i performance and asset allocation - tmrs...msci ac world ex. us small cap index 9 % of total fund...

2

I. Performance and Asset Allocation

• Asset Allocation: Current and Target Allocations (page 4) • Performance by Asset Class (page 5)

II. Public Equities

• Asset Class Overview (page 7) • Portfolio Management Structure (page 8) • Allocation (page 9-10) • Performance (page 11-12)

III. Fixed Income

• Core Fixed Income • Asset Class Overview (page 14) • Portfolio Management Structure (page 15) • Allocation (page 16) • Performance (page 17)

• Non-Core Fixed Income • Asset Class Overview (page 18) • Portfolio Management Structure (page 19) • Allocation (page 20) • Committed Allocation (page 21) • Performance (page 22-23)

IV. Real Estate

• Asset Class Overview (page 25) • Portfolio Management Structure (page 26) • Allocation (page 27) • Performance (page 28-30)

V. Real Return

• Asset Class Overview (page 32) • Portfolio Management Structure (page 33-34) • Allocation (page 35) • Performance (page 36)

VI. Absolute Return

• Asset Class Overview (page 38) • Portfolio Management Structure (page 39) • Allocation (page 40) • Performance (page 41)

VII. Private Equity

• Asset Class Overview (pages 43) • Portfolio Management Structure (page 44) • Allocation (page 45-46) • Performance (page 47)

VIII. Compliance • Compliance Overview (page 49) • Investment Guideline Compliance (page 50) • Pacing Plan Update (page 51)

IX. Risk Management

• Overview (page 53) • Total Fund Risk (page 54) • Implementation Risk Ranges (page 55) • Total Fund & Asset Class Regional Exposures (page 56) • Total Fund tracking Error (page 57) • Evolution of Risk Over Time (page 58)

3

I. Performance and Asset Allocation

4

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

Core FixedIncome

US Equities Non-USEquities

Real Return Real Estate PrivateEquity

AbsoluteReturn

Non-CoreFixed

Income

CashEquivalents

Perc

ent A

lloca

ted

TMRS Investment Portfolio Asset Allocation as of 6/30/2017

Current Allocation

Allocation RecognizingUnfunded Commitments

Target Allocation

5

TMRS INVESTMENT PORTFOLIO Net Performance By Asset Class

June 2017

1 Year Performance 5 Year Performance

*Real Estate return as of prior quarter end (real estate returns are available on a quarterly basis only) ^Non-Core Fixed Income and Absolute Return performance are the annualized return since inception, given their performance history are less than 5 years Source: State Street Investment Analytics-Preliminary

10.4%

0.1%

10.3%

18.1% 19.0%

2.1%

8.2% 9.7%

-0.3%

9.7%

18.5%

20.4%

0.8%

5.8%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

TotalPortfolio

CoreFixed

Income

Non-CoreFixed

Income^

USEquities

Non-USEquities

RealReturn^

RealEstate*^

AbsoluteReturn+^

TMRS

Benchmark

na na

6.9%

2.3%

4.7%

14.3%

8.1%

2.1%

11.7%

3.8%

2.2%

4.1%

14.6%

7.6%

1.1% 1.6%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

TotalPortfolio

CoreFixed

Income

Non-CoreFixed

Income^

USEquities

Non-USEquities

RealReturn^

RealEstate*^

AbsoluteReturn+^

TMRS

Benchmark

na na

7

US Equity

Objective Intended to provide capital appreciation and is structured using a Core-Satellite Approach with

the overall objective of exceeding its benchmark performance net of fees over rolling five year periods.

Satellite strategies (Active and Rules-Based strategies with an active component) are expected to add excess return within established tracking error limits and will meet quality, diversification, and liquidity guidelines as specified in the Managers’ contracts.

International Equity

Objective Intended to provide capital appreciation and diversification, and is structured using a Core-

Satellite Approach with the overall objective of exceeding its benchmark performance net of fees over rolling five year periods.

Satellite strategies (Active and Rules-Based strategies with an active component) are expected to add excess return within established tracking error limits and will meet quality, diversification, and liquidity guidelines as specified in the Managers’ contracts or otherwise agreed to in writing between TMRS and the Investment Manager.

8

Asset Class Manager Strategy Portfolio Benchmark

Domestic Equities US Core/Passive

Northern Trust Asset Management Passive Broad Market Index Russell 3000 Index

US Rules-Based State Street Global Advisors Passive Fundamental Index Russell RAFI US Index

US Rules-Based UBS Global Asset Management Passive Minimum Volatility MSCI US Min Vol Index

US Satellite/Active Epoch Investment Partners, Inc. US Traditional All Cap Russell 3000 Index

US Satellite/Active Sasco Capital, Inc. US Opportunistic All Cap Russell Mid Cap Value Index

US Satellite/Active The Boston Company US Mid Cap Opportunistic Russell Mid Cap Index

US Satellite/Active Champlain Investment Partners US Mid Cap Core Russell Mid Cap Index

US Satellite/Active The Boston Company US Small Cap Opportunistic Russell 2000 Index

US Satellite/Active Wellington Management US Small Cap Opportunities Russell 2000 Index

International Equities Non-US Core/Passive

Northern Trust Asset Management Passive Broad Market Index All Country World (ACW) ex US Investable Market Index (IMI)

Non-US Rules-Based State Street Global Advisors Passive Fundamental Index Russell RAFI Global ex US Index

Non-US Rules-Based UBS Global Asset Management Passive Minimum Volatility MSCI World ex US Min Vol Index

Non-US Satellite/Active Wellington Management Non-US Opportunistic Relative Value

MSCI ACWI ex US Index

Non-US Satellite/Active Lazard Asset Management Non-US Opportunistic Core MSCI ACWI ex US Index

Non-US Satellite/Active Acadian Asset Management Non-US Emerging Markets MSCI Emerging Markets (EM) Index

Non-US Satellite/Active William Blair & Company Non-US Emerging Markets MSCI Emerging Markets (EM) Index

Non-US Satellite/Active Wellington Management Non-US Small Cap Opportunities MSCI EAFE Small Cap Index

Non-US Satellite/Active Wasatch Advisors Non-US Small Cap Growth MSCI AC World ex. US Small Cap Index

9

% of Total Fund as of 6/30/2017

PASSIVE Portfolio Managers

Market Value % of Total Portfolio

US CORE EQUITY: NTAM Russell 3000 3,464,849,992 13.0%

NON-US CORE EQUITY: NTAM ACW ex. US IMI 2,788,335,588 10.4%

TOTAL: 6,253,185,580 23.4%

ACTIVE Portfolio Managers

Market Value % of Total Portfolio

US RULES-BASED EQUITY: 718,024,328 2.7%

US ACTIVE EQUITY: 1,579,599,638 5.9%

NON-US RULES-BASED EQUITY: 551,670,672 2.1%

NON-US ACTIVE EQUITY: 1,413,473,290 5.3%

TOTAL: 4,262,767,928 16.0%

NOTE: Percentages may not be exact due to rounding

39.4% 35.0%

4.4%

0%5%

10%15%20%25%30%35%40%45%

Current Allocation Target Allocation Difference23.4%

16.0% 17.5% 17.5%

5.9%

-1.5% -10%

0%

10%

20%

30%

PASSIVE Portfolio ACTIVE Portfolio

Current Allocation Target Allocation Difference

5.9% 5.3%

2.7% 2.1%

8.75% 8.75%

-0.15% -1.35% -2%0%2%4%6%8%

10%

US ACTIVEPortfolio

non-USACTIVEPortfolio

Current Active Current RB Target Allocation Difference

10

Russell 3000 US Passive 32.9%

ACW ex. US IMI non-US Passive

26.5%

2.4%

2.8%

2.2%

2.0% 2.1%

2.0% 2.5% 2.6%

2.6% 2.2% 2.1%

2.6% 2.8%

2.8%

3.3%

3.5%

Current Allocation by Manager vs. Total Equity Portfolio

Russell 3000

ACWI ex. US IMI

SSgA Global ex. US

UBS World ex. US MV

Wellington Intl Horizons

Lazard Intl Equity Plus

Acadian EM

William Blair EM

Wasatch Intl SC

Wellington Intl SC

Epoch

Sasco

The Boston Co. MC

Champlain

The Boston Co. SC

Wellington US SC

SSgA US Fund

UBS US MV

US Passive 13.0%

Non-US Passive 10.4%

Non-US RB Active 2.1%

Non-US Active 5.3%

US Active 5.9%

US RB Active 2.7%

Current Allocation By Asset Category vs. Total Portfolio

11 Source: State Street Investment Analytics (preliminary)

MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Incept Date

NGR0A02 - TMRS - TOTAL EQUITY 10,515,965,719.59 39.41 0.78 4.21 11.19 18.69 5.79 11.60 11.52 4.79 01-01-08 EQUITY ACTIVE WEIGHTED INDEX (DAILY) 0.64 4.25 11.17 19.44 5.78 11.56 11.48 4.71 01-01-08

Excess 0.14 -0.04 0.02 -0.75 0.01 0.04 0.04 0.07 NGR0A06 - TMRS - TOTAL DOMESTIC EQUITY 5,762,483,212.16 21.59 1.21 2.64 8.40 18.05 8.70 14.27 15.10 8.18 01-01-08 TMRS - RUSSELL 3000 DAILY 0.90 3.02 8.93 18.51 9.10 14.58 15.34 8.34 01-01-08

Excess 0.31 -0.38 -0.54 -0.46 -0.40 -0.32 -0.24 -0.16 NGR6 - TMRS - RUSSELL 3000 INDEX FUND (NL) 3,464,849,991.98 12.98 0.90 3.00 8.91 18.49 9.09 14.56 15.31 15.06 12-01-08 RUSSELL 3000 (DAILY) 0.90 3.02 8.93 18.51 9.10 14.58 15.34 15.08 12-01-08

Excess 0.00 -0.01 -0.02 -0.02 -0.01 -0.02 -0.03 -0.02 NGTM - SSGA RUSSELL RAFI US 347,337,193.15 1.30 0.88 1.02 4.60 14.41 7.55 12.69 02-01-13 Russell RAFI U.S. Index 0.91 1.04 4.62 14.65 7.70 12.87 02-01-13

Excess -0.03 -0.02 -0.02 -0.23 -0.15 -0.18 NGTN - UBS US EQUITY MIN VOL FUND NL 370,687,134.92 1.39 -0.39 3.13 9.36 8.29 11.87 14.78 01-01-13 MSCI USA Minimum Volatility Index-Net -0.46 2.97 9.03 7.55 11.22 14.10 01-01-13

Excess 0.07 0.16 0.33 0.75 0.65 0.68 NGTY - EPOCH U.S. CHOICE 272,920,310.74 1.02 0.05 3.19 10.32 20.22 8.09 8.41 01-01-14 RUSSELL 3000 (DAILY) 0.90 3.02 8.93 18.51 9.10 9.85 01-01-14

Excess -0.86 0.17 1.39 1.71 -1.02 -1.45 NGTZ - SASCO U.S. CONTRARIAN VALUE 228,946,044.52 0.86 -1.24 -1.12 1.75 7.52 -0.74 3.00 01-01-14 Russell Midcap Value Total Return Index 1.49 1.37 5.18 15.93 7.46 9.63 01-01-14

Excess -2.73 -2.49 -3.43 -8.40 -8.19 -6.63 NGUG - THE BOSTON COMPANY OPP VALUE 225,204,435.05 0.84 2.64 -1.03 3.68 18.09 4.07 12-01-14 RUSSELL MIDCAP (DAILY) 0.99 2.70 7.99 16.48 7.37 12-01-14

Excess 1.65 -3.73 -4.31 1.60 -3.30 NGUF - CHAMPLAIN MID-CAP CORE 269,214,467.59 1.01 2.19 4.85 10.69 21.31 11.70 12-01-14 RUSSELL MIDCAP (DAILY) 0.99 2.70 7.99 16.48 7.37 12-01-14

Excess 1.19 2.15 2.70 4.83 4.33 NGUR - BOSTON CO US SM CAP OPPORTUNISTIC VALUE 291,195,281.51 1.09 5.92 1.43 8.85 30.47 12.41 09-01-15 RUSSELL 2000 (DAILY) 3.46 2.46 4.99 24.60 13.21 09-01-15

Excess 2.47 -1.03 3.86 5.87 -0.80 NGUN - WELLINGTON US SMALL CAP OPP 292,119,098.55 1.09 3.99 4.50 9.26 28.53 14.33 12-01-15 RUSSELL 2000 (DAILY) 3.46 2.46 4.99 24.60 12.81 12-01-15

Excess 0.53 2.03 4.27 3.93 1.52

12

Source: State Street Investment Analytics (preliminary)


NGR0A07 - TMRS - TOTAL INTERNATIONAL EQUITY 4,753,479,550.22 17.81 0.26 6.23 15.17 19.03 1.67 8.06 7.32 0.92 01-01-08 INTL EQ ACTIVE WEIGHTED INDEX(DAILY) 0.33 5.85 14.30 20.43 1.14 7.58 6.94 0.58 01-01-08

Excess -0.06 0.38 0.87 -1.41 0.53 0.48 0.38 0.35 NGTA - NTGI ACWI ex. US IMI (NL) 2,788,335,588.44 10.45 0.34 5.96 14.51 20.72 1.36 7.81 6.41 09-01-10

TMRS MSCI ACWI ex-US IMI NET (DAILY) 0.33 5.85 14.30 20.43 1.14 7.58 6.20 09-01-10 Excess 0.01 0.12 0.21 0.29 0.22 0.23 0.21 NGTP - SSGA RUSSELL RAFI GLOBAL EX-US 257,453,252.40 0.96 -0.09 3.88 11.42 22.34 0.92 5.52 02-01-13

Russell RAFI Global ex-U.S. Index NET -0.10 3.91 11.43 22.95 1.09 5.68 02-01-13 Excess 0.01 -0.04 -0.02 -0.61 -0.17 -0.17 NGTQ - UBS WORLD EX US MIN VOL FD NL 294,217,419.56 1.10 -0.30 6.00 13.22 8.97 5.36 8.86 01-01-13

MSCI world ex USA Minimum Volatility-Net -0.29 5.96 12.94 8.59 5.19 8.75 01-01-13 Excess -0.01 0.03 0.28 0.38 0.18 0.12 NGT9 - LAZARD INT'L EQUITY PLUS 212,172,969.93 0.80 -0.78 5.42 12.07 13.08 1.47 09-01-14

MSCI AC WORLD ex US (NET) 0.31 5.78 14.10 20.45 1.01 09-01-14 Excess -1.09 -0.36 -2.03 -7.37 0.46 NGT8 - WELLINGTON INT'L HORIZONS 231,862,486.18 0.87 0.29 6.64 15.14 17.90 4.71 09-01-14

MSCI AC WORLD ex US (NET) 0.31 5.78 14.10 20.45 1.01 09-01-14 Excess -0.02 0.86 1.05 -2.55 3.70 NGUP - WILLIAM BLAIR EMERGING MARKETS 210,903,513.14 0.79 1.38 8.26 20.20 17.23 13.32 09-01-15

MSCI EMERGING MARKETS 1.01 6.27 18.43 23.75 14.73 09-01-15 Excess 0.38 1.99 1.76 -6.52 -1.41 NGUQ - ACADIAN EMERGING MARKETS 225,624,490.28 0.85 1.85 6.71 21.95 27.83 17.16 09-01-15

MSCI EMERGING MARKETS IMI INDEX (NET) 0.98 5.78 18.11 22.82 14.32 09-01-15 Excess 0.88 0.93 3.85 5.01 2.83 NGUX - WASATCH INT'L SMALL CAP GROWTH 261,634,317.15 0.98 -0.67 8.06 18.59 11.11 6.96 01-01-16

MSCI ACWI Ex US Small Cap (DAILY) 0.42 6.24 15.56 20.32 13.02 01-01-16 Excess -1.09 1.82 3.03 -9.21 -6.06 NGUY - WELLINGTON INT'L SMALL CAP OPP 271,275,513.14 1.02 0.00 8.12 18.15 19.50 9.86 01-01-16

MSCI EAFE SMALL CAP NET -0.02 8.10 16.72 23.18 12.51 01-01-16 Excess 0.02 0.02 1.43 -3.68 -2.65

13

III. Fixed Income

14

US Core Fixed Income Objective

Purpose is to diversify the risk of the overall investment portfolio with a secondary goal of capital preservation.

Performance objective is to exceed the Barclay’s US Aggregate Bond Index net of fees over rolling five-year periods and within tracking errors as specified in the Manager contracts, determined according to the specific strategies employed.

Investment Philosophy- BlackRock Top down determination of investment themes are based on bottom-up inputs. Investment

themes establish parameters for sector, sub-sector and security selection. Macro overlays for duration and volatility are viewed as a separate sector and used opportunistically.

Investment Philosophy- PIMCO PIMCO’s investment philosophy is driven by diversifying strategies and focuses on longer

term secular (3-5 year) trends. Seek to add value through top down strategies including interest rate exposures, duration,

volatility, yield curve positioning and sector rotation. Employ “bottom-up” strategies through in depth credit analysis and specific security

selection.

15

Manager Strategy Portfolio Benchmark

BlackRock US Core (enhanced index) Barclays US Aggregate Bond Index

PIMCO Active Core Plus Barclays US Aggregate Bond Index

16

As of June 30, 2017


Core Weighting vs. Target

Based on preliminary data

Mandate Market Value % of Total Fund

CORE FIXED INCOME

BlackRock $3,117,043,487 11.68%

PIMCO $1,723,713,183 6.46%

TOTAL $4,840,756,670 18.14%

18.1%

10.0%

8.1%

0.0%2.0%4.0%6.0%8.0%

10.0%12.0%14.0%16.0%18.0%20.0%

Actual Target Difference

17 Source: State Street Investment Analytics


MKT VAL % of Plan 1 Mo. QTR YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD

Incept Date

TMRS - TOTAL CORE FIXED INCOME 4,840,756,670.08 18.14 -0.1 1.51 2.39 0.08 2.56 2.31 3.32 4.72 7.77 01-01-89

TMRS - Total Fixed Income Index (Daily) -0.1 1.45 2.27 -0.31 2.48 2.21 3.19 4.38 7.22 01-01-89

EXCESS 0 0.06 0.11 0.4 0.07 0.1 0.13 0.34 0.55

TMRS - BLACKROCK CORE FIXED INCOME 3,117,043,486.99 11.68 -0.06 1.52 2.33 0.02 2.64 2.38 3.31 3.71 10-01-09

TMRS-Custom Core Fixed Income Index (Dai -0.1 1.45 2.27 -0.31 2.48 2.21 3.19 3.6 10-01-09

EXCESS 0.04 0.08 0.05 0.33 0.16 0.17 0.12 0.11

TMRS PIMCO CORE PLUS FIXED INC 1,723,713,183.08 6.46 -0.18 1.47 2.49 0.22 2.27 2.08 3.44 3.75 02-01-10

Barclays Aggregate (Daily) -0.1 1.45 2.27 -0.31 2.48 2.21 3.19 3.52 02-01-10

EXCESS -0.08 0.03 0.22 0.53 -0.21 -0.13 0.25 0.23

18

Objective The purpose is to enhance total return through income and capital appreciation and provide

diversification to the total investment portfolio. This allocation may be managed actively and/or passively through multiple managers in consideration of manager concentration risk.

The Performance Objectives is to exceed the returns of a blended benchmark comprised of the Barclays US Corporate High Yield Index 50%, the JPM GBI-EM Global Diversified Index (USD Unhedged) 25%, and JPM CEMBI Broad Diversified Index 25%, net of fees over rolling five-year periods and within tracking errors as specified in the manager contracts or otherwise agreed to in writing, determined according to the specific strategies employed.

19

Manager Strategy Allocated/Committed Portfolio Benchmark

Highland Capital Bank Loan/CLO Debt $ 375,000,000 Credit Suisse Leveraged Loan Index

Guggenheim Bank Loan/CLO Debt $ 375,000,000 Credit Suisse Leveraged Loan Index

Voya RMBS/CMBS $ 375,000,000 33% Barclays US Agg Corp Index and 67% Barclays US Corp High Yield Index

Ellington RMBS/CMBS $ 375,000,000 33% Barclays US Agg Corp Index and 67% Barclays US Corp High Yield Index

Alliance Bernstein EMD $ 240,000,000 20% JP Morgan EMBI, 40% JP Morgan CEMBI and 40% JP Morgan GBI

Bluebay EMD $ 240,000,000 20% JP Morgan EMBI, 40% JP Morgan CEMBI and 40% JP Morgan GBI

Golub* Direct Lending $ 300,000,000

H.I.G. Whitehorse* Direct Lending $ 150,000,000

TCW* Direct Lending $ 300,000,000

White Oak* Direct Lending $ 200,000,000

Marathon SPS* Opportunistic Credit $ 150,000,000

Marathon ECO* Opportunistic Credit $ 100,000,000

Marathon CLO* Opportunistic Credit

$ 50,000,000

PIMCO COF II* Opportunistic Credit $ 200,000,000

Beach Point Opportunistic Credit $ 200,000,000

Columbia High Yield $ 300,000,000 BofA Merrill Lynch US High Yield Constrained Index

Neuberger Berman High Yield $ 300,000,000 BofA Merrill Lynch US High Yield Constrained Index

Adams Street** Direct Lending $ 200,000,000

Bain** Opportunistic Credit $ 100,000,000

GoldenTree* Opportunistic Credit $ 200,000,000

Waterfall* Opportunistic Credit $ 200,000,000

Note: * Partially funded ** Approved. Funding pending.

20

As of June 30, 2017

Non-Core Weighting vs. Target




NON-CORE FIXED INCOME Guggenheim $416,591,005 1.56% Highland $427,403,453 1.60% Voya $419,520,581 1.57% Ellington $415,737,252 1.56% Alliance Bernstein $249,853,567 0.94% Bluebay $246,672,000 0.92% Columbia $309,416,135 1.16% Neuberger Berman $302,100,000 1.13% Golub $69,775,172 0.26% White Oak $142,923,261 0.54% TCW $106,911,874 0.40% H.I.G. $59,287,101 0.22% Marathon SPS $72,300,228 0.27% Marathon ECO $11,302,028 0.04% Marathon RR $10,214,456 0.04% PIMCO COF II $43,685,152 0.16% Beach Point $210,765,800 0.79% Waterfall $126,530,375 0.47% GoldenTree $75,000,000 0.28% TOTAL $3,715,989,441 13.93%

13.9%

20.0%

-6.1% -10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

Actual Target Difference

21

As of June 30, 2017

Non-Core Weighting vs. Target

NOTE: Percentages may not be exact due to rounding * Partially funded ** Approved. Funding pending



NON-CORE FIXED INCOME

Guggenheim $416,591,005 1.56%

Highland $427,403,453 1.60%

Voya $419,520,581 1.57%

Ellington $415,737,252 1.56%

Alliance Bernstein $249,853,567 0.94%

Bluebay $246,672,000 0.92%

Columbia $309,416,135 1.16%

Neuberger Berman $302,100,000 1.13%

Golub* $300,000,000 1.12%

H.I.G. Whitehorse* $150,000,000 0.56%

TCW* $300,000,000 1.12%

White Oak* $200,000,000 0.75%

Adams Street** $200,000,000 0.75%

Marathon SPS* $150,000,000 0.56%

Marathon ECO* $100,000,000 0.37%

Marathon CLO* $50,000,000 0.19%

PIMCO COF II* $200,000,000 0.75%

Beach Point $210,765,800 0.79%

Bain** $100,000,000 0.37%

GoldenTree* $200,000,000 0.75%

Waterfall* $200,000,000 0.75%

TOTAL $5,148,059,793 19.29%

19.3% 20.0%

-0.7% -5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

Committed Target Difference

22 Source: State Street Investment Analytics-Preliminary

Non-Core Fixed Income Performance

Period Ending June 30, 2017 (Net All)


NGR0A11 - TOTAL NON-CORE FIXED INCOME 3,715,989,440.58 13.93 0.20 1.89 4.25 10.29 4.69 10-01-14

TOT NON-CORE FIXED INCOME INDEX 0.23 2.49 6.29 9.68 4.06 10-01-14

Excess -0.03 -0.60 -2.04 0.62 0.63

NGT6 - BANDERA II - GUGGENHEIM 416,591,005.09 1.56 0.00 0.85 2.21 7.72 4.29 10-01-14

CS Leveraged Loan Index -0.06 0.75 1.96 7.49 3.94 10-01-14

Excess 0.06 0.10 0.25 0.23 0.36

NGT5 - BANDERA I - HIGHLAND 427,403,452.83 1.60 0.00 1.35 6.70 17.97 6.16 10-01-14

CS Leveraged Loan Index -0.06 0.75 1.96 7.49 3.94 10-01-14

Excess 0.06 0.60 4.73 10.47 2.23

NGUB - VOYA NON CORE FIXED INCOME 419,520,581.13 1.57 0.30 2.66 4.59 8.82 4.75 01-01-15

Non Agency RMBS/CMBS Strategy Index 0.19 2.29 4.56 9.17 5.69 01-01-15

Excess 0.11 0.36 0.04 -0.35 -0.94

NGUD - ELLINGTON NON CORE FIXED INC 415,737,251.99 1.56 0.31 2.54 3.98 8.05 4.39 01-01-15

Ellington Non Core FI Index 0.35 1.05 2.07 4.05 1.02 01-01-15

Excess -0.05 1.49 1.91 4.01 3.37

NGRV - GOLUB CAPITAL PEARLS DLP LP 69,775,171.91 0.26 0.48 1.72 3.59 8.28 8.28 07-01-16

NGXA - MARATHON SPS FUND, L.P. 72,300,228.00 0.27 2.24 4.86 8.44 12.79 08-01-16

NGXB - PIMCO CORP OP FD II ONSHORE LP 43,685,152.21 0.16 2.87 2.87 7.16 11.78 10-01-16

NGXD - BEACH POINT TOTAL RET FD II LP 210,765,800.00 0.79 0.00 0.97 2.27 4.88 10-01-16

NGRU - WHITE OAK SUMMIT FUND, L.P 142,923,261.24 0.54 0.01 0.01 2.07 5.68 4.85 05-01-16

NGSV - MARATHON CLO EQUITY FD, L.P. 10,214,455.87 0.04 0.00 2.47 3.94 3.91 11-01-16


Non-Core Fixed Income Performance

Period Ending June 30, 2017 (Net All)


NGUS - ALLIANCE BERNSTEIN EMD 249,853,566.65 0.94 0.00 2.25 2.25 04-01-17

NGUV - BLUEBAY ASSET MANAGEMENT EMD 246,672,000.02 0.92 0.00 2.04 2.78 03-01-17

NGXR - WATERFALL EDEN FUND, LP 126,530,375.00 0.47 0.24 1.47 1.47 03-01-17

NGXN - COLUMBIA MANAGEMENT INVESTMENT ADVISORS 309,416,134.91 1.16 0.41 2.55 2.55 04-01-17

BofAML HYM CONSTRAINED (DAILY) 0.11 2.14 2.14 04-01-17

Excess 0.30 0.41 0.41

NGXL - NEUBERGER BERMAN HIGH INCOME TRUST 302,100,000.01 1.13 0.00 0.00 06-01-17

BofAML HYM CONSTRAINED (DAILY) 0.11 0.11 06-01-17

Excess -0.11 -0.11

NGXV - Goldentree Guadalupe Fund LP 75,000,000.01 0.28 06-01-17

NGXE - TCW ASSET MANAGEMENT LLC 106,911,874.09 0.40 0.00 0.00 -0.01 -0.01 01-01-17

NGXF - H.I.G. WHITEHORSE CAPITAL, LLC 59,287,101.46 0.22 0.04 0.04 0.28 0.28 12-01-16

NGSW - MARATHON ECO FUND III, LP 11,302,028.14 0.04 0.00 2.92 2.09 1.85 10-01-16

24

IV. Real Estate

25

Objective To enhance total return and provide diversification to the overall investment portfolio. Due to the illiquid and cyclical nature of the real estate asset class, Staff and the Real Estate

Investment Consultant recommend that the target allocation be invested over a multi-year period in order to avoid considerable vintage year risks.

Performance Objective Long term performance objective is a real rate of return (adjusted for inflation) of five percent

(5%) net of investment management fees. The real estate portfolio is expected to generate returns net of all fees and expenses, in excess

of their respective indices, over rolling five year investment time horizons.

26

Manager Strategy Allocated/Committed Portfolio Benchmark Abacus Core Income Fund I Core $ 75,000,000

NCREIF-ODCE

Harrison Street Core Property Fund Core $ 150,000,000 Invesco US Core Income Fund Core $ 150,000,000 Smart Markets Fund Core $ 200,000,000 Walton Street Debt Fund Core Debt $ 100,000,000 Tristan EPISO 4 Opportunistic $ 31,602,000 Abacus Multi-Family Fund II Value Add $ 50,000,000 Abacus Multi-Family Fund III Value Add $ 75,000,000 Greenfield Acquisition Partners VI Value Add $ 75,000,000 Greenfield Acquisition Partners VII Value Add $ 100,000,000 Miller Global Value Add $ 75,000,000 Rubenstein Properties II Value Add $ 75,000,000 Rubenstein Properties III Value Add $ 75,000,000 Stockbridge Value Fund I Value Add $ 75,000,000 Stockbridge Value Fund II Value Add $ 75,000,000 Lubert-Adler Fund VII Opportunistic $ 100,000,000 Moorfield Real Estate Fund III Opportunistic $ 61,755,000 H/2 CP Core $ 125,000,000 H/2 Core RE Debt Core $ 75,000,000 Walton Street Opportunistic $ 75,000,000 Alcion Value Add $ 50,000,000 Torchlight Debt Fund V Value Add $ 75,000,000 TPG Real Estate Partners II Opportunistic $ 100,000,000 USAA Eagle Fund Core $ 250,000,000 DivcoWest V Value Add $ 75,000,000 Blackstone Property Partners Core $ 300,000,000 Kildare EP II Opportunistic $ 100,000,000 Stockbridge Value Fund III Value Add $ 50,000,000 IC Berkeley IV Value Add $ 50,000,000

TOTAL $ 2,406,000,000 Source: TMRS Accounting

27 Source: Courtland Q1 2017 Report

Property Type Diversification Based on Market Value Geographic Diversification Based on Market Value

Sector Diversification Based on Market Value



NGR0A09 - TMRS - TOTAL REAL ESTATE 2,209,823,521.61 8.28 0.00 0.08 2.67 8.17 11.65 11.66 10.80 11-01-11 TOTAL REAL ESTATE INDEX 11-01-11

Excess NGR0A10 - PRIVATE REAL ESTATE EX LIQUID FUNDS 2,095,380,199.17 7.85 0.00 0.00 2.59 7.89 12.09 12.24 11.31 11-01-11 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 11.98 12.31 11-01-11

Excess -1.77 -1.77 -1.33 -0.45 0.30 0.26 -1.01 NGTD - SMART MARKETS FUND LP 313,045,212.43 1.17 0.00 0.00 2.62 7.16 10.36 11.19 10.58 01-01-12 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 11.98 12.00 01-01-12

Excess -1.77 -1.77 -1.30 -1.18 -1.43 -0.79 -1.42 NGTE - HARRISON ST REAL ESTATE - CORE OPEN END 227,843,151.12 0.85 0.00 0.00 2.25 6.38 8.51 8.95 8.85 01-01-12 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 11.98 12.00 01-01-12

Excess -1.77 -1.77 -1.68 -1.95 -3.29 -3.03 -3.16 NGTF - GREENFIELD ACQUISITION PTRS VI 21,155,000.07 0.08 0.00 0.00 4.82 1.68 9.90 11.28 11.28 07-01-12 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 11.98 11.98 07-01-12

Excess -1.77 -1.77 0.89 -6.66 -1.90 -0.70 -0.70 NGTG - STOCKBRIDGE VALUE FUND 28,384,269.72 0.11 0.00 0.00 5.78 11.35 19.55 21.38 10-01-12 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 12.06 10-01-12

Excess -1.77 -1.77 1.85 3.01 7.76 9.33 NGTH - WALTON ST REAL ESTATE FUND VII 54,742,854.53 0.21 0.00 0.00 2.60 7.81 15.17 16.09 07-01-13 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 12.28 07-01-13

Excess -1.77 -1.77 -1.33 -0.52 3.38 3.81 NGTI - ABACUS MULTI-FAMILY PTRS II 6,487,210.78 0.02 0.00 0.00 -21.26 -11.99 12.31 17.58 08-01-12 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 12.20 08-01-12

Excess -1.77 -1.77 -25.18 -20.33 0.52 5.38 NGTJ - RUBENSTEIN PROPERTIES FUND II 56,831,355.47 0.21 0.00 0.00 1.34 2.32 10.08 12.66 04-01-13 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 12.22 04-01-13

Excess -1.77 -1.77 -2.59 -6.02 -1.71 0.44



NGTL - MILLER GLOBAL FUND VII 15,646,078.45 0.06 0.00 0.00 -0.95 4.38 14.00 11.97 10-01-12 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 12.06 10-01-12

Excess -1.77 -1.77 -4.87 -3.96 2.21 -0.08 NGTV - LUBERT-ADLER FUND VII 96,818,098.18 0.36 0.00 0.00 1.93 7.65 4.25 2.26 01-01-14 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 11.82 01-01-14

Excess -1.77 -1.77 -1.99 -0.68 -7.55 -9.56 NGTX - ABACUS CORE INCOME FUND I LP 71,445,824.88 0.27 0.00 0.00 5.19 8.70 10.92 9.02 01-01-14 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 11.82 01-01-14

Excess -1.77 -1.77 1.27 0.36 -0.87 -2.81 NGTW - INVESCO ADVISERS, INC. 190,647,319.63 0.71 0.00 0.00 2.79 8.64 11.86 10.72 01-01-14 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 11.82 01-01-14

Excess -1.77 -1.77 -1.14 0.30 0.07 -1.10 NGT3 - GREENFIELD ACQ PART VII LP 84,969,118.33 0.32 0.00 0.00 5.52 10.90 12.86 01-01-15 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.59 01-01-15

Excess -1.77 -1.77 1.59 2.56 1.27 NGT4 - STOCKBRIDGE VALUE FD II LP 60,269,156.57 0.23 0.00 0.00 2.54 11.08 10.64 02-01-15 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 12.02 02-01-15

Excess -1.77 -1.77 -1.38 2.75 -1.38 NGUJ - ABACUS MULTI-FAMILY III 60,114,396.24 0.23 0.00 0.00 6.22 16.83 8.40 02-01-15 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 12.02 02-01-15

Excess -1.77 -1.77 2.29 8.49 -3.62 NGUL - MOORFIELD REAL ESTATE III 39,945,639.71 0.15 0.00 0.00 9.29 -6.57 12.56 02-01-15 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 12.02 02-01-15

Excess -1.77 -1.77 5.36 -14.90 0.54 NGUH - WALTON STREET REAL ESTATE DEBT FUND 36,847,546.68 0.14 0.00 0.00 3.33 6.16 5.34 12-01-15 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.42 12-01-15

Excess -1.77 -1.77 -0.60 -2.18 -6.07



NGAS - TORCHLIGHT DEBT OPP FUND V,LP 27,362,658.75 0.10 0.00 0.00 3.86 17.94 9.84 12-01-15 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.42 12-01-15

Excess -1.77 -1.77 -0.07 9.60 -1.58 NGAR - TPG REAL ESTATE PART II, LP 49,173,602.53 0.18 0.00 0.00 -1.00 55.61 43.89 12-01-15 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.42 12-01-15

Excess -1.77 -1.77 -4.92 47.28 32.48 NGAP - ALCION RE PART FD III-B,LP 16,873,216.22 0.06 0.00 0.00 6.32 5.79 0.84 11-01-15 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 10.82 11-01-15

Excess -1.77 -1.77 2.39 -2.54 -9.98 NGAM - EUROPEAN PROPERTY INV SPECIAL 8,136,060.70 0.03 0.00 0.00 -7.65 -9.37 -3.58 12-01-15 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.42 12-01-15

Excess -1.77 -1.77 -11.58 -17.70 -14.99 NGAQ - USAA EAGLE REAL ESTATE FD 213,268,839.53 0.80 0.00 0.00 2.41 8.72 7.80 12-01-15 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.42 12-01-15

Excess -1.77 -1.77 -1.51 0.39 -3.62 NGAV - H/2 CP CORE RE DEBT FUND,LP 76,373,100.00 0.29 0.00 0.00 2.37 7.35 5.84 04-01-16 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 8.48 04-01-16

Excess -1.77 -1.77 -1.56 -0.99 -2.64 NGRY - DIVCOWEST FUND V 11,534,259.10 0.04 0.00 0.00 -1.16 -1.16 01-01-17 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 3.93 01-01-17 Excess -1.77 -1.77 -5.09 -5.09 NGRZ - BLACKSTONE PROPERTY PARTNERS 304,481,829.18 1.14 0.00 0.00 1.49 1.49 12-01-16 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 6.07 12-01-16 Excess -1.77 -1.77 -2.43 -4.58 NGAN - RUBENSTEIN PROP FD III LP 12,993,324.44 0.05 0.00 0.00 -3.06 -6.85 10-01-16 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 6.07 10-01-16 Excess -1.77 -1.77 -6.98 -12.93 NGXQ - IC BERKELEY PARTNERS IV, L.P. 9,991,075.90 0.04 0.00 0.00 06-01-17 NCREIF ODCE 1 QTR LAG 1.77 1.77 06-01-17 Excess -1.77 -1.77 NGR0A017 - REAL ESTATE LIQUID FUNDS 114,443,322.43 0.43 0.00 1.58 4.51 12.55 8.80 11-01-15 NGAU - H/2 CP, LP 114,443,322.43 0.43 0.00 1.58 4.51 12.55 8.80 11-01-15 NCREIF OPEN FUND INDEX (DAILY) 11-01-15

Excess

31

V. Real Return

32

Objective Purpose is to enhance total return and provide diversification and hedge against inflation risks

to the overall investment portfolio. Due to the varied nature of the Real Return space the portfolio will include strategies across a

variety of real asset types as well as a number of investment vehicle types in order to maintain a diversified approach.

Performance Objective Long term performance objective over a period 5 years or a full market cycle is a real rate of

return (adjusted for inflation) of CPI + 400 basis points. On a short term basis the real return portfolio is expected to generate returns net of all fees

and expenses, in excess of their respective indices individually and in excess of the Barclay’s World Government Inflation Linked Bond Index for the portfolio as a whole.

33

Manager Strategy Portfolio Benchmark

Colchester Active Global Linkers Barclays World Govt Infl-Linked Bond Index

Nuveen

Real Asset Income – Public Securities

28% S&P Global Infrastructure Index, 21% FTSE EPRA/NAREIT Developed Index, 18% Wells Fargo Hybrid and Preferred Securities REIT Index, 15% Barclays Global Capital Securities Index, 18% Barclays U.S. Corporate High Yield Index

Cohen & Steers Real Asset Multi-Strategy 27.5% Bloomberg Commodity Index, 27.5% FTSE NAREIT Developed Real Estate Index (Net), 15% Dow Jones Brookfield Global Infrastructure Index, 15% S&P Global Natural Resources Index—Net), 10% BAML US Corporate Index, 1–3 Years and 5% Gold Index

34

Manager Strategy Allocated/Committed Portfolio Benchmark

Magnetar Energy Finance $100,000,000

Barclays World Govt Infl-

Linked Bond Index

Orion Mining Finance

$100,000,000

Amerra Agriculture Finance $100,000,000

Brookfield Infrastructure $150,000,000

Actis Power $75,000,000

Sprott Mining Finance $80,000,000

Blue Sky Agriculture AUD$66,000,000

ISquared* Infrastructure $150,000,000

Source: TMRS Accounting *Pending legal negotiation as of quarter end

35

*Source: Colchester 1. Barclays World Government Inflation-Linked Bond Index USD Unhedged 2. TMRS inception date Feb. 1, 2011 3. Annualized returns since inception



NGR0A08 - TMRS - TOTAL REAL RETURN 2,441,147,329.15 9.15 0.14 1.54 2.53 2.09 0.41 2.07 3.17 02-01-11 BBG BARC Wld Inf-Lk Bd TR -0.88 1.89 3.28 0.81 0.04 1.13 2.79 02-01-11

Excess 1.02 -0.35 -0.75 1.28 0.37 0.94 0.38 NGR0A020 - REAL RETURN PUBLIC MARKETS 2,235,727,176.82 8.38 0.14 1.66 4.07 2.61 0.63 2.20 3.28 02-01-11 BBG BARC Wld Inf-Lk Bd TR -0.88 1.89 3.28 0.81 0.04 1.13 2.79 02-01-11 Excess 1.02 -0.23 0.79 1.80 0.59 1.07 0.49 NGTB - COLCHEST GLBL INFLTN-LINK BNDS 668,565,414.63 2.51 -0.70 2.01 3.81 -0.27 -0.76 1.36 2.61 02-01-11 BBG BARC Wld Inf-Lk Bd TR -0.88 1.89 3.28 0.81 0.04 1.13 2.79 02-01-11

Excess 0.18 0.12 0.53 -1.08 -0.80 0.23 -0.18 NGRQ - NUVEEN REAL ASSET INCOME 801,493,315.59 3.00 0.99 3.30 8.51 8.51 11.07 04-01-16 Nuveen Custom Benchmark 0.36 4.28 8.82 8.75 10.29 04-01-16

Excess 0.63 -0.99 -0.31 -0.24 0.78 NGRS - COHEN & STEERS REAL ASSET 765,668,446.60 2.87 0.00 -0.29 0.00 1.78 4.84 06-01-16 Cohen & Steers Custom Benchmark -0.04 0.37 2.34 1.59 4.95 06-01-16

Excess 0.04 -0.65 -2.34 0.19 -0.11 NGR0A019 - REAL RETURN PRIVATE MARKETS 205,420,152.33 0.77 0.14 0.26 -12.26 -0.84 -2.43 02-01-16 Real Return Private Market Index 0.14 0.42 -12.12 -3.49 -2.32 02-01-16 Excess 0.00 -0.16 -0.14 2.65 -0.11 NGRP - MTP ENERGY OPPORTUNITIES FD II 43,993,905.47 0.16 0.00 0.00 7.07 19.17 11.32 02-01-16 MTP ENERGY OPPORTUNITIES FD II Index 0.00 0.00 7.07 19.17 11.32 02-01-16

Excess 0.00 0.00 0.00 0.00 0.00 NGSH - ORION MINE FINANCE FD II 53,093,252.05 0.20 0.00 1.01 -30.22 -20.01 -18.65 06-01-16 ORION MINE FINANCE FD II Index 0.00 1.01 -30.22 -20.01 -18.65 06-01-16

Excess 0.00 0.00 0.00 0.00 0.00 NGSR - BROOKFIELD INFRA PRTNR FD III 37,114,846.61 0.14 0.00 0.00 -3.52 7.94 08-01-16 NGRW - AMERRA AGRI FUND III 65,924,895.04 0.25 0.43 -0.09 -2.15 -3.39 08-01-16 Amerra Agri Fund III Index 0.43 -0.09 -2.15 -3.39 08-01-16 Excess 0.00 0.00 0.00 0.00 NGXI - SPROTT PRIVATE RESOURCE LENDING FUND 2,935,137.14 0.01 0.00 0.00 05-01-17 Sprott Private Resource Lending Fd Index 0.00 0.00 05-01-17 Excess 0.00 0.00 NGXJ - ACTIVE ENERGY IV 2,358,116.01 0.01 0.00 0.00 05-01-17 Active Energy IV Index 0.00 0.00 05-01-17 Excess 0.00 0.00

37

VI. Absolute Return

38

Objective Purpose is to diversify equity and credit market risk by targeting hedge fund return streams

that are independent of the directionality of the broad stock and bond markets. The ARS portfolio will be invested in a wide variety of hedge fund strategies, with specific constraints on overall portfolio risk and individual manager exposure.

Performance objective is to exceed the benchmark, defined as the HFRI Fund of Funds Diversified Index, net of fees, and to earn in excess of the appropriate long-term benchmark (3-month LIBOR + 500 basis points) on an ongoing rolling 5-year period.

Investment Philosophy Predicated on manager skill in:

Rotating (long/short trading) market factors based on valuation Navigating less liquid, non public and opaque markets Navigating special situations Predicting and capturing market trends

Accordingly, ARS is not an “asset class” (or market sector)

39

Manager Strategy Committed Capital Portfolio Benchmark

Blackstone Customized Fund of One $587,645,503

HFRI Fund of Funds Diversified Index

Alyeska Fund Direct Manager $115,000,000

Graticule Asia Macro Fund Direct Manager $125,000,000

Varde Investment Partners Direct Manager $115,000,000

Myriad Opportunities Fund Direct Manager $100,000,000

Roystone Capital Fund Direct Manager $60,000,000

Southpoint Fund Direct Manager $90,000,000

Man AHL Hydrogen LLC Direct Manager $150,000,000

PDT Mosaic Fund Direct Manager $150,000,000

DSAM Long/Short Equity Fund Direct Manager $110,000,000

East Lodge Capital Credit Opportunities Fund

Direct Manager $120,000,000

River Birch Partners Direct Manager $120,000,000

Field Street Partners Direct Manager $100,000,000

Pharo Gaia Fund Direct Manager $100,000,000

D.E. Shaw Valence Fund, L.L.C. Direct Manager $73,000,000

Redmile Capital Fund, LP Direct Manager $80,000,000

BG Umbrella Fund Plc – BG Fund Direct Manager $100,000,000

H2O Alpha 10 Feeder Fund (U.S.) L.P. Direct Manager $90,000,000

Red Cliff Asia Fund Direct Manager $90,000,000

40 Source: BAAM; State Street

Equity, 15%

Credit, 20%

Relative Value, 27%Event Driven,

3%

Multi-Strat, 10%

Macro/CTA, 25%

Direct Portfolio Aggregated Manager Exposures

Equity, 15%

Credit, 49%Relative Value, 3%

Event Driven, 13%

Multi-Strat, 4%

Macro/CTA, 14%

BAAM Aggregated Manager Exposures

41 Source: State Street Investment Analytics -Preliminary


NGR0A012 - TMRS - TOTAL ABSOLUTE RETURN 2,593,744,100.81 9.72 0.00 1.96 4.91 9.73 3.75 08-01-14

HFRI FOF DIVERSIFIED INDEX 0.00 0.68 2.58 5.78 1.62 08-01-14

Excess 0.00 1.28 2.33 3.95 2.13

NGUA - TMRS - BLACKSTONE 584,801,022.84 2.19 0.00 0.70 2.99 8.66 3.25 08-01-14


Excess 0.00 0.02 0.42 2.88 1.63

NGR0A013 - TMRS - ABSOLUTE RETURN DIRECT 2,008,943,077.97 7.53 0.00 2.35 5.87 9.31 4.77 01-01-16


Excess 0.00 1.67 3.29 3.53 2.87

42

VII. Private Equity

43

Objective The primary objective is to enhance the total return of the overall investment portfolio,

and secondarily to provide diversification. Private Equity investments are commingled funds structured as limited partnerships with capital commitments that are drawn down over time based on manager discretion. Potential distributions are made as a fund matures and investments are typically realized over an 8-12 year horizon.

The long term policy objective is to meet or exceed the Russell 3000 + 3.00% over periods of five years or greater.

Investment Philosophy Manager selection is critical, and managers add value through:

Reducing agency conflicts and aligning equity holder/executive incentives Investment structuring and balance sheet management Deep sector experience and creating operating efficiencies Navigating non-public information and capturing illiquidity premia

Note: Due to the illiquid nature of the Private Equity asset class, the target allocation will be invested over a multi-year period in order to avoid considerable vintage year risks.

44

Manager Strategy Commitment Portfolio Benchmark

Capital Partners Buy-out $58,000,000

Russell 3000 + 3%

Marlin Equity Buy-out $57,000,000

Tritium Buy-out $50,000,000

Altaris Health Partners Buy-out $50,000,000

Harvest Buy-out $20,000,000

One Rock Buy-out $45,000,000

Searchlight Buy-out $47,000,000

Kainos Buy-out $35,000,000

Incline Buy-out $40,000,000

Marlin Heritage Buy-out $14,250,000

Altaris Constellation Buy-out $12,500,000

H.I.G. Bayside Special Situations $60,000,000

Carlyle Special Situations $65,000,000

TPG Special Situations $75,000,000

GSO Special Situations $75,000,000

GSO Co-Investment Fund Special Situations $18,750,000

Providence Strategic Growth Growth $60,000,000

Updata Growth $50,000,000

Mercato Growth $40,000,000

FTV Growth $46,000,000

Foundry Venture-Growth $30,000,000

45

Policy Strategy Range Control/Buy-out 40.0% to 75.0% Venture/Growth/Minority 5.0% to 25.0% Special Situations/Opportunistic 10.0% to 35.0%


45.3%

23.8%

30.9%

Figure 1 : Private Equity Strategy Diversification by Commitment

Buy-out (40.0% to75.0%)

Growth (5.0% to25.0%)

Special Situations(10.0% to 35.0%)

33.0%

17.3%

22.5%

27.2%

Figure 2 : Private Equity Target Diversification

Buy-out (40.0% to75.0%)Growth (5.0% to25.0%)Special Situations(10.0% to 35.0%)Un-allocated

46 NOTE: Percentages may not be exact due to rounding

Policy Guidelines No more than 35% with any one investment manager No more than 25% in any one investment vehicle

Figure 3: Private Equity Manager Diversification by Commitment

BO 1 BO 2BO 3 BO 4BO 5 BO 6BO 7 BO 8BO 9 BO 10BO 11 GE 1GE 2 GE 3GE 4 GE 5SS 1 SS 2SS 3 SS 4SS 5

Figure 4: Private Equity Target Manager Diversification BO 1 BO 2

BO 3 BO 4BO 5 BO 6BO 7 BO 8BO 9 BO 10BO 11 GE 1GE 2 GE 3GE 4 GE 5SS 1 SS 2SS 3 SS 4SS 5 UA



NGR0A014 - TMRS TOTAL PRIVATE EQUITY 171,240,766.76 0.64 0.00 -0.24 6.70 20.81 5.30 12-01-15

BUY-OUT TOTAL 47,185,377.11 0.18 0.00 0.00 -14.04 3.55 4.07 12-01-15

SEARCHLIGHT CAPITAL II 16,320,305.24 0.06 0.00 0.00 0.08 62.12 29.30 02-01-16

HARVEST PARTNERS VII 5,816,292.39 0.02 0.00 0.00 16.54 0.00 10-01-16

KAINOS CAPITAL PARTNERS II LP 3,195,957.34 0.01 0.00 0.00 0.00 0.00 01-01-17

TRITIUM I, L.P. 21,852,822.15 0.08 0.00 0.00 23.60 24.07 20.68 12-01-15

Incline

Marlin Equity V

Marlin Heritage II

One Rock Capital Partners II

Altaris-Health

Altaris-Constellation

Capital Partners

VENTURE-GROWTH TOTAL 67,037,075.06 0.25 0.00 -0.65 14.66 -2.28 -2.28 07-01-16

FOUNDRY GROUP NEXT FUND LP 10,233,524.04 0.04 0.00 0.00 -0.58 -4.18 08-01-16

MERCATO PARTNERS GROWTH III LP 10,599,272.00 0.04 0.00 0.00 0.84 -26.74 -26.74 07-01-16

UPDATE PARTNERS V LP 25,150,893.75 0.09 0.00 0.00 1.11 -4.27 -4.27 07-01-16

PROVIDENCE STRATEGIC GROWTH II LP 18,002,947.02 0.07 0.00 0.00 -1.17 -1.17 01-01-17

FTV V, L.P. 3,050,438.25 0.01 0.00 -11.58 05-01-17

SPECIAL SITUATIONS SUB TOTAL 57,018,314.58 0.21 0.00 0.00 5.45 19.85 3.95 03-01-16

H.I.G. BAYSIDE FUND IV 12,640,417.20 0.05 0.00 0.00 16.98 51.12 9.77 03-01-16

CARLYLE ENERGY MEZZANINE FUND II 5,015,296.54 0.02 0.00 0.00 -6.64 -12.86 -14.87 03-01-16

TSSP ADJACENT OPPORTUNITIES FUND III 26,780,475.48 0.10 0.01 0.01 3.51 10.42 6.08 03-01-16

GSO Capital Opportunities Fund III LP 12,582,125.36 0.05 0.00 0.00 3.23 1.83 10-01-16

GSO COF III Co-Invest

48

VIII. Compliance

49

• IPS Objectives • The primary objective of Compliance is to implement a detailed compliance program which

uses a combination of daily, weekly and monthly testing of all testable parameters of the Investment Policy Statement and all Manager guidelines at the Manager, asset class and total fund level, as appropriate.

• Testing may be completed either through systematic resources (automated custodial compliance) or manually if necessary.

• Compliance personnel shall create and present a quarterly report to the Board with the results of the testing performed during each period.

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Policy Guidelines

Core Fixed Income

Non-Core Fixed Income

Real Return Domestic Equities

Global Equities

Credit Quality

Liquidity/Cash Management

Permissible/Prohibited Investments

Concentration Risk

Country/Region & Currency

Issue/Issuer

Sector & Asset Type

Interest Rate Risk N/A N/A

Spread Risk N/A N/A

413 guideline compliance tests were run on TMRS’s 19 separately managed account portfolios as of June 30, 2017. There were no material violations of TMRS guidelines.

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Topic Update New Compliance Officer

Kurt Cressotti joined TMRS on April 17, 2017. State Street Bank’s automated guideline compliance tests were reviewed for 1Q 2017 through current. Manual guideline compliance tests were conducted for 1Q 2017 through current. The transition from State Street Bank’s old automated compliance monitoring system, CRD Compliance, to State Street Bank’s new automated compliance monitoring system, GX Compliance (f.k.a. MIG 21), was supervised and facilitated.

Automated Guideline Compliance Tests

State Street Bank replaced CRD Compliance with GX Compliance. GX Compliance launched on May 31, 2017. For quality assurance purposes, State Street ran GX Compliance parallel to CRD through the month of June 2017. TMRS Compliance confirmed GX Compliance was designed to test all Separately Managed Accounts and guidelines. TMRS Compliance confirmed GX Compliance test results through variety of manual tests. GX Compliance completely replaced CRD Compliance as of the week ending July 7, 2017.

Manual Guideline Compliance Tests

TMRS Compliance will continue to conduct manual guideline compliance tests to confirm the accuracy of State Street Bank’s new GX Compliance system.

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IX. Risk Management

Risk Management Objective: • Management of the risk of not achieving TMRS

investment objectives Risk Management Responsibilities: • Defining investment risk management policy and

strategy • Building a risk aware culture • Analytical tools for investment risk management • Reporting on investment risk to the Board

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Risk Report Highlights:

Reporting on Implementation Risk Ranges Implied by IPS Asset Class Guidelines is included in this report - As introduced to the Board by Risk Management (February 2017) • Ranges and current risk exposures have changed

very little from the previous quarter • No indication of a shift in outlook as to the best

rewarded risk level in each asset class

The Total Fund has a lower risk than the benchmark (7.0% vs 7.4%)

The current market environment continues to be less volatile than RVK long term expectations (7.4% for Benchmark vs 11.5%)

Forward looking Tracking Error (0.8%) continues to decrease primarily due to the decreasing amount of unimplemented policy target

Activity Update

Data Warehouse

First parts of internally developed Data Warehouse, covering account related information and daily holdings and transactions, are being used in a testing mode. Continuing work on the Data Warehouse will be expanding breadth of account related data held and adding all raw results generated by our analytical systems

Monitoring Industry Advances

Monitoring industry advances in investment risk analysis and quantitative investment strategies for opportunities to improve TMRS risk adjusted returns

Performance Attribution

For stock and bond portfolios (traditional asset classes) Performance Attribution allows us to better distinguish manager skill from luck by breaking down (attributing) returns to specific manager decisions.

Total Fund Risk March 2017

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BarraOne – One year outlook TMRS RVK

Portfolio Policy Benchmark Long Term Assumptions Long Term Assumptions1

Weight (%) Risk Contribution

to Total Risk Weight

(%) Risk Contribution to Total Risk

Current Portfolio

Risk

Minimum Risk Allowed

by IPS

Maximum Risk Allowed

by IPS

Benchmark Risk

Total 100.0% 7.0 100.0% 100.0% 7.4 100.0% 10.2 9.1 12.2 11.5 Cash Assets 2.5% 0.0 0.0% 0.0% 0.0 0.0% 0.0 -- -- 3.0 Equity - US 23.3% 12.1 36.5% 17.5% 11.6 24.7% 17.7 17.7 18.1 17.8 Equity - Non US 17.3% 14.5 33.5% 17.5% 15.0 33.1% 18.9 16.7 21.1 20.6 Core Fixed Income 18.4% 4.3 0.9% 10.0% 4.3 0.3% 3.5 3.5 4.6 6.0 Non-Core Fixed Income 12.0% 4.9 6.7% 20.0% 6.6 14.7% 8.5 5.4 11.6 12.5 Real Estate 8.4% 11.6 9.8% 10.0% 10.9 9.5% 13.1 12.5 16.6 14.0 Real Return 9.0% 6.8 7.9% 10.0% 6.7 3.9% 9.9 9.6 13.5 8.7² Absolute Return 8.8% 3.6 3.9% 10.0% 3.8 3.7% 5.3 4.5 8.6 9.5 Private Equity 0.5% 15.4 0.8% 5.0% 18.0 10.1% 19.8 16.4 22.6 25.5

NOTES: 1. RVK forward -looking risk assumptions as presented in the June 2017 Asset Allocation Review

2. RVK volatility assumption for Global Inflation Linked Bonds

Implementation Risk Ranges Implied by IPS Asset Class Guidelines March 2017

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0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

Core FixedIncome

AbsoluteReturn

Non-CoreFixed

Income

RealReturn

RealEstate

Non-USEquity

US Equity PrivateEquity

Total Plan

Risk

Series1Current TMRS Risk EstimateRVK Long-Term AssumptionSeries2Risk range implied by IPS Rebalancing Policy

Minimum risk implied by IPS

Maximum risk implied by IPS

Based on current (and approved but unfunded) strategy allocations and Investment Department long-term assumptions regarding each strategy

Total Fund & Asset Class Regional Exposures March 2017

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NOTES: 1. Developed Americas consists almost entirely of the USA. Canada is a very small allocation. 2. The Absolute Return regional breakdown is based on manager and ARS consultant estimates. 3. Percentages reflect Q3 2016 analysis

Developed Americas

Developed Europe

Developed Asia & Pacific Rim

Emerging Americas

Emerging Europe

Emerging Asia & Pacific

Rim

Middle East & Africa

Cash Assets 100% 0% 0% 0% 0% 0% 0% Equity - US 100% 0% 0% 0% 0% 0% 0% Equity - Non US 7% 41% 24% 4% 2% 20% 2% Core Fixed Income 89% 8% 1% 1% 0% 1% 1% Non-Core Fixed Income 81% 3% 1% 5% 3% 4% 3% Real Estate 96% 3% 0% 0% 0% 0% 0% Real Return 65% 20% 12% 3% 0% 1% 0% Absolute Return 52% 28% 6% 4% 2% 7% 0% Private Equity 91% 9% 0% 0% 0% 0% 0% Total Fund 72% 13% 6% 2% 1% 5% 1%

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NOTES: 1. Amount of active risk due to Pending Policy Allocations 2. Amount of active risk due to allocation difference from Policy Benchmark target allocations due to investment decisions 3. Amount of active risk due to the difference between manager benchmarks chosen by Investment Staff and the Policy Benchmark for the Asset Class 4. Amount of active risk due to manager portfolio holdings different from holdings of the Manager Benchmark

Strategic

Target Allocation

(%)

Portfolio Allocation

(%)

Allocation Difference

(%)

Pending Policy

Allocations

Four Sources of Active Risk:

Asset Class Policy Benchmark

Contribution of Pending

Policy Allocation Decisions1

Contribution of Investment

Allocation Decisions2

Contribution of Strategy Benchmark Decisions3

Contribution of Active Manager

Decisions4

Cash Assets 30 Day T- Bill 0.00% 2.46% 2.46% 0.00 0.10 0.00 0.00

Equity - US Russell 3000 17.50% 23.26% 5.76% -5.90% 0.01 0.00 -0.10 0.05

Equity - Non US MSCI ACWI ex USA IMI 17.50% 17.29% -0.21% 0.00 0.01 0.00 0.04

Core Fixed Income Barclays U.S. Agg 10.00% 18.42% 8.42% -8.00% 0.32 0.02 0.00 -0.01

Non-Core Fixed Income

50% Barclay's High Yield, 25% JPM EM GD GBI, 25% JPM CEMBI

20.00% 11.96% -8.04% 8.00% 0.02 0.00 0.05 0.16

Real Estate NCREIF ODCE 10.00% 8.36% -1.64% 1.50% 0.00 0.00 0.00 0.04

Real Return Barclays World Govt Inflation Linked Bond Index

10.00% 9.02% -0.98% 0.00 0.00 -0.01 0.01

Absolute Return HFRI FOF Diversified Index 10.00% 8.75% -1.25% 0.00 -0.03 0.00 -0.03

Private Equity Russell 3000 + 3% (risk proxy: Russell 2000)

5.00% 0.47% -4.53% 4.40% 0.12 0.00 0.00 0.01

Active Total Risk 100.00% 100.00% 0.00% 0.47 0.09 -0.04 0.28

Sum of Contributions to Active Risk 0.79

Total Fund Tracking Error March 2017

58

Evolution of Risk Over Time March 2017

0.02.04.06.08.0

10.012.014.0

Risk

Total Risk

Benchmark

Portfolio

Strategic (RVK)

-0.50.00.51.01.52.0

Activ

e Ri

sk

(i.e

. Tra

ckin

g Er

ror)

Active Risk

Sum of Contribution of Active ManagerDecisionsSum of Contribution of StrategyBenchmark DecisionsSum of Contribution of InvestmentAllocation DecisionsSum of Contribution of Pending PolicyAllocation DecisionsSum of Total Active Risk

i performance and asset allocation - tmrs...msci ac world ex. us small cap index 9 % of total fund...

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