minutes state universities retirement system october 17, 2019, … · 2019-12-11 · minutes...

MINUTES

Meeting of the Investment Committee of the Board of Trustees of the

State Universities Retirement System October 17, 2019, 8:00 a.m.

Northern Trust Global Conference Center

50 S. LaSalle St., Chicago, IL The following trustees were present: Mr. Antonio Vasquez, chair, Mr. Aaron Ammons, Mr. John Atkinson, Mr. Richard Figueroa, Ms. Jamie-Clare Flaherty, Dr. Fred Giertz, Dr. Steven Rock, Mr. Collin Van Meter, and Mr. Mitch Vogel (via conference call). Others present: Mr. Martin Noven, Executive Director; Mr. Doug Wesley, Chief Investment Officer (CIO); Ms. Ellen Hung, Deputy CIO; Mr. Shane Willoughby, Senior Investment Officer; Mr. Alex Ramos, Investment Officer; Ms. Bianca Green, General Counsel; Ms. Kristen Houch, Head of Legislative Affairs; Ms. Kelly Carson and Ms. Annette Ackerman, Executive Assistants; Mr. Neil Rue, Mr. Colin Bebee, Mr. David Sancewich, Ms. Giahne Jones and Mr. John Harris of Meketa; Ms. Sally Haskins, Ms. Jan Mende and Ms. Sarah Gal of Callan; Mr. Mike Sanders and Ms. Regina Lee of Cammack; and Mr. Mike Krems and Ms. Heidi Poon of TorreyCove. Investment Committee roll call attendance was taken. Trustee Vasquez, chair, present; Trustee Ammons, present; Trustee Figueroa, present; Trustee Giertz, present; Trustee Rock, present and Trustee Van Meter, present. Trustee Van Meter made the following motion.

• That Trustee Vogel be allowed to participate via conference call for all meetings on October 17, 2019, pursuant to Section 7(c) of the Open Meetings Act.

Trustee Rock seconded and the motion carried with all trustees present voting in favor.

APPROVAL OF MINUTES

Trustee Vasquez presented the minutes from the Investment Committee meeting of September 12-13, 2019. Trustee Rock made the following motion:

• That the minutes from the September 12-13, 2019 Investment Committee meeting be approved as presented.

Trustee Van Meter seconded and the motion carried with all trustees present voting in favor.

Trustee Van Meter made the following motion:

• That the closed session minutes from the September 12-13, 2019 Investment Committee meeting be approved as presented and remain closed.

Trustee Rock seconded and the motion carried with all trustees present voting in favor. Copies of staff’s memorandums titled “Investment Contracts Approved” and “Report from the September 2019 Investment Committee Meeting” are incorporated as part of these minutes as Exhibit 1 and Exhibit 2.

CHAIRPERSON’S REPORT Trustee Vasquez provided a quick update on the environmental, social and governance (ESG) conference he attended in September.

CHIEF INVESTMENT OFFICER REPORT Mr. Wesley informed trustees that the Senate Special Committee on State and Pension Fund Investments will hold hearings next week. SURS’ testimony will be given before the committee on October 24 in Chicago, IL. The committee asked the SURS chairman, CIO, executive director and general consultants to attend the hearing. Mr. Wesley stated that the Global Equity RFP will be issued soon, and SURS will inform the board when the quiet period begins. Mr. Wesley also discussed the performance report changes that will take place beginning in October that will be reflected in the fourth quarter performance report.

CLOSED SESSION

Trustee Rock moved that the Investment Committee go into closed session pursuant to §2(c)(7) of the Open Meetings Act to consider the sale or purchase of securities or investments or to consider an investment contract. Trustee Ammons seconded and the motion carried on a roll call vote:

Trustee Ammons - aye Trustee Figueroa - aye Trustee Giertz - aye Trustee Rock - aye Trustee Van Meter - aye Trustee Vasquez - aye

RETURN TO OPEN SESSION

Upon a motion by Trustee Rock and second by Trustee Giertz, the motion carried and the Investment Committee resumed its meeting in open session. Trustee Van Meter made the following motion.

• That based on the recommendation of SURS staff and Meketa, the Investment Committee approve retaining Credit Suisse as a systematic trend following manager, subject to successful contract negotiations.

Trustee Ammons seconded and the motion carried with all trustees present voting in favor. Trustee Rock made the following motion.

• Pending successful contract negotiations, SURS staff and Meketa recommend an initial allocation of the 1.75 percent of total fund assets to be split among the finalist firms interviewed as part of the systematic trend following search in the following proportions:

o Aspect Capital – 27% o Campbell & Company – 27% o Credit Suisse – 27% o LongTail Alpha – 19%

Trustee Van Meter seconded and the motion carried with all trustees present voting in favor. Trustee Giertz made the following motion.

• That based on the recommendation of SURS staff and Meketa, the Investment Committee approve ARP Investments, Lombard Odier and PIMCO to be retained as alternative risk premia managers with each firm receiving an allocation of approximately 0.5 percent of total fund assets, subject to the successful completion of contract negotiations.

Trustee Rock seconded and the motion carried with all trustees present voting in favor. Trustee Ammons made the following motion.

• That based on the recommendation from SURS staff and Callan, the Investment Committee approve a commitment of $100 million to Prologis Targeted U.S. Logistics Fund and $50 million to Cabot Industrial Value Fund VI, subject to the successful completion of contract negotiations.

Trustee Rock seconded and the motion carried with all trustees present voting in favor.

DISCUSSION OF INFLATION SENSITIVE STRATEGIC CLASS

Mr. Neil Rue provided a background of the SURS inflation sensitive class and discussed the current components of the class, treasury inflation-protected securities (TIPS) and commodities. The class structure modeled in the asset allocation consisted solely of TIPS. Mr. Rue stated that staff will utilize one of the actively managed commodities mandates to provide additional funding to the passive TIPS strategy and the second commodities mandate will shift to the Crisis Risk Offset (CRO) class, leaving the inflation sensitive class to consist solely of passive TIPS. Given that the inflation sensitive class will consist solely of TIPS, the proposed changes to the Investment Policy reflect the updated structure.

Trustee Rock made the following motions.

• That based on the recommendation of SURS staff and Meketa, the Investment Committee approve the revised defined benefit plan Investment Policy, as presented.

• That based on the recommendation from SURS staff and Meketa, the Investment Committee

grant authority to staff to restructure the inflation sensitive portfolio to implement the agreed-upon goals for the class, subject to successful completion of contract negotiations.

Trustee Ammons seconded and the motions carry with all trustees present voting in favor. The Meketa memorandum titled “Discussion and Recommendations for SURS Inflation Sensitive Strategic Class Portfolio” is incorporated as part of these minutes as Exhibit 3.

DEFINED CONTRIBUTION UPDATE (Educational Session)

Mr. Michael Sanders and Ms. Regina Lee of Cammack presented an educational session discussing the recent RFP process, the next steps and key considerations for plan reenrollment. Mr. Sanders explained what Cammack’s role will be during the transition and the implementation process. The education session lasted for 20 minutes; ending at 2:30 p.m. A copy of the Cammack presentation titled “SURS Board Meeting October 2019” is incorporated as part of these minutes as Exhibit 4.

TORREYCOVE INTRODUCTION (Educational Session)

Mr. Mike Krems and Ms. Heidi Poon of TorreyCove presented the background of their firm, provided an update on the onboarding process for the SURS account and discussed upcoming projects. As the discretionary private equity provider for SURS, TorreyCove is in the process of completing a strategic plan and a pacing model for the SURS private equity portfolio. They plan to present their recommendations to the SURS board during the December meeting. Discussion ensued as the representatives answered questions from trustees. The education session lasted for 40 minutes; ending at 3:10 p.m. A copy of the TorreyCove presentation titled “SURS Board Presentation – Final” is incorporated as part of these minutes as Exhibit 5.

INFORMATIONAL ITEMS NOT REQUIRING COMMITTEE ACTION The following items were provided for reference and are incorporated as a part of these minutes:

1. Exhibit 6 – Deutsche Bank Securities Lending Review 2019 2. Exhibit 7 – Northern Trust Master Custodian Review 2019 3. Exhibit 8 – Parametric Overlay Manager Review 2019

PUBLIC COMMENT There were no public comments presented to the Investment Committee. There was no further business brought before the committee and Trustee Figueroa moved that the meeting be adjourned. The motion was seconded by Trustee Rock and carried with all trustees present voting in favor.

Respectfully submitted,

Mr. Martin Noven

Secretary, Board of Trustees MMN/kc

To: Martin Noven From: Douglas C. Wesley, CFA Date: October 3, 2019 Subject: Investment Contracts Approved The following investment contract agreements were approved by the Executive Director subsequent to the mailing for the September 13, 2019 Investment Committee meeting. September 2019 TorreyCove Capital Partners Investment Management agreement was fully executed on September 3, 2019. Long Wharf Real Estate Partners VI Fund documents and side letter were fully executed on September 12, 2019 Rhumbline Amendment to IMA to include investment guidelines for long-duration mandate and revised fee schedule was fully executed on September 17, 2019. Please advise if you have questions regarding these items.

Exhibit 1

To: Investment Committee From: Douglas C. Wesley, CFA Date: October 3, 2019 Subject: Report from the September 12-13, 2019 Investment Committee Meeting Enclosed are the Minutes of the September 12-13, 2019 Board Meeting. The purpose of this memorandum is to provide a status report on the action items for Investments. Nine motions were approved during the Investment Committee Meeting. These included the approval of the minutes from the June 6, 2019 Investment Committee Meeting and a motion that the closed session minutes from the June 6, 2019 Investment Committee Meeting be approved and remain closed. The remaining motions were approved by the SURS Board of Trustees and required further action by SURS staff. Open motions requiring further action by SURS Staff are listed below. 1. That based on the recommendation of SURS staff and Meketa, the Investment

Committee approve retaining Aspect Capital, Campbell and Company, and LongTail Alpha, subject to successful contract negotiations.

Staff is in the process of contract negotiations with the three firms.

2. That based on the recommendation of SURS staff and Meketa, the Investment

Committee approve the revised defined benefit plan Investment Policy, as presented.

The Investment Policy for the defined benefit plan has been revised and posted on the SURS website.


Committee grant authority to staff to restructure the Traditional Growth portfolio to implement the Streamlined Structure (option 2) as presented, subject to successful completion of contract negotiations. Staff has started implementing the Streamlined Structure as approved and is negotiating contracts with various firms.

4. That based on the recommendation from SURS Staff and Cammack, the Investment Committee approve the retention of Voya Financial as the sole record-keeper for the existing Self-Managed Plan and the new Supplemental Plan, subject to successful contract negotiations.

Exhibit 2

Staff is in the process of contract negotiations with Voya Financial.

5. That based on the recommendation from SURS Staff and Cammack, the Investment Committee approve the retention of AllianceBernstein as the income solution provider for the existing Self-Managed Plan and the new Supplemental Plan, subject to successful contract negotiations.

Staff is in the process of contract negotiations with AllianceBernstein.


Committee approve RhumbLine to be retained to manage a U.S. Long Government passive strategy with an initial allocation of 1.75 percent of the SURS total portfolio, subject to successful completion of contract negotiations. An amendment to Rhumbline’s IMA, to include investment guidelines for long-duration mandate and revised fee schedule, was fully executed on September 17, 2019. This mandate will be implemented along with the trend-following strategy.

7. That based on the recommendation of SURS staff, the Investment Committee approve the Investment Procurement Policy as amended.

The Procurement Policy has been revised and posted on the SURS website.

Open item from June 6, 2019 8. That based on the recommendation of SURS staff and Meketa, the Investment

Committee approve TorreyCove as the discretionary private equity advisor for a five-year term, subject to successful completion of contract negotiations.

An investment management agreement with TorreyCove was fully executed on September 3, 2019.


Committee grant authority to staff to restructure the fixed income portfolio to implement the agreed upon goals for the principal protection and credit portfolios, subject to successful completion of contract negotiations.

The fixed income restructure has been completed with the exception of one manager.

Open item from April 18, 2018 10. That based on the recommendation of SURS staff and Callan, the Board of Trustees

approve a commitments of the lesser of $40 million or 10% of total fund commitments to Long Warf Real Estate Partners Fund VI, contingent on successful contract negotiations.

Fund documents and side letter were fully executed on September 12, 2019

Exhibit 2

Open item from March 7, 2018 11. That based on the recommendation of staff and PCA, that a search be conducted to

identify qualified firms to manage a trend following strategy.

The trend following strategy RFP was issued on April 1, 2019. Thirty responses were received on May 2, 2019. Staff and Meketa reviewed the RFP responses and gave an update at the June Board meeting. Semi-finalist meetings were held on July 31 and August 1, 2019. Finalists presented to the Board at the September meeting with an additional finalist presenting at the October 2019 meeting.

12. That based on the recommendation of staff and PCA, that a search be conducted to

identify qualified firms to manage an alternative risk premia strategy.

The alternative risk premia strategy RFP was issued on April 1, 2019. Thirty-seven responses were received on May 2, 2019. Staff and Meketa reviewed the RFP responses and had semi-finalist meetings on September 4-5, 2019. Recommendations to the Board will be made at the October 2019 meeting.

Open item from December 6, 2018 13. That based on the recommendation from staff and PCA, the Investment Committee

approve that proceeds from the hedge fund of funds redemption be allocated to AQR (25 percent), Gladius (25 percent) and Neuberger Berman (50 percent), and used to fund benefit payments if needed.

As stated in item 14 below, SURS has received a total of $484 million from the hedge fund of funds. A portion of the redemption was reallocated to options strategies ($225 million) with the remaining used for benefit payments. Prior to the additional allocation, Staff negotiated a lower fee schedule with Neuberger Berman and AQR. The reduced fee schedule with Neuberger Berman resulted in annual savings of $90,000 on the additional $150 million allocation. The annual savings with AQR was $82,500 on $75 million of additional allocation.

Open item from September 13, 2018 14. That based on the recommendation from SURS staff and SURS investment consultant,

that SURS coordinate full redemption from the KKR Prisma Codlin Fund and from the Newport Monarch Fund. At either the October or December 2018 Investment Committee meeting, staff will recommend where proceeds will be invested.

The notifications for full redemption were submitted to KKR Prisma Codlin Fund and Newport Monarch Fund on September 19, 2018. A total of $332.5 million has been received from Prisma and $151.5 million from PAAMCO. As stated in item 13 above, Staff has reallocated $225 million to options strategies managers as approved by the Board at the December 2018 meeting.

Exhibit 2

Open item from December 7, 2017 15. The Investment Committee recommends that based on the recommendation of staff and

SURS investment consultant, that staff be able to coordinate a full redemption from the UBS Trumbull Property Fund and use proceeds to invest $300 million in core-plus, open-end real estate fund(s).

The notification was submitted on December 21, 2017. SURS has received total distributions of $275 million. As the exit queue has significantly increased, it may take a few years before the remaining proceeds, approximately $103 million, are returned.

Please advise if you have any questions prior to the October 17, 2019 Investment Committee meeting.

Exhibit 2

M E M O R A N D U M

M E K E T A I N V E S T M E N T G R O U P 411 NW PARK AVENUE SUITE 401 PORTLAND OR 97209

503 226 1050 fax 503 226 7702 www.meketagroup.com

To: Doug Wesley, CFA - CIO, Ellen Hung, CFA - Deputy CIO Board of Trustees, State Universities Retirement System

From: Neil Rue, CFA, Colin Bebee, CFA, David Sancewich, Meketa Investment Group

Date: September 25, 2019

Re: Discussion & Recommendations for the SURS Inflation Sensitive Strategic Class Portfolio

SUMMARY & RECOMMENDATION

As of June 30, 2019, SURS’ Inflation Sensitive class had a value of $1.1 billion, or approximately 5½% of Total Portfolio assets. Based on the recently-approved strategic allocation policy and expected portfolio growth, the Inflation Sensitive class is expected to grow to nearly $1.4 billion (6% of Total Portfolio assets) over the next five years. The Inflation Sensitive class currently consists of two components: Treasury Inflation Protected Securities (TIPS) and Commodities. The Commodities component is relatively small ($352 million) and consists of two actively-managed mandates that have produced widely diverging results. Given that the newly-formed Crisis Risk Offset® (CRO®) class will from time-to-time exhibit significant commodities exposure, both Staff and MIG recommend eliminating the Commodities component from the Inflation Sensitive class. It is highly likely that Staff will utilize one of the actively-managed mandates to fund other strategies while the second mandate, given its market-neutral characteristics and strong performance, will likely shift to the CRO® class. The remaining Inflation Sensitive class will consist solely of TIPS, which are designed to produce inflation-adjusted income over time.

DISCUSSION

As presented below (see pie chart, next page), the Inflation Sensitive class is a minor strategic class whose role is to participate positively in rising inflation environments when other classes’ purchasing power might be threatened.

Exhibit 3

Memorandum September 12, 2019

Page 2 of 4

SURS APPROVED LONG-TERM ALLOCATION POLICY

The current blueprint for the Inflation Sensitive class is 100% TIPS. The rationale for this structure are: (i) TIPS are default-free securities issued by the U.S. Government; as a result, TIPS (if held to maturity) are not subject to economic growth or other credit-related risks; (ii) TIPS are tradable and liquid, although not quite as liquid as nominal U.S. Treasury Notes and Bonds; and (iii) TIPS produce income that rises with inflation.

There are two key reasons for eliminating the Commodities segment: First, during the 2018 Asset-Liability Study, Commodities modeled to a 0% allocation across all reviewed scenarios, indicating their relative unattractiveness in light of other strategic classes being utilized/included. Second, as the Crisis Risk Offset® class grows in scale, there is a strong likelihood that many, if not all, of SURS’ new systematic trend-following managed accounts (which systematically invest in numerous global markets, including commodities) will exhibit ongoing, but varying, exposures to commodities. Finally, given that (i) the Total Portfolio’s current exposure to commodities is only 2% (i.e., not impactful) and (ii) the utilized strategies do not necessarily exhibit commodities-like and/or added-value behavior, eliminating the current Commodities allocation should help to streamline the overall portfolio while marginally enhancing its overall return-risk profile.

ADJUSTMENTS TO INFLATION SENSITIVE CLASS POLICY LANGUAGE

Given that the Inflation Sensitive class will consist of only TIPS, the SURS Investment Policy Statement (IPS) should reflect this updated structure. The attachments shows the required adjustments to the appropriate sections of the IPS (see both Clean and Redline attachments). The key change is deletion of references to Commodities as an Inflation Sensitive component as well as elimination of Commodities references in Appendices 4 and 5 which pertain to portfolio structure and benchmarks, respectively.

Exhibit 3


Page 3 of 4

REVIEW OF SURS’ EXISTING COMMODITIES STRATEGIES

SURS currently retains two active commodities managers employing very different strategies (see summary table below):

SURS’ COMMODITIES MANAGERS/MANDATES

Manager SURS 6/30/2019 AUM

($000) Mandate Strategy Name Approach

Invesco 239,376 Active Balanced Risk Risk-weight-balanced,

relative-value

PIMCO 113,085 Active Commodity Alpha Fund Market-neutral,

relative-value, no beta

Both accounts are actively-managed, but the managers’ investment approaches are markedly different and contrast sharply with one another. Both managers utilize a “relative value” approach to investing in selected commodities markets – meaning that at certain points in time, specific commodities exhibit better value propositions than other commodities.

Invesco’s Balanced Risk commodities investment strategy applies a “risk balanced” approach to portfolio construction, allocating to four major commodity segments (precious metals, agriculture, energy, and industrial metals) so that each segment’s risk contribution is 25% of total portfolio risk. With this strategic allocation as a reference point, Invesco may tactically shift among the four segments based on their relative value views. Importantly, while the Invesco approach is allowed to hold short derivative positions, the strategy should be viewed as largely a long-only strategy meant to capture commodity market behavior in a highly-risk-managed manner.

By contrast, PIMCO’s Commodity Alpha Fund should be viewed as a long-short hedge fund that can apply significant leverage to produce investment returns. While it expresses views on various commodities markets, PIMCO seeks to eliminate all major commodity market exposure through its shorting efforts, leaving only idiosyncratic risk exposure (i.e., those unrelated to the underlying major commodities risk factors). In this sense, the PIMCO commodity investment approach is “market neutral,” and represents the ability to capture unique risk premiums that are unrelated to a typical portfolio’s other risk exposures. In this respect, the PIMCO Commodity Alpha Fund could be considered an approach that seeks to capture “alternative risk premia” through the commodities markets that is analogous to the mandates found in Alternative Risk Premia component of SURS’ newly-established CRO® strategic class. As a result, given the favorable and consistent performance produced by the PIMCO strategy, it is completely reasonable to migrate the PIMCO Commodity Alpha Fund mandate to the CRO® class.

Exhibit 3


Page 4 of 4

Investment Performance

Since inception (from May 2016), the two commodities managers have produced widely diverging outcomes while also performing in-line with individual manager expectations (see chart below).

COMPARATIVE RESULTS – SURS’ COMMODITIES MANAGERS

Since Inception (May-16 through June-19)

Annualized Statistics (net of fees) Correlation Matrix

Return Risk Return/ Risk PIMCO Invesco BC Index*

PIMCO 10.5 6.2 1.7 1.00

Invesco -1.4 9.3 -0.2 0.15 1.00

BC Index* -0.8 8.7 -0.1 -0.17 0.83 1.00 *Gross of fees

Note that Invesco has tracked the BC Index closely while PIMCO has not. In fact, the PIMCO portfolio has exhibited low correlations to every major risk factor, including commodities beta – highlighting its absolute return-oriented/market-neutral philosophy. The levels of volatility between the two mandates also diverge, with Invesco producing 50% higher historical risk than PIMCO. Clearly, these two managers focus on very different assignments: Invesco seeks to mirror commodities markets behavior while adding value in a risk-controlled fashion while PIMCO results are relatively agnostic to commodities markets outcomes. So far, PIMCO has produced very favorable results while Invesco has not been successful in adding value.

NAR/CB/DPS/hls

Exhibit 3

Investment Policy October 2019

Page 20

5. Use of leverage and short sales will be controlled as appropriate in the Manager’s Guidelines.

6. Implementation of the Principal Protection portfolio is primarily via Active Management..

C. Benchmarks and Performance Targets

Benchmarks and Performance Targets for subcomponents of the Fixed Income portfolio are set forth in Appendix 5.

Inflation Sensitive Class Structure A. Role

The Inflation Sensitive portfolio is expected to provide the portfolio with a hedge against structural inflation. In addition, the inflation sensitive portfolio is expected to provide competitive returns relative to an appropriate performance Benchmark.

o Quality standards, such as credit, concentration, duration, liquidity, etc., will be specifically set forth in each Manager’s Guidelines, as applicable. In the event a security no longer meets the quality standards referenced above, the Manager may continue to hold such security if it believes doing so is in the best interest of SURS. The Manager shall provide written justification of the action to Staff [and Consultant] as soon as practicable.

B. Investment Structure

The Inflation Sensitive Class consists solely of Treasury Inflation Protected Securities: Implementation of the TIPS portfolio is currently via Passive Management.

C. Benchmarks and Performance Targets Benchmarks and Performance Targets for the Inflation Sensitive Class are set forth in Appendix 5.

Crisis Risk Offset Class Structure A. Role

The Crisis Risk Offset (CRO) portfolio is expected to produce significant positive returns during an extended recessionary-type equity market crisis, while maintaining purchasing power during more normal market environments. In this respect, the CRO portfolio is expected to enhance the long-term risk-adjusted performance of the Total Portfolio, by substantially mitigating significant drawdowns that the Total Portfolio might experience.


1. The CRO allocation generally consists of investments in highly-liquid portfolios that are meant to capture key risk premia that should prove largely beneficial during an equity-related market crisis. Along these lines, the underlying investments and strategies may utilize both long positions and short-selling positions to capture the desired return patterns/behavior.

2. The CRO portfolio is composed of three major subcomponents. a. Long U.S. Treasury Duration

i. U.S.Treasuries represent the leading “flight-to-quality” investment since they are backed by the U.S. Government. The U.S. Dollar (the base

Clean Version

Exhibit 3


Page 52

Appendix 4

Asset Allocation Policy Mix

Strategic Policy Target 10/1/2019-

7/1/2020

Long-Term Strategic Policy

Target

Broad Growth 81% Broad Growth 66%

Traditional Growth 47% Traditional Growth 25%

US Equity US Equity

Non-US Equity Non-US Equity

Global Equity Global Equity

Stabilized Growth 26% Stabilized Growth 26%

Real Assets** 6% Real Assets** 6%

Options Strategies 6% Options Strategies 6%

Credit*** 14% Credit*** 14%

Non-Traditional Growth 8% Non-Traditional Growth 15%

Private Equity 6% Private Equity 11%

Non-Core Real Assets 2% Non-Core Real Assets 4%

Inflation Sensitive 6% Inflation Sensitive 6%

TIPS 6% TIPS 6%

Principal Protection 8% Principal Protection 8%

CRO 5% CRO 20%

Opportunity Fund 0% Opportunity Fund 0%

Total 100% Total 100%

**Includes Real Assets and Infrastructure investments.

***Credit will include EMD, HY, Loans, Invest. Grade, and other income-driven strategies. 1. No Open-end Fund may represent more than 30% of Core Real Estate portfolio.

1. No Non-Core Real Estate Fund may represent more than 10% of the Non-Core Fund commitments.

2. No single manager may represent more than 40% of the combined Real Asset and Non-Core Real Asset target allocation

4. Allocation to the Opportunity Fund class may not exceed 5%.

Clean Version

Exhibit 3


Page 53

Appendix 5

Benchmarks and Active Manager Performance Targets As of 9-30-19

ASSET CLASS POLICY MIX

BENCHMARK PERFORMANCE

TARGET

Total Broad GrowthAggregate Blend of Blends Traditional Growth MSCI ACWI IMI

U.S. Equity Dow Jones U. S. Total Stock Market Index BM+0.50% Non-U.S. Equity MSCI ACWI Ex-US IMI BM+2.0% Global Equity MSCI ACWI IMI BM+2.0%

Stabilized Growth Blend

Options Strategies Blend of two benchmarks: Bench 1: [25% CBOE S&P 500 PutWrite / 25%

CBOE S%P 500 BuyWrite / 25% MSCI ACWI ex US ND / 25% 3-month T-bill]

Bench 2: [CBOE S&P 500 PutWrite]

BM%

Total Credit 25%IG+30%HY+30%EMD+15%BL Blend BM + 0.50%

Investment Grade BB Global Agg Credit Index BM + 0.50%

High Yield BB Global High Yield BM + 0.50%

Emerging Market Debt (EMD) 50 % JPM Gov. Bond Index - EM Global Div. + 25% JPM EM Bond Index - Global Diversified +

25% JPM Corp. EM Bond Index - Broad BM + 0.50%

Bank Loans S&P LSTV Global Leveraged Loan BM + 0.50%

Real Assets Blend Core Real Estate NFI-ODCE Value Weight Net BM%

Infrastructure Weighted Average of the Underlying Investment

Benchmarks BM%

Non-Traditonal Growth Blend

Private Equity Dow Jones U.S. Total Stock Market Index Secondary Benchmarks may include: peer group

comparison, return multiple or public market equivalent comparisons.

BM+3.0%

Non-core Real Assets NFI-ODCE Value Weight Net BM+1.5% Principal Protection Bloomberg Barclays Intermediate Agg. Ex Credit BM% Total Inflation Sensitive Blend TIPS Barclays Capital U.S. TIPS Index BM

Total Crisis Risk Offset 35%LD+35%STF+30%ARP Blend BM Long Duration BB Long Government Index BM Systematic Trend Following CS Managed Futures (15%Vol) BM Alternative Risk Premia 90 Day Treasury Bills + 2.0% BM

Grand Total Policy Portfolio

Clean Version

Exhibit 3


Page 20

C. Benchmarks and Performance Targets Benchmarks and Performance Targets for subcomponents of the Fixed Income portfolio are set forth in Appendix 5.

Inflation Sensitive Class Structure A. Role

The Inflation Sensitive portfolio is expected to provide the portfolio with a hedge against structural and unanticipated inflation. In addition, the inflation sensitive portfolio is expected to provide competitive returns relative to an appropriate performance Benchmark.

o Quality standards, such as credit, concentration, duration, liquidity, etc., will be specifically set forth in each Manager’s Guidelines, as applicable. In the event a security no longer meets the quality standards referenced above, the Manager may continue to hold such security if it believes doing so is in the best interest of SURS. The Manager shall provide written justification of the action to Staff [and Consultant] as soon as practicable.


The Inflation Sensitive Class consists solely of two component portfolios: Treasury Inflation Protected Securities and Commodities: Treasury Inflation Protected Securities – “TIPS” The inflation sensitive allocation consists of Treasury Inflation Protection Securities

(“TIPS”). Implementation of the TIPS portfolio is currently via Passive Management.

Commodities 1. The Commodities portfolio consists primarily of liquid positions in Commodity

Options, Futures, Swaps, and other financial instruments that provide direct or indirect exposure to Commodity markets. As collateral for the Commodity positions, cash, cash equivalents and other Fixed Income instruments may be held as required by exchanges or counterparties.

2. The Commodities portfolio is composed of Long-Only and Long/Short segments. o Long-Only

Long-only strategies manage Commodities through key value drivers, including term structure weighting, optimal roll yield, and tactical allocation among different sectors and individual commodities. Some long-only Managers pursue strategies that equalize risk among the four primary commodity complexes: precious metals, industrial metals, energy, and agriculture/livestock. Long-only strategies are expected to provide Beta exposure consistent with applicable Benchmarks.

o Long/Short Long/short Managers have an absolute return objective, whereby they

can invest in both long and short commodities positions depending on market conditions. The Beta of long/short strategies tends to be quite low compared to the applicable Benchmark. Long/short Managers may invest in Commodities not typically represented in traditional Commodities’ Benchmarks.

Red Line Version

Exhibit 3


Page 21

3. Diversification While the Commodities portfolio’s positions are generally expected to be held across Commodity sectors, exposure to a particular Commodity sector (or to a particular Commodity within such sector) may be concentrated.

4. Within the portfolio, commitments have been made via a fund structure. 5. Leverage may be present in Commodities portfolios and is determined on a fund-

level basis. 6. Implementation of the commodities portfolio is currently via Active Management.

C. Benchmarks and Performance Targets Benchmarks and Performance Targets for the Inflation Sensitive Class and its two component portfolios are set forth in Appendix 5.

Crisis Risk Offset Class Structure A. Role

The Crisis Risk Offset (CRO) portfolio is expected to produce significant positive returns during an extended recessionary-type equity market crisis, while maintaining purchasing power during more normal market environments. In this respect, the CRO portfolio is expected to enhance the long-term risk-adjusted performance of the Total Portfolio, by substantially mitigating significant drawdowns that the Total Portfolio might experience.


1. The CRO allocation generally consists of investments in highly-liquid portfolios that are meant to capture key risk premia that should prove largely beneficial during an equity-related market crisis. Along these lines, the underlying investments and strategies may utilize both long positions and short-selling positions to capture the desired return patterns/behavior.

2. The CRO portfolio is composed of three major subcomponents. a. Long U.S. Treasury Duration

i. U.S.Treasuries represent the leading “flight-to-quality” investment since they are backed by the U.S. Government. The U.S. Dollar (the base denomination of U.S. Treasuries) is also considered the world’s highest-quality reserve currency.

ii. Exposure to U.S. Treasury Duration can take place via cash markets (i.e., actual bonds) or the futures markets (virtual bond proxies).

b. Systematic Trend Following i. Long-short portfolios utilizing derivatives-based instruments to capture

both periodic appreciation and periodic depreciation trends that evolve and dissipate across a very wide array of liquid global markets. Risk/volatility is calibrated to a pre-determined level derivatives-based leverage.

ii. Assets will be invested in highly liquid underlying securities (cash, futures, forwards, etc.), allowing for relatively rapid access for rebalancing and liquidity purposes.

Red Line Version

Exhibit 3


Page 52

Appendix 4

Asset Allocation Policy Mix

Strategic Policy Target 10/1/2019-

7/1/2020

Long-Term Strategic Policy

Target

Broad Growth 81% Broad Growth 66%

Traditional Growth 47% Traditional Growth 25%

US Equity US Equity

Non-US Equity Non-US Equity

Global Equity Global Equity

Stabilized Growth 26% Stabilized Growth 26%

Real Assets** 6% Real Assets** 6%

Options Strategies 6% Options Strategies 6%

Credit*** 14% Credit*** 14%

Non-Traditional Growth 8% Non-Traditional Growth 15%

Private Equity 6% Private Equity 11%

Non-Core Real Assets 2% Non-Core Real Assets 4%

Inflation Sensitive 6% Inflation Sensitive 6%

TIPS 6% TIPS 6%

Commodities Commodities

Principal Protection 8% Principal Protection 8%

CRO 5% CRO 20%

Opportunity Fund 0% Opportunity Fund 0%

Total 100% Total 100%

**Includes Real Assets and Infrastructure investments.

***Credit will include EMD, HY, Loans, Invest. Grade, and other income-driven strategies. 1. No Open-end Fund may represent more than 30% of Core Real Estate portfolio.

1. No Non-Core Real Estate Fund may represent more than 10% of the Non-Core Fund commitments.

2. No single manager may represent more than 40% of the combined Real Asset and Non-Core Real Asset target allocation

4. Allocation to the Opportunity Fund class may not exceed 5%.

Red Line Version

Exhibit 3


Page 53

Appendix 5

Benchmarks and Active Manager Performance Targets As of 9-30-19

ASSET CLASS POLICY MIX

BENCHMARK PERFORMANCE

TARGET

Total Broad GrowthAggregate Blend of Blends Traditional Growth MSCI ACWI IMI

U.S. Equity Dow Jones U. S. Total Stock Market Index BM+0.50% Non-U.S. Equity MSCI ACWI Ex-US IMI BM+2.0% Global Equity MSCI ACWI IMI BM+2.0%

Stabilized Growth Blend

Options Strategies Blend of two benchmarks: Bench 1: [25% CBOE S&P 500 PutWrite / 25%

CBOE S%P 500 BuyWrite / 25% MSCI ACWI ex US ND / 25% 3-month T-bill]

Bench 2: [CBOE S&P 500 PutWrite]

BM%

Total Credit 25%IG+30%HY+30%EMD+15%BL Blend BM + 0.50%

Investment Grade BB Global Agg Credit Index BM + 0.50%

High Yield BB Global High Yield BM + 0.50%

Emerging Market Debt (EMD) 50 % JPM Gov. Bond Index - EM Global Div. + 25% JPM EM Bond Index - Global Diversified +

25% JPM Corp. EM Bond Index - Broad BM + 0.50%

Bank Loans S&P LSTV Global Leveraged Loan BM + 0.50%

Real Assets Blend Core Real Estate NFI-ODCE Value Weight Net BM%

Infrastructure Weighted Average of the Underlying Investment

Benchmarks BM%

Non-Traditonal Growth Blend

Private Equity Dow Jones U.S. Total Stock Market Index Secondary Benchmarks may include: peer group

comparison, return multiple or public market equivalent comparisons.

BM+3.0%

Non-core Real Assets NFI-ODCE Value Weight Net BM+1.5% Principal Protection Bloomberg Barclays Intermediate Agg. Ex Credit BM% Total Inflation Sensitive Blend TIPS Barclays Capital U.S. TIPS Index BM+0.30% Commodities Bloomberg Commodity Index BM+1.0%

Total Crisis Risk Offset 35%LD+35%STF+30%ARP Blend BM Long Duration BB Long Government Index BM Systematic Trend Following CS Managed Futures (15%Vol) BM Alternative Risk Premia 90 Day Treasury Bills + 2.0% BM

Grand Total Policy Portfolio

Red Line Version

Exhibit 3

Board Meeting | October 17, 2019

STATE UNIVERSITIES RETIREMENT SYSTEM OF ILLINOIS

Exhibit 4

Cammack Retirement Group | © 2019 All Rights Reserved | For Plan Sponsor Use Only

RFP Process and Next Steps

− Contracting

− Transition and Implementation

− Investment Array

− Next Board Meeting

Key Considerations for Plan Re-Enrollment

AGENDA

Exhibit 4

Cammack Retirement Group | © 2019 All Rights Reserved | For Plan Sponsor Use Only 3

RFP PROCESS

Develop and Review Investment Array

• Review member demographics and fund utilization for the Self-Managed Plan

• Provide adequate diversification and ensure members are offered broad spectrum of investment choices that include major asset classes

• Keep options simple and include major asset classes to reduce potential for member confusion and to combat inertia

• Discuss considerations for white-labeling funds

• Develop a mapping strategy of the current investment option for the Self-Managed Plan

• Develop a proposed core investment array for the 457(b) Supplemental Plan

Next Board Meeting – December 5, 2019:

- Continue to keep the Board updated on overview of project, key milestones, approval for recommendations (if necessary)

- Present recommendations for the Lifetime Income Solution – default secure income level, default retirement age, benefit activation range, secure income buy in age, secure income goal age

Executive Summary

Exhibit 4


RFP PROCESS

NEXT STEPS Contracting and Contract Negotiations

• Negotiation and execution of contracts are still underway for Voya and AB

Initiated Project Plan between Voya, AB, SURS, CRG

• Established plan of action to make transition and implementation as efficient as possible

• Reviewed high-level timeline and key decisions to be made by SURS

• Plan to schedule periodic conference calls and meetings between SURS, Voya, AB, Cammack

• Conducted two initial kick-off meetings for Voya and AB with senior leadership from all teams to review and discuss the implementation strategy and set requirements and expectations

Cammack’s Role during the Vendor Transition and Lifetime Income Solution Implementation

• Provide quality assurance oversight to the project

• Insight into industry standards and best practices around administration and operational areas of the plans

• Review and provide best practices on communications materials/education material developed

• Participate in periodic calls between teams as the independent intermediary to ensure all parties stay on track with regards to fulfilling stated goals and objectives

• Identify potential risks and ensuring that the implementation remains on track

• Assist in the development of the glide path for the lifetime income solution

• Provide 3(21) fiduciary services in development of the investment options

Executive Summary

Exhibit 4


PLAN RE-ENROLLMENTKey Considerations

OVERVIEW• Pension Protection Act of 2006 enacted to transform the retirement landscape and paved the way for re-enrollment

- Initiated thoughts in the industry of how plan sponsors can tackle the issue of poor asset allocation amongst employees through re-enrollment

• Plan design strategy whereby members’ current account balances and future contributions to the plan will be automatically transferred to a selected default investment option

• All members are given a window of opportunity to opt out and make their own selection

• The most common approach is a periodic one-time sweep into the default option

OUTCOME-FOCUSED PLAN DESIGN FEATURE• Improve retirement outcomes to ensure that members are properly allocated in a sensible investment

• Improve portfolio diversification amongst members who have not revisited their original investments since they were selected or who have not made appropriate choices

• Provide an opportunity to re-engage members and highlight the benefits of the plan and review their investment elections

• Enables members to be potentially be eligible for retiree health benefits

Exhibit 4

6Cammack Retirement Group | © 2019 All Rights Reserved | For Plan Sponsor Use Only

Cammack Retirement Group | © 2019 All Rights Reserved | For Plan Sponsor Use Only

*An office of Cammack LaRhette Advisors

Investment products available through Cammack LaRhette Brokerage, Inc.Investment advisory services available through Cammack LaRhette Advisors, LLC.

Both located at 100 William Street, Suite 215, Wellesley, MA 02481 | p 781-237-2291

New York, NY Wellesley, MA Lexington, KY*40 Wall Street, 56th Floor 100 William Street, Suite 215 948 Village Green Avenue

New York, NY 10005 Wellesley, MA 02481 Lexington, KY 40509

P: 212.227.7770 P: 781.237.2291 P: 859.492.1765

The information contained herein has been obtained from sources that are believed to be reliable. However, Cammack Retirement Group does not independently verify the accuracy of this information and makes no representations as to its accuracy or completeness.

Exhibit 4

© 2019 TorreyCove Capital Partners │ Confidential Information

M A S S A C H U S E T T S

222 Rosewood Drive

3rd Floor

Danvers, MA 01923

W W W . T O R R E Y C O V E . C O M

C A L I F O R N I A

10180 Barnes Canyon Road

Suite 200

San Diego, CA 92121

October 17, 2019

State Universities

Retirement System

Exhibit 5


TorreyCove Capital Partners is Exclusively Focused on Private Markets –Private Equity, Private Credit, & Real Assets

• Highly experienced team has advised upon or committed nearly $101.6 billion1

• Customized, client-specific approach to investment strategy

• Comprehensive services from strategic planning, execution and investment

sourcing to portfolio monitoring, reporting and analytics

• Access to top-tier investment opportunities

• Global coverage with partnership (primary and secondary), co-investment and

direct investment capabilities

• Research driven process with strategy, industry and geographic expertise

• 100% employee-owned firm

• Registered as a minority business through the National Minority Supplier

Development Council

• SEC-registered fiduciary that acts as a robust extension of client’s staff3

Our core mission is

to partner with

our clients to

create customized

investment solutions

that appropriately

mitigate risk and

enhance long-term

performance

potential.

AT A GLANCE

1 Some of these recommendations we do not monitor and therefore are not in TorreyCove’s track record. Includes data from predecessor organization, PCG AM. As of 12/31/2018.

2 The SEC does not "approve" or "endorse" any particular securities, issuers, products, services, professional credentials, firms, or individuals.

2

Exhibit 5


REPRESENTATIVE CLIENT LIST

Year Client Name1 Strategic Planning / Advice

Investment Research

Monitoring / Reporting

Co-investment Advisory

Private Equity

Real Assets

Private Credit

1992 Oregon Public Employees Retirement Fund ✓ ✓ ✓ ✓ ✓ ✓

2000 Alternative Investment Capital ✓ ✓ ✓ ✓ ✓

2006 Teachers’ Retirement System of the State of Illinois ✓ ✓ ✓ ✓ ✓ ✓

2013 San Francisco Employees’ Retirement Fund ✓ ✓ ✓ ✓ ✓

2014 New York State Teachers Retirement System ✓ ✓ ✓ ✓ ✓

2014 Ohio Police and Fire Pension Fund ✓ ✓ ✓ ✓

2014 Indiana Public Employees Retirement System ✓ ✓ ✓ ✓ ✓ ✓ ✓

2015 Tennessee Consolidated Retirement System ✓ ✓ ✓ ✓ ✓ ✓

2015 New Jersey Division of Investment ✓ ✓ ✓ ✓ ✓ ✓

2015 City of Philadelphia Board of Pensions & Retirement ✓ ✓ ✓ ✓ ✓ ✓

2017 Public Employees’ Retirement Association of New Mexico ✓ ✓ ✓ ✓

2018 Orange County Employees' Retirement System ✓ ✓ ✓ ✓ ✓

2018 Los Angeles City Employees’ Retirement System✓ ✓ ✓ ✓

2012 Virginia Retirement System ✓ ✓ ✓ ✓

2012 Washington State Investment Board ✓ ✓

2013 Overseas Private Investment Corporation ✓ ✓ ✓ ✓

2014 U.S.-Based Bank ✓

2015 Alaska Permanent Fund Corporation ✓ ✓ ✓

2016 Southwestern U.S. Public Pension ✓ ✓ ✓

2017 Jeneration Capital Partners L.P. ✓

2018 U.S.-Based Endowment ✓ ✓

2018 California Pension Plan ✓ ✓ ✓

2018 Wyncote Foundation/Phoebe Haas Trust ✓ ✓

It is not known whether the client listed above approve or disapprove of TorreyCove or the advisory services provided. Years before 2011 include predecessor organization. Note some of our clients have separate real asset and private credit mandates, while others include real asset- and private credit-related investments within their private equity portfolios. Energy is included in real assets.

Term-Based Relationship✓ Project-Based Engagement✓3

Exhibit 5


ORGANIZATIONAL STRUCTURE

✓ Our Investment Committee is

comprised of experienced senior

professionals representing each

department

✓ The Investment Committee and

three functional groups work in

an integrated fashion to provide

comprehensive account

oversight, advice and services to

our clients

InvestmentResearch

Monitoring / Risk

Management

Client Advisory

InvestmentCommittee

4

TorreyCove is organized around three functional departments with a positive feedback loop created from these various activities

Exhibit 5


SURS’ CLIENT ADVISORY TEAM

Kara KingManaging Director

• Risk Management Oversight

• Over 20 years of PE experience

• Member of the Firm’s Executive, Investment, and Compliance Committees

• M.A., San Diego State University

• B.A., Eastern Illinois University

Mike Krems, CFAManaging Director

• Lead Consultant

• Over 17 years of PE and credit experience

• Member of the Firm’s Executive and Investment Committees

• M.B.A., The Wharton School

• B.S., Duke University

Client Experience Includes:

Heidi Poon, CFA, CAIASenior Vice President

• Secondary Consultant

• Over 8 years of PE experience; over 21 years of experience in financial services

• Member of the Firm’s Investment Committee

• M.B.A., The Wharton School

• B.S., Stanford University

5

• Teachers’ Retirement System of Illinois

• Public Employees Retirement Association of New Mexico

• Tennessee Consolidated Retirement Systems

• New Jersey Division of Investment

• Los Angeles City Employees Retirement System

• Orange County Employees Retirement System

• New Jersey Division of Investment

• Ms. King leads the investment monitoring activities for all TorreyCove clients

Exhibit 5


SURS’ PRIVATE EQUITY PROGRAM ACTIVITIES

Ongoing Program Development and Execution

• Gather data on all

prior investments

• Transfer information

to TorreyCove’s

eFront system

• Reconcile data to

ensure accurate

reporting

• Determine risk tolerance,

return objectives, and

unique program goals

• Benchmark review

• Define any relevant non-

financial considerations

• Create a long-term

strategic plan:

• Development of target

ranges for various

investment strategies,

geographies, vintage

years, and other

identified factors

• Incorporation of co-

investments and

secondaries

opportunities

• Determine the optimal level of commitments in each year to achieve desired target allocation

• Run our pacing model which analyzes past cash flows and predicts future ones

• Evaluate private equity exposure under a number of different economic scenarios

• Seek to identify

appropriate client-

specific best-in-class

managers for the

program

• Match target managers

with fundraising

expectations over the

next 12-18 months to

develop a 1-2 year

actionable plan

• Take into account

existing relationships

as needed

• Conduct current due

diligence on targeted

managers to evaluate

forward-looking

expectations

• Secure allocations for

attractive managers

• Negotiate legal documents,

execute subscription

agreements as appropriate

STRATEGIC PLANNING (5+ YEAR)

MANAGER EVALUATION

DETERMINE OPTIMAL

COMMITMENT PACE

INVESTMENT EXECUTION

ONBOARDING OF PORTFOLIO

INFORMATION

6

Exhibit 5


ONBOARDING

• Gather data on all

prior investments

• Transfer information

to TorreyCove’s

eFront system

• Reconcile data to

ensure accurate

reporting

ONBOARDING OF PORTFOLIO

INFORMATION

7

Activity Status

Notify general partners of the change in monitoring oversight ✓

Obtain all financial data related to portfolio, legal documents, and prior financial statements

✓

Upload data into our database, making it accessible to SURS ✓

Separate, as necessary, bundled cash flow information into component parts such as fees or invested capital

✓

Reconcile all values to ensure consistency in data reporting. Fix identified errors as necessary.

✓

Exhibit 5


STRATEGIC PLAN

• Determine risk tolerance,

return objectives, and

unique program goals

• Benchmark review

• Define any relevant non-

financial considerations

• Create a long-term

strategic plan:

• Development of target

ranges for various

investment strategies,

geographies, vintage

years, and other

identified factors

• Incorporation of co-

investments and

secondaries

opportunities

STRATEGIC PLANNING (5+ YEAR)

8

• Return target and Performance

Benchmarks

• Asset Allocation by Sub-asset class,

geography, vintage year

• Investment Guidelines

• Diverse Managers

• Co-investments and Secondary

opportunities

Purpose of Private Equity

These private equity guidelines provide a general framework for construction of a private equity portfolio, including selecting, sizing, and structuring investments.

Investment Objectives

Return

The return objective for SURS’ private equity portfolio is 300 bps over the MSCI ACWI Index.

Risk

Primary risk factors include illiquidity, the cost and amount of leverage used to finance deals, and changes in strategy or management.

Asset Allocation

Exhibit 5


PACING

• Determine the optimal level of commitments in each year to achieve desired target allocation

• Run our pacing model which analyzes past cash flows and predicts future ones

• Evaluate private equity exposure under a number ofdifferent economic scenarios

DETERMINE OPTIMAL

COMMITMENT PACE

9

Vintage Year Commitments

0

100

200

300

400

500

600

2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029

Fund Commitments Co-Investments Secondaries

USD MM

Private Equity as a % of Total Assets

6%

7%

8%

9%

10%

11%

12%

2019 2020 2021 2022 2023 2024 2025 2026 2027 2028 2029

Calendar Year End

Exhibit 5


MANAGER EVALUATION/WORKING INVESTMENT PLAN

• Seek to identify

appropriate client-

specific best-in-class

managers for the

program

• Match target

managers with

fundraising

expectations over the

next 12-18 months to

develop a 1-2 year

actionable plan

• Take into account

existing relationships

as needed

MANAGER EVALUATION

10

U.S. Europe Asia

Thoma Bravo TDR Capital CVC Capital Partners

Hellman & Friedman Montagu Private Equity MBK Partners

Genstar Capital Partners Advent International

Blackstone Group HgCapital

Stone Point Capital HgCapital

Silver Lake Partners Vitruvian Partners

Platinum Equity

GTCR FSN Capital (Nordics) PAG Asia (China+)

Charlesbank Capital Partners Hahn & Company (S. Korea)

Harvest Partners

Kohlberg & Company

Parthenon Capital Partners

H.I.G. Capital

Nautic Partners

Littlejohn & Co

American Industrial Partners

Sterling Group Management

One Rock Capital Partners

Cortec Group

Arlington Capital Partners

Altaris Capital Partners

Linden Capital Partners

Sycamore Partners

Roark Capital Group

Freeman Spogli & Co

SK Capital Partners

Center Rock Capital Partners FountainVest Partners (China)

OceanSound Partners

P4G

Cressey & Co

Corporate

Finance

LargePan-

Regional

Middle Market Regional

SmallCountry

Specific

Exhibit 5


▪ Manager identified as part of the working investment plan developed during the private equity RFP process.

▪ Fundraising timing was concurrent with RFP process. Once selected by SURS, TorreyCove worked to secure allocation

in a hard-to-access fund.

▪ Manager has particular expertise in healthcare and business products and services. TorreyCove believes they can

provide foundational North American middle market exposure in these areas.

▪ Consistent and attractive fund-level performance.

▪ Attractive risk-reward balance, with a below-average loss ratio since 2000 and outsized historical performance on the

upside.

Buyout Fund VII

Fund Size$2 billion hard cap

Oversubscribed?Yes

Expected Commitment Size$25-$50 million

Investment StrategyMiddle-Market Buyout

Geographic FocusNorth America

Industry SpecialtiesHealthcare Products & Services, Business-to-Consumer Products, Business-to-Business Products, and Specialty Services & Distribution

Portfolio Considerations

Track Record Summary ($ in millions)

11

INVESTMENT SUMMARY – FUND #1

$ in millions Fund III Fund IV Fund V Fund VI Total Realized Unrealized

Date of Initial Investment Apr-00 Aug-05 Apr-11 Jul -15 Apr-00 Apr-00 Jun-12

Number of Investments 8 8 7 7 30 18 12

Fund Size $316 $395 $606 $1,106 ---- ---- ----

Invested $262 $326 $582 $765 $1,934 $766 $1,168

Realized $741 $875 $1,242 $0 $2,858 $2,206 $652

Unrealized Value $0 $3 $1,688 $892 $2,583 $36 $2,547

ReturnsGross IRR 30.9% 18.8% 38.8% 10.2% 28.7% 27.3% 38.8%

Net IRR 22.8% 13.9% 31.7% 3.9% 21.5% ---- ----

Net IRR Ranking Second First First Fourth ---- ---- ----

IRR - Upper Quartile(1) 23.3% 13.9% 19.2% 18.9% ---- ---- ----

IRR - Median(1) 13.0% 8.2% 14.5% 11.4% ---- ---- ----

Gross Multiple of Invested Capital 2.83x 2.69x 5.04x 1.17x 2.81x 2.93x 2.74x

Net Total Value to Paid In Capital 2.26x 2.13x 3.93x 1.09x 2.45x ---- ----

TVPI Ranking Second First First Third ---- ---- ----

TVPI - Upper Quartile(1) 2.59x 1.89x 1.93x 1.40x ---- ---- ----

TVPI - Median(1) 1.91x 1.46x 1.68x 1.23x ---- ---- ----

DPI Ranking First First First Fourth ---- ---- ----

DPI 2.26x 2.13x 1.67x -x 1.35x ---- ----

DPI - Upper Quartile(1) 2.25x 1.82x 1.09x 0.31x ---- ---- ----

DPI - Median(1) 1.84x 1.39x 0.85x 0.13x ---- ---- ----

Loss Ratio 0.0% 26.8% 3.4% 12.0% 10.3% 11.4% 9.5%

(1) Quartile data is from Cambridge Associates for North America Small and Medium Buyouts as of March 31, 2019

Exhibit 5


▪ Core team members worked together at a different, successful private equity firm and are spinning out to form their

own firm.

▪ Majority ownership qualifies the firm as a MWBE entity.

▪ Manager identified as part of the working investment plan developed during the private equity RFP process.

▪ Fundraising began earlier in 2019 and a final close is expected on October 24, 2019.

▪ Manager has expertise in government-related services, technology, and communications.

▪ Attractive track record with meaningful outperformance on several deals. Average loss rate, with compelling returns

overall.

Buyout Fund I

Fund Size$550 million target/$850 million hard cap

WMBE Manager?Yes

Expected Commitment Size$25-$50 million

Investment StrategyMiddle-Market Buyout

Geographic FocusNorth America

Industry SpecialtiesIndustrial technology, enterprise technology, government technology, communications

Portfolio Considerations

Track Record Summary ($ in millions)

12

INVESTMENT SUMMARY – FUND #2

Deal Lead Investment Date Invested Realized Unrealized Value Gross IRR Gross MOIC42916.0x

Deal 1 Partner 1 Aug-07 117 206 0 8.2% 1.8x

Deal 2 Partner 1 Feb-14 125 448 0 35.8% 3.6x

Deal 3 Partner 1 May-09 40 202 56 75.7% 6.5x

Deal 4 Partner 1 Nov-10 223 346 174 12.3% 2.3x

Deal 5 Partner 1 Jun-15 160 0 231 13.0% 1.4x

Deal 6 Partner 1 Dec-15 255 0 306 7.0% 1.2x

Deal 7 Partner 1 Jun-17 315 0 207 -24.3% 0.7x

Deal 8 Partner 2 Nov-10 220 706 0 18.1% 3.2x

Deal 9 Partner 2 Feb-11 155 359 0 18.0% 2.3x


Deal 11 Partner 2 Dec-14 88 0 0 -100.0% 0.0x



Deal 14 Partner 3 Dec-14 67 0 30 -25.0% 0.5x


Total 2,244 3,251 1,143 17.7% 2.0x

Exhibit 5


APPENDIX

A Message Regarding the Performance Information Presented Herein

TorreyCove Capital Partners (“TorreyCove” or the “Firm”) is an independent employee owned limited liability company. TorreyCove is a non-discretionary registered investment adviserwith the Securities and Exchange Commission. These materials are not intended as an offer to sell, or the solicitation of an offer to purchase, any security. This presentation has beenprepared solely for informational purposes and contains confidential and proprietary information, the disclosure of which could be harmful to TorreyCove. Accordingly, the recipients of thispresentation are requested to maintain the confidentiality of the information contained herein. This presentation may not be copied or distributed, in whole or in part, without the priorwritten consent of TorreyCove.

Services listed in this presentation are not guaranteed and may vary depending on scope of services of actual agreement. PAST PERFORMANCE MAY NOT BE INDICATIVE OF FUTURE RESULTS.

IRRs are calculated based on the daily capital inflows and outflows from investments and may include partnership investments, co-investments, and direct investments. IRRs are net of theunderlying fund manager fees and carry and net of TorreyCove’s fees. Please refer to part 2 of TorreyCove’s form ADV for a more detailed presentation of the fees charged to various clients.When IRRs are presented by vintage year the performance results presented therein for a particular year are the results up to the date indicated for all partnerships in that vintage year andnot aggregate performance results for TorreyCove.

IRRs for realized investments with remaining interest, public investments and unrealized investments have been calculated assuming that the remaining interest has been sold as of the dateindicated at the public or unrealized value. There can be no assurance that these investments will ultimately be realized for such value. Investment returns set forth herein may besignificantly affected by the values of unrealized investments, particularly in light of current market conditions.

The investment results for any particular client of TorreyCove may differ significantly from the investment results presented herein due to different holding periods, different weighting ofthe portfolio, different acquisition dates, different fees and incentive amounts, and a more limited history of investments, among other factors. Accordingly, IRRs presented herein are notnecessarily representative of the IRRs achieved by TorreyCove for all of its clients as a whole or all of its clients individually.

The investment professionals of TorreyCove have conducted due diligence on and approved 729 investments totaling $96.6 billion in commitments. The Firm currently tracks and includes66% of these recommendations by total investments approved (478 out of 729) and 67% by total $ commitments ($64.4 billion out of $96.6 billion) in its track record (as of 9/30/2018). 168of these investments (representing $21.3 billion in commitments) were made at predecessor organization, PCG AM. In order to calculate performance on an investment recommendationthe Firm must have access to all cash flow information for that recommendation. The Firm makes ever effort to include all investment recommendations in its track record.

Certain information contained in these materials may have been obtained from sources outside TorreyCove. While such information is believed to be reliable for purposes used herein, norepresentations are made as to the accuracy or completeness thereof and TorreyCove does not take any responsibility for such information.

The Cambridge Associates index (the “CA index”): all private equity results presented are unmanaged and are calculated net of general partner fees (including carried interest) and allpartnership expenses and do not take into account advisor fees necessary to replicate the index. The CA index is viewed as an independent representation of the private equity market ingeneral, and includes buyout, mezzanine and other private equity funds. The selection of these results does not imply similar strategies or universe of securities, and TorreyCove’s strategy,which may include direct investments and co-investments, may be materially different. The volatility between TorreyCove and the CA index may vary materially due to the relatively lowernumber of equity holdings by TorreyCove as compared to the CA index, as well as the different investment strategy followed by TorreyCove as described herein.

Information and complete reports regarding TorreyCove’s track records and IRRs are available upon request. To receive a complete list and description of TorreyCove’s investments includedin the track record contact Kara King at (858) 456-6000, 10180 Barnes Canyon Road, suite 200, San Diego, California 92121, [email protected].

13

Exhibit 5

To: Investment Committee From: Investment Staff Date: October 3, 2019 Subject: Deutsche Bank Securities Lending Annual Review

Background SURS participated in the securities lending program offered by the master custodian, The Northern Trust Company, starting in the 1980's. In 2007, SURS opted to retain a third-party (non-custodian) securities lending provider, Credit Suisse. In September 2011, the Board of Trustees approved a search for master trust and custody services, and securities lending. The securities lending search concluded with the selection of Deutsche Bank in April 2012. Deutsche Bank indemnifies SURS from counterparty insolvency risk and loss from investments of cash collateral in repos. Revenue Commentary Total revenue for the FYE 2019 period was $4.7 million. This represented a 7.7% increase over FYE 2018, an amount of approximately $333 thousand. This increase was a result of reducing the minimum weighted average gross spread across all securities activity from 50 bps to 25 bps. The 50 bps had unofficially been set at the start of the program. The reduction did not increase risk to SURS because of the dual indemnity provided by Deutsche Bank.

Profile and Performance Overview

Average Lendable Market Value 9.6 Billion Average on Loan $1.14 billion Average Utilization Rate 11.6% Earnings $4.7 Million Top 5 Securities (as % of Total Earnings) 28%

0

1,000,000

2,000,000

3,000,000

4,000,000

5,000,000

6,000,000

FYE 2013 FYE 2014 FYE 2015 FYE 2016 FYE 2017 FYE 2018 FYE 2019

Revenue

Revenue

Exhibit 6

The top five earning securities for FYE 2019 were:

• SPDR S&P 500 ETF Trust • IQE PLC • Visa Inc-Class A Shares • iShares Russell 2000ETF • Total SA

Organization Deutsche Bank AG, founded in 1870, is a banking company with limited liability incorporated under the laws of the Federal Republic of Germany. The Bank consists of three Business Divisions: Corporate& Investment Banking, DWS (Formerly Deutsche Asset Management) and Private & Commercial Banking. The Agency Securities Lending ("ASL") team resides within the Corporate & Investment Banking group. The ASL g r o u p has lending desks in New York, London, Frankfurt, Dubai, Sydney and Hong Kong. The securities lending business is run on a global basis with the global head located in New York. The non-US business is managed in London by two co-heads. Each office has the capabilities and the training to handle all aspects of the securities lending product. Staffing Tim Smollen, Global Head of the securities lending business, oversees all aspects of the ASL group. Anthony Toscano, Head of US Agency Lending, is currently responsible for US operations and risk & liability management. Joseph Santoro, Director, is Head of Product Sales in the US. Amy Dunn, Director, is Head of Client Service in New York. The following chart shows the organization of the ASL team.

Exhibit 6

The staffing of the ASL group has been stable over time, with five members having worked together continuously for more than 20 years, including Tim Smollen and Anthony Toscano in the U.S. Clients/Assets Deutsche Bank has 75 clients worldwide with total lendable assets of approximately $900 billion as of December 31, 2018. Total lendable assets have increased by approximately $300 billion from December 31, 2017. SURS assets account for $9.6 billion of the lendable base. Over the past three years, Deutsche Bank has added 10 new accounts to the securities lending program and 2 clients have left the program (Texas Municipal Retirement System and Kentucky Retirement System). Client Service Thomas Ryan, Director and Head of Client Performance, and Gustave Christakos, Vice President o f C l i e n t R e l a t i o n s h i p are the daily client service contacts for the relationship. Deutsche Bank provides excellent service and is responsive to requests from SURS staff. Due Diligence Visit to Deutsche Bank On August 21, 2019, Ellen Hung did an on-site due diligence meeting with the Deutsche ASL group. Attendees from Deutsche Bank included:

• Tim Smollen, Managing Director, Global Head of Agency Securities Lending • Anthony Toscano, Managing Director, Head of US Agency Securities Lending • Joseph Santoro, Director, Head of Product Sales • Thomas Ryan, Director, Head of US Trading • Gustave Christakos, Vice President, Client Relationship Manager • Vikas Nigam, Director Global Prime Finance of Agency Securities Lending • Herbert Schmoelzer, Vice President Trading of Agency Securities Lending

The topics covered included organizational update, regulatory landscape, effect of securities lending, future of the repo market and program review. There was an extensive discussion on the financial stability of Deutsche Bank AG and the ability to fully indemnify SURS against counterparty insolvency risk with respect to loans of securities and investments of cash collateral in repos. The insurance policy, written by a AA rated insurer, obtained by Deutsche Bank in March 1, 2018, is still in effect with a remaining life of a year and a half. Deutsche Bank will evaluate the need for the insurance policy next year and will let staff know once a decision is made. Consultant Comments Meketa recommends that SURS continue to retain Deutsche Bank as its securities lending provider. Meketa does not have any concerns with the organization or the staff overseeing the SURS relationship and does not recommend any changes at this time. Meketa and SURS staff will continue to monitor the securities lending program with DB and report back to the Board as needed.

Exhibit 6

Conclusion and Recommendation SURS staff and Meketa jointly recommend that Deutsche Bank be retained as a securities lending provider. Rationale for recommendation include:

• Risk averse securities lending program. • SURS is fully indemnified against counterparty insolvency risk and loss from investments

of cash collateral in repos. • The full indemnification is backed by Deutsche Bank AG’s financial strength. • In the event that Deutsche Bank is unable to meet its indemnification obligation due to

financial impairment, there is an insurance policy from an AA rated insurer with a coverage for three years that has been paid in full.

Exhibit 6

To: Investment Committee From: Investment Staff Date: October 3, 2019 Re: Northern Trust Master Custodian Review

Overview The Northern Trust Company (Northern Trust) has served as SURS global custodian since 1984. As SURS custodian, Northern Trust provides a variety of services, including securities safekeeping, trade execution and settlement, valuation, foreign exchange, income collection, tax withholding and reclamation, corporate actions, class action filings, performance analytics, investment risk monitoring, accounting and reporting. The Board of Trustees retained Northern Trust as SURS custodian at the conclusion of a global custody provider search in March 1997. In September 2002, the Board approved retention of Northern Trust without conducting a search. Two subsequent searches for custodial services were initiated, with requests for proposals issued in November 2006 and in October 2011, and resulted in the retention of Northern Trust. The most recent global custody provider search conducted by SURS concluded at the April 26, 2012 Board of Trustees meeting when Northern Trust was again retained as SURS master custodian. At the March 10, 2017 meeting, the Board of Trustees approved continued utilization of Northern Trust as master custodian. Organization Northern Trust Corporation is a publicly listed company that operates as a financial holding company and provides administration, asset management, and servicing solutions. The Northern Trust Company, the principal subsidiary of Northern Trust Corporation, is comprised of three core business segments. The Corporate & Institutional Services (C&IS) business unit, which furnishes custody services to SURS, provides asset administration, fund administration and information services to corporations and institutions worldwide. The Wealth Management (WM) business unit delivers trust, investment management and banking services to high net worth individuals and families. Asset Management (AM), currently provides U.S. equity index investment management services to SURS, is a global, multi-asset class investment manager serving institutions and individuals worldwide. These three business units are supported by Enterprise Enablement (E2). Northern Trust has not been involved in any large-scale corporate restructurings that have affected the organization’s personnel, systems, or ability to service clients. Northern Trust has engaged in acquisitions to expand the organization’s current product capability or geographical presence rather than to gain the clientele of competitors. This approach contributes to the long-term advantages of a strong brand and culture, a disciplined and client-centric strategic focus, an

Exhibit 7

integrated operating platform, and an experienced and stable management team. On October 2, 2017, Northern Trust announced the closing of its acquisition of UBS Asset Management, a leading fund administrator in Luxembourg and Switzerland. The acquisition positions Northern Trust as a leading administrator by assets in Switzerland and a top 10 asset servicing provider in Luxembourg. Northern Trust currently does not anticipate any significant organizational changes in the near future that would impact the organization’s business model, organizational structure or ability to deliver on commitments to clients. In 2009, Northern Trust Global Investments joined the United Nations’ Principles for Responsible Investing (PRI), an initiative that aligns with Northern Trust’s values of transparency, accountability and continuous improvement. Northern Trust supports a philosophy of developing internal talent levered by occasional external staffing additions. This practice assures continuity for the organization and maintains a diversity of thought in setting strategy and managing execution. The success of this philosophy is apparent in the tenure of the rank and file employees, of whom 31% have worked at Northern Trust for ten years or more. In 2018, Northern Trust made the following strategic leadership changes.

Announced / Effective Name New Role September 2018 / N/A Dan Houlihan Head of Asset

Servicing, Americas May 2018 / Immediately David Kim Head of Sales, Asia

Pacific February 2018 / June 2018 Angelo Calvitto Head of Australia and

New Zealand

As of March 31, 2019, Northern Trust had $7.5 trillion in assets under custody within Corporate & Institutional Services, of which $4.9 trillion are global custody assets and $2.6 are US custody assets Northern Trust derived 63% of total revenue from trust fees, 28% from net income and the remaining 9% from other non-interest income. The current long-term unsecured debt ratings from national credit rating agencies for the Corporation are AA- from Fitch, A2 from Moody’s, and A+ from Standard & Poor’s. Client Service Northern Trust had 19,110 total active employees as of December 31, 2018. This total includes 648 client servicing staff and 13,471 individuals supporting the organization’s worldwide institutional asset servicing business.

Exhibit 7

Northern Trust relationship managers have an average of approximately 19 years of service at the organization and oversee an average of five client relationships. Northern Trust has assigned a back-up relationship manager and a back-up account manager who have been cross-trained to ensure consistent client servicing to SURS. Northern Trust has assembled a team of client service professionals whose background and experience support the needs of SURS account in the areas of asset services, information services, decision support and asset management. In early 2018, SURS was assigned a new client executive, Anton Britton. The team servicing SURS account is listed in the organizational chart below.

Global Custody As of March 31, 2019, of the $7.5 trillion in assets under custody, $4.9 trillion are global custody assets and $2.6 trillion are US custody assets. Institutional clients totaled 2,447, of which 1,608 are US-domiciled and 839 are non-US domiciled. In 2018, Northern Trust gained 87 and lost 40 custody clients, resulting in a net loss in assets of $52.20 billion. The primary reason clients transition away from Northern Trust is the consolidation of assets with another provider, often due to a merger or acquisition. Other reasons include plan terminations, Northern Trust’s unwillingness to provide credit support, and minimum fees for small clients.

Exhibit 7

As of March 31, 2019, the mean custody account size at Northern Trust is $3.0 billion and the median custody account size is $358.0 million. The five largest public fund master trust/custody services clients have market value ranging from $44.60 billion - $182.50 billion. Performance Measurement/Analytics The internally developed performance system is sourced directly from Northern Trust’s accounting database. Monthly rates of return are dollar-weighted, based on fully accrued, trade-dated transactions and asset positions. Returns for periods longer than one month are time-weighted rates, calculated by linking the monthly dollar-weighted rates together. For investments structured as partnerships, Internal Rate of Return (IRR) returns are used for periods longer than one month. Improvements Northern Trust spent over $2.5 billion on system support, development and enhancements over the past three years (2016-2018) and has accounted approximately $3.1 billion over the next three years (2019-2021). Processing operations and technology are at the center of Northern Trust’s business, with planned priorities indicating its importance to the organization. The key initiatives identified below demonstrate how Northern Trust has incorporated industry priorities into its own business development priorities in the product and service areas to benefit clients.

• Continued emphasis on web-based applications enabling clients and their investment

managers with technological solutions through Passport, Northern Trust’s online system.

• Data delivery warehouse to extend capabilities that further enhance the production of consolidated reporting based upon data collected from third parties for asset servicing clients.

• Increased attention on special and alternative assets and developments to service them effectively.

• Enhanced range of investment risk and performance tools available via Passport. • Straight-through-processing (STP) initiatives to improve the infrastructure of local

markets and promote settlement efficiency. Northern Trust operates one integrated technology platform, allowing enhancements to be provided to all clients at the same time, as each enhancement is developed and implemented only once. In order to meet varied client demands, Northern Trust uses and supports a combination of third-party and internally-developed software products which are integrated into a single global platform. Periodic concept testing sessions are held where Northern Trust asks clients in-depth questions regarding the solutions that clients consider imperative. Based on direction and input received during these sessions, Northern Trust designs new features and applications. Northern Trust is committed to enhancing the functionality and ease-of-use of its global platform to improve the client online reporting experience. The goal of the current strategic initiatives is to enhance the integration of information, details and features. The initiatives include an enhanced mobile user interface, an iPad application with a high-level view of data, an expanded exposure

Exhibit 7

dashboard, an enriched accounting experience, and a Fund Accounting dashboard. Recent enhancements include the integration of eVestment universe comparison capabilities on Investment Risk and Analytical Services (IRAS), the addition of multiple capabilities to the IRAS dashboard to improve transparency, the enhancement to fund accounting reporting, and the introduction of fair value reporting to support clients with fair value leveling disclosures. Technology spending by Northern Trust totaled approximately $2.5 billion for systems support, development and enhancements over the past three years. The organization has budgeted approximately $3.1 billion for the next three years (2019-2021). Devoting all technology spending to one integrated platform has been a major benefit to the organization, as each enhancement is only developed and implemented once. For the past eight years, members of the Northern Trust client service team and SURS investments staff have met on a regular basis to review and discuss current service issues and planned enhancements or changes. The meetings have proven to be an effective means to collectively address and resolve issues and to remain current on recent and upcoming changes. Account Review Meeting SURS staff had an account review meeting with representatives from Northern Trust on September 18, 2019 in Champaign. The topics covered included updates on SURS and Northern Trust, class actions, corporate actions, global documentation, tax documentation, treasury services, new performance reporting, compliance monitor, private monitor and ESG investing. Consultant Comments Northern Trust is a well-regarded custodial bank that is utilized by various clients, including SURS. Meketa does not have any concerns with the organization or the staff overseeing the SURS relationship and does not recommend any changes at this time. However, as part of ongoing monitoring, Meketa and SURS staff will update the Board should any changes occur. Conclusion and Recommendation SURS staff and Meketa jointly recommend that Northern Trust Corporation be retained as the master custodian. Rationale for recommendation include:

• Continues to hold credit ratings of AA-, A2 and A+ from Fitch, Moody’s and Standard & Poor’s respectively.

• Provides a reliable and satisfactory level of service to SURS staff. • The team of client service professionals assigned to SURS account has remained relatively

stable, experiencing only moderate turnover from the prior year and in recent years. • Headquartered in Chicago, Illinois.

Exhibit 7

To: Investment Committee From: Investment Staff Date: October 3, 2019 Re: Parametric Portfolio Associates LLC (“Parametric”) Manager Annual Review Background SURS hired Parametric Portfolio Associates LLC (“Parametric”) as a cash overlay manager in September 12, 2014. Parametric also helps SURS maintain policy targets with regard to overweight or underweight of various asset classes. Organization The Parametric Group was founded in 1972 in Minneapolis, MN, now the Minneapolis Investment Center. Parametric obtained its first protection assignment in 1979 and its first traditional overlay assignment in 1986. A year later, in 1987, Parametric Portfolio Associates LLC was founded and headquartered in the Seattle Investment Center. Other first assignments followed throughout the next two decades, including custom indexing in 1990, the first tax-managed assignment in 1992, the initiation of the Parametric Emerging Markets Strategy in 1994, liability driven investing in 1996, the first commodities assignment in 1999, the Centralized Portfolio Management assignment in 2000, defensive equity in 2011, and first proprietary factor strategies in 2015. In 2014 Parametric established its Sidney Office. Parametric has been a majority-owned subsidiary of Eaton Vance Corp. since 2003. In 2007, Parametric formed Parametric Risk Advisors LLC, now the Westport Investment Center, and in 2013, Parametric acquired the Clifton Group. Currently, through its wholly-owned subsidiaries, Eaton Vance Acquisitions and EVA Holdings LLC, maintains voting control of Parametric and Profit and Capital interests of 95.1% and 99.4% respectively. Employees of Parametric and its subsidiary Parametric Risk Advisors LLC, through ownership in Parametric Portfolio LP, maintain an indirect Profit and Capital ownership interest in Parametric of 4.9% and 0.6% respectively. Client Service Parametric utilizes a team approach for portfolio management which expands client coverage through shared responsibilities. The team approach assists in broadening the investment perspective by incorporating the expertise and experience of the entire group on each investment decision. The team approach is a key aspect in the continuity plan as it mitigates the risks involved with the departure of key personnel. A team of analysts is also available to help with clients. The team is responsible for coordinating with custodial banks to receive client account information and producing daily tracking reports used by the portfolio management team to implement the strategy program. The main contact for the SURS account is Dan Wamre, CFA, Senior Portfolio Manager.

Exhibit 8

Staffing Parametric has a total of 482 employees, 109 of whom are investment professionals, as shown in the table below:

Evan Hewitt and Nick Tunell joined the firm as an Associate Portfolio Manager and are directly involved with the SURS strategy. Associate Portfolio Manager Isaac Beckel who was directly involved with SURS strategy left the firm in July 2018. There were 13 investment professional additions and 3 departures since July 2016. These additions and departures are not directly involved with SURS strategy. Oversight of the SURS account is provided by the following key investment professionals: Dan Wamre, CFA Senior Portfolio Manager Anthony Moti, CFA Portfolio Manager Jan Mowbray, CFA Associate Portfolio Manager James Thorson, CFA Associate Portfolio Manager Portfolio Managers assigned to the SURS account have not taken any additional responsibilities in the past year. Currently, each portfolio manager has primary responsibilities on approximately 18 relationships. In 2018, Parametric made the following strategic leadership changes.

Announced / Effective

Name Current Role New Role

November 2018/ October 2019

Jack Hansen CIO of derivative-based strategies

Announced his retirement

January 2019/ June 2019

Tim Atwill Head of Investment Strategy for equity-based

products

Resigned

June 2019 Jennifer Sireklove

Head of Responsible Investing

Managing Director

Number of Total Staff Number Involved with SUR’ Product

Portfolio Managers 69* 20* Analysts 13 13 Traders 40* 20* Total Investment Professionals 109 33 Other 373 93 Total Staff 482 126 * Portfolio Managers in Minneapolis, MN (currently 29) perform dual roles in trading and portfolio management. Data as of June 30, 2019

Exhibit 8

November 2019 Tom Lee Managing Director,

Investment Strategy & Research for derivative-

based strategies

CIO

Succession planning is a key element integrated in various functions of Parametric. The firm supports open communications and a collaborative environment between team members and with other departments at the firm. Parametric does not rely on the investment perspectives of a single individual. Instead, they use a team format to manage its strategies, with representatives from four areas collaborating to determine all aspects of the product. Employment contracts at Parametric are confidential and the firm does not disclose terms. Additionally, there have not been any changes in management or ownership structure in the past year nor there are any anticipated changes in the coming year. Clients/Assets Assets under management for Parametric are shown in the following table:

From July 1, 2017 through June 30, 2019, Parametric gained 571 accounts with assets totaling $6.0 billion and lost 484 accounts with assets totaling $1.7 billion. From July 1, 2018 through June 30, 2019, 18 accounts were gained in the SURS strategy with initial assets of approximately $1.8 billion and 6 accounts were lost with total assets at termination of $292 million approximately. Investment Process A Daily Tracking Report is used to track the status of the SURS portfolio. Investment Guideline parameters are coded into an internal system and are utilized to calculate the asset allocation, initial overlay positions, required daily trades, cash flows, fund rebalancing thresholds, margin, and other variables as delineated in SURS Investment Policy. Each day, a new Daily Tracking Report is generated and reviewed by analysts for accuracy and completeness. Analysts verify changes between target and actual overlay positions based on market and cash flow data, and calculate the required trades to maintain account compliance with guidelines. Data used to create the Daily Tracking Report is accessed beginning at 5 a.m. central time to ensure the report can be posted by 10:30 a.m. central time for client viewing via a secure website. The Portfolio Management Team will establish a process for communicating information regarding anticipated cash inflows and outflows. This cash flow management system enables Parametric to implement SURS’ predetermined Investment Policy Guidelines efficiently and anticipate any margin requirement changes. A trade may be entered into the system only by an authorized trader. The trade is subject to passing all pre-coded compliance checks before it may be submitted for approval. An authorized trader other than the individual who created the trade must also approve the trade before execution. This trading process significantly reduces the risk of error in implementing an overlay program.

Strategy # of Account AUM (MM) Overlay (SURS strategy) 735 $82,431 Total 37,208 $246,092 As of June 30, 2019

Exhibit 8

Upon approval, the vast majority of trades are sent for execution to the electronic trading platform via FIX protocol (an industry standard messaging protocol). The electronic trading platform gives Parametric access to several trading algorithms which are used to minimize the trading cost of implementing a particular trade. Upon execution, the details of the order fill are returned to Parametric via FIX, the fill details are affixed to the trade and booked to the general ledger, and positions are recorded in Parametric’s proprietary system, Investment Management System (IMS). Managing transaction costs while factoring in tracking error considerations is important in the implementation of an overlay program. Parametric seeks to minimize transaction costs on both an explicit and implicit basis. Parametric maintains several Futures Commission Merchant (FCM) relationships which facilitates competitively negotiated commission schedules. Schedules are renegotiated on an ongoing basis to ensure that fair and competitive pricing is in place (Parametric does not trade with any affiliates and earns no revenue from trading). Additionally, transaction costs can be minimized by having a thoughtful framework for the overlay program. The use of tolerance bands, under which trading commences only after a band has been breached can significantly reduce the number of trades. This reduction favorably affects the level of transaction costs without sacrificing the core benefits of an overlay program. Finally, by understanding the objectives and constraints of SURS, Parametric tailors the overlay program to employ instruments that best serve the SURS portfolio while minimizing transaction costs. For example, if SURS experiences numerous cash flows that require position adjustments, Parametric will use a set of futures contracts and cash tolerance bands that are different when compared to a portfolio with a more stable cash position. Parametric’s overlay investment management process has been continually enhanced over the last 31 years. Parametric continues to make ongoing improvements to the current investment process with a focus on reducing the risk of managing an overlay program and improving client outcomes. Recent advancements in technology have allowed Parametric to enhance and automate much of the daily investment process. Through policy driven system controls, the overlay program has become more scalable while simultaneously improving risk controls. Performance Over the past 12 months, the overlay strategy performance was 120 basis points below the custom benchmark. There are three main sources of tracking error for the overlay strategy. The first is the timing difference between Non-US and global benchmarks and the futures used to replicate these benchmarks. While the benchmark closes as the constituent markets close around the globe, the futures continue to trade in the US market. This timing mismatch can at times show tracking error that is optical in nature. The second source of tracking error is due to the overlaying of cash flows. The overlay is adjusted during the current day market hours and is benchmarked against the previous day market close. Therefore, buying into an up market or selling into a down market can result in underperformance to the benchmark. The third source of tracking error is due to the lack of credit exposure in the fixed income replication. Because the benchmark is the Barclay Capital Aggregate which contains credit, a replication using treasury futures will generally outperform the index as credit spreads widen and underperform as they tighten. During this period, this source of tracking error contributed significantly to the underperformance. Overall, futures provide return expectations that are relatively consistent with benchmark returns.

Exhibit 8

Risk Control and Monitoring Systems The Combination of Parametric’s proprietary system IMS and experience facilitate an efficient and risk controlled process seeking to ensure compliance with strategy specific Investment Guidelines. IMS, which includes portfolio management, accounting, operations, and compliance platforms, plays a critical role in the risk management process. This process includes:

Validation - Thousands of data quality checks are conducted in real time. These checks prevent invalid data from entering the system and provide immediate notifications to the necessary group. For example, the portfolio management platform will not allow trading of restricted instruments and the accounting platform includes automatic checks and balances to ensure that the sum of debits equals the sum of credits, greatly reducing the opportunity for error. Compliance Rules - Client-specific and global rules enforce compliance with client Investment Policy Guidelines and external regulations, respectively. For example, a Portfolio Manager may not trade an instrument for a client unless it has been entered as an allowable contract in IMS. Other examples include disallowing short positions for an account, setting client level maximum exposure limits, and ensuring that firm-wide exchange position limits are not exceeded. By coding client specific Investment Policy Guideline rules into IMS, appropriate controls are in place. Trade Instruction/Workflows - Workflows are defined to enforce business processes. For example, each trade must pass all validation checks before becoming available for approval and must be approved by two separate Portfolio Managers (the first enters the trade; the second independently verifies the trade before execution). System Warnings - Hundreds of system rules are tightly integrated with specific business processes and are implemented via workflows. Rules may be hard, in which the user cannot proceed until the warning is resolved, or soft, in which case the user may enter an explanation for an exception. For a client account that has predefined rebalancing thresholds, for instance, the system will issue a warning if a threshold is breached. System Notifications - Predefined global checks within the system search in real time for invalid data or conditions that may require action. Examples include: a missing closing price for a security with active positions, a negative cash balance in a non-futures brokerage account, or a significant difference between the trade price and closing price for a same-day close. Automated Processes - Most business processes are fully automated in order to increase productivity and eliminate duplicate entry. Automated processes include trade/position/mark-to-market/collateral reconciliation, trade execution, client policy rules processing, and entries generated on the system’s investment calendar. Authentication and Authorization - Access to our systems is restricted to authorized users only through robust password rules. Furthermore, the system is configured to allow read/write/delete access only to user groups that are responsible for specified areas, allowing the Parametric to segregate responsibilities of each user or group of users.

Exhibit 8

Audit Trail - IMS tracks all changes including field level auditing (e.g. old value, new value, user, date, time). Comprehensive internal audits are conducted on a regular basis by investment staff not directly associated with the account

The chart below describes the risks involved in an overlay strategy and how Parametric monitors and controls them:

Types of Risk Definitions and Monitoring Market Risk The risk that the market performs in a way that was not

anticipated. For example, cash outperforms capital markets. Systematic market risk is an inherent part of the PIOS® program and can neither be diversified away nor mitigated. Client specific policy guidelines are established to clearly define desired market risk based on client asset allocation targets.

Data/Communication Risk The risk that information received from outside sources is inaccurate, incomplete, or stale. Parametric establishes an electronic link to the custodial bank, third-party, and other custody providers on a daily basis. Fund data is downloaded into IMS. Automation reduces the potential for human error in data transmission.

Margin/Liquidity Risk The risk that market movements will result in the need for the posting of incremental variation margin or the accumulation of excess collateral in the margin pool. A section of the DTR is dedicated to margin required, the excess amount available and an estimate of the magnitude of an adverse market move which would require additional funds. Investment staff monitor this report daily. When market moves dictate, a Portfolio Manager will attempt to notify the client and/or consultant that either additional margin is needed or that excessive margin collateral exists. Parametric will work proactively with all parties to maintain adequate liquidity for the program.

Cash Flow Risk The risk that unexpected cash flows result in sub-optimal overlay execution. Parametric will work with the client and consultant to establish a communication system to track anticipated cash flow moves into and out of the fund along with any reallocation of manager positions.

Tracking Error Risk The risk that synthetic exposure of an index has tracking error to the cash index. Parametric seeks to minimize tracking error by utilizing optimized futures baskets of very liquid futures contracts. All derivative contracts will have some tracking error that cannot be mitigated by an overlay manager.

Trading Risk The risk that an error is made in the execution of a trade on behalf of the client. Parametric’s first step in minimizing trading risk is to accurately collect and analyze data. Investment staff then enter and review trades for compliance. The review process helps to ensure that trades executed comply with Investment Guidelines and no errors have been made. Trades are settled by back office staff within hours using continuously updated electronic trade

Exhibit 8

reconciliation systems. Parametric has limited the number of brokers it works with to help maintain strong relationships which, in turn, promote back office accuracy, trading capabilities, and timely pricing. Through the institution of multiple levels of risk management, Parametric seeks to ensure that trade executions are correct. Trading activity is a relatively low risk area for an overlay program because of the infrequency and size of trades relative to total portfolio size. No trades are executed until two separate Portfolio Managers review the trade. Investment staff members physically sit next to each other in the trading room so communication flows are frequent and direct.

Usage of Minority-, Female-, and Persons with a Disability-Owned Brokerage Firms SURS encourages the utilization of the services of minority- and female-owned brokerage firms, subject to best execution. In line with this effort, Parametric is currently able to trade to minority-owned brokerage firms, complying with the firm’s best execution policy and fiduciary responsibility. In selecting a counterparty, the primary objective shall be to obtain the most favorable overall price and execution, consistent with fiduciary duties and applicable law. In addition to overall price, best execution requires analysis of factors such as research capabilities, credit worthiness, settlement procedure and confidentiality. Other factors include size of the transaction, nature of the market for the security, timing of the transaction, experience of the broker involved and the quality of the ideas, information and service provided by the broker. Trading activity is periodically monitored by a Best Execution Committee. Parametric seeks to utilize derivative security focused brokers who provide efficient execution, superior operational, and administrative support to Parametric. Most often, Parametric can work with brokers of the clients choosing (including minority-owned brokerage firms) assuming they meet fair market standards. Our due diligence has not found minority-owned, female-owned or people with a disability owned brokerage firms with whom to execute futures trades as part of the overlay program. Account Review Meeting SURS staff had an on-site account review meeting with representatives from Parametric on July 16, 2019 in Minneapolis, MN. The topics covered included updates on SURS and Parametric, program review and account structure changes. Consultant Comments In addition to cash overlay and providing incremental return to the portfolio, Parametric helps SURS maintain its target allocation by adjusting its allocation relative to over/underweights of the various asset classes. As SURS continues to move into its new asset class framework, Meketa and SURS staff will be working closely with the firm to maintain target exposures as the portfolio is rebalanced. Meketa does not have any concerns with the organization or the portfolio management team overseeing the SURS relationship. However, Meketa and SURS staff will continue to monitor the portfolio and the organization and update the Board as needed.

Exhibit 8

Conclusion and Recommendation SURS staff and Meketa jointly recommend that Parametric be retained as an overlay manager. Rationale for recommendation include:

• Provides a team approach and environment of open communications and collaboration to consistently mitigate risks.

• A proven internal system to calculate and track asset allocation, initial overlay positions, required daily trades, cash flows, fund rebalancing thresholds, margins and other variables to ensure compliance with SURS Investment Policy.

• Overlay strategy has performed in line with program objectives.

Exhibit 8

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