[PPT] - 2 I. Performance and Asset Allocation 3 TMRS Investment PowerPoint Presentation

SLIDE 1

SLIDE 2

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I. Performance and Asset Allocation
Asset Allocation: Current and Target Allocations (page 4)
Performance by Asset Class (page 5)
II. Public Equities
Asset Class Overview (page 7)
Portfolio Management Structure (page 8)
Allocation (page 9-10)
Performance (page 11-12)
III. Fixed Income
Core Fixed Income
Asset Class Overview (page 14)
Portfolio Management Structure (page 15)
Allocation (page 16)
Performance (page 17)
Non-Core Fixed Income
Asset Class Overview (page 18)
Portfolio Management Structure (page 19)
Allocation (page 20)
Committed Allocation (page 21)
Performance (page 22-23)
IV. Real Estate
Asset Class Overview (page 25)
Portfolio Management Structure (page 26)
Allocation (page 27)
Performance (page 28-30)
V. Real Return
Asset Class Overview (page 32)
Portfolio Management Structure (page 33-34)
Allocation (page 35)
Performance (page 36)
VI. Absolute Return
Asset Class Overview (page 38)
Portfolio Management Structure (page 39)
Allocation (page 40)
Performance (page 41)
VII. Private Equity
Asset Class Overview (pages 43)
Portfolio Management Structure (page 44)
Allocation (page 45-46)
Performance (page 47)
VIII. Compliance
Compliance Overview (page 49)
Investment Guideline Compliance (page 50)
Pacing Plan Update (page 51)
IX. Risk Management
Overview (page 53)
Total Fund Risk (page 54)
Implementation Risk Ranges (page 55)
Total Fund & Asset Class Regional Exposures (page 56)
Total Fund tracking Error (page 57)
Evolution of Risk Over Time (page 58)

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I. Performance and

Asset Allocation

SLIDE 4

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0.0% 5.0% 10.0% 15.0% 20.0% 25.0% Core Fixed Income US Equities Non-US Equities Real Return Real Estate Private Equity Absolute Return Non-Core Fixed Income Cash Equivalents Percent Allocated

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

Current Allocation Allocation Recognizing Unfunded Commitments Target Allocation

SLIDE 5

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TMRS INVESTMENT PORTFOLIO Net Performance By Asset Class June 2017

1 Year Performance 5 Year Performance

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

10.4% 0.1% 10.3% 18.1% 19.0% 2.1% 8.2% 9.7%

0.3%

9.7% 18.5% 20.4% 0.8% 5.8%

5.0%

0.0% 5.0% 10.0% 15.0% 20.0% 25.0%

Total Portfolio Core Fixed Income Non-Core Fixed Income^ US Equities Non-US Equities Real Return^ Real Estate*^ Absolute Return+^ TMRS Benchmark

na na

6.9% 2.3% 4.7% 14.3% 8.1% 2.1% 11.7% 3.8% 2.2% 4.1% 14.6% 7.6% 1.1% 1.6%

5.0%

0.0% 5.0% 10.0% 15.0% 20.0% 25.0%

Total Portfolio Core Fixed Income Non-Core Fixed Income^ US Equities Non-US Equities Real Return^ Real Estate*^ Absolute Return+^ TMRS Benchmark

na na

SLIDE 6

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SLIDE 7

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US Equity



Objective

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

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

 Satellite strategies (Active and Rules-Based strategies with an active component) are expected to

add excess return within established tracking error limits and will meet quality, diversification, and liquidity guidelines as specified in the Managers’ contracts. International Equity



Objective

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

Satellite Approach with the overall objective of exceeding its benchmark performance net of fees

ver rolling five year periods.

 Satellite strategies (Active and Rules-Based strategies with an active component) are expected to

add excess return within established tracking error limits and will meet quality, diversification, and liquidity guidelines as specified in the Managers’ contracts or otherwise agreed to in writing between TMRS and the Investment Manager.

SLIDE 8

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Asset Class Manager Strategy Portfolio Benchmark

Domestic Equities US Core/Passive Northern Trust Asset Management Passive Broad Market Index Russell 3000 Index US Rules-Based State Street Global Advisors Passive Fundamental Index Russell RAFI US Index US Rules-Based UBS Global Asset Management Passive Minimum Volatility MSCI US Min Vol Index US Satellite/Active Epoch Investment Partners, Inc. US Traditional All Cap Russell 3000 Index US Satellite/Active Sasco Capital, Inc. US Opportunistic All Cap Russell Mid Cap Value Index US Satellite/Active The Boston Company US Mid Cap Opportunistic Russell Mid Cap Index US Satellite/Active Champlain Investment Partners US Mid Cap Core Russell Mid Cap Index US Satellite/Active The Boston Company US Small Cap Opportunistic Russell 2000 Index US Satellite/Active Wellington Management US Small Cap Opportunities Russell 2000 Index International Equities Non-US Core/Passive Northern Trust Asset Management Passive Broad Market Index All Country World (ACW) ex US Investable Market Index (IMI) Non-US Rules-Based State Street Global Advisors Passive Fundamental Index Russell RAFI Global ex US Index Non-US Rules-Based UBS Global Asset Management Passive Minimum Volatility MSCI World ex US Min Vol Index Non-US Satellite/Active Wellington Management Non-US Opportunistic Relative Value MSCI ACWI ex US Index Non-US Satellite/Active Lazard Asset Management Non-US Opportunistic Core MSCI ACWI ex US Index Non-US Satellite/Active Acadian Asset Management Non-US Emerging Markets MSCI Emerging Markets (EM) Index Non-US Satellite/Active William Blair & Company Non-US Emerging Markets MSCI Emerging Markets (EM) Index Non-US Satellite/Active Wellington Management Non-US Small Cap Opportunities MSCI EAFE Small Cap Index Non-US Satellite/Active Wasatch Advisors Non-US Small Cap Growth MSCI AC World ex. US Small Cap Index

SLIDE 9

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% of Total Fund as of 6/30/2017

PASSIVE Portfolio Managers Market Value % of Total Portfolio

US CORE EQUITY: NTAM Russell 3000 3,464,849,992 13.0% NON-US CORE EQUITY: NTAM ACW ex. US IMI 2,788,335,588 10.4% TOTAL: 6,253,185,580 23.4%

ACTIVE Portfolio Managers Market Value % of Total Portfolio

US RULES-BASED EQUITY: 718,024,328 2.7% US ACTIVE EQUITY: 1,579,599,638 5.9% NON-US RULES-BASED EQUITY: 551,670,672 2.1% NON-US ACTIVE EQUITY: 1,413,473,290 5.3% TOTAL: 4,262,767,928 16.0%

NOTE: Percentages may not be exact due to rounding

39.4% 35.0% 4.4%

0% 5% 10% 15% 20% 25% 30% 35% 40% 45%

Current Allocation Target Allocation Difference

23.4% 16.0% 17.5% 17.5% 5.9%

1.5%
10%

0% 10% 20% 30% PASSIVE Portfolio ACTIVE Portfolio

Current Allocation Target Allocation Difference

5.9% 5.3% 2.7% 2.1% 8.75%

8.75%

0.15%
1.35%
2%

0% 2% 4% 6% 8% 10% US ACTIVE Portfolio non-US ACTIVE Portfolio

Current Active Current RB Target Allocation Difference

SLIDE 10

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Russell 3000 US Passive 32.9% ACW ex. US IMI non-US Passive 26.5% 2.4% 2.8% 2.2% 2.0% 2.1% 2.0% 2.5% 2.6% 2.6% 2.2% 2.1% 2.6% 2.8% 2.8% 3.3% 3.5%

Current Allocation by Manager

vs. Total Equity Portfolio

Russell 3000 ACWI ex. US IMI SSgA Global ex. US UBS World ex. US MV Wellington Intl Horizons Lazard Intl Equity Plus Acadian EM William Blair EM Wasatch Intl SC Wellington Intl SC Epoch Sasco The Boston Co. MC Champlain The Boston Co. SC Wellington US SC SSgA US Fund UBS US MV

US Passive 13.0% Non-US Passive 10.4% Non-US RB Active 2.1% Non-US Active 5.3% US Active 5.9% US RB Active 2.7%

Current Allocation By Asset Category

vs. Total Portfolio

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Source: State Street Investment Analytics (preliminary) MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Incept Date NGR0A02 - TMRS - TOTAL EQUITY 10,515,965,719.59 39.41 0.78 4.21 11.19 18.69 5.79 11.60 11.52 4.79 01-01-08 EQUITY ACTIVE WEIGHTED INDEX (DAILY) 0.64 4.25 11.17 19.44 5.78 11.56 11.48 4.71 01-01-08 Excess 0.14

0.04

0.02

0.75

0.01 0.04 0.04 0.07 NGR0A06 - TMRS - TOTAL DOMESTIC EQUITY 5,762,483,212.16 21.59 1.21 2.64 8.40 18.05 8.70 14.27 15.10 8.18 01-01-08 TMRS - RUSSELL 3000 DAILY 0.90 3.02 8.93 18.51 9.10 14.58 15.34 8.34 01-01-08 Excess 0.31

0.38
0.54 -0.46 -0.40
0.32
0.24
0.16

NGR6 - TMRS - RUSSELL 3000 INDEX FUND (NL) 3,464,849,991.98 12.98 0.90 3.00 8.91 18.49 9.09 14.56 15.31 15.06 12-01-08 RUSSELL 3000 (DAILY) 0.90 3.02 8.93 18.51 9.10 14.58 15.34 15.08 12-01-08 Excess 0.00

0.01
0.02 -0.02 -0.01
0.02
0.03
0.02

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

0.03
0.02
0.02 -0.23 -0.15
0.18

NGTN - UBS US EQUITY MIN VOL FUND NL 370,687,134.92 1.39

0.39

3.13 9.36 8.29 11.87 14.78 01-01-13 MSCI USA Minimum Volatility Index-Net

0.46

2.97 9.03 7.55 11.22 14.10 01-01-13 Excess 0.07 0.16 0.33 0.75 0.65 0.68 NGTY - EPOCH U.S. CHOICE 272,920,310.74 1.02 0.05 3.19 10.32 20.22 8.09 8.41 01-01-14 RUSSELL 3000 (DAILY) 0.90 3.02 8.93 18.51 9.10 9.85 01-01-14 Excess

0.86

0.17 1.39 1.71

1.02
1.45

NGTZ - SASCO U.S. CONTRARIAN VALUE 228,946,044.52 0.86

1.24
1.12

1.75 7.52

0.74

3.00 01-01-14 Russell Midcap Value Total Return Index 1.49 1.37 5.18 15.93 7.46 9.63 01-01-14 Excess

2.73
2.49
3.43 -8.40 -8.19
6.63

NGUG - THE BOSTON COMPANY OPP VALUE 225,204,435.05 0.84 2.64

1.03

3.68 18.09 4.07 12-01-14 RUSSELL MIDCAP (DAILY) 0.99 2.70 7.99 16.48 7.37 12-01-14 Excess 1.65

3.73
4.31

1.60

3.30

NGUF - CHAMPLAIN MID-CAP CORE 269,214,467.59 1.01 2.19 4.85 10.69 21.31 11.70 12-01-14 RUSSELL MIDCAP (DAILY) 0.99 2.70 7.99 16.48 7.37 12-01-14 Excess 1.19 2.15 2.70 4.83 4.33 NGUR - BOSTON CO US SM CAP OPPORTUNISTIC VALUE 291,195,281.51 1.09 5.92 1.43 8.85 30.47 12.41 09-01-15 RUSSELL 2000 (DAILY) 3.46 2.46 4.99 24.60 13.21 09-01-15 Excess 2.47

1.03

3.86 5.87

0.80

NGUN - WELLINGTON US SMALL CAP OPP 292,119,098.55 1.09 3.99 4.50 9.26 28.53 14.33 12-01-15 RUSSELL 2000 (DAILY) 3.46 2.46 4.99 24.60 12.81 12-01-15 Excess 0.53 2.03 4.27 3.93 1.52

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Source: State Street Investment Analytics (preliminary) MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Incept Date NGR0A07 - TMRS - TOTAL INTERNATIONAL EQUITY 4,753,479,550.22 17.81 0.26 6.23 15.17 19.03 1.67 8.06 7.32 0.92 01-01-08 INTL EQ ACTIVE WEIGHTED INDEX(DAILY) 0.33 5.85 14.30 20.43 1.14 7.58 6.94 0.58 01-01-08 Excess

0.06

0.38 0.87

1.41

0.53 0.48 0.38 0.35 NGTA - NTGI ACWI ex. US IMI (NL) 2,788,335,588.44 10.45 0.34 5.96 14.51 20.72 1.36 7.81 6.41 09-01-10 TMRS MSCI ACWI ex-US IMI NET (DAILY) 0.33 5.85 14.30 20.43 1.14 7.58 6.20 09-01-10 Excess 0.01 0.12 0.21 0.29 0.22 0.23 0.21 NGTP - SSGA RUSSELL RAFI GLOBAL EX-US 257,453,252.40 0.96

0.09

3.88 11.42 22.34 0.92 5.52 02-01-13 Russell RAFI Global ex-U.S. Index NET

0.10

3.91 11.43 22.95 1.09 5.68 02-01-13 Excess 0.01

0.04
0.02
0.61
0.17
0.17

NGTQ - UBS WORLD EX US MIN VOL FD NL 294,217,419.56 1.10

0.30

6.00 13.22 8.97 5.36 8.86 01-01-13 MSCI world ex USA Minimum Volatility-Net

0.29

5.96 12.94 8.59 5.19 8.75 01-01-13 Excess

0.01

0.03 0.28 0.38 0.18 0.12 NGT9 - LAZARD INT'L EQUITY PLUS 212,172,969.93 0.80

0.78

5.42 12.07 13.08 1.47 09-01-14 MSCI AC WORLD ex US (NET) 0.31 5.78 14.10 20.45 1.01 09-01-14 Excess

1.09
0.36
2.03
7.37

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

0.02

0.86 1.05

2.55

3.70 NGUP - WILLIAM BLAIR EMERGING MARKETS 210,903,513.14 0.79 1.38 8.26 20.20 17.23 13.32 09-01-15 MSCI EMERGING MARKETS 1.01 6.27 18.43 23.75 14.73 09-01-15 Excess 0.38 1.99 1.76

6.52
1.41

NGUQ - ACADIAN EMERGING MARKETS 225,624,490.28 0.85 1.85 6.71 21.95 27.83 17.16 09-01-15 MSCI EMERGING MARKETS IMI INDEX (NET) 0.98 5.78 18.11 22.82 14.32 09-01-15 Excess 0.88 0.93 3.85 5.01 2.83 NGUX - WASATCH INT'L SMALL CAP GROWTH 261,634,317.15 0.98

0.67

8.06 18.59 11.11 6.96 01-01-16 MSCI ACWI Ex US Small Cap (DAILY) 0.42 6.24 15.56 20.32 13.02 01-01-16 Excess

1.09

1.82 3.03

9.21
6.06

NGUY - WELLINGTON INT'L SMALL CAP OPP 271,275,513.14 1.02 0.00 8.12 18.15 19.50 9.86 01-01-16 MSCI EAFE SMALL CAP NET

0.02

8.10 16.72 23.18 12.51 01-01-16 Excess 0.02 0.02 1.43

3.68
2.65

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III. Fixed Income

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 US Core Fixed Income

 Objective  Purpose is to diversify the risk of the overall investment portfolio with a secondary goal of

capital preservation.

 Performance objective is to exceed the Barclay’s US Aggregate Bond Index net of fees over

rolling five-year periods and within tracking errors as specified in the Manager contracts, determined according to the specific strategies employed.

 Investment Philosophy- BlackRock

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

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

 Investment Philosophy- PIMCO

 PIMCO’s investment philosophy is driven by diversifying strategies and focuses on longer

term secular (3-5 year) trends.

 Seek to add value through top down strategies including interest rate exposures, duration,

volatility, yield curve positioning and sector rotation.

 Employ “bottom-up” strategies through in depth credit analysis and specific security

selection.

SLIDE 15

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Manager Strategy Portfolio Benchmark BlackRock US Core (enhanced index) Barclays US Aggregate Bond Index PIMCO Active Core Plus Barclays US Aggregate Bond Index

SLIDE 16

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As of June 30, 2017

NOTE: Percentages may not be exact due to rounding

Core Weighting vs. Target

Based on preliminary data

Mandate te Mar arket Val alue % of

f Tot
tal Fund

CORE FIXED INCOME BlackRock $3,117,043,487 11.68% PIMCO $1,723,713,183 6.46% TOTAL $4,840,756,670 18.14%

18.1% 10.0% 8.1% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0% 18.0% 20.0% Actual Target Difference

SLIDE 17

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Source: State Street Investment Analytics

Based on preliminary data

MKT VAL % of Plan 1 Mo. QTR YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Incept Date TMRS - TOTAL CORE FIXED INCOME 4,840,756,670.08 18.14

0.1

1.51 2.39 0.08 2.56 2.31 3.32 4.72 7.77 01-01-89 TMRS - Total Fixed Income Index (Daily)

0.1

1.45 2.27

0.31

2.48 2.21 3.19 4.38 7.22 01-01-89 EXCESS 0.06 0.11 0.4 0.07 0.1 0.13 0.34 0.55 TMRS - BLACKROCK CORE FIXED INCOME 3,117,043,486.99 11.68

0.06

1.52 2.33 0.02 2.64 2.38 3.31 3.71 10-01-09 TMRS-Custom Core Fixed Income Index (Dai

0.1

1.45 2.27

0.31

2.48 2.21 3.19 3.6 10-01-09 EXCESS 0.04 0.08 0.05 0.33 0.16 0.17 0.12 0.11 TMRS PIMCO CORE PLUS FIXED INC 1,723,713,183.08 6.46

0.18

1.47 2.49 0.22 2.27 2.08 3.44 3.75 02-01-10 Barclays Aggregate (Daily)

0.1

1.45 2.27

0.31

2.48 2.21 3.19 3.52 02-01-10 EXCESS

0.08

0.03 0.22 0.53

0.21
0.13

0.25 0.23

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

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

 The Performance Objectives is to exceed the returns of a blended benchmark comprised of the

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

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Manager Strategy Allocated/Committed Portfolio Benchmark

Highland Capital Bank Loan/CLO Debt $ 375,000,000 Credit Suisse Leveraged Loan Index Guggenheim Bank Loan/CLO Debt $ 375,000,000 Credit Suisse Leveraged Loan Index Voya RMBS/CMBS $ 375,000,000 33% Barclays US Agg Corp Index and 67% Barclays US Corp High Yield Index Ellington RMBS/CMBS $ 375,000,000 33% Barclays US Agg Corp Index and 67% Barclays US Corp High Yield Index Alliance Bernstein EMD $ 240,000,000 20% JP Morgan EMBI, 40% JP Morgan CEMBI and 40% JP Morgan GBI Bluebay EMD $ 240,000,000 20% JP Morgan EMBI, 40% JP Morgan CEMBI and 40% JP Morgan GBI Golub* Direct Lending $ 300,000,000 H.I.G. Whitehorse* Direct Lending $ 150,000,000 TCW* Direct Lending $ 300,000,000 White Oak* Direct Lending $ 200,000,000 Marathon SPS* Opportunistic Credit $ 150,000,000 Marathon ECO* Opportunistic Credit $ 100,000,000 Marathon CLO* Opportunistic Credit $ 50,000,000 PIMCO COF II* Opportunistic Credit $ 200,000,000 Beach Point Opportunistic Credit $ 200,000,000 Columbia High Yield $ 300,000,000 BofA Merrill Lynch US High Yield Constrained Index Neuberger Berman High Yield $ 300,000,000 BofA Merrill Lynch US High Yield Constrained Index Adams Street** Direct Lending $ 200,000,000 Bain** Opportunistic Credit $ 100,000,000 GoldenTree* Opportunistic Credit $ 200,000,000 Waterfall* Opportunistic Credit $ 200,000,000 Note: * Partially funded ** Approved. Funding pending.

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As of June 30, 2017

Non-Core Weighting vs. Target

NOTE: Percentages may not be exact due to rounding

Based on preliminary data

Mandate te Mar arket Val alue % of

f Tot
tal Fund

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

13.9% 20.0%

6.1%
10.0%
5.0%

0.0% 5.0% 10.0% 15.0% 20.0% 25.0% Actual Target Difference

SLIDE 21

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As of June 30, 2017

Non-Core Weighting vs. Target

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

Based on preliminary data

Mandate Ma Market V Value ue % of Total Fu Fund nd NON-CORE FIXED INCOME Guggenheim $416,591,005 1.56% Highland $427,403,453 1.60% Voya $419,520,581 1.57% Ellington $415,737,252 1.56% Alliance Bernstein $249,853,567 0.94% Bluebay $246,672,000 0.92% Columbia $309,416,135 1.16% Neuberger Berman $302,100,000 1.13% Golub* $300,000,000 1.12% H.I.G. Whitehorse* $150,000,000 0.56% TCW* $300,000,000 1.12% White Oak* $200,000,000 0.75% Adams Street** $200,000,000 0.75% Marathon SPS* $150,000,000 0.56% Marathon ECO* $100,000,000 0.37% Marathon CLO* $50,000,000 0.19% PIMCO COF II* $200,000,000 0.75% Beach Point $210,765,800 0.79% Bain** $100,000,000 0.37% GoldenTree* $200,000,000 0.75% Waterfall* $200,000,000 0.75% TOTAL $5,148,059,793 19.29% 19.3% 20.0%

0.7%
5.0%

0.0% 5.0% 10.0% 15.0% 20.0% 25.0% Committed Target Difference

SLIDE 22

22 Source: State Street Investment Analytics-Preliminary

Non-Core Fixed Income Performance

Period Ending June 30, 2017 (Net All)

MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Incept Date NGR0A11 - TOTAL NON-CORE FIXED INCOME 3,715,989,440.58 13.93 0.20 1.89 4.25 10.29 4.69 10-01-14 TOT NON-CORE FIXED INCOME INDEX 0.23 2.49 6.29 9.68 4.06 10-01-14 Excess

0.03
0.60
2.04 0.62

0.63 NGT6 - BANDERA II - GUGGENHEIM 416,591,005.09 1.56 0.00 0.85 2.21 7.72 4.29 10-01-14 CS Leveraged Loan Index

0.06

0.75 1.96 7.49 3.94 10-01-14 Excess 0.06 0.10 0.25 0.23 0.36 NGT5 - BANDERA I - HIGHLAND 427,403,452.83 1.60 0.00 1.35 6.70 17.97 6.16 10-01-14 CS Leveraged Loan Index

0.06

0.75 1.96 7.49 3.94 10-01-14 Excess 0.06 0.60 4.73 10.47 2.23 NGUB - VOYA NON CORE FIXED INCOME 419,520,581.13 1.57 0.30 2.66 4.59 8.82 4.75 01-01-15 Non Agency RMBS/CMBS Strategy Index 0.19 2.29 4.56 9.17 5.69 01-01-15 Excess 0.11 0.36 0.04 -0.35

0.94

NGUD - ELLINGTON NON CORE FIXED INC 415,737,251.99 1.56 0.31 2.54 3.98 8.05 4.39 01-01-15 Ellington Non Core FI Index 0.35 1.05 2.07 4.05 1.02 01-01-15 Excess

0.05

1.49 1.91 4.01 3.37 NGRV - GOLUB CAPITAL PEARLS DLP LP 69,775,171.91 0.26 0.48 1.72 3.59 8.28 8.28 07-01-16 NGXA - MARATHON SPS FUND, L.P. 72,300,228.00 0.27 2.24 4.86 8.44 12.79 08-01-16 NGXB - PIMCO CORP OP FD II ONSHORE LP 43,685,152.21 0.16 2.87 2.87 7.16 11.78 10-01-16 NGXD - BEACH POINT TOTAL RET FD II LP 210,765,800.00 0.79 0.00 0.97 2.27 4.88 10-01-16 NGRU - WHITE OAK SUMMIT FUND, L.P 142,923,261.24 0.54 0.01 0.01 2.07 5.68 4.85 05-01-16 NGSV - MARATHON CLO EQUITY FD, L.P. 10,214,455.87 0.04 0.00 2.47 3.94 3.91 11-01-16

SLIDE 23

23 Source: State Street Investment Analytics-Preliminary

Non-Core Fixed Income Performance

Period Ending June 30, 2017 (Net All)

MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Incept Date NGUS - ALLIANCE BERNSTEIN EMD 249,853,566.65 0.94 0.00 2.25 2.25 04-01-17 NGUV - BLUEBAY ASSET MANAGEMENT EMD 246,672,000.02 0.92 0.00 2.04 2.78 03-01-17 NGXR - WATERFALL EDEN FUND, LP 126,530,375.00 0.47 0.24 1.47 1.47 03-01-17 NGXN - COLUMBIA MANAGEMENT INVESTMENT ADVISORS 309,416,134.91 1.16 0.41 2.55 2.55 04-01-17 BofAML HYM CONSTRAINED (DAILY) 0.11 2.14 2.14 04-01-17 Excess 0.30 0.41 0.41 NGXL - NEUBERGER BERMAN HIGH INCOME TRUST 302,100,000.01 1.13 0.00 0.00 06-01-17 BofAML HYM CONSTRAINED (DAILY) 0.11 0.11 06-01-17 Excess

0.11
0.11

NGXV - Goldentree Guadalupe Fund LP 75,000,000.01 0.28 06-01-17 NGXE - TCW ASSET MANAGEMENT LLC 106,911,874.09 0.40 0.00 0.00

0.01
0.01 01-01-17

NGXF - H.I.G. WHITEHORSE CAPITAL, LLC 59,287,101.46 0.22 0.04 0.04 0.28 0.28 12-01-16 NGSW - MARATHON ECO FUND III, LP 11,302,028.14 0.04 0.00 2.92 2.09 1.85 10-01-16

SLIDE 24

24

IV. Real Estate

SLIDE 25

25

 Objective

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

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

 Performance Objective

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

(5%) net of investment management fees.

 The real estate portfolio is expected to generate returns net of all fees and expenses, in excess

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

SLIDE 26

26

Manager Strategy Allocated/Committed Portfolio Benchmark

Abacus Core Income Fund I Core $ 75,000,000

NCREIF-ODCE

Harrison Street Core Property Fund Core $ 150,000,000 Invesco US Core Income Fund Core $ 150,000,000 Smart Markets Fund Core $ 200,000,000 Walton Street Debt Fund Core Debt $ 100,000,000 Tristan EPISO 4 Opportunistic $ 31,602,000 Abacus Multi-Family Fund II Value Add $ 50,000,000 Abacus Multi-Family Fund III Value Add $ 75,000,000 Greenfield Acquisition Partners VI Value Add $ 75,000,000 Greenfield Acquisition Partners VII Value Add $ 100,000,000 Miller Global Value Add $ 75,000,000 Rubenstein Properties II Value Add $ 75,000,000 Rubenstein Properties III Value Add $ 75,000,000 Stockbridge Value Fund I Value Add $ 75,000,000 Stockbridge Value Fund II Value Add $ 75,000,000 Lubert-Adler Fund VII Opportunistic $ 100,000,000 Moorfield Real Estate Fund III Opportunistic $ 61,755,000 H/2 CP Core $ 125,000,000 H/2 Core RE Debt Core $ 75,000,000 Walton Street Opportunistic $ 75,000,000 Alcion Value Add $ 50,000,000 Torchlight Debt Fund V Value Add $ 75,000,000 TPG Real Estate Partners II Opportunistic $ 100,000,000 USAA Eagle Fund Core $ 250,000,000 DivcoWest V Value Add $ 75,000,000 Blackstone Property Partners Core $ 300,000,000 Kildare EP II Opportunistic $ 100,000,000 Stockbridge Value Fund III Value Add $ 50,000,000 IC Berkeley IV Value Add $ 50,000,000 TOTAL $ 2,406,000,000

Source: TMRS Accounting

SLIDE 27

27 Source: Courtland Q1 2017 Report

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

SLIDE 28

28 Source: State Street Investment Analytics-Preliminary

MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Incept Date NGR0A09 - TMRS - TOTAL REAL ESTATE 2,209,823,521.61 8.28 0.00 0.08 2.67 8.17 11.65 11.66 10.80 11-01-11 TOTAL REAL ESTATE INDEX 11-01-11 Excess NGR0A10 - PRIVATE REAL ESTATE EX LIQUID FUNDS 2,095,380,199.17 7.85 0.00 0.00 2.59 7.89 12.09 12.24 11.31 11-01-11 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 11.98 12.31 11-01-11 Excess

1.77
1.77
1.33 -0.45

0.30 0.26

1.01

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

1.77
1.77
1.30 -1.18 -1.43 -0.79
1.42

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

1.77
1.77
1.68 -1.95 -3.29 -3.03
3.16

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

1.77
1.77

0.89 -6.66 -1.90 -0.70

0.70

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

1.77
1.77

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

1.77
1.77
1.33 -0.52

3.38 3.81 NGTI - ABACUS MULTI-FAMILY PTRS II 6,487,210.78 0.02 0.00 0.00

21.26 -11.99 12.31

17.58 08-01-12 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 12.20 08-01-12 Excess

1.77
1.77
25.18 -20.33 0.52

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

1.77
1.77
2.59 -6.02 -1.71

0.44

SLIDE 29

29 Source: State Street Investment Analytics-Preliminary

MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Incept Date NGTL - MILLER GLOBAL FUND VII 15,646,078.45 0.06 0.00 0.00

0.95 4.38 14.00

11.97 10-01-12 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.79 12.06 10-01-12 Excess

1.77
1.77
4.87 -3.96

2.21

0.08

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

1.77
1.77
1.99 -0.68 -7.55
9.56

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

1.77
1.77

1.27 0.36

0.87
2.81

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

1.77
1.77
1.14 0.30

0.07

1.10

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

1.77
1.77

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

1.77
1.77
1.38 2.75
1.38

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

1.77
1.77

2.29 8.49

3.62

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

1.77
1.77

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

1.77
1.77
0.60 -2.18
6.07

SLIDE 30

30 Source: State Street Investment Analytics-Preliminary

MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Incept Date NGAS - TORCHLIGHT DEBT OPP FUND V,LP 27,362,658.75 0.10 0.00 0.00 3.86 17.94 9.84 12-01-15 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.42 12-01-15 Excess

1.77
1.77
0.07

9.60

1.58

NGAR - TPG REAL ESTATE PART II, LP 49,173,602.53 0.18 0.00 0.00

1.00 55.61

43.89 12-01-15 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.42 12-01-15 Excess

1.77
1.77
4.92 47.28

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

1.77
1.77

2.39

2.54
9.98

NGAM - EUROPEAN PROPERTY INV SPECIAL 8,136,060.70 0.03 0.00 0.00

7.65 -9.37
3.58 12-01-15

NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 8.34 11.42 12-01-15 Excess

1.77
1.77
11.58 -17.70
14.99

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

1.77
1.77
1.51

0.39

3.62

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

1.77
1.77
1.56 -0.99
2.64

NGRY - DIVCOWEST FUND V 11,534,259.10 0.04 0.00 0.00

1.16
1.16 01-01-17

NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 3.93 01-01-17 Excess

1.77
1.77
5.09
5.09

NGRZ - BLACKSTONE PROPERTY PARTNERS 304,481,829.18 1.14 0.00 0.00 1.49 1.49 12-01-16 NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 6.07 12-01-16 Excess

1.77
1.77
2.43
4.58

NGAN - RUBENSTEIN PROP FD III LP 12,993,324.44 0.05 0.00 0.00

3.06
6.85 10-01-16

NCREIF ODCE 1 QTR LAG 1.77 1.77 3.93 6.07 10-01-16 Excess

1.77
1.77
6.98
12.93

NGXQ - IC BERKELEY PARTNERS IV, L.P. 9,991,075.90 0.04 0.00 0.00 06-01-17 NCREIF ODCE 1 QTR LAG 1.77 1.77 06-01-17 Excess

1.77
1.77

NGR0A017 - REAL ESTATE LIQUID FUNDS 114,443,322.43 0.43 0.00 1.58 4.51 12.55 8.80 11-01-15 NGAU - H/2 CP, LP 114,443,322.43 0.43 0.00 1.58 4.51 12.55 8.80 11-01-15 NCREIF OPEN FUND INDEX (DAILY) 11-01-15 Excess

SLIDE 31

31

V. Real Return

SLIDE 32

32

 Objective

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

to the overall investment portfolio.

 Due to the varied nature of the Real Return space the portfolio will include strategies across a

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

 Performance Objective

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

return (adjusted for inflation) of CPI + 400 basis points.

 On a short term basis the real return portfolio is expected to generate returns net of all fees

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

SLIDE 33

33

Manager Strategy Portfolio Benchmark Colchester Active Global Linkers Barclays World Govt Infl-Linked Bond Index Nuveen Real Asset Income – Public Securities 28% S&P Global Infrastructure Index, 21% FTSE EPRA/NAREIT Developed Index, 18% Wells Fargo Hybrid and Preferred Securities REIT Index, 15% Barclays Global Capital Securities Index, 18% Barclays U.S. Corporate High Yield Index Cohen & Steers Real Asset Multi-Strategy 27.5% Bloomberg Commodity Index, 27.5% FTSE NAREIT Developed Real Estate Index (Net), 15% Dow Jones Brookfield Global Infrastructure Index, 15% S&P Global Natural Resources Index—Net), 10% BAML US Corporate Index, 1–3 Years and 5% Gold Index

SLIDE 34

34

Manager Strategy Allocated/Committed Portfolio Benchmark Magnetar Energy Finance $100,000,000 Barclays World Govt Infl- Linked Bond Index Orion Mining Finance $100,000,000 Amerra Agriculture Finance $100,000,000 Brookfield Infrastructure $150,000,000 Actis Power $75,000,000 Sprott Mining Finance $80,000,000 Blue Sky Agriculture AUD$66,000,000 ISquared* Infrastructure $150,000,000

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

SLIDE 35

35

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

SLIDE 36

36 Source: State Street Investment Analytics-Preliminary

MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Incept Date NGR0A08 - TMRS - TOTAL REAL RETURN 2,441,147,329.15 9.15 0.14 1.54 2.53 2.09 0.41 2.07 3.17 02-01-11 BBG BARC Wld Inf-Lk Bd TR

0.88

1.89 3.28 0.81 0.04 1.13 2.79 02-01-11 Excess 1.02

0.35
0.75 1.28

0.37 0.94 0.38 NGR0A020 - REAL RETURN PUBLIC MARKETS 2,235,727,176.82 8.38 0.14 1.66 4.07 2.61 0.63 2.20 3.28 02-01-11 BBG BARC Wld Inf-Lk Bd TR

0.88

1.89 3.28 0.81 0.04 1.13 2.79 02-01-11 Excess 1.02

0.23

0.79 1.80 0.59 1.07 0.49 NGTB - COLCHEST GLBL INFLTN-LINK BNDS 668,565,414.63 2.51

0.70

2.01 3.81 -0.27 -0.76 1.36 2.61 02-01-11 BBG BARC Wld Inf-Lk Bd TR

0.88

1.89 3.28 0.81 0.04 1.13 2.79 02-01-11 Excess 0.18 0.12 0.53 -1.08 -0.80 0.23

0.18

NGRQ - NUVEEN REAL ASSET INCOME 801,493,315.59 3.00 0.99 3.30 8.51 8.51 11.07 04-01-16 Nuveen Custom Benchmark 0.36 4.28 8.82 8.75 10.29 04-01-16 Excess 0.63

0.99
0.31 -0.24

0.78 NGRS - COHEN & STEERS REAL ASSET 765,668,446.60 2.87 0.00

0.29

0.00 1.78 4.84 06-01-16 Cohen & Steers Custom Benchmark

0.04

0.37 2.34 1.59 4.95 06-01-16 Excess 0.04

0.65
2.34 0.19
0.11

NGR0A019 - REAL RETURN PRIVATE MARKETS 205,420,152.33 0.77 0.14 0.26

12.26 -0.84
2.43 02-01-16

Real Return Private Market Index 0.14 0.42

12.12 -3.49
2.32 02-01-16

Excess 0.00

0.16
0.14 2.65
0.11

NGRP - MTP ENERGY OPPORTUNITIES FD II 43,993,905.47 0.16 0.00 0.00 7.07 19.17 11.32 02-01-16 MTP ENERGY OPPORTUNITIES FD II Index 0.00 0.00 7.07 19.17 11.32 02-01-16 Excess 0.00 0.00 0.00 0.00 0.00 NGSH - ORION MINE FINANCE FD II 53,093,252.05 0.20 0.00 1.01

30.22 -20.01
18.65 06-01-16

ORION MINE FINANCE FD II Index 0.00 1.01

30.22 -20.01
18.65 06-01-16

Excess 0.00 0.00 0.00 0.00 0.00 NGSR - BROOKFIELD INFRA PRTNR FD III 37,114,846.61 0.14 0.00 0.00

3.52

7.94 08-01-16 NGRW - AMERRA AGRI FUND III 65,924,895.04 0.25 0.43

0.09
2.15
3.39 08-01-16

Amerra Agri Fund III Index 0.43

0.09
2.15
3.39 08-01-16

Excess 0.00 0.00 0.00 0.00 NGXI - SPROTT PRIVATE RESOURCE LENDING FUND 2,935,137.14 0.01 0.00 0.00 05-01-17 Sprott Private Resource Lending Fd Index 0.00 0.00 05-01-17 Excess 0.00 0.00 NGXJ - ACTIVE ENERGY IV 2,358,116.01 0.01 0.00 0.00 05-01-17 Active Energy IV Index 0.00 0.00 05-01-17 Excess 0.00 0.00

SLIDE 37

37

VI. Absolute Return

SLIDE 38

38

 Objective

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

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

n overall portfolio risk and individual manager exposure.

 Performance objective is to exceed the benchmark, defined as the HFRI Fund of Funds

Diversified Index, net of fees, and to earn in excess of the appropriate long-term benchmark (3-month LIBOR + 500 basis points) on an ongoing rolling 5-year period.

 Investment Philosophy

 Predicated on manager skill in:  Rotating (long/short trading) market factors based on valuation  Navigating less liquid, non public and opaque markets  Navigating special situations  Predicting and capturing market trends  Accordingly, ARS is not an “asset class” (or market sector)

SLIDE 39

39

Manager Strategy Committed Capital Portfolio Benchmark Blackstone Customized Fund of One $587,645,503 HFRI Fund of Funds Diversified Index Alyeska Fund Direct Manager $115,000,000 Graticule Asia Macro Fund Direct Manager $125,000,000 Varde Investment Partners Direct Manager $115,000,000 Myriad Opportunities Fund Direct Manager $100,000,000 Roystone Capital Fund Direct Manager $60,000,000 Southpoint Fund Direct Manager $90,000,000 Man AHL Hydrogen LLC Direct Manager $150,000,000 PDT Mosaic Fund Direct Manager $150,000,000 DSAM Long/Short Equity Fund Direct Manager $110,000,000 East Lodge Capital Credit Opportunities Fund Direct Manager $120,000,000 River Birch Partners Direct Manager $120,000,000 Field Street Partners Direct Manager $100,000,000 Pharo Gaia Fund Direct Manager $100,000,000 D.E. Shaw Valence Fund, L.L.C. Direct Manager $73,000,000 Redmile Capital Fund, LP Direct Manager $80,000,000 BG Umbrella Fund Plc – BG Fund Direct Manager $100,000,000 H2O Alpha 10 Feeder Fund (U.S.) L.P. Direct Manager $90,000,000 Red Cliff Asia Fund Direct Manager $90,000,000

SLIDE 40

40

Source: BAAM; State Street

Equity, 15% Credit, 20% Relative Value, 27% Event Driven, 3% Multi-Strat, 10% Macro/CTA, 25%

Direct Portfolio Aggregated Manager Exposures

Equity, 15% Credit, 49% Relative Value, 3% Event Driven, 13% Multi-Strat, 4% Macro/CTA, 14%

BAAM Aggregated Manager Exposures

SLIDE 41

41 Source: State Street Investment Analytics -Preliminary

MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Incept Date NGR0A012 - TMRS - TOTAL ABSOLUTE RETURN 2,593,744,100.81 9.72 0.00 1.96 4.91 9.73 3.75 08-01-14 HFRI FOF DIVERSIFIED INDEX 0.00 0.68 2.58 5.78 1.62 08-01-14 Excess 0.00 1.28 2.33 3.95 2.13 NGUA - TMRS - BLACKSTONE 584,801,022.84 2.19 0.00 0.70 2.99 8.66 3.25 08-01-14 HFRI FOF DIVERSIFIED INDEX 0.00 0.68 2.58 5.78 1.62 08-01-14 Excess 0.00 0.02 0.42 2.88 1.63 NGR0A013 - TMRS - ABSOLUTE RETURN DIRECT 2,008,943,077.97 7.53 0.00 2.35 5.87 9.31 4.77 01-01-16 HFRI FOF DIVERSIFIED INDEX 0.00 0.68 2.58 5.78 1.90 01-01-16 Excess 0.00 1.67 3.29 3.53 2.87

SLIDE 42

42

VII. Private Equity

SLIDE 43

43

 Objective

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

and secondarily to provide diversification. Private Equity investments are commingled funds structured as limited partnerships with capital commitments that are drawn down

ver time based on manager discretion. Potential distributions are made as a fund

matures and investments are typically realized over an 8-12 year horizon.

 The long term policy objective is to meet or exceed the Russell 3000 + 3.00% over

periods of five years or greater.

 Investment Philosophy

 Manager selection is critical, and managers add value through:



Reducing agency conflicts and aligning equity holder/executive incentives



Investment structuring and balance sheet management



Deep sector experience and creating operating efficiencies



Navigating non-public information and capturing illiquidity premia  Note: Due to the illiquid nature of the Private Equity asset class, the target allocation will

be invested over a multi-year period in order to avoid considerable vintage year risks.

SLIDE 44

44

Manager Strategy Commitment Portfolio Benchmark

Capital Partners Buy-out $58,000,000

Russell 3000 + 3%

Marlin Equity Buy-out $57,000,000 Tritium Buy-out $50,000,000 Altaris Health Partners Buy-out $50,000,000 Harvest Buy-out $20,000,000 One Rock Buy-out $45,000,000 Searchlight Buy-out $47,000,000 Kainos Buy-out $35,000,000 Incline Buy-out $40,000,000 Marlin Heritage Buy-out $14,250,000 Altaris Constellation Buy-out $12,500,000 H.I.G. Bayside Special Situations $60,000,000 Carlyle Special Situations $65,000,000 TPG Special Situations $75,000,000 GSO Special Situations $75,000,000 GSO Co-Investment Fund Special Situations $18,750,000 Providence Strategic Growth Growth $60,000,000 Updata Growth $50,000,000 Mercato Growth $40,000,000 FTV Growth $46,000,000 Foundry Venture-Growth $30,000,000

SLIDE 45

45

Policy Strategy Range

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

NOTE: Percentages may not be exact due to rounding

45.3% 23.8% 30.9%

Figure 1 : Private Equity Strategy Diversification by Commitment

Buy-out (40.0% to 75.0%) Growth (5.0% to 25.0%) Special Situations (10.0% to 35.0%) 33.0% 17.3% 22.5% 27.2%

Figure 2 : Private Equity Target Diversification

Buy-out (40.0% to 75.0%) Growth (5.0% to 25.0%) Special Situations (10.0% to 35.0%) Un-allocated

SLIDE 46

46

NOTE: Percentages may not be exact due to rounding

Policy Guidelines

No more than 35% with any one investment manager No more than 25% in any one investment vehicle Figure 3: Private Equity Manager Diversification by Commitment

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

Figure 4: Private Equity Target Manager Diversification

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

SLIDE 47

47 Source: State Street Investment Analytics-Preliminary

MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Incept Date NGR0A014 - TMRS TOTAL PRIVATE EQUITY 171,240,766.76 0.64 0.00

0.24

6.70 20.81 5.30 12-01-15 BUY-OUT TOTAL 47,185,377.11 0.18 0.00 0.00

14.04 3.55

4.07 12-01-15 SEARCHLIGHT CAPITAL II 16,320,305.24 0.06 0.00 0.00 0.08 62.12 29.30 02-01-16 HARVEST PARTNERS VII 5,816,292.39 0.02 0.00 0.00 16.54 0.00 10-01-16 KAINOS CAPITAL PARTNERS II LP 3,195,957.34 0.01 0.00 0.00 0.00 0.00 01-01-17 TRITIUM I, L.P. 21,852,822.15 0.08 0.00 0.00 23.60 24.07 20.68 12-01-15 Incline Marlin Equity V Marlin Heritage II One Rock Capital Partners II Altaris-Health Altaris-Constellation Capital Partners VENTURE-GROWTH TOTAL 67,037,075.06 0.25 0.00

0.65

14.66 -2.28

2.28 07-01-16

FOUNDRY GROUP NEXT FUND LP 10,233,524.04 0.04 0.00 0.00

0.58
4.18 08-01-16

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

26.74 07-01-16

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

4.27 07-01-16

PROVIDENCE STRATEGIC GROWTH II LP 18,002,947.02 0.07 0.00 0.00

1.17
1.17 01-01-17

FTV V, L.P. 3,050,438.25 0.01 0.00

11.58 05-01-17

SPECIAL SITUATIONS SUB TOTAL 57,018,314.58 0.21 0.00 0.00 5.45 19.85 3.95 03-01-16 H.I.G. BAYSIDE FUND IV 12,640,417.20 0.05 0.00 0.00 16.98 51.12 9.77 03-01-16 CARLYLE ENERGY MEZZANINE FUND II 5,015,296.54 0.02 0.00 0.00

6.64 -12.86
14.87 03-01-16

TSSP ADJACENT OPPORTUNITIES FUND III 26,780,475.48 0.10 0.01 0.01 3.51 10.42 6.08 03-01-16 GSO Capital Opportunities Fund III LP 12,582,125.36 0.05 0.00 0.00 3.23 1.83 10-01-16 GSO COF III Co-Invest

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48

VIII. Compliance

SLIDE 49

49

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

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

Testing may be completed either through systematic resources (automated custodial

compliance) or manually if necessary.

Compliance personnel shall create and present a quarterly report to the Board with the

results of the testing performed during each period.

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50

Policy Guidelines Core Fixed Income Non-Core Fixed Income Real Return Domestic Equities Global Equities

Credit Quality Liquidity/Cash Management Permissible/Prohibited Investments Concentration Risk Country/Region & Currency Issue/Issuer Sector & Asset Type Interest Rate Risk

N/A N/A

Spread Risk

N/A N/A



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

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51

Topic Update

New Compliance Officer Kurt Cressotti joined TMRS on April 17, 2017. State Street Bank’s automated guideline compliance tests were reviewed for 1Q 2017 through current. Manual guideline compliance tests were conducted for 1Q 2017 through

current. The transition from State Street Bank’s old automated compliance

monitoring system, CRD Compliance, to State Street Bank’s new automated compliance monitoring system, GX Compliance (f.k.a. MIG 21), was supervised and facilitated. Automated Guideline Compliance Tests State Street Bank replaced CRD Compliance with GX Compliance. GX Compliance launched on May 31, 2017. For quality assurance purposes, State Street ran GX Compliance parallel to CRD through the month of June

2017. TMRS Compliance confirmed GX Compliance was designed to test all

Separately Managed Accounts and guidelines. TMRS Compliance confirmed GX Compliance test results through variety of manual tests. GX Compliance completely replaced CRD Compliance as of the week ending July 7, 2017. Manual Guideline Compliance Tests TMRS Compliance will continue to conduct manual guideline compliance tests to confirm the accuracy of State Street Bank’s new GX Compliance system.

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52

IX. Risk Management

SLIDE 53

Risk k Ma Mana nagement nt Objec ective: e:

Management of the risk of not achieving TMRS

investment objectives

Risk M Management Respo ponsibilit ibilitie ies:

Defining investment risk management policy and

strategy

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

53

Risk sk Repo port Highl hlights: s:

Reporting on Implementation Risk Ranges

Implied by IPS Asset Class Guidelines is included in this report - As introduced to the Board by Risk Management (February 2017)

Ranges and current risk exposures have changed

very little from the previous quarter

No indication of a shift in outlook as to the best

rewarded risk level in each asset class

The Total Fund has a lower risk than the

benchmark (7.0% vs 7.4%)

The current market environment continues to be

less volatile than RVK long term expectations (7.4% for Benchmark vs 11.5%)

Forward looking Tracking Error (0.8%) continues

to decrease primarily due to the decreasing amount of unimplemented policy target

Activ ivit ity U Upda date

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

ur analytical systems

Monitoring Industry Advances Monitoring industry advances in investment risk analysis and quantitative investment strategies for

pportunities to improve TMRS risk

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

SLIDE 54

Total Fund Risk

March 2017

54 BarraOne – One year outlook TMRS RVK Portfolio Policy Benchmark Long Term Assumptions Long Term Assumptions1 Weight (% ) Risk Contribution to Total Risk Weight (% ) Risk Contribution to Total Risk Current Portfolio Risk Minimum Risk Allowed by I PS Maximum Risk Allowed by I PS Benchmark Risk Total 100.0% 7.0 100.0% 100.0% 7.4 100.0% 10.2 9.1 12.2 11.5

Cash Assets 2.5% 0.0 0.0% 0.0% 0.0 0.0% 0.0

3.0

Equity - US 23.3% 12.1 36.5% 17.5% 11.6 24.7% 17.7 17.7 18.1 17.8 Equity - Non US 17.3% 14.5 33.5% 17.5% 15.0 33.1% 18.9 16.7 21.1 20.6 Core Fixed Income 18.4% 4.3 0.9% 10.0% 4.3 0.3% 3.5 3.5 4.6 6.0 Non-Core Fixed Income 12.0% 4.9 6.7% 20.0% 6.6 14.7% 8.5 5.4 11.6 12.5 Real Estate 8.4% 11.6 9.8% 10.0% 10.9 9.5% 13.1 12.5 16.6 14.0 Real Return 9.0% 6.8 7.9% 10.0% 6.7 3.9% 9.9 9.6 13.5 8.7² Absolute Return 8.8% 3.6 3.9% 10.0% 3.8 3.7% 5.3 4.5 8.6 9.5 Private Equity 0.5% 15.4 0.8% 5.0% 18.0 10.1% 19.8 16.4 22.6 25.5 NOTES: 1. RVK forward -looking risk assumptions as presented in the June 2017 Asset Allocation Review

2. RVK volatility assumption for Global Inflation Linked Bonds

SLIDE 55

Implementation Risk Ranges Implied by IPS Asset Class Guidelines

March 2017

55

0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% Core Fixed Income Absolute Return Non-Core Fixed Income Real Return Real Estate Non-US Equity US Equity Private Equity Total Plan Risk

Series1 Current TMRS Risk Estimate RVK Long-Term Assumption Series2 Risk range implied by IPS Rebalancing Policy Minimum risk implied by IPS Maximum risk implied by IPS Based on current (and approved but unfunded) strategy allocations and Investment Department long-term assumptions regarding each strategy

SLIDE 56

Total Fund & Asset Class Regional Exposures

March 2017

56

NOTES: 1. Developed Americas consists almost entirely of the USA. Canada is a very small allocation.

2. The Absolute Return regional breakdown is based on manager and ARS consultant estimates.
3. Percentages reflect Q3 2016 analysis

Developed Americas Developed Europe Developed Asia & Pacific Rim Emerging Americas Emerging Europe Emerging Asia & Pacific Rim Middle East & Africa

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

Total Fund 72% 13% 6% 2% 1% 5% 1%

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NOTES: 1. Amount of active risk due to Pending Policy Allocations

2. Amount of active risk due to allocation difference from Policy Benchmark target allocations due to investment decisions
3. Amount of active risk due to the difference between manager benchmarks chosen by Investment Staff and the Policy

Benchmark for the Asset Class

4. Amount of active risk due to manager portfolio holdings different from holdings of the Manager Benchmark

Strategic Target Allocation (% ) Portfolio Allocation (% ) Allocation Difference (% ) Pending Policy Allocations Four Sources of Active Risk:

Asset Class

Policy Benchmark Contribution

f Pending

Policy Allocation Decisions1 Contribution

f I nvestment

Allocation Decisions2 Contribution

f Strategy

Benchmark Decisions3 Contribution

f Active

Manager Decisions4

Cash Assets 30 Day T- Bill

0.00% 2.46% 2.46% 0.00 0.10 0.00 0.00

Equity - US Russell 3000

17.50% 23.26% 5.76%

5.90%

0.01 0.00

0.10

0.05

Equity - Non US MSCI ACWI ex USA IMI

17.50% 17.29%

0.21%

0.00 0.01 0.00 0.04

Core Fixed Income Barclays U.S. Agg

10.00% 18.42% 8.42%

8.00%

0.32 0.02 0.00

0.01

Non-Core Fixed Income 50% Barclay's High Yield, 25% JPM EM GD GBI, 25% JPM CEMBI

20.00% 11.96%

8.04%

8.00% 0.02 0.00 0.05 0.16

Real Estate NCREIF ODCE

10.00% 8.36%

1.64%

1.50% 0.00 0.00 0.00 0.04

Real Return Barclays World Govt Inflation Linked Bond Index

10.00% 9.02%

0.98%

0.00 0.00

0.01

0.01

Absolute Return HFRI FOF Diversified Index

10.00% 8.75%

1.25%

0.00

0.03

0.00

0.03

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

5.00% 0.47%

4.53%

4.40% 0.12 0.00 0.00 0.01

Active Total Risk

100.00% 100.00% 0.00% 0.47 0.09

0.04

0.28 Sum of Contributions to Active Risk 0.79

Total Fund Tracking Error

March 2017

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58

Evolution of Risk Over Time

March 2017

0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Risk

Total Risk

Benchmark Portfolio Strategic (RVK)

0.5

0.0 0.5 1.0 1.5 2.0 Active Risk (i.e. Tracking Error)

Active Risk

Sum of Contribution of Active Manager Decisions Sum of Contribution of Strategy Benchmark Decisions Sum of Contribution of Investment Allocation Decisions Sum of Contribution of Pending Policy Allocation Decisions Sum of Total Active Risk

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