Third Quarter 2019 Performance Report · Year-To-Date Market Timeline Source: Morningstar Direct, S&P Dow Jones Indices LLC, a division of S&P Global, MSCI, Bloomberg Finance, LP

This presentation is accompanied by additional disclosures which can be found on the last pages.All information herein is confidential and proprietary.

Third Quarter 2019

Weld County Retirement PlanNovember 5, 2019

Q3

Performance Report

Dale A. Connors, CFASenior Consultant

Andrew C. Fiegel, CFA CAIAConsultant

CONTENTS

1 Capital Markets Exhibits

15 Pension Plan Analysis

42 Benchmark History

43 Manager Roster

44 Fee Schedule

45 Endnotes

3rd Quarter 2019Capital Markets Exhibits

1This presentation is accompanied by additional disclosures which can be found on the last pages.

All information herein is confidential and proprietary.

20.6

12.8

8.5

5.9

-5

0

5

10

15

20

25

Cum

ulat

ive

Ret

urn

(%)

S&P 500 Index MSCI EAFE Index MSCI Emerging Markets Index Bloomberg Barclays U.S. Agg Bond Index

Year-To-Date Market Timeline

Source: Morningstar Direct, S&P Dow Jones Indices LLC, a division of S&P Global, MSCI, Bloomberg Finance, LP

January February March April May June July August September

Q1 SummaryGlobal equity markets rebounded sharply during thefirst quarter of 2019 to post the largest quarterly gainssince the first quarter of 2012. Markets weresupported by a more dovish Fed (i.e., pause on ratehikes) and an improvement in sentiment regarding aresolution to the U.S.-China trade dispute.

Q2 SummaryApril continued the first quarter’s upswing but risk-assets fell sharply during May driven by escalatingtrade tensions and mounting concerns over a globaleconomic slowdown. In June, the Fed signaledreadiness to cut interest rates if the economic outlookdoesn’t improve sending stocks to new highs andbond yields to their lowest levels since 2016.

Q3 SummaryThe quarter was marked by two Fed rate cuts and amore apparent slowdown in global economic data.Strong market performance in July was offset inAugust by another round of increased trade rhetoric,which was somewhat alleviated in September by amore reconciliatory tone between the U.S. and China.



Global Manufacturing Slowdown

0%

10%

20%

30%

40%

50%

60%

70%

19

601

963

19

661

969

19

721

975

19

781

981

19

841

987

19

901

993

19

961

999

20

022

005

20

082

011

20

142

017

Wor

ld T

rade

as

% o

f GD

P

ChinaS. Korea

Germany JapanMexico

ItalyIndia

Spain

Russia

US

Canada

France

Brazil

UK

Australia

-20%

-10%

0%

10%

20%

30%

40%

50%

0% 10% 20% 30%

Cum

ulat

ive

Ret

urn

(Loc

al C

urre

ncy)

Manufacturing as Percent of GDP

• The substantial growth of world trade has brought a greater integration of the global manufacturing supply chain – and a heightenedsensitivity to escalating trade tensions.

• Reviewing the world’s largest fifteen countries by GDP indicates varying levels of economic exposure to the manufacturing sector. Perhapsnot surprisingly, countries with the highest manufacturing exposure have generated the weakest equity market returns since January 2018(when the first tariffs were imposed by the U.S).

World Trade as a % of GDP1960 – 2017

Observations

Source: The World Bank Group. https://data.worldbank.org/indicator/NE.TRD.GNFS.ZS

Fifteen Largest Countries by GDPManufacturing as a % of GDP vs. Return Jan 2018 – Sep 2019

Source: The World Bank Group, International Monetary Fund, Morningstar Direct, MSCI, S&P Dow Jones Indices LLC

Larger manufacturing sector = lower

returns

Smaller manufacturing sector = higher

returns



Technology Real Estate

UtilitiesCons.

StaplesIndustrial

Consumer Disc.

Com. Servs.

S&P 500

Financials Materials EnergyHealth Care

Div. Yield: 1.4% 3.0% 3.1% 2.8% 2.0% 1.3% 1.4% 1.9% 2.2% 2.1% 4.0% 1.8%

Beta(1): 1.10 0.77 0.29 0.59 1.18 1.08 0.95 1.00 1.18 1.26 1.19 0.78

Index Weight:

22% 3% 4% 8% 9% 10% 11% -- 13% 2% 4% 14%

Drivers of U.S. Equity Performance

31.4% 29.7%25.4% 23.3% 22.6% 22.5% 21.7% 20.6% 19.6% 17.1%

6.0% 5.6%3.3%7.7% 9.3%

6.1%1.0% 0.5% 2.2% 1.7% 2.0%

-0.1%-6.3%

-2.2%

Source: Morningstar Direct, S&P Dow Jones Indices LLC, a division of S&P Global

Observations

S&P 500 Sector Returns

The best performing sectors in 2019 have been lower beta sectors such as Real Estate, Utilities and Consumer Staples while higher beta sectorssuch as Energy and Materials generally underperformed the market. There were two exceptions, Healthcare and Technology.

Historically, Healthcare has been a defensive equity sector with a beta to the S&P 500 Index of 0.78. However, this year the sectorunderperformed as industries including biotechnology (-1.5%), pharmaceuticals (+1.9%) and healthcare providers (-5.9%) struggled in the face ofpolitical pressure on drug prices and uncertainty related to the health insurance landscape. The largest individual performance detractorsincluded Pfizer (-15.5%), UnitedHealth (-11.6%) and AbbVie (-14.4%).

Despite a less defensive posture, Technology remained the best performing sector year to date, driven by constituents like Applied Materials(+54%), Apple (+43%), Twitter (+43%), Texas Instruments (+39%) and Microsoft (+38%).

3rd Quarter 2019 Year-to-Date 2019

(1) Beta is calculated by Ellwood using monthly returns over a 10 year time frame.



-4.0

-2.0

0.0

2.0

4.0

6.0

8.0

10.0

UnitedStates

Canada UnitedKingdom

France Germany Italy Switzerland Japan Brazil Mexico Russia India Korea

December 31, 2018 Bond Yield September 30, 2019 Bond Yield YTD Change in Bond Yield

A Sharp Decline in Global Bond Yields

Source: Bloomberg Finance, LP. Interest rates shown are 10-Year government bond yields in local currency

Source: Bloomberg Finance, LP

Year-to-Date Change in 10-Year Government Bond Yields

ObservationsBond yields fell sharply across the globe during the first threequarters of 2019. Drivers of the decline in bond yields includepersistently low inflation, weak manufacturing data on a worldwidebasis, the effects of trade tensions, and monetary policy easing.

The U.S. Federal Reserve lowered the Federal Funds Rate Targettwice in 2019. In total 22 of the 37 central banks tracked by theBank for International Settlements, primarily those located inemerging markets, lowered their policy rates in 2019.

Most of Western Europe and Japan now have negative governmentbond yields across the majority of the yield curve. Nearly $15 trillionof debt now carries a negative yields. This represents almost 15% ofall fixed income securities outstanding on a global basis.(1)

(1)Source: Bloomberg, Bank for International Settlements

Global Bonds with Negative Yields (Jan 2017 – Sep 2019)

Developed Markets Emerging Markets

$-

$2

$4

$6

$8

$10

$12

$14

$16

$18

Jan-

17

Mar

-17

May

-17

Jul-1

7

Sep-

17

Nov

-17

Jan-

18

Mar

-18

May

-18

Jul-1

8

Sep-

18

Nov

-18

Jan-

19

Mar

-19

May

-19

Jul-1

9

Sep-

19B

onds

w/

Neg

ativ

e Yi

elds

($,T

)

-0.5-0.5-1.5-1.8-2.2-0.2-0.6-1.9-0.8-1.0-0.8-0.6-1.0



21.1

15.3

13.2

18.4

13.212.0

0

10

20

30

40

U.S. Equities Developed Non-U.S.Equities

Emerging Markets Equities

TTM

PE

Rat

io (x

)

5th - 25th 25th - 50th 50th - 75th 75th - 95th Current 12/31/2018

Equity Valuations

Trailing Price to Earnings Ratio (Last 20 Years)

Source: MSCI, As of 9/30/2019

Forward Price to Earnings Ratio (Last 16.25 Years)

17.3

13.711.8

14.6

11.910.5

0

10

20

30

40

U.S. Equities Developed Non-U.S.Equities

Emerging Markets Equities

FY1

PE

Rat

io (x

)

5th - 25th 25th - 50th 50th - 75th 75th - 95th Current 12/31/2018

Source: MSCI, As of 9/30/2019



Consumer Discretionary

10%

Health Care14%

Industrials9%

Real Estate3%

Financials13%

Technology22%

Consumer Staples

8%

Materials2%

Energy4%

Utilities4%

Communication Services

11%

0.3%

0.4%

0.9%

0.9%

0.9%

1.7%

2.1%

2.2%

2.2%

2.6%

6.3%

Energy

Materials

Utilities

Health Care

Real Estate

Cons. Staples

Industrials

Comm. Services

Cons. Discr.

Financials

Technology

Div. Yield(1)

P/E Ratio(2)

15-Yr Avg.(3)

Technology 1.4% 23.8x 20.2x

Real Estate 3.0% 35.8x 39.4x

Utilities 3.1% 24.4x 17.1x

Consumer Staples 2.8% 24.0x 19.3x

Industrials 2.0% 20.0x 17.9x

Consumer Discretionary 1.3% 25.7x 19.3x

Communication Services 1.4% 21.0x 19.7x

S&P 500 1.9% 20.5x 17.5x

Financials 2.2% 13.2x 14.6x

Materials 2.1% 19.1x 18.2x

Energy 4.0% 14.4x 15.4x

Health Care 1.8% 22.2x 20.7x

S&P 500 Scorecard

5.6%

6.0%

17.1%

19.6%

20.6%

21.7%

22.5%

22.6%

23.3%

25.4%

29.7%

31.4%

-2.2%

-6.3%

-0.1%

2.0%

1.7%

2.2%

0.5%

1.0%

6.1%

9.3%

7.7%

3.3%

3st Quarter 2019

Source: Morningstar Direct, S&P Dow Jones Indices LLC, a division of S&P Global

Year-to-Date 2019

Year-to-Date 2019 Sector Contribution

Sector WeightsSector Returns

Source: Morningstar Direct, S&P Dow Jones Indices LLC, a division of S&P Global, GICS

Source: Morningstar Direct, S&P Dow Jones Indices LLC, a division of S&P Global(1)Trailing 12 month Dividend Yield as of 9/30/2019.(2)Trailing 12 month P/E as of 9/30/2019.(3)15-year average trailing 12 month P/E as of 9/30/2019.



0.05

-0.20

-2

-1

0

1

2

3

4

5

12/99 12/01 12/03 12/05 12/07 12/09 12/11 12/13 12/15 12/17

Spre

ad (%

)

2-10 Year Yield Spread 3 Month - 10 Year Yield Spread

Rates and SpreadsU.S. Treasury Spreads


Fixed Income Spreads Relative to Treasuries (Last 20 Years)

U.S. Treasury Yield Curve

0

1

2

3

4

Yiel

d (%

)

9/30/2019

Years to Maturity

3 m

os6

mos

2 y

rs

3 y

rs

10

yrs

30

yrs

5 y

rs

12/31/2013

12/31/2018

1.0

6.1

1.2

2.4

18.3

3.7

0

5

10

15

20

12/99 12/01 12/03 12/05 12/07 12/09 12/11 12/13 12/15 12/17

OAS

(%)

Bloomberg Barclays U.S. Credit Investment Grade Bloomberg Barclays U.S. Credit High YieldSource: Bloomberg Finance, LP, Grey bars represent U.S. recessions; As of 9/30/2019




Market Overview

Source: Morningstar Direct, S&P Dow Jones Indices LLC, a division of S&P Global, Russell, MSCI, Hedge Fund Research, Inc., Bloomberg Finance, LP

1.2

-1.1

-4.2

0.0

2.3

-0.5-1.8

20.1

12.8

5.9

16.2

8.56.7

3.1

-10

-5

0

5

10

15

20

25

Rat

e of

Ret

urn

(%)

3rd QTR 2019 YTD 2019

U.S. EquityInternational Developed

EmergingMarkets

Global Equity Fixed Income Hedge Funds Commodities

Russell 3000® MSCI EAFEMSCI Emerging

MarketsMSCI ACWI

Bloomberg Barclays

Aggregate

HFRI Fund Weighted

Composite

Bloomberg Commodities



10.0

1.8

17.9

7.7

22.7

17.5

-2.0

-6.5

-0.4

-1.7

1.1

1.2

-10 0 10 20 30Rate of Return (%)

3rd QTR 2019 YTD 2019

Global Equity Factor PerformanceSize Style

Source: Morningstar Direct, Russell, and MSCI.Note: Indices above are the respective size and style sub-indices of Russell and MSCI.

U.S

.

Large Cap

Small Cap

Non

-U.S

.Dev

elop

ed

Large Cap

Small Cap

Non

-U.S

.Em

ergi

ng Large Cap

Small CapU

.S.

Value

Growth

Non

-U.S

.Dev

elop

ed

Value

Growth

Non

-U.S

.Em

ergi

ng Value

Growth1.8

6.5

12.1

12.8

14.2

20.1

-4.6

-4.0

-0.4

-1.2

-2.4

1.2

-10 0 10 20 30Rate of Return (%)



Non-U.S. / Global Equity Markets

Source: Morningstar Direct, MSCI

Source: Federal Reserve Board; U.S. trade-weighted index, As of 9/30/2019.

MSCI ACWI Equity Weights

U.S. Dollar vs. Foreign Currencies

Source: MSCI

Market Returns

Calendar YTD 2019 Regional Market Returns (USD)

USD Return Local Return

Source: Morningstar Direct, MSCI.

U.S. Developed Non-U.S. Emerging

10.4

0

5

10

15

12/18 03/19 06/19 09/19

Cum

ulat

ive

Ret

urn

(%)

Trade Weighted U.S. Dollar Index: Broad

20.121.6

10.1

15.1

11.1 11.9

17.3

6.3 6.0

0

5

10

15

20

25

U.S. Canada UK Europeex-UK

Japan Pacificex-Japan

EmergingEurope

LatinAmerica

EmergingAsia

Rat

e of

Ret

urn

(%)

United States56%

Canada3% United

Kingdom5%

Europe ex-UK14%

Japan7%

Pacific ex-Japan

6%Emerging Europe

1%Latin America1%

Emerging Asia7%

5.9

12.8

11.6

16.2

-4.2

-1.1

-1.8

0.0

17.2

13.7

15.7

7.8

1.1

0.7

1.8

-2.1

-10 -5 0 5 10 15 20

YTD 2019

3rd QTR 2019

YTD 2019

3rd QTR 2019

YTD 2019

3rd QTR 2019

YTD 2019

3rd QTR 2019

MSC

I EM

MSC

IEA

FE

MSC

IAC

WI

ex U

.S.

MSC

IAC

WI

Rate of Return (%)



2.3 2.41.7 1.4

3.0

1.6 1.3 1.3

8.57.7

6.0 5.6

13.2

6.7

11.410.8

0

5

10

15

Aggregate Treasury Agency Mortgages Corporate Municipal High Yield EmergingMarkets

Rat

e of

Ret

urn

(%)

3rd QTR 2019 YTD 2019

0

1

2

3

4

Yiel

d (%

)Fixed Income Markets

1.2

7.9

1.7

5.65.2

19.8

8.9

22.3

0

5

10

15

20

25

Barclays Interm.Treasury

Barclays Long Treas Barclays US IG CorpInterm.

Barclays US IG CorpLong

Rat

e of

Ret

urn

(%)

3rd QTR 2019 YTD 2019

U.S. Treasury Yield Curve

Years to Maturity

3 m

os6

mos

2 y

rs3

yrs

10

yrs

30

yrs

5 y

rs


Source: Bloomberg Finance, LP, Morningstar Direct

Bond Market Returns

Returns by Sector

Global Ten Year Government Spot Yields

Returns by Duration

12/31/2018

Source: Bloomberg Finance, LP, Morningstar Direct


9/30/2019

-1

0

1

2

3

4

12/18 03/19 06/19 09/19

Yiel

d (%

)

U.S. U.K. Japan Euro Area AAA Gov



-1.8-6.0 -5.0

7.2

0.63.1

7.0

11.1

27.4

5.8

-10

-5

0

5

10

15

20

25

30

Bloomberg Commodity Index S&P Global Natural ResourcesStock Index

Alerian MLP Index FTSE REIT Index Barclays US TIPS Index

Rat

e of

Ret

urn

(%)

3rd QTR 2019 YTD 2019

Real Assets

Source: Federal Reserve; As of 9/30/2019.

Source: Bloomberg Finance, LP; As of 9/30/2019.

Asset Class Performance

WTI Crude Oil PricesSource: Morningstar Direct, Bloomberg Finance, LP, Barclays, S&P Dow Jones Indices LLC, a division of S&P Global, Alerian, FTSE

United States Breakeven Inflation

0

20

40

60

80

100

120

12/12 12/13 12/14 12/15 12/16 12/17 12/18

Dol

lars

($)

54

1.41.5

0

1

2

3

4

12/12 12/13 12/14 12/15 12/16 12/17 12/18

Perc

ent (

%)

5-Year Breakeven Inflation 10-Year Breakeven Inflation



World Markets Heat Map

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 YTD 1-Yr 3-Yr 5-Yr 10-Yr TTM P/E Div. Yield

U.S. Equity U.S. Equity

S&P 100 Index 12.5% 3.2% 16.1% 30.4% 12.7% 2.6% 11.4% 22.0% -3.9% 20.0% S&P 100 Index 20.0% 3.8% 13.5% 10.8% 12.9% 20.1x 2.1%

S&P 500 Index 15.1% 2.1% 16.0% 32.4% 13.7% 1.4% 12.0% 21.8% -4.4% 20.6% S&P 500 Index 20.6% 4.3% 13.4% 10.8% 13.2% 20.3x 2.0%

Russell 1000 Value Index 15.5% 0.4% 17.5% 32.5% 13.5% -3.8% 17.3% 13.7% -8.3% 17.8% Russell 1000 Value Index 17.8% 4.0% 9.4% 7.8% 11.5% 16.5x 2.7%

Russell 1000 Growth Index 29.1% -2.9% 14.6% 43.3% 5.6% -1.4% 11.3% 22.2% -9.3% 15.3% Russell 1000 Growth Index 15.3% -9.6% 9.8% 9.1% 12.2% 26.0x 1.2%

Russell 2000 Index 26.8% -4.2% 16.4% 38.8% 4.9% -4.4% 21.3% 14.6% -11.0% 14.2% Russell 2000 Index 14.2% -8.9% 8.2% 8.2% 11.2% 16.9x 1.6%

Russell 2000 Value Index 24.5% -5.5% 18.1% 34.5% 4.2% -7.5% 31.7% 7.8% -12.9% 12.8% Russell 2000 Value Index 12.8% -8.2% 6.5% 7.2% 10.1% 13.7x 2.5%

Russell 2000 Growth Index 29.1% -2.9% 14.6% 43.3% 5.6% -1.4% 11.3% 22.2% -9.3% 15.3% Russell 2000 Growth Index 15.3% -9.6% 9.8% 9.1% 12.2% 23.1x 0.8%

Russell Micro Cap Index 28.9% -9.3% 19.7% 45.6% 3.6% -5.2% 20.4% 13.2% -13.1% 7.9% Russell Micro Cap Index 7.9% -16.0% 5.3% 6.1% 9.8% 13.2x 1.6%

Non U.S. Equity Non U.S. Equity

MSCI ACWI ex U.S. Index 11.2% -13.7% 16.8% 15.3% -3.9% -5.7% 4.5% 27.2% -14.2% 11.6% MSCI ACWI ex U.S. Index 11.6% -1.2% 6.3% 2.9% 4.5% 14.9x 3.6%

MSCI EAFE Index 7.7% -12.1% 17.3% 22.8% -4.9% -0.8% 1.0% 25.0% -13.8% 12.8% MSCI EAFE Index 12.8% -1.3% 6.5% 3.3% 4.9% 16.0x 3.6%

MSCI EAFE Small Cap Index 22.0% -15.9% 20.0% 29.3% -4.9% 9.6% 2.2% 33.0% -17.9% 12.1% MSCI EAFE Small Cap Index 12.1% -5.9% 5.9% 6.0% 7.5% 14.5x 3.1%

MSCI Emerging Markets Index 18.9% -18.4% 18.2% -2.6% -2.2% -14.9% 11.2% 37.3% -14.6% 5.9% MSCI Emerging Markets Index 5.9% -2.0% 6.0% 2.3% 3.4% 12.8x 3.7%

MSCI Emerging Mkts. Small Cap Index 27.2% -27.2% 22.2% 1.0% 1.0% -6.8% 2.3% 33.8% -18.6% 1.8% MSCI Emerging Mkts. Small Cap Index 1.8% -5.5% 1.3% -0.1% 3.2% 12.1x 3.4%

MSCI Frontier Markets Index 23.8% -18.7% 8.9% 25.9% 6.8% -14.5% 2.7% 31.9% -16.4% 10.7% MSCI Frontier Markets Index 10.7% 5.9% 7.0% -1.3% 3.6% 12.3x 4.3%

Global Global

MSCI ACWI Index 12.7% -7.4% 16.1% 22.8% 4.2% -2.4% 7.9% 24.0% -9.4% 16.2% MSCI ACWI Index 16.2% 1.4% 9.7% 6.7% 8.3% 17.5x 2.7%

Fixed Income Fixed Income Duration YTW

Barclays US Aggregate Index 6.5% 7.8% 4.2% -2.0% 6.0% 0.5% 2.6% 3.5% 0.0% 8.5% Barclays US Aggregate Index 8.5% 10.3% 2.9% 3.4% 3.7% 5.8 2.3%

Barclays US Inv. Grade. Corp. Index 9.0% 8.1% 9.8% -1.5% 7.4% -0.7% 6.1% 6.4% -2.5% 13.2% Barclays US Inv. Grade. Corp. Index 13.2% 13.0% 4.5% 4.7% 5.6% 7.8 2.9%

Barclays High Yield Index 15.1% 5.0% 15.8% 7.4% 2.5% -4.5% 17.1% 7.5% -2.1% 11.4% Barclays High Yield Index 11.4% 6.4% 6.1% 5.4% 7.9% 3.1 5.6%

Barclays US Corp Long AA+ Index 10.1% 19.1% 9.9% -7.8% 18.7% -1.1% 6.9% 10.8% -3.4% 19.4% Barclays US Corp Long AA+ Index 19.4% 20.6% 6.1% 7.3% 7.6% 15.1 3.0%

Barclays US Treasury Long Index 9.4% 29.9% 3.6% -12.7% 25.1% -1.2% 1.3% 8.5% -1.8% 19.8% Barclays US Treasury Long Index 19.8% 24.8% 4.1% 6.8% 6.9% 18.3 2.1%

Barclays U.S. Municipal Bond Index 2.4% 10.7% 6.8% -2.6% 9.1% 3.3% 0.2% 5.4% 1.3% 6.7% Barclays U.S. Municipal Bond Index 6.7% 8.6% 3.2% 3.7% 4.2% 5.2 1.9%

Barclays Global Agg. ex. U.S. Index 4.9% 4.4% 4.1% -3.1% -3.1% -6.0% 1.5% 10.5% -2.1% 4.4% Barclays Global Agg. ex. U.S. Index 4.4% 5.3% 0.4% 0.9% 1.3% 8.4 0.4%

Barclays EM Debt (Local) Gov’t Index 12.5% 0.3% 13.9% -4.3% -1.9% -10.4% 5.9% 14.3% -3.4% 5.3% Barclays EM Debt (Local) Gov’t Index 5.3% 7.9% 2.4% 1.1% 3.2% 6.8 3.9%

Alternatives Alternatives

Bloomberg Commodity Index 16.8% -13.3% -1.1% -9.5% -17.0% -24.7% 11.8% 1.7% -11.2% 3.1% Bloomberg Commodity Index 3.1% -6.6% -1.5% -7.2% -4.3% -- --

Bloomberg Commodity – Gold 28.7% 9.6% 6.1% -28.7% -1.7% -10.9% 7.7% 12.8% -2.8% 14.2% Bloomberg Commodity – Gold 14.2% 22.5% 3.0% 3.3% 3.2% -- --

Bloomberg Commodity – WTI Crude Oil 3.8% -3.6% -11.8% 6.8% -41.7% -44.3% 7.1% 5.1% -20.5% 18.1% Bloomberg Commodity – WTI Crude Oil 18.1% -26.2% 1.9% -19.0% -10.1% -- --

Bloomberg Commodity – Agriculture 38.5% -14.4% 4.0% -14.3% -9.2% -15.6% 2.1% -11.0% -10.8% -5.0% Bloomberg Commodity – Agriculture -5.0% -4.9% -9.6% -7.3% -3.6% -- --

FTSE REIT Index 27.6% 7.3% 20.1% 3.2% 27.1% 2.3% 9.3% 9.3% -4.1% 27.4% FTSE REIT Index 27.4% 19.6% 9.0% 10.9% 13.3% -- --Source: Morningstar Direct, Bloomberg Finance, LP, Russell, S&P Dow Jones Indices LLC, a division of S&P, MSCI, FTSE; As of 9/30/2019 Source: Morningstar Direct, Bloomberg Finance, LP, Russell, S&P Dow Jones Indices LLC, a division of S&P, MSCI, FTSE; As of 9/30/2019

Calendar Year Returns Annualized Returns



Asset Allocation vs. TargetPolicy Range Policy % Current % Difference* %

_

Public Equity 25.0% - 40.0% $84,986,139 25.0% $93,806,668 27.6% $8,820,529 2.6%Vanguard Total Stock Market Index $50,991,683 15.0% $58,933,592 17.3% $7,941,909 2.3%Dodge & Cox Global Stock Fund $16,997,228 5.0% $17,167,821 5.1% $170,594 0.1%Harding Loevner Global Equity $16,997,228 5.0% $17,705,254 5.2% $708,026 0.2%

Private Equity 0.0% - 10.0% $16,997,228 5.0% $6,555,757 1.9% -$10,441,470 -3.1%Aberdeen U.S. Private Equity VI, L.P. $3,989,788 1.2%Weathergage Venture Capital IV $2,565,970 0.8%

Fixed Rate Debt 5.0% - 20.0% $67,988,911 20.0% $85,391,909 25.1% $17,402,998 5.1%JP Morgan Core Bond Fund $33,994,455 10.0% $35,904,090 10.6% $1,909,635 0.6%Metropolitan West Total Return $16,997,228 5.0% $23,456,908 6.9% $6,459,680 1.9%Vanguard Short-Term Treasury Index $16,997,228 5.0% $26,030,911 7.7% $9,033,683 2.7%

Floating Rate Debt 5.0% - 20.0% $50,991,683 15.0% $37,430,869 11.0% -$13,560,814 -4.0%Bain Capital Senior Loan Fund $16,997,228 5.0% $22,716,758 6.7% $5,719,530 1.7%Golub Capital Partners International 11,L.P. $5,400,000 1.6%

Principal Real Estate Debt Fund $570,239 0.2%Principal Real Estate Debt Fund II $8,743,873 2.6%

Low Volatility 5.0% - 20.0% $50,991,683 15.0% $50,975,283 15.0% -$16,401 0.0%Blackrock Appreciation Strategy Fund $16,997,228 5.0% $14,202,527 4.2% -$2,794,701 -0.8%Parametric Defensive Equity $33,994,455 10.0% $36,772,755 10.8% $2,778,300 0.8%

Liquid Real Assets 5.0% - 15.0% $16,997,228 5.0% $15,566,008 4.6% -$1,431,219 -0.4%Tortoise MLP Account $16,997,228 5.0% $15,566,008 4.6% -$1,431,219 -0.4%

Real Estate 10.0% - 20.0% $50,991,683 15.0% $47,197,341 13.9% -$3,794,342 -1.1%Principal US Property Account $33,994,455 10.0% $33,008,333 9.7% -$986,123 -0.3%Harbert US Real Estate Fund V $4,371,490 1.3%Harbert US Real Estate Fund VI $9,817,519 2.9%

Cash 0.0% - 5.0% $0 0.0% $3,020,721 0.9% $3,020,721 0.9%Operating Account $0 0.0% $3,020,721 0.9% $3,020,721 0.9%

Total $339,944,555 100.0% $339,944,555 100.0%XXXXX

*Difference between Policy and Current Allocation

Weld County Retirement PlanTotal Fund

Total Fund Allocation As of September 30, 2019



Cash Flow Summary Quarter Ending September 30, 2019

BeginningMarket Value Net Cash Flow Net Investment

ChangeEnding

Market Value_

Vanguard Total Stock Market Index $58,297,694 $0 $635,899 $58,933,592Dodge & Cox Global Stock Fund $32,948,099 -$15,000,000 -$780,278 $17,167,821Harding Loevner Global Equity $33,617,773 -$15,000,000 -$912,519 $17,705,254Aberdeen U.S. Private Equity VI, L.P. $3,905,170 $84,618 $0 $3,989,788Weathergage Venture Capital IV $2,421,970 $144,000 $0 $2,565,970JP Morgan Core Bond Fund $30,627,135 $4,500,000 $776,955 $35,904,090Metropolitan West Total Return $19,001,769 $4,000,000 $455,139 $23,456,908Vanguard Short-Term Treasury Index -- $26,016,830 $14,081 $26,030,911Bain Capital Senior Loan Fund $22,567,164 $0 $149,593 $22,716,758Golub Capital Partners International 11, L.P. $4,902,173 $497,827 $0 $5,400,000Principal Real Estate Debt Fund $906,069 -$334,426 -$1,404 $570,239Principal Real Estate Debt Fund II $9,377,845 -$614,076 -$19,897 $8,743,873Blackrock Appreciation Strategy Fund $14,287,423 $0 -$84,896 $14,202,527Parametric Defensive Equity $36,138,803 $31,238 $602,714 $36,772,755Tortoise MLP Account $21,516,491 -$4,500,000 -$1,450,482 $15,566,008Principal US Property Account $32,479,819 $0 $528,514 $33,008,333Harbert US Real Estate Fund V $4,631,844 -$260,355 $0 $4,371,490Harbert US Real Estate Fund VI $10,171,718 -$354,199 $0 $9,817,519Operating Account $2,331,304 $663,776 $25,640 $3,020,721Total $340,130,263 -$124,767 -$60,941 $339,944,555

XXXXX


Total Fund Cash Flow Summary As of September 30, 2019



Cash Flow Summary YTD Ending September 30, 2019

BeginningMarket Value Net Cash Flow Net Investment

ChangeEnding

Market Value_

Vanguard Total Stock Market Index $31,974,781 $19,424,384 $7,534,427 $58,933,592Dodge & Cox Global Stock Fund $29,355,329 -$15,000,117 $2,812,609 $17,167,821Harding Loevner Global Equity $28,434,065 -$15,000,117 $4,271,305 $17,705,254zVanguard Developed Markets Index $19,318,063 -$20,924,501 $1,606,438 --Aberdeen U.S. Private Equity VI, L.P. $3,560,789 $66,582 $362,416 $3,989,788Weathergage Venture Capital IV $1,685,521 $576,000 $304,449 $2,565,970JP Morgan Core Bond Fund $13,237,356 $20,500,000 $2,166,734 $35,904,090Metropolitan West Total Return $17,829,582 $4,000,000 $1,627,326 $23,456,908Vanguard Short-Term Treasury Index -- $26,016,830 $14,081 $26,030,911Bain Capital Senior Loan Fund $31,734,169 -$11,000,000 $1,982,588 $22,716,758Golub Capital Partners International 11, L.P. $2,845,552 $2,327,356 $227,092 $5,400,000Principal Real Estate Debt Fund $1,226,573 -$699,973 $43,638 $570,239Principal Real Estate Debt Fund II $7,456,869 $1,012,355 $274,649 $8,743,873Blackrock Appreciation Strategy Fund $13,853,342 $0 $349,185 $14,202,527Parametric Defensive Equity $33,009,216 $100,114 $3,663,426 $36,772,755Tortoise MLP Account $18,317,979 -$4,500,000 $1,748,029 $15,566,008Principal US Property Account $31,540,196 $0 $1,468,137 $33,008,333Harbert US Real Estate Fund V $5,688,947 -$1,492,481 $175,023 $4,371,490Harbert US Real Estate Fund VI $9,343,147 $187,950 $286,422 $9,817,519Operating Account $7,873,512 -$4,894,087 $41,296 $3,020,721Total $308,284,989 $700,296 $30,959,270 $339,944,555

XXXXX


Total Fund Cash Flow Summary As of September 30, 2019




Total Fund Performance As of September 30, 2019




Total Fund Universe Performance As of September 30, 2019




Quarterly Total Managed Investment Funds Risk/Return As of September 30, 2019




5 Year Risk Statistics vs IF Public DB $250mm-$1B Net As of September 30, 2019



Performance Summary

Ending September 30, 2019Market Value

($)% of

Portfolio3 Mo

(%)YTD(%)

1 Yr(%)

3 Yrs(%)

5 Yrs(%)

10 Yrs(%)

2018(%)

2017(%)

2016(%)

2015(%)

2014(%)

_

Total Fund 339,944,555 100.0 0.0 10.1 2.4 6.7 5.3 7.4 -3.3 12.5 9.2 -1.7 7.9Policy Index 0.5 11.1 3.2 6.6 4.8 6.8 -3.2 11.1 8.4 -2.4 5.7

InvMetrics Public DB $250mm-$1B Net Median 0.5 12.6 3.3 7.8 6.2 7.9 -4.4 15.5 7.4 -0.4 5.8Equity

Public Equity 93,806,668 27.6 -1.0 14.7 -1.2 8.7 6.4 -- -10.7 24.0 8.7 -3.2 --MSCI ACWI 0.0 16.2 1.4 9.7 6.7 8.3 -9.4 24.0 7.9 -2.4 4.2

InvMetrics Public DB Total Eq Net Median 0.3 17.5 1.9 10.4 7.9 9.9 -8.4 22.6 9.2 -1.4 5.9Private Equity 6,555,757 1.9 0.0 12.0 14.1 16.2 -- -- 14.6 14.7 24.3 40.4 --

Russell 3000 Less Current Qtr 0.0 18.7 1.7 12.4 10.2 12.9 -5.2 21.1 12.7 0.5 12.6Russell 3000 1.2 20.1 2.9 12.8 10.4 13.1 -5.2 21.1 12.7 0.5 12.6

Debt Fixed Rate Debt 85,391,909 25.1 1.9 8.5 10.3 3.1 3.3 -- 0.3 3.6 2.6 0.7 --

Fixed Rate Debt Custom Index 1.9 8.2 9.9 2.8 3.3 -- 0.0 3.5 2.6 0.5 --Intermediate Core Bond MStar MF Median 2.2 8.5 10.1 2.9 3.3 3.9 -0.3 3.9 3.2 0.2 5.8

Floating Rate Debt 37,430,869 11.0 0.3 5.7 3.9 5.7 4.9 -- 2.8 6.3 9.2 1.4 --Credit Suisse Leveraged Loans 0.9 6.4 3.1 4.7 4.1 5.4 1.1 4.2 9.9 -0.4 2.1

Alternatives Low Volatility Strategies 50,975,283 15.0 1.0 8.6 1.6 6.5 5.8 -- -1.8 10.9 6.6 3.1 --

Low Volatility Custom Index 0.4 9.0 2.5 6.1 4.7 -- -2.0 9.9 4.2 0.5 --Liquid Real Assets 15,566,008 4.6 -6.4 9.9 -7.0 -2.0 -6.9 -- -12.5 -4.4 14.2 -26.9 15.3

Alerian MLP TR USD -5.0 11.1 -8.1 -2.5 -8.6 6.3 -12.4 -6.5 18.3 -32.6 4.8Real Estate 47,197,341 13.9 1.1 4.2 5.7 8.3 10.1 -- 9.3 9.7 11.1 10.6 --

Real Estate Custom Index 0.7 3.2 4.7 6.3 8.3 -- 7.1 6.8 7.8 13.7 --XXXXX


Total Fund Performance As of September 30, 2019



Attribution Summary9 Months Ending September 30, 2019

Wtd. ActualReturn

Wtd. IndexReturn

ExcessReturn

SelectionEffect

AllocationEffect

InteractionEffects

TotalEffects

Public Equity 14.7% 16.2% -1.5% -0.4% 0.1% 0.0% -0.3%Private Equity 12.0% 18.7% -6.7% -0.3% -0.3% 0.2% -0.4%Fixed Rate Debt 8.5% 8.2% 0.4% 0.0% 0.3% 0.0% 0.4%Floating Rate Debt 5.7% 6.4% -0.6% -0.1% -0.1% 0.0% -0.1%Low Volatility Strategies 8.6% 9.0% -0.5% -0.1% 0.0% 0.0% -0.1%Liquid Real Assets 9.9% 11.1% -1.2% 0.0% 0.0% 0.0% -0.1%Real Estate 4.2% 3.2% 1.0% 0.2% 0.0% 0.0% 0.1%Total 10.1% 10.6% -0.5% -0.8% 0.1% 0.2% -0.5%


Total Fund Attribution Analysis As of September 30, 2019




($)% of

Portfolio3 Mo

(%)YTD(%)

1 Yr(%)

3 Yrs(%)

5 Yrs(%)

10 Yrs(%)

Inception(%)

InceptionDate

_

Public Equity 93,806,668 100.0 -1.0 14.7 -1.2 8.7 6.4 -- 5.8 Jul-14

MSCI ACWI 0.0 16.2 1.4 9.7 6.7 8.3 5.9 Jul-14

InvMetrics Public DB Total Eq Net Rank 92 89 93 92 84 -- 77 Jul-14

InvMetrics Public DB Total Eq Net Median 0.3 17.5 1.9 10.4 7.9 9.9 7.2 Jul-14

Vanguard Total Stock Market Index 58,933,592 62.8 1.1 20.0 2.9 12.8 10.4 -- 12.8 Mar-12

CRSP US Total Market TR USD 1.1 20.0 2.9 12.8 10.4 13.1 12.8 Mar-12

All Cap Blend MStar MF Rank 43 34 35 22 19 -- 9 Mar-12

All Cap Blend MStar MF Median 0.8 18.3 -0.2 10.2 8.6 11.8 11.0 Mar-12

Dodge & Cox Global Stock Fund 17,167,821 18.3 -0.4 11.8 -2.4 -- -- -- 4.3 Feb-17

MSCI ACWI 0.0 16.2 1.4 9.7 6.7 8.3 8.5 Feb-17

MSCI ACWI Value NR USD -0.3 12.0 0.0 7.4 4.3 6.7 5.0 Feb-17

World Large Stock Mstar MF Rank 57 90 83 -- -- -- 91 Feb-17

World Large Stock Mstar MF Median -0.1 16.6 1.8 9.2 6.9 9.2 8.2 Feb-17

Harding Loevner Global Equity 17,705,254 18.9 -1.4 16.5 -1.8 -- -- -- 10.1 Feb-17

MSCI ACWI 0.0 16.2 1.4 9.7 6.7 8.3 8.5 Feb-17

MSCI ACWI Growth NR USD 0.3 20.4 2.8 12.0 8.9 10.0 12.1 Feb-17

World Large Stock Mstar MF Rank 79 51 77 -- -- -- 29 Feb-17

World Large Stock Mstar MF Median -0.1 16.6 1.8 9.2 6.9 9.2 8.2 Feb-17XXXXX

Weld County Retirement PlanPublic Equity

Public Equity Performance As of September 30, 2019




As of September 30, 2019

Public Equity Performance Attribution vs. MSCI ACWIAttribution Effects

Total Selection AllocationEffects Effect Effect

_

Energy -0.06% -0.10% 0.04% Materials 0.18% 0.13% 0.05% Industrials 0.11% 0.11% 0.00% Consumer Discretionary 0.10% 0.10% 0.00% Consumer Staples -0.11% 0.08% -0.19% Health Care 0.11% 0.13% -0.02% Financials -0.06% -0.07% 0.00% Information Technology -0.35% -0.40% 0.05% Communication Services 0.15% 0.13% 0.02% Utilities -0.06% 0.06% -0.13% Real Estate 0.02% 0.07% -0.05% Cash 0.01% 0.00% 0.01% Portfolio 0.04% = 0.26% + -0.22%

_





Country AllocationManager Index

EndingAllocation

(USD)

EndingAllocation

(USD)_

Europe Austria 0.0% 0.1%Belgium 0.0% 0.3%Croatia** 0.0% 0.0%Czech Republic* 0.0% 0.0%Denmark 0.1% 0.5%Estonia** 0.0% 0.0%Finland 0.2% 0.3%France 2.2% 3.3%Germany 0.9% 2.5%Greece* 0.0% 0.0%Hungary* 0.0% 0.0%Ireland 0.2% 0.2%Italy 0.4% 0.7%Lithuania** 0.0% 0.0%Luxembourg 0.1% 0.0%Netherlands 0.3% 1.1%Norway 0.0% 0.2%Poland* 0.0% 0.1%Portugal 0.0% 0.0%Romania** 0.0% 0.0%Russia* 0.1% 0.5%Serbia** 0.0% 0.0%Slovenia** 0.0% 0.0%Spain 0.5% 0.8%Sweden 0.0% 0.8%Switzerland 2.6% 2.7%United Kingdom 1.5% 4.8%Total-Europe 9.3% 19.0%

_


EndingAllocation

(USD)

EndingAllocation

(USD)_

Americas Argentina* 0.0% 0.0%Brazil* 0.6% 0.9%Canada 0.5% 3.1%Chile* 0.0% 0.1%Colombia* 0.0% 0.0%Mexico* 0.3% 0.3%Peru* 0.0% 0.0%United States 81.3% 55.8%Total-Americas 82.6% 60.3%

_


EndingAllocation

(USD)

EndingAllocation

(USD)_

AsiaPacific Australia 0.0% 2.1%Bangladesh** 0.0% 0.0%China* 1.5% 3.8%Hong Kong 0.7% 1.1%India* 1.0% 1.0%Indonesia* 0.3% 0.2%Japan 2.8% 7.3%Korea* 0.4% 1.4%Malaysia* 0.0% 0.2%New Zealand 0.0% 0.1%Pakistan* 0.0% 0.0%Philippines* 0.0% 0.1%Singapore 0.0% 0.4%Sri Lanka** 0.0% 0.0%Taiwan* 0.0% 1.3%Thailand* 0.0% 0.3%Vietnam** 0.0% 0.0%Total-AsiaPacific 6.8% 19.4%

_


EndingAllocation

(USD)

EndingAllocation

(USD)_

Other Bahrain** 0.0% 0.0%Egypt* 0.0% 0.0%Israel 0.0% 0.2%Jordan** 0.0% 0.0%Kazakhstan** 0.0% 0.0%Kenya** 0.0% 0.0%Kuwait** 0.0% 0.0%Lebanon** 0.0% 0.0%Mauritius** 0.0% 0.0%Morocco** 0.0% 0.0%Nigeria** 0.0% 0.0%Oman** 0.0% 0.0%Other Countries 0.0% 0.0%Qatar* 0.0% 0.1%Saudi Arabia* 0.0% 0.3%South Africa* 0.6% 0.6%Tunisia** 0.0% 0.0%Turkey* 0.0% 0.1%United Arab Emirates* 0.0% 0.1%Total-Other 0.6% 1.3%

_

Country AllocationVersus MSCI ACWI - Quarter Ending September 30, 2019

Manager IndexEnding Allocation (USD) Ending Allocation (USD)

_

Totals Developed 94.4% 88.3%Emerging* 4.9% 11.7%Frontier** 0.0% 0.0%Other 0.0%Cash 0.7%

_



Non-Marketable Securities OverviewAs of September 30, 2019

Account Type Account VintageYear Commitment Cumulative

TakedownCumulative

Distributions Value (RV) Total Value(RV + Dist)

UnfundedCommitment

DPI (dist /takedowns)

RVPI (RV /takedowns)

TVPI (TV /takedown)

Takedown(takedowns /

commit)IRR

_

Private Equity Aberdeen U.S. PrivateEquity VI, L.P. 2015 $4,000,000 $3,600,000 $1,041,312 $3,989,788 $5,031,100 $400,000 28.93% 110.83% 139.75% 90.00% 18.74

Weathergage VentureCapital IV 2016 $3,600,000 $2,160,000 $0 $2,565,970 $2,565,970 $1,440,000 0.00% 118.79% 118.79% 60.00% 12.90

Total Account $7,600,000 $5,760,000 $1,041,312 $6,555,757 $7,597,070 $1,840,000 18.08% 113.82% 131.89% 75.79% 17.13XXXXX

Weld County Retirement PlanPrivate Equity




Weld County Retirement PlanFixed Rate Debt



($)% of

Portfolio3 Mo

(%)YTD(%)

1 Yr(%)

3 Yrs(%)

5 Yrs(%)

10 Yrs(%)

Inception(%)

InceptionDate

_

Fixed Rate Debt 85,391,909 100.0 1.9 8.5 10.3 3.1 3.3 -- 3.2 Jul-14

Fixed Rate Debt Custom Index 1.9 8.2 9.9 2.8 3.3 -- 3.2 Jul-14

Intermediate Core Bond MStar MF Rank 77 47 39 34 38 -- 45 Jul-14

Intermediate Core Bond MStar MF Median 2.2 8.5 10.1 2.9 3.3 3.9 3.1 Jul-14

JP Morgan Core Bond Fund 35,904,090 42.0 2.4 8.7 10.5 3.2 3.7 4.3 5.0 Jul-08

BBgBarc US Aggregate TR 2.3 8.5 10.3 2.9 3.4 3.7 4.2 Jul-08

Intermediate Core Bond MStar MF Rank 6 39 19 20 12 18 16 Jul-08

Intermediate Core Bond MStar MF Median 2.2 8.5 10.1 2.9 3.3 3.9 4.4 Jul-08

Metropolitan West Total Return 23,456,908 27.5 2.2 9.0 10.6 3.2 -- -- 3.2 Sep-16

BBgBarc US Aggregate TR 2.3 8.5 10.3 2.9 3.4 3.7 2.9 Sep-16

Intermediate Core Bond MStar MF Rank 47 31 15 24 -- -- 24 Sep-16

Intermediate Core Bond MStar MF Median 2.2 8.5 10.1 2.9 3.3 3.9 2.9 Sep-16

Vanguard Short-Term Treasury Index 26,030,911 30.5 -- -- -- -- -- -- -0.1 Aug-19

ICE BofAML 1-3 Yrs US Treasuries TR 0.6 3.0 4.4 1.5 1.3 1.2 -0.1 Aug-19XXXXX



Weld County Retirement PlanJP Morgan Core Bond Fund


JP Morgan Barclays US Core Bond Aggregate

5.9 5.7AA- AA

2.5% 2.3%

Effective Duration (years)Average QualityAverage YieldEffective Maturity (years) 7.9

Bond Portfolio CharacteristicsAs of September 30, 2019

62.5%

4.3% 12

.7%

14.0%

0.3%

0.0% 6.2

%

72.3%

3.2% 10

.7% 13.9%

0.0%

0.0%

0.0%

0%

20%

40%

60%

80%

100%

AAA AA A BBB B CCC & Lower

7.8

Quality Rating Allocation

JP Morgan Core Bond

BB

Barclays US Aggregate

23.7%

2.0%

32.3%

3.8% 7.3

%

25.5%

5.5%

39.7%

1.2%

27.6%

1.2%

0.5%

29.7%

0.0%

0%

10%

20%

30%

40%

50%

60%

US Treasury US Gov't Agency Mortgage CMBS ABS Corporate Cash/Other

Sector Allocation



Weld County Retirement PlanMetropolitan West Total Return


Fund Information as of September 30, 2019

Fund Name METROPOLITAN WESTTOTAL RETURN BD PLAN

Ticker MWTSX

Morningstar Category Intermediate Core-PlusBond

Benchmark BBgBarc US Aggregate TR

Expense Ratio 0.37%

Fund Assets ($mm) 23,300.65

Share Class Inception Date 7/29/2011

Manager Tenure 23

Top Holdings as of September 30, 2019UNITED STATES TREASURY NOTES 1.25% 6.22%FEDERAL NATIONAL MORTGAGE ASSOCIATION 3% 4.88%UNITED STATES TREASURY NOTES 1.5% 4.74%UNITED STATES TREASURY BONDS 2.25% 3.37%UNITED STATES TREASURY NOTES 1.75% 2.88%UNITED STATES TREASURY NOTES 1.62% 1.99%UNITED STATES TREASURY BONDS 2.88% 1.85%UNITED STATES TREASURY NOTES 1.5% 1.85%GOVERNMENT NATIONAL MORTGAGE ASSOCIATION3% 1.82%

UNITED STATES TREASURY NOTES 1.75% 1.56%

Fund Characteristics as of September 30, 2019Sharpe Ratio (3 Year) 0.48Average Duration 5.75Average Coupon 3.11%Average Effective Maturity 7.69R-Squared (3 Year) 0.99Alpha (3 Year) 0.08%Beta (3 Year) 0.97

Fixed Income Sectors as of September 30, 2019GOVERNMENT 29.28%MUNICIPAL 0.58%CORPORATE 22.95%SECURITIZED 44.74%CASH & EQUIVALENTS 2.44%DERIVATIVE 0.01%

Maturities as of September 30, 20191 to 3 Years 10.71%

3 to 5 Years 15.22%

5 to 7 Years 8.88%

7 to 10 Years 9.32%

10 to 15 Years 3.75%

15 to 20 Years 6.16%

20 to 30 Years 34.54%

Greater than 30 Years 10.55%

Credit Quality as of September 30, 2019AAA 66.48%

AA 1.95%

A 7.77%

BBB 18.26%

BB 1.68%

B 0.71%

Below B 3.12%

Not Rated 0.03%



Weld County Retirement PlanFloating Rate DebtAs of September 30, 2019


($)% of

Portfolio3 Mo

(%)YTD(%)

1 Yr(%)

3 Yrs(%)

5 Yrs(%)

10 Yrs(%)

Inception(%)

InceptionDate

_

Floating Rate Debt 37,430,869 100.0 0.3 5.7 3.9 5.7 4.9 -- 4.6 Jul-14

Credit Suisse Leveraged Loans 0.9 6.4 3.1 4.7 4.1 5.4 3.8 Jul-14

Bain Capital Senior Loan Fund 22,716,758 60.7 0.7 6.4 3.2 4.7 3.7 -- 3.8 Sep-13

Credit Suisse Leveraged Loans 0.9 6.4 3.1 4.7 4.1 5.4 4.1 Sep-13

Bank Loan MStar MF Rank 77 46 23 12 40 -- 34 Sep-13

Bank Loan MStar MF Median 1.0 6.3 2.6 4.0 3.6 5.0 3.6 Sep-13

Golub Capital Partners International 11, L.P. 5,400,000 14.4 0.0 5.2 7.1 -- -- -- 8.8 Jul-17

Credit Suisse Leveraged Loans 0.9 6.4 3.1 4.7 4.1 5.4 4.3 Jul-17

Principal Real Estate Debt Fund 570,239 1.5 -0.2 3.7 5.9 7.5 7.8 -- 8.2 May-14

Credit Suisse Leveraged Loans 0.9 6.4 3.1 4.7 4.1 5.4 4.0 May-14

Principal Real Estate Debt Fund II 8,743,873 23.4 -0.2 3.1 4.8 -- -- -- 9.6 Aug-17

Credit Suisse Leveraged Loans 0.9 6.4 3.1 4.7 4.1 5.4 4.1 Aug-17XXXXX



Weld County Retirement PlanBain Capital Senior Loan Fund


Bain CapitalSenior Loan

Credit Suisse Leveraged Loan Index

0.2 0.0B Split BB

6.5% 4.8%

Effective Duration (years)Average QualityYield to WorstEffective Maturity (years) 4.9

Loan Portfolio CharacteristicsAs of September 30, 2019

0.0%

13.9%

78.1%

5.3%

2.7%

6.8%

31.0%

54.7%

5.1%

2.4%

0%

20%

40%

60%

80%

100%

BBB & Above BB B CCC/D Not Rated

5.1

Quality Rating Allocation

Bain Capital Senior Loan Credit Suisse Leveraged Loan Index

6.1%

89.3%

0.7%

0.9% 3.1

%

0.0%

94.6%

3.6%

0.0%

0.0%

0%10%20%30%40%50%60%70%80%90%

100%110%

High Yield Bond Bank Loan (1st Lien) Bank Loan (2nd Lien) Equity & Structured Cash

Sector Allocation



Weld County Retirement PlanFloating Rate DebtAs of September 30, 2019



TakedownCumulative


UnfundedCommitment



TVPI (TV /takedown)


commit)IRR

_

Other Golub Capital PartnersInternational 11, L.P. 2017 $8,000,000 $5,400,000 $567,248 $5,400,000 $5,967,248 $2,600,000 10.50% 100.00% 110.50% 67.50% 8.50

Principal Real Estate DebtFund 2014 $8,000,000 $7,106,258 $8,047,686 $570,239 $8,617,925 $893,742 113.25% 8.02% 121.27% 88.83% 8.43

Principal Real Estate DebtFund II 2017 $15,000,000 $11,220,124 $3,318,757 $8,743,873 $12,062,630 $3,779,876 29.58% 77.93% 107.51% 74.80% 7.40





($)% of

Portfolio3 Mo

(%)YTD(%)

1 Yr(%)

3 Yrs(%)

5 Yrs(%)

10 Yrs(%)

Inception(%)

InceptionDate

_

Low Volatility Strategies 50,975,283 100.0 1.0 8.6 1.6 6.5 5.8 -- 5.7 Jul-14

Low Volatility Custom Index 0.4 9.0 2.5 6.1 4.7 -- 4.5 Jul-14

Blackrock Appreciation Strategy Fund 14,202,527 27.9 -0.6 2.5 0.4 4.7 3.7 -- 3.7 Oct-14

HFRI Fund of Funds Composite Index -0.9 5.2 0.0 3.2 1.9 2.7 1.9 Oct-14

InvMetrics Public DB Hedge Funds Net Rank 72 89 50 34 28 -- 28 Oct-14

InvMetrics Public DB Hedge Funds Net Median 0.0 5.9 0.2 4.4 2.5 3.7 2.5 Oct-14

Parametric Defensive Equity 36,772,755 72.1 1.7 11.1 2.1 7.2 6.7 -- 7.6 Apr-13

50% S&P500/50%T-Bills 1.1 11.0 3.7 7.5 6.0 -- 6.7 Apr-13XXXXX

Weld County Retirement PlanLow Volatility Strategies




Weld County Retirement PlanBlackrock Appreciation Strategy Fund


Total Hedge Fund Strategy AllocationAs of September 30, 2019

Strategy Market Value Percent_

Equity Hedge $5,780,428.56 40.70%Event Driven $2,769,492.80 19.50%Macro $568,101.09 4.00%Relative Value $5,084,504.73 35.80%TOTALS $14,202,527.17 100.00%

XXXXX



Weld County Retirement PlanParametric Defensive Equity


Quarterly Return Attribution

Q4 2014 Q1 2015 Q2 2015 Q3 2015 Q4 2015 Q1 2016 Q2 2016 Q3 2016 Q4 2016 Q1 2017 Q2 2017 Q3 2017 Q4 2017 Q1 2018 Q2 2018 Q3 2018 Q4 2018 Q1 2019 Q2 2019 Q3 2019Options -0.4% 1.2% 1.1% 0.3% 0.7% 0.0% 1.3% 0.5% 0.4% 0.1% 0.8% 0.6% -0.4% -1.7% 1.2% 0.7% -1.5% 0.1% -0.4% 0.6%

T-Bills 0.0% 0.0% 0.0% 0.0% 0.0% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.2% 0.2% 0.2% 0.3% 0.3% 0.4% 0.3%

Equity 2.5% 0.4% 0.1% -3.2% 3.5% 0.8% 1.2% 1.9% 2.0% 2.9% 1.6% 2.2% 3.4% -0.4% 1.7% 3.7% -6.8% 6.7% 2.1% 0.9%

Composite (net) 2.0% 1.6% 1.2% -3.0% 4.1% 0.8% 2.5% 2.4% 2.3% 3.0% 2.4% 2.9% 3.0% -2.0% 3.1% 4.6% -8.1% 7.0% 2.0% 1.7%

-10.00%

-8.00%

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

Ret

urn



Weld County Retirement PlanLiquid Real AssetsAs of September 30, 2019


($)% of

Portfolio3 Mo

(%)YTD(%)

1 Yr(%)

3 Yrs(%)

5 Yrs(%)

10 Yrs(%)

Inception(%)

InceptionDate

_

Liquid Real Assets 15,566,008 100.0 -6.4 9.9 -7.0 -2.0 -6.9 -- 5.0 Sep-11

Alerian MLP TR USD -5.0 11.1 -8.1 -2.5 -8.6 6.3 1.6 Sep-11

Tortoise MLP Account 15,566,008 100.0 -6.4 9.9 -7.0 -2.0 -6.9 -- 5.0 Sep-11

Alerian MLP TR USD -5.0 11.1 -8.1 -2.5 -8.6 6.3 1.6 Sep-11

Energy Limited Partnership Mstar MF Rank 88 83 46 43 56 -- 13 Sep-11

Energy Limited Partnership Mstar MF Median -4.2 13.3 -7.7 -2.5 -6.5 -- 2.0 Sep-11XXXXX



Weld County Retirement PlanTortoise MLP Account


Fund Weight9.6%9.6%9.4%9.1%

Company NameMPLX LPMagellan Midstream Partners, L.P.Enterprise Products Partners L.P.Energy Transfer LPPlains All American Pipeline, L.P. 8.7%

Tortoise Commingled MLP Fund CharacteristicsAs of September 30, 2019

Top 5 Holdings

Crude Oil Pipelines12.5%

Natural Gas Pipelines39.4%Refined Product Pipelines

26.2%

Gathering and Processing18.5%

Cash and Equivalents3.4%

Sector Allocation



Weld County Retirement PlanReal Estate



($)% of

Portfolio3 Mo

(%)YTD(%)

1 Yr(%)

3 Yrs(%)

5 Yrs(%)

10 Yrs(%)

Inception(%)

InceptionDate

_

Real Estate 47,197,341 100.0 1.1 4.2 5.7 8.3 10.1 -- 10.3 Jul-14

Real Estate Custom Index 0.7 3.2 4.7 6.3 8.3 -- 8.5 Jul-14

Principal US Property Account 33,008,333 69.9 1.6 4.7 6.0 7.8 9.5 10.7 7.1 Nov-04

NCREIF-ODCE Net 1.1 3.1 4.6 6.3 8.4 9.8 6.9 Nov-04

Harbert US Real Estate Fund V 4,371,490 9.3 0.0 3.7 2.9 9.3 12.8 -- 13.1 Jul-14

NCREIF Property Index 0.0 3.3 4.8 6.3 8.3 9.6 8.4 Jul-14

Harbert US Real Estate Fund VI 9,817,519 20.8 0.0 3.0 6.6 11.8 -- -- 7.6 Apr-16

NCREIF Property Index 0.0 3.3 4.8 6.3 8.3 9.6 6.5 Apr-16XXXXX



Weld County Retirement PlanReal Estate




TakedownCumulative


UnfundedCommitment



TVPI (TV /takedown)


commit)IRR

_

Real Estate Harbert US Real EstateFund V 2012 $8,500,000 $7,690,133 $6,777,080 $4,371,490 $11,148,569 $809,867 88.13% 56.85% 144.97% 90.47% 13.07

Harbert US Real EstateFund VI 2016 $10,000,000 $8,428,504 $989,362 $9,817,519 $10,806,881 $1,571,496 11.74% 116.48% 128.22% 84.29% 10.44




Weld County Retirement PlanPrivate Equity Real Estate


Principal U.S. Property

Account

*Harbert U.S. Real

Estate Fund V, LP

*Harbert U.S. Real

Estate Fund VI, LP$10.7 Billion N/A N/A$8.5 Billion $264.11 Million $455.73 Million

18.0% 60.0% 64.0%129 15 2843 6 10

Gross Asset ValueNet Asset ValueLeverage RatioNumber of InvestmentsNumber of MarketsPortfolio Occupancy 93.0% 79.0% 86.0%

*Information as of 06/30/2019.

Private Equity Real Estate Portfolio CharacteristicsAs of September 30, 2019

25.0

%

21.0

% 38.0

%

15.0

%

1.0%

21.0

%

67.0

%

12.0

%30.0

% 44.0

%

12.0

%

14.0

%25.2

%

17.7

% 35.3

%

21.4

%

0.4%

0.0%

20.0%

40.0%

60.0%

80.0%

100.0%

Residential Hotel Other

Property Type

Industrial

Principal U.S. Property Account

Offi ce

Harbert U.S. Real Estate V

Retail

Harbert U.S. Real Estate VI NCREIF Property Index

47.0

%

28.0

%

21.0

%

4.0%

49.0

%

42.0

%

9.0%

47.0

%

20.0

%

27.0

%

6.0%

39.5

%

32.2

%

20.1

%

8.3%

0.0%

20.0%

40.0%

60.0%

80.0%

West Midwest

Geographic Region

Principal U.S. Property Account

East

Harbert U.S. Real Estate V

South

Harbert U.S. Real Estate VI NCREIF Property Index



Weld County Retirement PlanBenchmark HistoryAs of September 30, 2019

Benchmark HistoryAs of September 30, 2019

_

Total Fund

8/1/2019 Present MSCI ACWI 25% / Russell 3000 Less Current Qtr 5% / BBgBarc US Aggregate TR 15% / ICE BofAML 1-3 Yrs US Treasuries TR 5% / Credit Suisse Leveraged Loans 15% / Alerian MLP TR USD 5% /50% S&P500/50%T-Bills 10% / HFRI Fund of Funds Composite Index 5% / NCREIF-ODCE Net 10% / NCREIF Property Index 5%

1/1/2018 7/31/2019 MSCI ACWI 35% / Russell 3000 Less Current Qtr 5% / BBgBarc US Aggregate TR 10% / Credit Suisse Leveraged Loans 15% / Alerian MLP TR USD 5% / 50% S&P500/50%T-Bills 10% / HFRI Fund ofFunds Composite Index 5% / NCREIF-ODCE Net 10% / NCREIF Property Index 5%

8/1/2017 12/31/2017 MSCI ACWI 30% / Russell 3000 5% / BBgBarc US Aggregate TR 10% / Credit Suisse Leveraged Loans 15% / Alerian MLP TR USD 10% / 50% S&P500/50%T-Bills 10% / HFRI Fund of FundsComposite Index 5% / NCREIF-ODCE Net 10% / NCREIF Property Index 5%



10/1/2014 5/31/2015 MSCI ACWI 35% / BBgBarc US Aggregate TR 15% / Credit Suisse Leveraged Loans 10% / Alerian MLP TR USD 10% / 50% S&P500/50%T-Bills 10% / HFRI Fund of Funds Composite Index 5% /NCREIF-ODCE Net 10% / NCREIF Property Index 5%

7/1/2014 9/30/2014 MSCI ACWI 35% / BBgBarc US Aggregate TR 15% / Credit Suisse Leveraged Loans 10% / Alerian MLP TR USD 10% / 50% S&P500/50%T-Bills 10% / HFRI Macro (Total) Index 5% / NCREIF-ODCENet 10% / NCREIF Property Index 5%

10/1/2013 6/30/2014 MSCI ACWI 35% / BBgBarc US Aggregate TR 20% / Credit Suisse Leveraged Loans 10% / Alerian MLP TR USD 10% / 50% S&P500/50%T-Bills 10% / HFRI Macro (Total) Index 5% / NCREIF-ODCENet 10%

4/1/2013 9/30/2013 MSCI ACWI 35% / BBgBarc US Aggregate TR 25% / Alerian MLP TR USD 10% / 50% S&P500/50%T-Bills 10% / HFRI Macro (Total) Index 10% / NCREIF-ODCE Net 10%2/1/2012 3/31/2013 Russell 3000 20% / MSCI ACWI ex USA 20% / BBgBarc US Aggregate TR 30% / HFRI Macro (Total) Index 10% / Alerian MLP TR USD 10% / NCREIF-ODCE Net 10%9/1/2011 1/31/2012 Russell 3000 25% / MSCI ACWI ex USA 25% / BBgBarc US Aggregate TR 30% / Alerian MLP TR USD 10% / NCREIF-ODCE Net 10%9/1/2010 8/31/2011 Russell 3000 25% / MSCI ACWI ex USA 25% / BBgBarc US Aggregate TR 40% / NCREIF-ODCE Net 10%

12/1/2009 8/31/2010 Russell 3000 30% / MSCI ACWI ex USA 30% / BBgBarc US Aggregate TR 30% / NCREIF-ODCE Net 10%7/1/2007 11/30/2009 Russell 3000 40% / MSCI ACWI ex USA 25% / BBgBarc US Aggregate TR 25% / NCREIF-ODCE Net 10%

10/1/2005 6/30/2007 Russell 3000 40% / MSCI ACWI ex USA 25% / BBgBarc US Aggregate TR 25% / NCREIF-ODCE Net 10%10/1/2004 9/30/2005 S&P 500 17.5% / Russell 1000 Value 17.5% / Russell 2500 Growth 15% / MSCI EAFE 15% / BBgBarc US Aggregate TR 25% / NCREIF-ODCE Net 10%10/1/2003 9/30/2004 S&P 500 17.5% / Russell 1000 Value 17.5% / Russell 2500 Growth 15% / MSCI EAFE 15% / BBgBarc US Aggregate TR 35%11/1/1999 9/30/2003 S&P 500 17.5% / Russell 1000 Value 17.5% / Russell 2000 15% / MSCI EAFE 15% / BBgBarc US Aggregate TR 35%

_

Low Volatility Strategies10/1/2014 Present 50% S&P500/50%T-Bills 67% / HFRI Fund of Funds Composite Index 33%

7/1/2014 9/30/2014 50% S&P500/50%T-Bills 100%XXXXX

_

Real Estate7/1/2014 Present NCREIF-ODCE Net 67% / NCREIF Property Index 33%

XXXXX



Manager RosterAs of September 30, 2019

Account Type Benchmark Universe Market Value Allocation Inception_

Aberdeen U.S. Private Equity VI, L.P. Private Equity $3,989,788 1.2% 12/1/2014

Bain Capital Senior Loan Fund Floating Rate Debt Credit Suisse Leveraged Loans Bank Loan MStar MF $22,716,758 6.7% 9/1/2013

Blackrock Appreciation Strategy Fund Low Volatility HFRI Fund of Funds Composite Index InvMetrics Public DB HedgeFunds Net $14,202,527 4.2% 10/1/2014

Dodge & Cox Global Stock Fund Public Equity MSCI ACWI World Large Stock Mstar MF $17,167,821 5.1% 2/28/2017

Golub Capital Partners International 11, L.P. Floating Rate Debt Credit Suisse Leveraged Loans $5,400,000 1.6% 7/1/2017

Harbert US Real Estate Fund V Real Estate NCREIF Property Index $4,371,490 1.3% 7/1/2014

Harbert US Real Estate Fund VI Real Estate NCREIF Property Index $9,817,519 2.9% 4/1/2016

Harding Loevner Global Equity Public Equity MSCI ACWI World Large Stock Mstar MF $17,705,254 5.2% 2/28/2017

JP Morgan Core Bond Fund Fixed Rate Debt BBgBarc US Aggregate TR Intermediate Core Bond MStarMF $35,904,090 10.6% 7/1/2008

Metropolitan West Total Return Fixed Rate Debt BBgBarc US Aggregate TR Intermediate Core Bond MStarMF $23,456,908 6.9% 9/30/2016

Operating Account Cash $3,020,721 0.9% 7/1/1998

Parametric Defensive Equity Low Volatility 50% S&P500/50%T-Bills $36,772,755 10.8% 4/1/2013

Principal Real Estate Debt Fund Floating Rate Debt Credit Suisse Leveraged Loans $570,239 0.2% 5/1/2014

Principal Real Estate Debt Fund II Floating Rate Debt Credit Suisse Leveraged Loans $8,743,873 2.6% 8/1/2017

Principal US Property Account Real Estate NCREIF-ODCE Net $33,008,333 9.7% 11/1/2004

Tortoise MLP Account Liquid Real Assets Alerian MLP TR USD Energy Limited Partnership MstarMF $15,566,008 4.6% 9/1/2011

Vanguard Short-Term Treasury Index Fixed Rate Debt ICE BofAML 1-3 Yrs US Treasuries TR $26,030,911 7.7% 8/31/2019

Vanguard Total Stock Market Index Public Equity CRSP US Total Market TR USD All Cap Blend MStar MF $58,933,592 17.3% 3/1/2012

Weathergage Venture Capital IV Private Equity $2,565,970 0.8% 10/1/2016

Total Policy Index InvMetrics Public DB $250mm-$1B Net $339,944,555 100.0% 1/1/1995

_

Weld County Retirement PlanManager Roster




Fee Schedule

Account Fee Schedule Market ValueAs of 9/30/2019 % of Portfolio Estimated Annual Fee

($)Estimated Annual Fee

(%)_

Vanguard Total Stock Market Index 0.04% of Assets $58,933,592 17.3% $23,573 0.04%

Dodge & Cox Global Stock Fund 0.63% of Assets $17,167,821 5.1% $108,157 0.63%

Harding Loevner Global Equity 0.92% of Assets $17,705,254 5.2% $162,888 0.92%

Aberdeen U.S. Private Equity VI, L.P. 10,000 Quarterly $3,989,788 1.2% $40,000 --

Weathergage Venture Capital IV 9,000 Quarterly $2,565,970 0.8% $36,000 --

JP Morgan Core Bond Fund 0.30% of Assets $35,904,090 10.6% $107,712 0.30%

Metropolitan West Total Return 0.44% of Assets $23,456,908 6.9% $103,210 0.44%

Vanguard Short-Term Treasury Index 0.05% of Assets $26,030,911 7.7% $13,015 0.05%

Bain Capital Senior Loan Fund 0.68% of Assets $22,716,758 6.7% $154,474 0.68%

Golub Capital Partners International 11, L.P. 1.00% of Assets $5,400,000 1.6% $54,000 1.00%

Principal Real Estate Debt Fund 0.65% of Assets $570,239 0.2% $3,707 0.65%

Principal Real Estate Debt Fund II 0.85% of Assets $8,743,873 2.6% $74,323 0.85%

Blackrock Appreciation Strategy Fund Performance-based 0.75 and 7.50 $14,202,527 4.2% $106,519 0.75%

Parametric Defensive Equity 0.35% of Assets $36,772,755 10.8% $128,705 0.35%

Tortoise MLP Account 0.75% of Assets $15,566,008 4.6% $116,745 0.75%

Principal US Property Account 0.95% of Assets $33,008,333 9.7% $313,579 0.95%

Harbert US Real Estate Fund V 1.50% of Assets $4,371,490 1.3% $65,572 1.50%

Harbert US Real Estate Fund VI 31,250 Quarterly $9,817,519 2.9% $125,000 --

Operating Account 0.18% of Assets $3,020,721 0.9% $5,437 0.18%

Investment Management Fee $339,944,555 100.0% $1,742,618 0.51%XXXXX

Weld County Retirement PlanFee Schedule




Updated 04/29/19

Endnotes • As a service to clients, Ellwood may provide reporting information on all assets held in your account, including assets for which it does not provide advisory services. Such assets may include

legacy assets, assets for which you have engaged other advisors and, with respect to retirement plans, (i) self-directed brokerage, mutual fund window and similar options, (ii) employersecurities, and (iii) real property. While Ellwood seeks to identify such assets as “excluded assets” in your reports and/or in your Consulting Services Agreement, Ellwood shall not be liable orresponsible in any respect for the supervision or oversight of such assets.

• The historical information included herein regarding the performance by various funds and managers is historical only and is not a guarantee of future performance.

• Included in this report are various indices and market information as well as, in some cases, prior investment manager data regarding your plan ("Third Party Data"). Such information mayinclude, but is not limited to, information that Ellwood purchases from commercial sources and information that is provided to Ellwood at no cost. Ellwood Associates has no duty to investigateor inquire into the accuracy or reliability of Third Party Data, and Ellwood may rely fully and completely on any and all such information.

• Regarding asset allocations, Ellwood obtains information from multiple sources believed to be reliable as of the date of publication; Ellwood, however, makes no representations as to theaccuracy or completeness of such third party information. Ellwood has no obligation to update, modify or amend this information or to otherwise notify a reader thereof in the event that anysuch information becomes outdated, inaccurate, or incomplete. Specific needs of a client must be reviewed and assessed before determining the proper allocation for a client and must beadjusted to market circumstances. Any opinions herein reflect our judgment as of this date and are subject to change.

• Hypothetical performance results have many inherent limitations. No representation is being made that any performance will or is likely to achieve profits or losses similar to those shown. Infact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations ofa hypothetical performance record is that decisions relating to the selection of managers and the allocation of assets among those managers were made with the benefit of hindsight basedupon the historical rates of return of the selected trading advisors. Therefore, performance records invariably show positive rates of return. Another inherent limitation of these results is thatthe allocation decisions reflected in the performance record were not made under actual market conditions and, therefore, cannot completely account for the impact of financial risk in actualtrading.

• Ellwood’s calculations and liability output may differ from the client’s actuary’s calculations and liability output. This information is not to be used for client financial reporting and is intendedfor investment analysis purposes only.

• Russell Investment Group is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto. The material may containconfidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is an Ellwood presentation of the data. Russell Investment Group isnot responsible for the formatting or configuration of this material or for any inaccuracy in presentation thereof.

• Manager and universe returns are shown net of investment management expenses. Index returns are shown gross of investment management expenses. All figures shown are gross the feesand expenses of Ellwood.

• Performance for the Ellwood direct hedge fund Platforms is illustrative prior to client investment. Illustrative performance is provided solely to demonstrate Ellwood’s investment process andperformance of the underlying asset class, and does not represent client’s actual investment results. Illustrative performance is derived from applying the stated allocation during the periodshown to actual historical performance data of the underlying hedge funds. Actual allocations and underlying funds selected may differ based on the circumstances of individual clients.Illustrative performance information is not meant to be a historical description of results or a prediction of future performance. Actual results may vary from the results illustrated herein andsuch variations may be material.

• In presenting the information of a private fund (e.g., hedge fund, private equity fund, venture capital fund or real estate fund), Ellwood will generally rely on information obtained directly fromthe private fund’s manager, including valuation, performance, capital call and distribution information. Such information typically lags at least one quarter but not more than two quarters dueto time necessary to complete the valuation process; however valuations presented in this report may be adjusted by Ellwood to reflect capital calls and distributions made by a private fundthrough the reporting date shown. Valuation and performance information of private funds are subject to a number of assumptions and judgments, and are highly subjective in nature. Ellwoodmakes no representations or warranties as to the information included herein and is under no obligation to update this report for subsequent changes in such information.

• Confidentiality: All information contained herein is the confidential and proprietary information of Ellwood and/or the underlying investment managers. Such information may be used only foryour investment purposes and may not be disseminated to third parties without the written consent of Ellwood Associates.

45

Updated 04/29/19

Endnotes • The S&P 500® Index and its GICS® Level 1 (Sector) sub-indices are products of S&P Dow Jones Indices LLC and have been licensed for use by Ellwood Associates. Copyright © 2019 S&P

Dow Jones Indices LLC, a subsidiary of S&P Global Inc. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow JonesIndices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of Standard & Poor’s Financial Services LLCand Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their thirdparty licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to representand none of S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates or their third party licensors shall have any liability for any errors, omissions, or interruptions ofany index or the data included therein.

• Copyright ©2019 MSCI. Unpublished. All Rights Reserved. This information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not beused to create any financial instruments or products or any indices. This information is provided on an “as is” basis and the user of this information assumes the entire risk of any use itmay make or permit to be made of this information. Neither MSCI, any or its affiliates or any other person involved in or related to compiling, computing or creating this information makesany express or implied warranties or representations with respect to such information or the results to be obtained by the use thereof, and MSCI, its affiliates and each such other personhereby expressly disclaim all warranties (including, without limitation, all warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for aparticular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall MSCI, any of its affiliates or any other person involved in or related to compiling,computing or creating this information have any liability for any direct, indirect, special, incidental, punitive, consequential or any other damages (including, without limitation, lost profits)even if notified of, or if it might otherwise have anticipated, the possibility of such damages.

• CRSP: Calculated/Derived based upon data from CRSP® Indexes Data Center for Research in Security Prices (CRSP®), The University of Chicago Booth School of Business.

• FTSE International Limited (“FTSE”) © FTSE 2019. FTSE® is a trade mark of the London Stock Exchange Group companies and is used by FTSE under license. All rights in the FTSE indicesand / or FTSE ratings vest in FTSE and/or its licensors. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices and / or FTSE ratings or underlyingdata. No further distribution of FTSE Data is permitted without FTSE’s express written consent. FTSE does not promote, sponsor nor endorse the research report.

• Copyright © 2019 PitchBook Data, Inc. All rights reserved. PitchBook Data, Inc. makes no representation or warranty, express or implied, regarding any data it provides, and PitchBookData, Inc. shall have no liability for any errors, omissions, or interruptions of any data so provided, directly or indirectly, by PitchBook Data, Inc.

• NCREIF (National Council of Real Estate Investment Fiduciaries)

• The HFRI index(es) listed in this report is being used under license from Hedge Fund Research, Inc., which does not approve of or endorse the contents of this report.www.hedgefundreasearch.com

• “Alerian MLP Index”, “Alerian MLP Total Return Index”, “AMZ”, and “AMZX” are trademarks of GKD Index Partners d/b/a Alerian (“Alerian”) and their use is granted under a license fromAlerian. Alerian does not guarantee the accuracy and/or completeness of the Alerian MLP Index or any data included therein and Alerian shall have no liability for any errors, omissions,interruptions or defects therein. Alerian makes no warranty, express or implied, representations or promises, as to results to be obtained by Licensee, or any other person or entity from theuse of the Alerian MLP Index or any data included therein. Alerian makes no express or implied warranties, representations or promises, regarding the originality, merchantability, suitability,or fitness for a particular purpose or use with respect to the Alerian MLP Index or any data included therein. Without limiting any of the foregoing, in no event shall Alerian have any liabilityfor any direct, indirect, special, incidental, punitive, consequential, or other damages (including lost profits), even if notified of the possibility of such damages.

• Source ICE Data Indices, LLC (“ICE DATA”), is used with permission. ICE DATA, its affiliates and their respective third party suppliers disclaim any and all warranties and representations,express and/or implied, including any warranties of merchant ability or fitness for a particular purpose or use, including the indices, index data and any data included in, related to, orderived therefrom. Nether ICE DATA, its affiliates nor their respective third party providers shall be subject to any damages or liability with respect to the adequacy, accuracy, timeliness orcompleteness of the indices or the index data or any component thereof, and the indices and index data and all components thereof are provided on an “as is” basis and your use is at yourown risk. ICE DATA, its affiliates and their respective third party suppliers do not sponsor, endorse, or recommend Ellwood, or any of its products or services.

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Documents

Third Quarter 2019 Performance Report · Year-To-Date Market Timeline Source: Morningstar Direct, S&P Dow Jones Indices LLC, a division of S&P Global, MSCI, Bloomberg Finance, LP