PERFORMANCE

COMPOSITE NET RETURNS (as of June 30, 2018)

3 Months YTD 1 Year 3 Years 5 Years Since Inception
Short Duration Strategy 0.73% 1.24% 2.50% 2.43% 2.12% 3.95%
Bloomberg Barclays 1-3 Yr Govt. Index 0.21% 0.06% 0.03% 0.41% 0.59% 3.53%
Excess Return 0.52% 1.17% 2.46% 2.02% 1.53% 0.42%

ANNUAL COMPOSITE NET RETURNS (for last 15 years)

2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002
Short Duration Strategy 3.04% 2.49% 1.18% 2.43% -0.72% 1.63% 2.33% 2.97% 3.67% 2.34% 6.06% 4.57% 2.10% 0.59% 1.49% 7.14%
Bloomberg Barclays 1-3 Yr Govt.Index 0.45% 0.87% 0.56% 0.64% 0.37% 0.52% 1.56% 2.40% 1.41% 6.66% 7.10% 4.12% 1.72% 1.06% 2.02% 6.01%
Excess Return 2.59% 2.04% 0.62% 1.79% -1.09% 1.11% 0.77% 0.57% 2.26% -4.32% -1.04% 0.45% 0.38% -0.47% -0.53% 1.13%

PERFORMANCE STATISTICS

SHORT DURATION STRATEGY BLOOMBERG BARCLAYS MBS INDEX
Standard Deviation 0.52% 0.75%
Sharpe Ratio 4.71
Tracking Error 0.83%
Information Ratio 2.23

The Standard Deviation is the annualized standard deviation of monthly returns for the trailing three year period.

Sharpe Ratio and Tracking Error are trailing 3 year numbers.

Composite inception August 1, 1993. Performance listed net of accrued investment advisor management and performance fees. Contact Semper for historical performance since inception. Performance listed net of accrued investment advisor management fees. Periods of longer than one year are annualized. Composite performance for the Semper Short Duration Fixed Income Strategy represents performance for separately managed accounts advised by Semper and the Semper Short Duration Fund. The Bloomberg Barclays Capital 1-3 Year Government Index includes Treasury and Agency securities issued by the U.S. Government with a maturity from 1 up to (but not including) 3 years. This unmanaged Index contains only dollar-denominated, investment grade issues with at least $250 million par outstanding. Performance data quoted represents past performance and does not guarantee future results.

STATISTICS

FUND CHARACTERISTICS

SHORT DURATION STRATEGY B.B. 1-3 YEAR GOVT. INDEX
Strategy Assets $200.3 Million $2.8 Trillion
Yield to Maturity (%) 3.82 2.53
Average Coupon (%) 3.53 1.87
Average Life/Maturity (years) 2.44 1.98
Effective Duration (years) 0.38 1.92
Average Credit Quality BBB AAA

CREDIT QUALITY

SHORT DURATION STRATEGY B.B. 1-3 YEAR GOVT. INDEX
AAA 43.5% 100.0%
AA 4.9% 0.0%
A 18.4% 0.0%
BBB 16.1% 0.0%
Below BBB/Unrated 17.2% 0.0%

SECTOR WEIGHTINGS – LAST 4 QUARTERS

DURATION ALLOCATIONS

SHORT DURATION STRATEGY B.B. 1-3 YEAR GOVT. INDEX
0-0.5 Years 79.4% 0.0%
0.5-1 Years 4.5% 0.0%
1-2 Years 9.9% 56.3%
2-3 Years 0.8% 43.7%
Over 3 Years 5.4% 0.0%