I . Performance and Asset Allocation V. Real Return Asset Allocation: Current and Target Allocations (page 4) • Asset Class Overview (page 32) • Performance by Asset Class (page 5) • Portfolio Management Structure (page 33-34) • Allocation (page 35) • II. Public Equities Performance (page 36) • Asset Class Overview (page 7) • VI. Absolute Return Portfolio Management Structure (page 8) • Asset Class Overview (page 38) • Allocation (page 9-10) • Portfolio Management Structure (page 39) • Performance (page 11-12) • Allocation (page 40) • Performance (page 41) • III. Fixed Income Core Fixed Income • VII. Private Equity Asset Class Overview (page 14) • Asset Class Overview (pages 43) • Portfolio Management Structure (page 15) • Portfolio Management Structure (page 44) • Allocation (page 16) • Allocation (page 45-46) • Performance (page 17) Performance (page 47) • • Non-Core Fixed Income • Asset Class Overview (page 18) • VIII. Compliance Portfolio Management Structure (page 19) Compliance Overview (page 49) • • Investment Guideline Compliance (page 50) Allocation (page 20) • • Pacing Plan Update (page 51) • Committed Allocation (page 21) • Performance (page 22-23) • IX. Risk Management Overview (page 53) • IV. Real Estate Total Fund Risk (page 54) • Asset Class Overview (page 25) • Implementation Risk Ranges (page 55) • Portfolio Management Structure (page 26) • Total Fund & Asset Class Regional Exposures (page 56) • Allocation (page 27) • Total Fund tracking Error (page 57) • Performance (page 28-30) • Evolution of Risk Over Time (page 58) • 2
I. Performance and Asset Allocation 3
TMRS Investment Portfolio Asset Allocation as of 6/30/2017 25.0% 20.0% Percent Allocated 15.0% Current Allocation 10.0% Allocation Recognizing Unfunded Commitments Target Allocation 5.0% 0.0% Core Fixed US Equities Non-US Real Return Real Estate Private Absolute Non-Core Cash Income Equities Equity Return Fixed Equivalents Income 4
TMRS INVESTMENT PORTFOLIO Net Performance By Asset Class June 2017 1 Year Performance 5 Year Performance 25.0% 25.0% TMRS 20.4% TMRS 18.1% 19.0% Benchmark 18.5% Benchmark 20.0% 20.0% 14.3% 14.6% 15.0% 15.0% 11.7% 10.4% 10.3% 9.7% 8.1% 9.7% 10.0% 10.0% 8.2% 7.6% 6.9% 5.8% 4.7% 2.1% 3.8% 4.1% 5.0% 5.0% 2.3% 2.1% 2.2% 1.6% 1.1% 0.8% na 0.1% na na na 0.0% 0.0% -0.3% -5.0% -5.0% Total Core Non-Core US Non-US Real Real Absolute Total Core Non-Core US Non-US Real Real Absolute Portfolio Fixed Fixed Equities Equities Return^ Estate*^ Return+^ Portfolio Fixed Fixed Equities Equities Return^ Estate*^ Return+^ Income Income^ Income Income^ *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 5
6
US Equity Objective Intended to provide capital appreciation and is structured using a Core-Satellite Approach with the overall objective of exceeding its benchmark performance net of fees over rolling five year periods. Satellite strategies (Active and Rules-Based strategies with an active component) are expected to add excess return within established tracking error limits and will meet quality, diversification, and liquidity guidelines as specified in the Managers’ contracts. International Equity Objective Intended to provide capital appreciation and diversification, and is structured using a Core- Satellite Approach with the overall objective of exceeding its benchmark performance net of fees over rolling five year periods. Satellite strategies (Active and Rules-Based strategies with an active component) are expected to add excess return within established tracking error limits and will meet quality, diversification, and liquidity guidelines as specified in the Managers’ contracts or otherwise agreed to in writing between TMRS and the Investment Manager. 7
Asset Class Manager Strategy Portfolio Benchmark Domestic Equities Northern Trust Asset Management Passive Broad Market Index Russell 3000 Index US Core/Passive 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 All Country World (ACW) Northern Trust Asset Management Passive Broad Market Index Non-US Core/Passive 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 Opportunistic Relative Non-US Satellite/Active Wellington Management MSCI ACWI ex US Index Value 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 8
% of Total Fund as of 6/30/2017 ACTIVE % of Total PASSIVE % of Total Market Value Market Value Portfolio Managers Portfolio Portfolio Managers Portfolio US RULES-BASED EQUITY: 718,024,328 2.7% US CORE EQUITY: 3,464,849,992 13.0% NTAM Russell 3000 US ACTIVE EQUITY: 1,579,599,638 5.9% NON-US CORE EQUITY: NON-US RULES-BASED EQUITY: 551,670,672 2.1% 2,788,335,588 10.4% NTAM ACW ex. US IMI NON-US ACTIVE EQUITY: 1,413,473,290 5.3% TOTAL: 6,253,185,580 23.4% 4,262,767,928 16.0% TOTAL: Current Allocation Target Allocation Difference 30% 23.4% Current Allocation Target Allocation Difference 17.5% 17.5% 16.0% 20% 45% 39.4% 10% 5.9% 40% 35.0% 35% 0% 30% PASSIVE Portfolio ACTIVE Portfolio -1.5% 25% -10% 20% 15% Current Active Current RB Target Allocation Difference 10% 4.4% 10% 5% 8% 2.7% 8.75% 8.75% 0% 2.1% 6% 4% 5.9% 5.3% NOTE: Percentages may not be exact due to rounding 2% 0% -0.15% -2% -1.35% US ACTIVE non-US Portfolio ACTIVE Portfolio 9
Current Allocation By Asset Category Current Allocation by Manager vs. Total Portfolio vs. Total Equity Portfolio Russell 3000 ACWI ex. US IMI Non-US SSgA Global ex. US US Passive Passive 13.0% UBS World ex. US MV 10.4% Wellington Intl Horizons Lazard Intl Equity Plus Russell 3000 US ACW ex. US IMI Acadian EM Passive non-US Passive William Blair EM 32.9% 26.5% Wasatch Intl SC Wellington Intl SC 2.4% Epoch 2.8% 3.5% Sasco 2.2% The Boston Co. MC Non-US RB 3.3% US RB Active 2.0% 2.7% Active 2.1% Champlain 2.1% 2.8% The Boston Co. SC 2.0% 2.8% 2.6% 2.6% 2.5% Wellington US SC Non-US US Active 2.1% Active 5.3% 2.6% 2.2% 5.9% SSgA US Fund UBS US MV 10
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