Analytic Investors, LLC - FOIALTS.com...BS in Mathematics, University of California, Los Angeles 4 Investment Team As of 9/30/2016 Andrew Claeys, CFA – Director of Trading Joined

Analytic Investors, LLC Mandate: Buy Write Strategy Hired: 2011

Firm Information Investment Approach Total ARMB Mandate Wells Fargo Asset Management acquired Analytic Investors on October 1, 2016. As of 12/31/2016, Analytic’s total assets under management were $17.6 billion. Key Executives: Harin de Silva, Ph.D., CFA President / Portfolio Manager

Greg McMurran Chief Investment Officer / Portfolio Manager

Dennis Bein, CFA Chief Investment Officer / Portfolio Manager

Michael Brogan Managing Director

Amy Stueve Chief Compliance Officer

Megan Miller, CFA Portfolio Manager

Analytic’s investment objective is to outperform the CBOE S&P 500 BuyWrite (BXM) Index while managing tracking error to be less than 2% relative to the BXM Index. Given this low tracking error limit, the strategy is structured to behave very similarly 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 Friday of each month). The equity component of this strategy is managed by SSGA and is passively managed relative to the S&P 500 index. Analytic attempts to add value by option security selection. While Analytic limits the 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. Benchmark: CBOE S&P 500 BuyWrite Index

Assets Under Management: 12/31/2016: $317 Million

Concerns: None

12/31/2016 Performance

Last Quarter 1-Year 3-Years

Annualized 5-Years

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

ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED ANALYTIC INVESTORS DISCIPLINED | RESPONSIVE | RISK CONTROLLED

2

Contents

Analytic Buy-Write Strategy

1

2

3

4

Firm Update

Investment Objective and Results

Volatility Risk Premium and BXM Index

Appendix

Analytic Attendees:

Greg McMurran, Chief Investment Officer, Portfolio Manager

Megan Miller, CFA, Portfolio Manager

Kevin Clark, CFA, Director, Relationship Management


1.7

10.9

5.0

As of 12/31/2016

*Includes four clients and $1.52B of non-discretionary assets as of 11/30/2016, where Analytic does not have trading authority over the client portfolio.

3

Profile

Quantitative Investment Manager

Organization Headquarters: Los Angeles

Investment professionals: 19

Client Service/Marketing: 11

Capabilities Benchmark Oriented (Beta 1)

─ Core Equity

─ Short Extension

Low Volatility Equity

Alternatives

─ Long/Short Equity

─ Covered Call

─ Market Neutral Equity

20

50

10

11

3 1 4

Asset Composition Total Assets:$17.6B USD*

50% Financial Services

20% Public

11% Corporations

10% Multiemployer

4% Insurance

4% Superannuation/Sovereign

Wealth Fund

1% Endowments/Foundations/

Charitable

$ 1.7 Benchmark Oriented

$ 10.9 Low Volatility Equity

$ 5.0 Alternatives

Clients Total Client Relationships: 81*


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 Ph.D. in Finance, University of California, Irvine MBA in Finance, University of Rochester MS in Econometrics, University of Rochester BS in Mechanical Engineering, University of Manchester

Joined firm in 1995 26 years of investment experience MBA in Finance, University of California, Riverside BS in Business Administration, University of California, Riverside

David Krider, CFA – Portfolio Manager Ryan Brown , CFA – Portfolio Manager

Joined firm in 2005 14 years of investment experience BA in Economics, California Institute of Technology BS in Computer Science, California Institute of Technology

Joined firm in 2007 11 years of investment experience MS in Finance, University of Utah BS in Economics, Brigham Young University

Greg McMurran – Chief Investment Officer / Portfolio Manager Megan Miller, CFA – Portfolio Manager

Joined firm in 1976 40 years of investment experience MA in Economics, California State University, Fullerton BS in Economics, University of California, Irvine

Joined firm in 2008 11 years of investment experience BS in Mathematics, University of California, Los Angeles

4

Investment Team

As of 9/30/2016

Andrew Claeys, CFA – Director of Trading

Joined firm in 2007 12 years of investment experience BS in Business Administration, University of Denver

CHAIRMAN TRADING

Roger Clarke, Ph.D. – Chairman

Joined firm in 1985 39 years of investment experience Ph.D. in Finance, Stanford University MBA, Brigham Young University MS in Economics, Stanford University BA in Physics, Brigham Young University

Doug Savarese, CFA – Research Advisor

Joined firm in 1998 29 years of investment experience BA in Mathematics, The Richard Stockton College of New Jersey BS in Business Administration, The Richard Stockton College of New

Jersey

Stephen Thorley, Ph.D., CFA – Research Advisor

Joined firm in 2000 27 years of investment experience Ph.D. in Financial Economics, University of Washington MBA in Business, Brigham Young University B.S. in Mathematics, Brigham Young University

RESEARCH ADVISORS


5

Account Summary

Alaska Retirement Management Board

RESULTS

Inception Date: March 9, 2011

December 31, 2016 Account Value: $316.6 Million

Annualized Since Inception Excess Return: 1.05%

Since Inception Tracking Error: 1.50%

OBJECTIVES

Outperform BXM Index, over time, net of fees

Manage Tracking Error to be less than 2% versus the BXM Index

Long U.S. equity positions managed by SSgA (passive S&P 500 Index)

Call options managed by Analytic


Periods greater than one year are annualized. Performance is presented gross of fees and does not reflect the deduction of investment advisory fees. Client’s return will be reduced by the advisory fees (as described in Part II of the adviser’s Form ADV) and any other expenses it may incur in the management of its investment advisory accounts. Past performance does not guarantee future results.

6

Performance

March 9, 2011 (Inception) – December 31, 2016

Alaska Retirement Management Board Performance

Return (%) Standard

Deviation (%)

Volatility Reduction vs.

S&P 500

ARMB (Gross) 7.88 7.78 32.3%

CBOE BuyWrite (BXM) Index 6.83 8.09 29.7%

S&P 500 Index 11.89 11.51

ARMB

BXM

S&P 500 Index

0

5

10

15

0 5 10 15 20

AN

NU

ALIZ

ED

RETU

RN

(%

)

STANDARD DEVIATION (%)


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

Jan-9

6

Jun-9

6

Nov-9

6

Apr-

97

Sep-9

7

Feb-9

8

Jul-

98

Dec-9

8

May-9

9

Oct-

99

Mar-

00

Aug-0

0

Jan-0

1

Jun-0

1

Nov-0

1

Apr-

02

Sep-0

2

Feb-0

3

Jul-

03

Dec-0

3

May-0

4

Oct-

04

Mar-

05

Aug-0

5

Jan-0

6

Jun-0

6

Nov-0

6

Apr-

07

Sep-0

7

Feb-0

8

Jul-

08

Dec-0

8

May-0

9

Oct-

09

Mar-

10

Aug-1

0

Jan-1

1

Jun-1

1

Nov-1

1

Apr-

12

Sep-1

2

Feb-1

3

Jul-

13

Dec-1

3

May-1

4

Oct-

14

Mar-

15

Aug-1

5

Jan-1

6

Jun-1

6

Nov-1

6

Implied Volatility (VIX)

Realized Volatility (25 Day)

Source: Bloomberg

7

Volatility

January 1996 – December 2016

The Market Tends to Consistently Overprice Volatility O

verp

riced

Underp

riced

VO

LATIL

ITY L

EVEL (

SPX)

IMPLIE

D V

OLATIL

ITY S

PREAD

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

Jan-9

6

Jun-9

6

Nov-9

6

Apr-

97

Sep-9

7

Feb-9

8

Jul-

98

Dec-9

8

May-9

9

Oct-

99

Mar-

00

Aug-0

0

Jan-0

1

Jun-0

1

Nov-0

1

Apr-

02

Sep-0

2

Feb-0

3

Jul-

03

Dec-0

3

May-0

4

Oct-

04

Mar-

05

Aug-0

5

Jan-0

6

Jun-0

6

Nov-0

6

Apr-

07

Sep-0

7

Feb-0

8

Jul-

08

Dec-0

8

May-0

9

Oct-

09

Mar-

10

Aug-1

0

Jan-1

1

Jun-1

1

Nov-1

1

Apr-

12

Sep-1

2

Feb-1

3

Jul-

13

Dec-1

3

May-1

4

Oct-

14

Mar-

15

Aug-1

5

Jan-1

6

Jun-1

6

Nov-1

6

Implied minus Realized Volatility Spread Average Spread: 4.32


8

Analytic

Our Edge

IMPLEMENTATION

RISK MANAGEMENT

Implementing a BXM replicating option portfolio has proved difficult for other

managers

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

hedging option portfolio relative to BXM

RESEARCH Research focused on obtaining better exposure to the Volatility Risk Premium

than present in BXM by adjusting option strikes and expirations


9

Benchmark Construction

What is the BXM Index?

The CBOE S&P 500

BuyWrite Index (BXM) is a

benchmark index designed

to track the performance

of a hypothetical buy-write

strategy on the S&P 500

Index

The BXM is a passive total return index based on:

(1) buying an S&P 500 stock index portfolio, and

(2) "writing" (or selling) a near-term "covered" call option,

generally on the third Friday of each month.

– The SPX call written will have about one month remaining to

expiration, with an exercise price just above the prevailing

index level (i.e., slightly out of the money).

– The SPX call is held until expiration and cash settled, at which

time a new one-month, near-the-money call is written.


Source: Analytic Investors, Bloomberg

10

2016 Market Environment

S&

P 5

00 I

ndex L

evel

Market

1825

1875

1925

1975

2025

2075

2125

2175

2225

2275

2325

BXM outperforms S&P

BXM matches S&P

S&P 500 Level

Monthly BXM Strike

Monthly BXM Breakeven Level

The following details the monthly roll levels for the BXM Index for the year. The solid dark blue line charts the return for the S&P 500 Index. The solid green indicate the BXM option strike price for each option cycle, and the dotted red line is the break-even price for the option cycle. Once the S&P breaks through the dotted red line, the upside is capped and the option return becomes negative. The premium provides some protection against this loss which is why the breakeven strike price is higher than the actual strike price.

BXM underperforms S&P


Source: Bloomberg and Zephyr StyleAdvisor

July 1988 is the inception date of the CBOE BuyWrite (BXM) Index.

11

Benchmark Performance

July 1, 1988 – December 31, 2016

BXM versus S&P 500 Index

Return (%) Standard

Deviation (%) Volatility Reduction

Sharpe Ratio

CBOE BuyWrite (BXM) Index 9.02 10.04 29.9% 0.58

S&P 500 Index 10.06 14.32 0.48

BXM

S&P 500 Index

0

5

10

15

0 5 10 15 20

AN

NU

ALIZ

ED

RETU

RN

(%

)

STANDARD DEVIATION (%)


Source: Zephyr StyleAdvisor

July 1988 is the inception date of the CBOE BuyWrite (BXM) Index.

12

Historical Market Returns

July 1, 1988 – December 31, 2016

Downside Protection, Up-Market Participation

-7.59

16.32

8.03 9.58

-16.00

22.89

7.19

11.29

-25.0

-15.0

-5.0

5.0

15.0

25.0

Down Market

<0%

Sharply Rising Market

>12%

Moderately Rising

Market

0% to 12%

Average

AVERAG

E 1

2-M

ON

TH

RETU

RN

(%

)

CBOE BuyWrite Index

S&P 500 Index

555 West Fifth Street 50th Floor

Los Angeles, CA 90013

Tel: 800-618-1872

Fax: 213-688-8856

www.aninvestor.com

555 West Fifth Street 50th Floor

Los Angeles, CA 90013

Tel: 800-618-1872

Fax: 213-688-8856

www.aninvestor.com

Contents

A N A L Y T I C I N V E S T O R S D I S C I P L I N E D | R E S P O N S I V E | R I S K C O N T R O L L E D

14

As Chief Investment Officer, Greg McMurran oversees the implementation of the firm’s investment strategies. He is a major contributor to the firm’s ongoing research efforts as well as new product development and strategy applications. As a portfolio manager, Greg focuses on day-to-day portfolio management and research related to derivatives-based investment strategies. With 30 years of quantitative research, portfolio management and trading experience, Greg has an extensive background in managing quantitative investment portfolios. Greg is also recognized as an authority on options valuation and strategies and has authored several articles. Greg is a frequent participant of the CBOE Roundtable Committee, which meets and discusses industry trends, new product ideas and indexes. The introduction of the BXM Index and weekly options were inspired by this Committee.

Joined firm in 1976 40 years of investment experience M.A. in Economics, California State University, Fullerton B.A. in Economics, University of California, Irvine

Senior Team Members

Contents

A N A L Y T I C I N V E S T O R S D I S C I P L I N E D | R E S P O N S I V E | R I S K C O N T R O L L E D

15

Senior Team Members

Megan Miller is responsible for portfolio management and trading support for derivatives-based investment strategies. Megan is involved in both research and the portfolio construction of client portfolios. Specifically, she researches new models and ways to enhance existing models used in the investment process, develops and maintains optimization inputs and volatility forecasts, and develops and maintains optimization frameworks used to create client portfolios. Joined firm in 2008 11 years investment experience B.S. in Applied Mathematics, University of California, Los Angeles


Periods greater than one year are annualized. Performance is presented gross and net of fees. Past performance does not guarantee future results.

16

Performance

Performance

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

DEC 4Q16 1 Year 3 Year 5 Year Since Inception

RETU

RN

(%

)

ARMB (Gross)

ARMB (Net)

BXM Index

Standard Deviation

Volatility Reduction

vs. S&P 500 ARMB (Gross) 7.78 32.3% BXM Index 8.09 29.7% S&P 500 Index 11.51

Inception Date 3/9/2011

Reporting End Date 12/31/2016

Currency USD

DEC 4Q16 1 Year 3 Year 5 Year Since Inception

ARMB (Gross) 0.42 2.61 8.52 6.56 8.03 7.88

ARMB (Net) 0.41 2.58 8.39 6.42 7.88 7.72

BXM Index 0.11 2.64 7.07 5.98 7.24 6.83

Documents

Analytic Investors, LLC - FOIALTS.com...BS in Mathematics, University of California, Los Angeles 4 Investment Team As of 9/30/2016 Andrew Claeys, CFA – Director of Trading Joined