each specialty desk contributes more detailed sector views. PIMCO’s Investment Committee ultimately distills these views into a “model portfolio” that provides a risk position framework that can be adapted by each specialty portfolio manager. This model portfolio provides guidance with respect to duration, curve, country, sector, volatility and currency positioning in a manner that is consistent with the firm’s global macro “top down” views. Each specialty portfolio manager then adapts and implements these “top down” views in a manner that is relevant to their specific strategy.

“Bottom up” security selection is an additional important aspect of portfolio construction. Sector specialists are charged with determining relative value within their sectors, identifying sector-specific opportunities and advising on security selection. To aid in these efforts, PIMCO maintains a staff of highly seasoned analysts who conduct independent security analysis. PIMCO also utilizes an extensive library of proprietary analytical software to help quantify the risks and relative values in different securities.

The enforcement of PIMCO’s Investment Committee model portfolio constraints has been a longstanding responsibility of the Portfolio Risk Management team that is designed to ensure portfolios are structured in a manner that is consistent with the firm’s investment strategy and the intended risk-return profile of each portfolio’s mandate. PIMCO’s investment strategy is established by the Investment Committee, which is guided by the firm’s quarterly economic forums and strategy sessions. PIMCO investment professionals gather quarterly at the firm’s headquarters in Newport Beach, California for a discussion on the global economic outlook, followed by strategy sessions focused on individual sectors of the market within the global investment landscape. Following each forum, the Investment Committee and CIOs establish the macro targets and limits for a subset of benchmark portfolios; each specialty portfolio team then works with the Portfolio Risk Management team to establish appropriate targets for their specific specialty portfolios that incorporate those targets and themes. Once each portfolio has been reviewed and approved by the Global Head of Portfolio Risk Management and the CIOs, the Portfolio Risk Management team enters the targets and limits into PIMCO’s risk factor reporting systems. From time to time, as market conditions and economic information changes, the Investment Committee and CIOs may change targets and positioning between forums. If this occurs, the Portfolio Risk Management team will work with the specialty desks to adjust targets and highlight positions that need to be adjusted to bring portfolios in line with the adjusted investment strategy.

Buy/Sell Discipline

RISK MANAGEMENT (CONTINUED): Enhanced partnership between the Portfolio Risk Management team has been a more recent development under the direction of Group CIO Dan Ivascyn and Global Head of Portfolio Risk Management Bill De Leon. The goal of this enhanced partnership is for risk managers to move beyond the historic limits framework to gain a more advanced understanding of each portfolio manager’s approach to managing portfolios and generating alpha. In addition to the historic goals of controlling risk, ensuring consistency with PIMCO investment themes and ‘avoiding surprises,’ the Portfolio Risk Management team now seeks to offer high level insights on portfolio positioning and offer more actionable trade recommendations to optimize portfolio positioning and mitigate potential drawdowns. The focus on partnership extends beyond just the Portfolio Management group, as the Portfolio Risk Management team works in concert with other functional groups within the Analytics and Credit Research departments to help produce cross-functional reporting capabilities and to play to strengths within more than one area of expertise. For example, one or two dedicated risk managers have been assigned to each of the major strategy areas. These risk managers conduct detailed portfolio strategy reviews and generally meet with the portfolio management team weekly or bi-weekly to discuss positioning and to share insights. Expanded strategy risk reviews often include customized stress tests, additional scrutiny of relative value or sector specific trades, an analysis of portfolios betas and correlations to market factors, and drill downs into the drivers of realized return and volatility.

BUY/SELL DISCIPLINE: The All Asset strategy rebalances among PIMCO Funds as real return relative value shifts in the market. This discipline is based on a model-driven approach that is based on the assessment of fundamental valuation metrics, expected returns, risk and correlations. Although new target allocations are produced daily, meaningful shifts in portfolio allocation occur over weeks or months, not days.

Within the underlying strategies, PIMCO does not have any systematic selling procedures. PIMCO’s buy and sell decisions are executed in order to optimize the risk/return and the relative value characteristics of the portfolio. For example, if a security upgrade leads to price appreciation in line with the firm’s expectations for the credit, the position might be replaced with one that offered better upside or credit improvement potential. Current holdings are constantly re-evaluated for their relative attractiveness versus investments available in the marketplace.

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Trading/Execution Strategy

PIMCO's style is one that tries to capture long-term value and, as such, many of the positions in the underlying funds are longer-term in nature. The expected length of an active “top down” position is generally consistent with the 3-12 month time horizon of the firm’s cyclical views. “Bottom up” strategies, which are more micro in nature, may have a shorter expected payoff horizon. In either case, PIMCO will readily exploit opportunities that it believes will add value to the portfolio or unwind existing positions so long as it believes they will add value to the portfolio, net of any transaction costs.

Within the underlying funds, trading in each strategy is conducted by dedicated specialty portfolio managers who have constant access to live trading information (through Telerate, Bloomberg, Quotron, etc.) and direct telephone lines to all the major dealers. All trades are executed on a best efforts basis and relationships are maintained with those dealers who are consistently able to make the best markets for PIMCO.

Soft Dollar Policy: It is our policy to seek to obtain the best price and execution on all Client transactions. PIMCO does not have any soft dollar arrangements with broker-dealers and PIMCO does not direct Client transactions to particular broker-dealers in return for soft dollars.

Nevertheless, there may be circumstances, consistent with the safe harbor under Section 28(e) of the Securities Exchange Act of 1934, where PIMCO may determine that it is appropriate to use a broker- dealer that has provided proprietary research on a topic of interest or other products or services and to pay commissions higher than those charged by other broker-dealers in return for such benefits, subject to best execution. We may receive, among other things, research reports, economic and market data and credit analyses and analyst earnings estimates, which may be created or developed by the broker- dealer or a third party. To the extent that soft dollars or the equivalent are earned with respect to a transaction made on behalf of a Client, such research or other products or services received may not always be used by or for the benefit of the Client that pays the brokerage commissions used to obtain the research, products or services.

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Investment Professionals Managing This Strategy

Mike Aked Robert Arnott

Current Position/Ownership Details Current Position/Ownership Details Title: CFA, Subadvisor Title: Chairman & Chief Executive Officer; Research Affiliates Primary Role: Other Primary Role: Portfolio Manager Start Year Industry: 1994 Start Year Industry: 1977 Start Year Firm: 2013 Start Year Firm: 2002 Equity Owner: --- Equity Owner: --- Equity Ownership: --- Equity Ownership: ---

Educational History Educational History Undergraduate: Undergraduate: ------BS Economics, Applied University of California Mathematics 1977 Post Graduate: and Computer --- Science ------Post Graduate: Prior Experience --- Firm Title Start Year End Year ------Prior Experience ------Firm Title Start Year End Year Biography: TSA Capital Management President ------The Boston Company Vice President ------Mr. Aked is a director and head of asset allocation at Research Affiliates, a subadvisor to Salomon Smith Barney global equity strategist ------PIMCO. He is a senior member of the research and investment management group and concentrates his efforts on research and implementation of global tactical asset allocation Biography: strategies. Previously, he served as a managing director at the University of Virginia Investment Management Company, working on portfolio and risk management. Earlier in Mr. Arnott is the founder and chairman of Research Affiliates, a subadvisor to PIMCO. In his career, he worked for Sunsuper, an Australian superannuation fund, and at UBS Global 2002, he established Research Affiliates as a research-intensive asset management firm Asset Management. He holds a master's degree in financial mathematics from the that focuses on innovative asset allocation and alternative indexation products. He University of Chicago and an undergraduate degree from the University of Sydney. previously served as chairman of First Quadrant, as president of TSA Capital Management (now part of Analytic Investors), and as vice president at The Boston Company. He also was global equity strategist at Salomon Brothers. He has published more than 100 articles in journals such as the Journal of Portfolio Management, the Harvard Business Review and the Financial Analysts Journal, where he also served as editor in chief from 2002 through 2006. He graduated summa cum laude from the University of California, Santa Barbara, in 1977 in economics, applied mathematics and computer science.

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Page 63 Christopher Brightman John Cavalieri

Current Position/Ownership Details Current Position/Ownership Details Title: CFA, Partner, Chief Investment Officer; Research Affiliates Title: Executive Vice President Primary Role: Other Primary Role: Strategist Start Year Industry: 2010 Start Year Industry: 1997 Start Year Firm: 2010 Start Year Firm: 2003 Equity Owner: --- Equity Owner: --- Equity Ownership: --- Equity Ownership: ---

Educational History Educational History Undergraduate: Undergraduate: ------University of California, Los Angeles BA ---

Post Graduate: Post Graduate: The Wharton School of the University of Pennsylvania MBA 2003 ------

Prior Experience Prior Experience Firm Title Start Year End Year Firm Title Start Year End Year --- Credit Suisse First Boston ------

Biography: Biography:

Mr. Brightman is chief investment officer at Research Affiliates, a subadvisor to PIMCO. Mr. Cavalieri is an executive vice president and asset allocation strategist in the Newport He leads the Research and Investment Management team. In this role, he supervises Beach office. Previously, he served as an inflation solutions strategist and also was a Research Affiliates' research and development activities, provision of index strategies, member of the Dow Jones-UBS Commodity Index Advisory Committee. Prior to joining and management of client portfolios. Mr. Brightman has more than 30 years of investment PIMCO in 2003, Mr. Cavalieri worked in the investment banking division at Credit Suisse experience, including as board chair of The Investment Fund for Foundations, chief First Boston. He has 20 years of investment experience and holds an MBA from the executive officer of the University of Virginia Investment Management Company, chief Wharton School of the University of Pennsylvania and an undergraduate degree from the investment officer of Strategic Investment Group, director of global equity strategy at University of California, Los Angeles. UBS Asset Management, and senior portfolio manager at Brinson Partners. He was also a board and investment committee member of the Virginia Tech Foundation. He holds a bachelor's degree in finance from Virginia Tech and an MBA from Loyola University, Maryland.

Brent Harris Nicholas Johnson

Current Position/Ownership Details Current Position/Ownership Details Title: CFA, Managing Director Title: Managing Director Primary Role: Portfolio Manager Primary Role: Portfolio Manager Start Year Industry: 1983 Start Year Industry: 2004 Start Year Firm: 1985 Start Year Firm: 2004 Equity Owner: --- Equity Owner: --- Equity Ownership: --- Equity Ownership: ---

Educational History Educational History Undergraduate: Undergraduate: Claremont McKenna College BA Economics ------

Post Graduate: Post Graduate: Harvard Business School MBA --- University of Chicago MS ------

Prior Experience Prior Experience Firm Title Start Year End Year Firm Title Start Year End Year Claremont Economics Institute ------

Biography: Biography:

Mr. Harris is a managing director in the Newport Beach office and serves as chairman of Mr. Johnson is a managing director in the Newport Beach office and a portfolio manager PIMCO Funds. He also develops and oversees strategic market initiatives at the firm and focusing on commodity, quantitative and multi-asset strategies. He specializes in structural serves as a senior member of the firm's Business Assessment Committee. Mr. Harris joined risk premiums as well as overall portfolio construction, and leads the quantitative PIMCO in 1985. He has 34 years of investment experience and holds an MBA from strategies portfolio management group. In 2012 he co-authored “Intelligent Commodity Harvard Business School and an undergraduate degree in economics from Claremont Indexing,” published by McGraw-Hill. Prior to joining PIMCO in 2004, he was a research McKenna College. fellow at NASA's Jet Propulsion Laboratory, helping to develop Mars missions and new methods of autonomous navigation. He has 13 years of investment experience and holds a master’s degree in financial mathematics from the University of Chicago and an undergraduate degree from California Polytechnic State University.

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Page 64 Brandon Kunz Ravi Mattu

Current Position/Ownership Details Current Position/Ownership Details Title: Subadvisor Title: Managing Director Primary Role: Other Primary Role: Analyst/PM Start Year Industry: 2008 Start Year Industry: 1982 Start Year Firm: 2014 Start Year Firm: 2011 Equity Owner: --- Equity Owner: --- Equity Ownership: --- Equity Ownership: ---

Educational History Educational History Undergraduate: Undergraduate: ------

Post Graduate: Post Graduate: ------

Prior Experience Prior Experience Firm Title Start Year End Year Firm Title Start Year End Year ------

Biography: Biography:

Brandon Kunz is a senior vice president at Research Affiliates, a subadvisor to PIMCO. He Mr. Mattu is a managing director and global head of analytics in the Newport Beach office. is responsible for external communication of Research Affiliates' global tactical asset He oversees portfolio management analytics, client facing analytics and the asset expert allocation strategies. Previously, he was a portfolio specialist and director of business team in the Advisory group. Prior to joining PIMCO in 2011, Mr. Mattu was head of development at Dorchester Capital, a fund of hedge fund manager. In this role, he research and strategy for Citadel Securities and previously served as Citadel Investment developed a GTAA model suite providing systematic asset class forecasts aiding in asset Group's chief fixed income strategist. Before joining Citadel, he worked at Lehman deployment. Prior to Dorchester, Mr. Kunz was a portfolio manager of the flagship GTAA Brothers for 17 years and held a number of senior positions, including global head of overlay at the Teacher Retirement System of Texas. He holds an MBA from the Eller equities and fixed income research, head of quantitative fixed income research and head College of Management at the University of Arizona and an undergraduate degree from of securitized product research. He has 35 years of investment experience and holds an the Marriott School of Management at Brigham Young University. MBA from the University of Chicago and a graduate degree from the Indian Institute of Management, Ahmedabad. He received a bachelor's degree in electrical engineering from GB Pant University in India.

Mohit Mittal Omid Shakernia

Current Position/Ownership Details Current Position/Ownership Details Title: Managing Director Title: Other, Subadvisor Primary Role: Portfolio Manager Primary Role: Other Start Year Industry: 2007 Start Year Industry: 2009 Start Year Firm: 2007 Start Year Firm: 2009 Equity Owner: --- Equity Owner: --- Equity Ownership: 0 Equity Ownership: ---

Educational History Educational History Undergraduate: Undergraduate: Bachelor, ------Indian Institute of Technology, Delhi Computer --- Science Post Graduate: --- Post Graduate: ------University of Pennsylvania, The Wharton School MBA ------Prior Experience Firm Title Start Year End Year Prior Experience ------Firm Title Start Year End Year ------Deloitte Consulting Senior Consultant ------Biography:

Biography: Mr. Shakernia is a senior vice president of asset allocation at Research Affiliates, a subadvisor to PIMCO. He is responsible for quantitative research and implementation of Mr. Mittal is a managing director and portfolio manager in the Newport Beach office, and a global tactical asset allocation strategies. Prior to joining Research Affiliates, Mr. senior member of the liability driven investment and credit portfolio management teams. Shakernia was a senior technical specialist at Northrop Grumman, where he conducted He manages multi-sector portfolios with added specialization in long credit, investment research and technology development for unmanned vehicles. Mr. Shakernia holds a grade credit and unconstrained bond portfolios. In addition, he is head of the U.S. master's degree in financial engineering from the Anderson School of Management at investment grade and emerging market credit trading desks. Previously, he was a UCLA. He also received bachelor's, master's and doctorate degrees in electrical specialist on PIMCO’s interest rates and derivatives desk. Mr. Mittal also serves on the engineering and computer sciences from the University of California, Berkeley. board of Orangewood Foundation. He joined the firm in 2007 and holds an MBA from the Wharton School of the University of Pennsylvania and an undergraduate degree in computer science from Indian Institute of Technology (IIT) in Delhi, India.

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Page 65 John West Mihir Worah

Current Position/Ownership Details Current Position/Ownership Details Title: CFA, MD, Research Affiliates Title: Managing Director, CIO Real Return & Asset Allocation Primary Role: Other Primary Role: Portfolio Manager Start Year Industry: 2006 Start Year Industry: 2000 Start Year Firm: 2006 Start Year Firm: 2001 Equity Owner: --- Equity Owner: --- Equity Ownership: --- Equity Ownership: ---

Educational History Educational History Undergraduate: Undergraduate: ------

Post Graduate: Post Graduate: --- University of Chicago PhD ------

Prior Experience Prior Experience Firm Title Start Year End Year Firm Title Start Year End Year ------University of California, Berkeley ------

Biography: Biography:

Mr. West is a partner and head of client strategies at Research Affiliates, a subadvisor to Mr. Worah is CIO Asset Allocation and Real Return and a managing director in the PIMCO. He is responsible for product management and for spearheading various client Newport Beach office. He is a member of the Investment Committee and the Executive service initiatives. He also has primary responsibility for external communication of the Committee, and oversees portfolio management for the U.S. He is a generalist portfolio firm’s global tactical asset allocation strategy. Before joining Research Affiliates, Mr. West manager who manages a variety of fixed income, commodity and multi-asset portfolios. was a vice president and senior consultant at Wurts & Associates (now called Verus) and Prior to joining PIMCO in 2001, he was a postdoctoral research associate at the University managed the firm's overall research effort, including the development of capital market of California, Berkeley, and the Stanford Linear Accelerator Center, where he built models assumptions, new asset class opinions, alternative investments, portfolio processes and to explain the difference between matter and anti-matter. In 2012 he co-authored spending policies. He is co-author of "The Fundamental Index: A Better Way to Invest," “Intelligent Commodity Indexing,” published by McGraw-Hill. He has 16 years of published in 2008, and holds a bachelor's degree in finance from the University of Arizona. investment experience and holds a Ph.D. in theoretical physics from the University of Chicago.

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