Texas Municipal Retirement System Board Presentation/Executive - - PowerPoint PPT Presentation

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Texas Municipal Retirement System Board Presentation/Executive - - PowerPoint PPT Presentation

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Texas Municipal Retirement System Board Presentation/Executive Summary Period Ended: December 31, 2016 Capital Markets Update Capital Markets Review As of December 31, 2016 Fourth Quarter Economic Environment Key Economic Indicators Key

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SLIDE 1

Texas Municipal Retirement System

Board Presentation/Executive Summary

Period Ended: December 31, 2016

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SLIDE 2

Capital Markets Update

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SLIDE 3

Capital Markets Review As of December 31, 2016 Economic Indicators Dec-16 Sep-16 Dec-15 Dec-13 20 Yr 0.55 ▲ 0.29 0.20 0.07 2.35 1.27 ▲ 0.95 0.85 1.50 N/A 1.97 ▲ 1.61 1.58 2.23 N/A 2.1 ▲ 1.5 0.7 1.5 2.2 4.7 ▼ 4.9 5.0 6.7 6.0 1.9 ▲ 1.7 1.9 2.7 2.3 54.50 ▲ 51.70 47.90 56.00 52.20 95.76 ▲ 90.01 94.25 76.15 86.86 53.7 ▲ 48.2 37.0 98.4 56.0 1,152.3 ▼ 1,315.8 1,061.4 1,205.7 784.3 Market Performance (%) CYTD 1 Yr 5 Yr 10 Yr 11.96 11.96 14.66 6.95 21.31 21.31 14.46 7.07 1.00 1.00 6.53 0.75 2.18 2.18 10.56 2.95 11.19 11.19 1.28 1.84 2.65 2.65 2.23 4.34 0.33 0.33 0.12 0.80 8.77 8.77 12.21 5.82 7.24 7.24 12.02 4.80 0.53 0.53 3.42 1.31 11.74 11.74

  • 8.96
  • 5.58

Russell 2000 MSCI EAFE (Net) MSCI EAFE SC (Net) MSCI Emg Mkts (Net) Bloomberg US Agg Bond Key Economic Indicators Treasury Yield Curve (%) Key Economic Indicators The surprising result of the United States presidential election produced an initial market shock, as US equity futures traded off nearly 5% during the night of November 8th. By morning however, the volatility and uncertainty gave way to renewed optimism for risk assets as markets contemplated the policy objectives and corresponding economic impact of the Trump administration’s agenda. The bullish sentiment in the US cleared the path for the Federal Reserve Open Market Committee to raise the benchmark federal funds rate by 25 basis points during its December meeting. The move was widely anticipated, as economic data supported the Fed tightening at this point in the economic cycle. On November 30, 2016, OPEC announced a deal to cut oil production by 1.2 million barrels per day, the first cut since 2008, which drove the price of oil up nearly 10% on the day of the

  • announcement. In Europe, the European Central Bank announced a

moderation in the pace of asset purchases from €80 billion per month to €60 billion, but also extended the duration of the purchase program. Fourth Quarter Economic Environment

Unemployment Rate (%) Since 1948 CPI Year-over- Year (% change) Since 1914 US Govt Debt (% of GDP) Since 1940 VIX Index (Volatility) Since 1990 Consumer Confidence Since 1967

Unemployment Rate (%) Federal Funds Rate (%) Breakeven Infl. - 1 Yr (%) Breakeven Infl. - 10 Yr (%) CPI YoY (Headline) (%) Real GDP YoY (%) USD Total Wtd Idx

WTI Crude Oil per Barrel ($)

Gold Spot per Oz ($) S&P 500 (Cap Wtd) PMI - Manufacturing 0.88 2.66 BofA ML 3 Mo US T-Bill NCREIF ODCE (Gross) Wilshire US REIT HFRI FOF Comp Bloomberg Cmdty (TR)

  • 4.16
  • 2.98

0.08 2.11

  • 2.28

QTD 3.82 8.83

  • 0.71
  • 2.86

0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 4.00 4.50 3M 6M 1Y 3Y 5Y 7Y 10Y 20Y 30Y Dec-16 Sep-16 Dec-15 Dec-14 Dec-13 2 4 6 8 10 12 20 40 60 80 100 120 10 20 30 40 50 60 70 20 40 60 80 100 120 140 160

  • 20
  • 15
  • 10
  • 5

5 10 15 20 25 30 2.1

Treasury data courtesy of the US Department of the Treasury. Economic data courtesy of Bloomberg Professional Service. Breakeven Inflation does not have 20 years of history; therefore, its 20-year average is shown as N/A. Page 2

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SLIDE 4

2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Best 25.91 61.34 33.16 34.00 35.97 39.38 8.44 78.51 28.60 22.49 20.00 38.82 31.78 15.02 21.31 16.56 55.81 31.45 26.19 32.18 16.23 5.24 58.21 26.85 15.99 18.23 32.39 19.31 9.59 17.13 14.84 47.25 25.55 21.39 26.34 15.97 2.06 46.78 22.04 13.56 17.59 29.30 13.69 4.23 11.96 10.27 38.59 20.25 21.36 19.31 11.63

  • 2.35

31.78 18.88 9.24 17.32 22.78 12.50 1.38 11.74 5.54 36.18 18.33 13.82 18.37 11.17

  • 10.01

28.60 16.83 7.84 16.35 13.94 5.97 0.55 11.19 3.58 28.96 13.06 13.54 16.32 10.25

  • 21.37

27.17 16.36 4.98 16.00 8.96 4.89 0.05 8.77 1.78 28.68 11.14 7.49 15.79 6.97

  • 26.16

26.46 15.12 2.11 15.81 7.44 3.64

  • 0.27

7.24 1.02 23.93 10.88 5.34 11.86 6.60

  • 33.79

18.91 15.06 0.10 10.94 1.86 3.37

  • 0.81

6.67

  • 1.37

11.61 9.15 4.91 10.39 5.49

  • 35.65

11.47 10.16

  • 4.18

8.78 0.07 2.45

  • 1.44

4.68

  • 6.17

9.28 8.56 4.55 4.85 5.00

  • 37.00

11.41 7.75

  • 5.72

6.98

  • 2.02

0.04

  • 3.30

2.65

  • 7.83

8.39 8.46 3.07 4.34 1.87

  • 39.20

5.93 6.54

  • 12.14

4.79

  • 2.60
  • 2.19
  • 4.41

2.18

  • 15.94

5.88 6.86 2.84 2.72 1.45

  • 43.38

1.92 6.31

  • 13.32

4.21

  • 8.61
  • 4.90
  • 4.47

1.00

  • 20.48

4.11 4.34 2.74 2.07

  • 1.57
  • 47.01

0.21 5.70

  • 15.94

0.11

  • 8.83
  • 4.95
  • 14.92

0.52 Worst

  • 22.10

1.15 1.33 2.43 0.49

  • 17.55
  • 53.33
  • 29.76

0.13

  • 18.42
  • 1.06
  • 9.52
  • 17.01
  • 24.66

0.33 S&P 500 - US Large Cap R 2000 - US Small Cap MSCI EAFE (Net) - Int'l Dev. MSCI EAFE SC (Net) - Int'l SC MSCI EM (Net) - Int'l Emg Mkts Bloombrg US Agg Bond - FI Bloombrg US Corp: Hi Yield - FI Bloombrg US Trsy: US TIPS - FI Bloombrg US Gov/Credit: Lng - FI NCREIF ODCE (Gross) - Real Estate Wilshire US REIT - REITs HFRI FOF Comp Index - ARS Bloombrg Cmdty (TR)

  • Commod.

BofA ML 3 Mo T-Bill - Cash Equiv

Annual Asset Class Performance As of December 31, 2016

NCREIF ODCE (Gross) performance is reported quarterly; performance is shown N/A in interim-quarter months. Page 3

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SLIDE 5

TMRS Total Fund

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SLIDE 6

Allocation Market Value ($) % Performance (%) Quarter CYTD 1 Year 3 Years 5 Years 7 Years 10 Years 15 Years Since Incep. Inception Date Total Fund Composite 25,103,517,939 100.00 0.33 7.04 7.04 4.29 6.45 6.21 5.98 6.80 8.46 01/01/1989 Actual Allocation Benchmark

  • 0.01

6.95 6.95 4.06 6.24 6.07 5.76 6.30 7.89 Global Equity Composite 10,871,590,687 43.31 1.45 9.39 9.39 4.32 10.59 8.28 N/A N/A 4.43 02/01/2008 Global Equity Benchmark 2.00 9.54 9.54 4.24 10.54 8.23 N/A N/A 4.36 Domestic Equity Composite 6,744,316,200 26.87 4.28 13.17 13.17 8.25 14.46 12.77 N/A N/A 8.01 02/01/2008 Russell 3000 Index 4.21 12.74 12.74 8.43 14.67 12.92 7.07 7.11 8.12 International Equity Composite 4,127,271,568 16.44

  • 2.97

3.50 3.50

  • 1.08

5.69 3.09 N/A N/A 0.25 02/01/2008 International Equity Benchmark

  • 1.57

4.41 4.41

  • 1.44

5.35 2.80 0.06 4.81

  • 0.03

Core Fixed Income Composite 4,809,721,532 19.16

  • 2.86

2.89 2.89 3.08 2.40 3.74 4.23 5.62 7.82 01/01/1989 Fixed Income Benchmark

  • 2.98

2.65 2.65 3.03 2.23 3.63 4.05 5.15 7.27 Non-Core Fixed Income Composite 2,092,565,800 8.34 2.19 7.62 7.62 N/A N/A N/A N/A N/A 3.82 10/01/2014 Non-Core Fixed Income Benchmark

  • 0.99

13.56 13.56 3.15 5.18 6.14 6.50 N/A 2.72 Real Return Composite 2,301,882,918 9.17

  • 3.13

6.90 6.90 1.68 2.18 N/A N/A N/A 3.00 02/01/2011 Bloomberg Wrld Gov't Infl Lnkd Index (Unhedged)

  • 5.31

4.02 4.02 1.05 0.98 2.73 3.55 6.01 2.46 Real Estate Composite 2,133,170,548 8.50 2.60 12.33 12.33 14.52 11.72 N/A N/A N/A 11.72 01/01/2012 Real Estate Benchmark 2.07 9.97 9.97 12.44 12.39 12.42 6.02 8.03 12.39 Absolute Return Composite 2,749,266,326 10.95 1.80 2.25 2.25 N/A N/A N/A N/A N/A 2.48 08/01/2014 Absolute Return Benchmark 1.15 0.48 0.48 1.24 3.47 2.49 1.41 3.37 0.89 Private Equity Composite 114,184,633 0.45 7.20 1.68 1.68 N/A N/A N/A N/A N/A 1.68 01/01/2016 Russell 3000 Index + 3% 4.98 16.12 16.12 11.69 18.11 16.31 10.29 10.32 16.12 TMRS Unallocated Cash 31,135,494 0.12 0.07 0.58 0.58 0.53 0.36 0.28 N/A N/A 0.36 06/01/2008 BofA ML 3 Mo US T-Bill Index 0.08 0.33 0.33 0.14 0.12 0.12 0.80 1.34 0.24

Texas Municipal Retirement System Asset Allocation & Comparative Performance As of December 31, 2016

Performance shown is net of fees and provided by State Street. Performance is annualized for periods greater than one year. Market value for the Global Equity Composite includes assets held in the Transition Account. Real Estate and Private Equity fund returns are calculated by Private Edge. Private Real Estate fund returns are lagged 1 quarter. Inception dates shown for Real Estate and Private Equity composite represent the first full quarter following initial funding. Inception dates for all other composites represents the first full month following initial funding.

Page 5

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SLIDE 7

While performance relative to other systems is not an objective of the TMRS fund given the wide range in investment objectives and different benefit plan structures, it is generally of interest to be aware of the performance of other public pension systems.

Return (%) Quarter To Date Year To Date 1 Year 3 Years 5 Years 7 Years 10 Years 15 Years Total Fund Composite 0.43 (60) 7.42 (64) 7.42 (64) 4.54 (56) 6.65 (89) 6.36 (93) 6.09 (2) 6.88 (23) Actual Allocation Benchmark

  • 0.01 (79)

6.95 (76) 6.95 (76) 4.06 (79) 6.24 (93) 6.07 (94) 5.76 (20) 6.30 (64) Policy Index 0.65 (53) 8.53 (19) 8.53 (19) 4.63 (50) 7.22 (81) 6.94 (90) 6.10 (2) 6.52 (46) Median 0.66 7.77 7.77 4.62 8.31 7.89 5.17 6.47 Population 85 83 83 82 80 77 73 62

Total Fund Performance vs. Peers

The Total Fund is ranked against a universe of Public Plans > $1B. Please see Supplemental Information for custom benchmark definitions. Performance shown is gross of fees, as of December 31, 2016 Page 6

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SLIDE 8

Plan Sponsor Peer Group Analysis - Multi-Statistics (Beta vs. S&P 500) Up/Down Markets - 5 Years Peer Group Scattergram - 5 Years

Return Standard Deviation Total Fund Composite 6.65 4.39 Actual Allocation Benchmark 6.24 4.45 Policy Index 7.22 4.65 Median 8.30 5.18 5 Years 5 Years 5 Years 5 Years 5 Years Total Fund Composite 4.39 (88) 1.47 (71) 6.46 (88) 1.86 (76) 0.40 (80) Actual Allocation Benchmark 4.45 (86) 1.37 (83) 6.08 (93) 2.03 (60) 0.40 (79) Median 5.18 1.51 8.08 2.12 0.49 Population 25 25 25 25 25

Total Fund Composite vs. All Public Funds > $10B-Total Fund

Performance shown is gross of fees. Calculations based on quarterly periodicity. Parenthesis contain percentile ranks. Page 7

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SLIDE 9

TMRS Asset Class Composites

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SLIDE 10

Peer Group Analysis - Multi Statistics Up/Down Markets - 7 Years Peer Group Scattergram - 7 Years

Return Standard Deviation Domestic Equity Composite 12.83 13.27 Russell 3000 Index 12.92 13.24 Median 13.13 14.79 7 Years 7 Years 7 Years 7 Years 7 Years 7 Years Domestic Equity Composite 0.98 (36) 0.24 (100)

  • 0.35 (87)

7.82 (68) 99.78 (64) 100.83 (60) Russell 3000 Index 0.99 (33) 0.00 (100) N/A 7.78 (69) 100.00 (64) 100.00 (61) Median 0.93 5.31 0.09 8.62 103.73 107.18 Population 2,049 2,049 2,049 2,049 2,049 2,049

Domestic Equity Composite vs. IM U.S. Equity

Performance shown is gross of fees. Calculations based on quarterly periodicity. Parenthesis contain percentile ranks. Page 9

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SLIDE 11

Peer Group Analysis - Multi Statistics Up/Down Markets - 7 Years Peer Group Scattergram - 7 Years

Return Standard Deviation International Equity Composite 3.17 15.13 International Equity Benchmark 2.80 15.25 Median 5.07 15.72 7 Years 7 Years 7 Years 7 Years 7 Years 7 Years International Equity Composite 0.28 (79) 0.74 (100) 0.46 (51) 10.82 (41) 100.71 (71) 97.53 (30) International Equity Benchmark 0.25 (83) 0.00 (100) N/A 10.99 (37) 100.00 (73) 100.00 (24) Median 0.40 5.43 0.47 10.53 108.59 90.93 Population 722 722 722 722 722 722

International Equity Composite vs. IM International Equity

Performance shown is gross of fees. Calculations based on quarterly periodicity. Parenthesis contain percentile ranks. Page 10

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SLIDE 12

Peer Group Analysis - Multi Statistics Up/Down Markets - 10 Years Peer Group Scattergram - 10 Years

Return Standard Deviation Core Fixed Income Composite 4.29 4.43 Fixed Income Benchmark 4.05 5.76 Median 4.84 3.61 10 Years 10 Years 10 Years 10 Years 10 Years 10 Years Core Fixed Income Composite 0.79 (91) 3.12 (98) 0.05 (89) 2.09 (10) 97.68 (17) 85.68 (1) Fixed Income Benchmark 0.58 (100) 0.00 (100) N/A 2.72 (3) 100.00 (14) 100.00 (1) Median 1.09 4.13 0.16 1.48 91.88 46.39 Population 135 135 135 135 135 135

Core Fixed Income Composite vs. IM U.S. Broad Market Core Fixed Income

Performance shown is gross of fees. Calculations based on quarterly periodicity. Parenthesis contain percentile ranks. Page 11

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SLIDE 13

Portfolio Characteristics

Portfolio Benchmark Spread Duration 3.00 N/A

  • Avg. Maturity

10.61 6.95

  • Avg. Quality

B2 Ba2 Yield To Maturity (%) 5.46 6.17 Coupon Rate (%) 4.45 6.60

Sector Distribution (%)

C a s h E q u i v N

  • n
  • A

g e n c y M B S A B S C M B S N

  • n
  • I

n v G r a d e C

  • r

p E M D B a n k L

  • a

n s O t h e r

Non-Core Fixed Income Composite vs. Non-Core Fixed Income Benchmark

Bond characteristics exclude Private and Opportunistic Credit. Allocation to "Other" consists of miscellaneous differences between the account's net asset value and its trade date based clean holdings. Negative sector allocation reflects manager's use of derivatives, short selling, or interest rate swaps. Page 12

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SLIDE 14

Asset Allocation by Manager Comparative Performance $2,301,882,918

Market Value ($) Allocation (%) Cohen & Steers Real Asset 765,668,447 33.26 Nuveen Real Asset Income 738,657,443 32.09 Colchester Global Inflation Linked Bond (SA) 644,009,011 27.98 Amerra Agriculture Fund III 59,181,667 2.57 Orion Mine Finance Fund II 37,857,814 1.64 MTP Energy Opportunities Fund II 30,223,674 1.31 Brookfield Infrastructure Partner Fund III 26,284,862 1.14 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 Since Incep. Inception Date Real Return Composite

  • 3.07

6.95 6.95 1.80 2.32 N/A

  • 5.55

4.44

  • 4.06

10.83 N/A 3.15 02/01/2011 Bloomberg Wrld Gov't Infl Lnkd Index (Unhedged)

  • 5.31

4.02 4.02 1.05 0.98 3.55

  • 4.70

4.08

  • 4.84

6.95 10.65 2.46 Difference 2.24 2.93 2.93 0.75 1.34 N/A

  • 0.85

0.36 0.78 3.88 N/A 0.69

Real Return Composite Performance and Allocation

Performance shown is gross of fees. Allocations shown may not sum up to 100% exactly due to rounding. Page 13

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SLIDE 15

Portfolio Exposure by Geography TMRS Portfolio Exposure by Sector Portfolio Exposure by Asset Type

Real Return Portfolio Diversification

Allocations may not sum up to 100% exactly due to rounding. Allocations are by adjusted commitments. Allocation information is as of December 31, 2016 and provided by TMRS. Page 14

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SLIDE 16

Asset Allocation by Manager December 31, 2016 : $2,133,170,548

Market Value ($) Allocation (%) Abacus Core Income Fund, LP 68,833,491 3.23 BlackStone Property Partners 299,999,984 14.06 H/2 CP, LP 137,604,500 6.45 H/2 CP Core RE Debt Fund, LP 76,496,700 3.59 Harrison St. Real Estate 222,839,010 10.45 INVESCO Advisers, Inc. 185,476,635 8.69 Stockbridge Smart Markets Fund, LP 305,051,465 14.30 USAA Eagle Real Estate Fund, LP 202,303,888 9.48 Walton St Real Estate Debt Fund 38,683,807 1.81 Abacus Multi-Family Partners II, LP 5,295,926 0.25 Abacus Multi-Family Partners III, LP 42,794,885 2.01 Alcion RE Part Fund III-B, LP 10,322,738 0.48 DivcoWest V 3,542,819 0.17 Greenfield Acquisition Partners VI, LP 36,722,163 1.72 Greenfield Acquisition Partners VII, LP 87,839,407 4.12 Miller Global Fund VII 28,643,927 1.34 Rubenstein Properties Fund II 45,481,903 2.13 Rubenstein Properties Fund III 14,966,516 0.70 Stockbridge Value Fund, LLC 27,227,629 1.28 Stockbridge Value Fund II, LP 60,075,976 2.82 Torchlight Debt Opp Fund V, LP 19,507,481 0.91 European Property Inv Special 4,954,330 0.23 *Kildare European Partners II

  • 0.00

Lubert-Adler Fund VII 85,228,762 4.00 Moorfield Real Estate III 27,185,522 1.27 TPG Real Estate Part II, LP 38,468,196 1.80 Walton St Real Estate Fund VII 57,622,888 2.70

Real Estate Composite Allocation

*Represents approved investments that have not been funded and/or are pending legal documents. Allocations shown may not sum up to 100% exactly due to rounding. Page 15

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SLIDE 17

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

Real Estate Portfolio Diversification

Allocations may not sum up to 100% exactly due to rounding. Allocation information is as of September 30, 2016 and provided by TMRS. Page 16

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SLIDE 18

Asset Allocation by Manager Comparative Performance December 31, 2016 : $2,749,266,326

Market Value ($) Allocation (%) Blackstone Treaty Oak Fund, LP 1,512,462,736 55.01 L/S Equity Manager 1 74,166,600 2.70 L/S Equity Manager 2 63,736,140 2.32 L/S Equity Manager 3 58,446,540 2.13 Credit Manager 1 125,593,560 4.57 Credit Manager 2 80,450,175 2.93 Credit Manager 3 126,548,875 4.60 Relative Value Manager 1 74,115,600 2.70 Relative Value Manager 2 61,884,900 2.25 Relative Value Manager 3 86,929,110 3.16 *Relative Value Manager 4

  • 0.00

Event Driven Manager 1 54,960,660 2.00 Global Macro Manager 1 130,600,250 4.75 Global Macro Manager 2 89,747,280 3.26 Global Macro Manager 3 106,548,100 3.88 Multi-Strat Manager 1 103,075,800 3.75 1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 Since Incep. Inception Date Absolute Return Composite 2.04 2.97 2.97 N/A N/A N/A 3.39 N/A N/A N/A N/A 2.99 08/01/2014 Absolute Return Benchmark 1.15 0.48 0.48 1.24 3.47 1.41 0.11 3.15 9.04 4.81

  • 5.01

0.89 Difference 0.89 2.49 2.49 N/A N/A N/A 3.28 N/A N/A N/A N/A 2.10 Blackstone Treaty Oak Fund, LP 2.44 3.04 3.04 N/A N/A N/A 3.39 N/A N/A N/A N/A 3.01 08/01/2014 Absolute Return Benchmark 1.15 0.48 0.48 1.24 3.47 1.41 0.11 3.15 9.04 4.81

  • 5.01

0.89 Difference 1.29 2.56 2.56 N/A N/A N/A 3.28 N/A N/A N/A N/A 2.12 Absolute Return Direct Composite 1.43 2.65 2.65 N/A N/A N/A N/A N/A N/A N/A N/A 2.65 01/01/2016 Absolute Return Benchmark 1.15 0.48 0.48 1.24 3.47 1.41 0.11 3.15 9.04 4.81

  • 5.01

0.48 Difference 0.28 2.17 2.17 N/A N/A N/A N/A N/A N/A N/A N/A 2.17

Absolute Return Performance and Allocation

*Represents approved investments that have not been funded and/or are pending legal documents. Performance shown is gross of fees. Allocations shown may not sum up to 100% exactly due to rounding. Page 17

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SLIDE 19

BAAM Allocation Direct Portfolio Manager Exposures

Absolute Return Strategy Exposures

Allocations shown may not sum up to 100% exactly due to rounding. Allocation information is as of December 31, 2016 and provided by TMRS. Page 18

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SLIDE 20

Asset Allocation by Manager Comparative Performance $114,184,633

Market Value ($) Allocation (%)

Harvest Partners VII 59,231 0.05 *Incline Equity IV

  • 0.00

Kainos Capital Partners II 272,182 0.24 *Marlin Heritage II, LP

  • 0.00

*Marlin Equity V, LP

  • 0.00

*One Rock Capital Partners II, LP

  • 0.00

Searchlight Capital II 16,532,796 14.48 Tritium I, LP 18,835,141 16.50 Foundry Group Next Fund, LP 6,662,949 5.84 *FTV V

  • 0.00

Mercato Partners Growth III, LP 6,106,948 5.35 Providence Strategic Growth II 7,437,097 6.51 Updata Partners V, LP 15,515,672 13.59 Carlyle Energy Mezzanine Fund II 5,100,540 4.47 *GSO COF III Co-investment Fund, LP

  • 0.00

GSO Capital Opportunities Fund III, LP 3,539,068 3.10 H.I.G. Bayside Fund IV 9,627,887 8.43 TSSP Adjacent Opportunities Fund III 24,495,122 21.45

1 Quarter Year To Date 1 Year 3 Years 5 Years 10 Years 2015 2014 2013 2012 2011 Since Incep. Inception Date Private Equity Composite 7.20 1.68 1.68 N/A N/A N/A N/A N/A N/A N/A N/A 1.68 01/01/2016 Russell 3000 Index+3% 4.98 16.12 16.12 11.69 18.11 10.29 3.49 15.93 37.56 19.91 4.06 16.12 Difference 2.22

  • 14.44
  • 14.44

N/A N/A N/A N/A N/A N/A N/A N/A

  • 14.44

Private Equity - Buy Out 9.19 23.91 23.91 N/A N/A N/A N/A N/A N/A N/A N/A 23.91 01/01/2016 Russell 3000 Index+3% 4.98 16.12 16.12 11.69 18.11 10.29 3.49 15.93 37.56 19.91 4.06 16.12 Difference 4.21 7.79 7.79 N/A N/A N/A N/A N/A N/A N/A N/A 7.79 Private Equity - Venture/Growth 26.91 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

  • 14.77

07/01/2016 Russell 3000 Index+3% 4.98 16.12 16.12 11.69 18.11 10.29 3.49 15.93 37.56 19.91 4.06 10.41 Difference 21.93 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

  • 25.18

Private Equity - Special Situations 5.46 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 1.40 04/01/2016 Russell 3000 Index+3% 4.98 16.12 16.12 11.69 18.11 10.29 3.49 15.93 37.56 19.91 4.06 14.16 Difference 0.48 N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A

  • 12.76

Private Equity Performance and Allocation

*Represents approved investments that have not been funded and/or are pending legal documents. Performance shown is gross of fees. Allocations shown may not sum up to 100% exactly due to rounding. Page 19

slide-21
SLIDE 21

Private Equity Manager Diversification by Commitment Private Equity Target Manager Diversification

Harvest 2.39% Incline 4.78% Kainos 4.18% Marlin Heritage 2.99% Marlin V 5.98% One Rock 5.98% Searchlight 5.62% Tritium 5.98% Foundry 3.59% FTV 5.50% TPG 8.96% H.I.G. 7.17% GSO 8.96% GSO Co-Inv. 2.24% Carlyle 7.77% Updata 5.98% Providence 7.17% Mercato 4.78% Harvest 1.60% Incline 3.19% Kainos 2.80% Marlin Heritage 2.00% Marlin V 3.99% One Rock 3.99% Searchlight 3.75% Tritium 3.99% Foundry 2.40% FTV 3.67% Mercato 3.19% Providence 4.79% Updata 3.99% Carlyle 5.19% Unallocated 33.17% TPG 5.99% H.I.G. 4.79% GSO 5.99% GSO Co-Inv. 1.50%

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

Private Equity Strategic Allocation

Allocations may not sum up to 100% exactly due to rounding. Allocation information is as of December 31, 2016 and provided by TMRS. Page 20

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SLIDE 22

Disclaimer of Warranties and Limitation of Liability - This document was prepared by RVK, Inc. (RVK) and may include information and data from some or all of the following sources: client staff; custodian banks; investment managers; specialty investment consultants; actuaries; plan administrators/record-keepers; index providers; as well as other third-party sources as directed by the client or as we believe necessary or appropriate. RVK has taken reasonable care to ensure the accuracy of the information or data, but makes no warranties and disclaims responsibility for the accuracy or completeness of information or data provided or methodologies employed by any external source. This document is provided for the client’s internal use only and does not constitute a recommendation by RVK or an offer of, or a solicitation for, any particular security and it is not intended to convey any guarantees as to the future performance of the investment products, asset classes, or capital markets.