Analytic Investors, LLC Mandate : Buy Write Strategy Hired : 2011 - PowerPoint PPT Presentation

Analytic Investors, LLC Mandate : Buy Write Strategy Hired : 2011 Firm Information Investment Approach Total ARMB Mandate Analytic’s investment objective is to outperform the CBOE S&P 500 BuyWrite Assets Under Management: Wells Fargo Asset Management acquired (BXM) Index while managing tracking error to be less than 2% relative to the BXM 12/31/2016: $317 Million Analytic Investors on October 1, 2016. Index. As of 12/31/2016, Analytic’s total assets Given this low tracking error limit, the strategy is structured to behave very similarly under management were $17.6 billion. to the BXM Index. The BXM Index is comprised of the S&P 500 Index with a one month at the money S&P 500 Index call option sold monthly at regular expiration (3rd Key Executives: Friday of each month). Harin de Silva, Ph.D., CFA The equity component of this strategy is managed by SSGA and is passively managed President / Portfolio Manager relative to the S&P 500 index. Greg McMurran Chief Investment Officer / Portfolio Analytic attempts to add value by option security selection. While Analytic limits the Manager options they sell to S&P 500 Index options, they actively select call options that they believe are overvalued to add value versus the BXM Index. Dennis Bein, CFA Chief Investment Officer / Portfolio Benchmark: CBOE S&P 500 BuyWrite Index Manager Michael Brogan Managing Director Amy Stueve Chief Compliance Officer Megan Miller, CFA Portfolio Manager Concerns : None 12/31/2016 Performance 3-Years 5-Years Last Quarter 1-Year Annualized Annualized Analytic Investors 2.61% 8.52% 6.56% 8.03% CBOE S&P 500 BuyWrite Index 2.64% 7.07% 5.98% 7.24%

ALASKA RETIREMENT MANAGEMENT BOARD REVIEW March 2, 2017

Contents Analytic Buy-Write Strategy 1 Firm Update 2 Investment Objective and Results 3 Volatility Risk Premium and BXM Index 4 Appendix Analytic Attendees: Greg McMurran, Chief Investment Officer, Portfolio Manager Megan Miller, CFA, Portfolio Manager Kevin Clark, CFA, Director, Relationship Management 2 ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED

Profile Quantitative Investment Manager Organization Clients Total Client Relationships: 81*  Headquarters: Los Angeles 50% Financial Services  Investment professionals: 19 20% Public 4 1 3 11 11% Corporations  Client Service/Marketing: 11 20 10% Multiemployer 10 4% Insurance 50 4% Superannuation/Sovereign Wealth Fund Capabilities 1% Endowments/Foundations/ Charitable  Benchmark Oriented (Beta 1) Asset Composition ─ Core Equity Total Assets:$17.6B USD* ─ Short Extension 1.7  Low Volatility Equity 5.0 $ 1.7 Benchmark Oriented  Alternatives $ 10.9 Low Volatility Equity ─ Long/Short Equity 10.9 $ 5.0 Alternatives As of 12/31/2016 ─ Covered Call *Includes four clients and $1.52B of non-discretionary ─ Market Neutral Equity assets as of 11/30/2016, where Analytic does not have trading authority over the client portfolio. 3 ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED

Investment Team PORTFOLIO MANAGERS Harindra de Silva, Ph.D., CFA – President / Portfolio Manager Dennis Bein, CFA – Chief Investment Officer / Portfolio Manager  Joined firm in 1995; 31 years of investment experience  Joined firm in 1995 Ph.D. in Finance, University of California, Irvine 26 years of investment experience   MBA in Finance, University of Rochester MBA in Finance, University of California, Riverside    MS in Econometrics, University of Rochester  BS in Business Administration, University of California, Riverside BS in Mechanical Engineering, University of Manchester  David Krider, CFA – Portfolio Manager Ryan Brown , CFA – Portfolio Manager Joined firm in 2005 Joined firm in 2007   14 years of investment experience 11 years of investment experience    BA in Economics, California Institute of Technology  MS in Finance, University of Utah BS in Computer Science, California Institute of Technology BS in Economics, Brigham Young University   Greg McMurran – Chief Investment Officer / Portfolio Manager Megan Miller, CFA – Portfolio Manager Joined firm in 1976 Joined firm in 2008   40 years of investment experience 11 years of investment experience    MA in Economics, California State University, Fullerton  BS in Mathematics, University of California, Los Angeles BS in Economics, University of California, Irvine  CHAIRMAN TRADING Roger Clarke, Ph.D. – Chairman Andrew Claeys, CFA – Director of Trading Joined firm in 1985 Joined firm in 2007   39 years of investment experience   12 years of investment experience  Ph.D. in Finance, Stanford University BS in Business Administration, University of Denver  MBA, Brigham Young University  MS in Economics, Stanford University  BA in Physics, Brigham Young University  RESEARCH ADVISORS Doug Savarese, CFA – Research Advisor Stephen Thorley, Ph.D., CFA – Research Advisor  Joined firm in 1998  Joined firm in 2000 29 years of investment experience  27 years of investment experience  BA in Mathematics, The Richard Stockton College of New Jersey  Ph.D. in Financial Economics, University of Washington   BS in Business Administration, The Richard Stockton College of New MBA in Business, Brigham Young University  Jersey B.S. in Mathematics, Brigham Young University  As of 9/30/2016 4 ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED

Account Summary Alaska Retirement Management Board  Outperform BXM Index, over time, net of fees  Manage Tracking Error to be less than 2% versus the BXM Index OBJECTIVES  Long U.S. equity positions managed by SSgA (passive S&P 500 Index)  Call options managed by Analytic  Inception Date: March 9, 2011  December 31, 2016 Account Value: $316.6 Million RESULTS  Annualized Since Inception Excess Return: 1.05%  Since Inception Tracking Error: 1.50% 5 ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED

Performance Alaska Retirement Management Board Performance March 9, 2011 (Inception) – December 31, 2016 15 ANNUALIZED RETURN (%) S&P 500 Index 10 ARMB BXM 5 0 0 5 10 15 20 Periods greater than one year are annualized. STANDARD DEVIATION (%) Performance is presented gross of fees and does not reflect the deduction of Volatility investment advisory fees. Standard Return (%) Reduction vs. Deviation (%) Client’s return will be S&P 500 reduced by the advisory fees (as described in Part II ARMB (Gross) 7.78 32.3% 7.88 of the adviser’s Form ADV) and any other expenses it may incur in the CBOE BuyWrite (BXM) Index 6.83 8.09 29.7% management of its investment advisory S&P 500 Index 11.89 11.51 accounts. Past performance does not guarantee future results. 6 ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED

Source: Bloomberg ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED Volatility IMPLIED VOLATILITY SPREAD Underpriced Overpriced VOLATILITY LEVEL (SPX) -50% -40% -30% -20% -10% 10% 20% 30% 40% 50% 60% 70% 80% 90% 10% 20% 30% 40% 0% 0% Jan-96 Jan-96 Jun-96 Jun-96 Nov-96 Nov-96 Apr-97 Apr-97 January 1996 – December 2016 The Market Tends to Consistently Overprice Volatility Sep-97 Sep-97 Implied minus Realized Volatility Spread Realized Volatility (25 Day) Implied Volatility (VIX) Feb-98 Feb-98 Jul-98 Jul-98 Dec-98 Dec-98 May-99 May-99 Oct-99 Oct-99 Mar-00 Mar-00 Aug-00 Aug-00 Jan-01 Jan-01 Jun-01 Jun-01 Nov-01 Nov-01 Apr-02 Apr-02 Sep-02 Sep-02 Feb-03 Feb-03 Jul-03 Jul-03 Dec-03 Dec-03 May-04 May-04 Oct-04 Oct-04 Mar-05 Mar-05 Aug-05 Aug-05 Jan-06 Jan-06 Jun-06 Jun-06 Nov-06 Nov-06 Apr-07 Apr-07 Sep-07 Sep-07 Feb-08 Feb-08 Jul-08 Jul-08 Dec-08 Dec-08 May-09 May-09 Oct-09 Oct-09 Mar-10 Mar-10 Aug-10 Aug-10 Jan-11 Jan-11 Jun-11 Jun-11 Nov-11 Nov-11 Apr-12 Apr-12 Sep-12 Sep-12 Average Spread: Feb-13 Feb-13 Jul-13 Jul-13 Dec-13 Dec-13 4.32 May-14 May-14 Oct-14 Oct-14 Mar-15 Mar-15 Aug-15 Aug-15 Jan-16 Jan-16 Jun-16 Jun-16 7 Nov-16 Nov-16

Analytic Our Edge  Research focused on obtaining better exposure to the Volatility Risk Premium RESEARCH than present in BXM by adjusting option strikes and expirations  Implementing a BXM replicating option portfolio has proved difficult for other managers IMPLEMENTATION  Our investment and trading experience has resulted in a low tracking error high value added BXM replicating covered call portfolio  We have consistently maintained a low tracking error option portfolio and a RISK MANAGEMENT hedging option portfolio relative to BXM 8 ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED