Annual Investment Plan - OPERSJan 18, 2017 · CHIEF INVESTMENT OFFICER’S LETTER The role of this letter is to step back from detailed meeting agendas to consider some of the broader

Ohio Public Employees Retirement System277 East Town Street, Columbus, Ohio 43215 1.800.222.7377 | www.opers.org

2017ANNUAL INVESTMENT PLAN

Defined Benefit Fund Health Care 115 Trust Fund

TABLE OF CONTENTS

Contents

CHIEF INVESTMENT OFFICER’S LETTER _____________________________________ 1

EXECUTIVE SUMMARY ____________________________________________________ 5

FUND STRATEGIES _______________________________________________________ 8

TACTICAL OUTLOOK _____________________________________________________ 16

ASSET CLASS STRATEGIES _______________________________________________ 23

POLICIES, COMMITTEES, AND RESOURCES _________________________________ 30

INVESTMENT ORGANIZATION STRUCTURE __________________________________ 38

STAFF DIRECTORY ______________________________________________________ 39

CHIEF INVESTMENT OFFICER’S LETTER

OPERS 2017 INVESTMENT PLAN Page 1


The role of this letter is to step back from detailed meeting agendas to consider some of the broader concepts in overseeing the OPERS investment program. This year’s CIO letter covers several topics: Plan liquidity, and benchmarking the OPERS Retirement Board (“Board”)’s allocations.

This year, the Board was asked to consider the first adjustments to their asset allocations for OPERS Plans in two years. The changes are modest dynamic allocation adjustments within fixed income asset types, not changes in the strategic allocations or investment approach. The specific changes are reflected in the figures in this report and are reflected in the Board’s Policies adopted in February.

Board Liquidity Policy

This year's Board Policies submission included a Plan-wide Investments Liquidity Policy. This Policy sets out our goals and plans on this subject so they may be reviewed each year along with all Policies. Ideally, the reviews confirm the wisdom of the earlier version, but sometimes real life events leave us wondering what we were thinking.

There are many variables that affect liquidity, but the extent of liquidity risk is a function of Plan design and portfolio allocation. It’s a consequence, not a cause. To understand the issues, we need to look at both the allocation and, briefly, the Plan design.

Investment returns, by their nature, are not steady. Market instruments, such as a fixed-coupon bond, that pay out a steady flow of cash each year, create an artificial reality by redistributing an interest payer’s returns in a way that the interest payer retains the bigger slice of returns as compensation for retaining and absorbing fluctuations the bondholder does not want.

While OPERS portfolio uses bonds and other diversifiers to dampen stock return fluctuations, the Board’s allocation prefers higher total returns instead of receiving a lower total return but one that is all paid out in cash every year.

So with a mean long-term expected investment return near 8%, what is the expected cash portion of that return that is paid out to OPERS? The dividends, interest, and net property rents our allocation provides in cash are currently less than 3% of assets. The difference between this cash return and an expected 8% total return is reflected in the market appreciation of assets over time.

The practical effect of designing a portfolio for higher return rather than for cash generation is that when the Plan matures to the payout stages, asset sales must make up the cash difference. OPERS benefit payments now exceed incoming cash inflows, including not only contributions from employers and members, but also the cash received from dividends, interest on bonds, and net rents from properties owned (every form of regularly recurring incoming cash flow) leaving OPERS with a modest monthly “cash” shortfall.



Cash is raised each month by selling securities and this condition is not expected to reverse. In normal times, the sale process is so routine as to be hardly noticeable, as it is less than $200 million on a portfolio of $90 billion, or about 20 basis points a month. It usually is incorporated in portfolio rebalancing initiatives so that it doesn’t even result in extra transaction costs. It is both easier and less expensive to sell when markets are functioning normally than during a crisis. Again, in a period of mean or higher returns, OPERS only sells a portion of the annual appreciation…the total portfolio still grows by the amount of our return that exceeds the cash draw. Far from being exceptional, negative cash flow is normal in mature pension plans such as OPERS, and is mirrored not only by nearly every large state pension plan, but is also seen in most other pools of investment capital such as endowments, foundations, and member-directed retirement plans when folks have already retired.

But since impaired market liquidity is a hallmark of all crises, we have a plan for those difficult times. The amount of monthly negative cash flow (as defined), and the trend direction of it, have grown since the last market crisis in 2008. Therefore, planning ahead is the driver in our thinking to put a Policy in place now and review it periodically in light of changing circumstances.

OPERS has already allocated a small portion to assets deemed to be the most liquid, U.S. Treasuries. And Investment Staff have dealt with cash draw circumstances routinely for years now, even during prior market crises. Working with the Board, OPERS was even able to take substantial investment advantage of market illiquidity during the last market crisis. We grew our portion of illiquid assets by buying cheaply from sellers who were forced by their changed circumstances to sell.

One possible way to address liquidity needs is to create a reserve of cash. The asset allocation for OPERS benefit plans does not presently include an allocation to cash. However, any reserve of cash in any allocation is only temporary…it would need to be replenished as it is drawn down, thereby re-creating the same problem it attempts to solve.

By definition, we do not know when a crisis will appear. This means any cash reserves would need to be held indefinitely. Cash has a lower expected investment return than any of the other assets in OPERS allocations. A cash allocation is akin to a “permanent tax” on expected returns, or an insurance policy that requires annual premiums in the form of foregone returns. While selling assets in distressed markets can also “tax” returns, Staff believes the Board’s Liquidity Policy can achieve objectives less expensively than with an allocation to cash.

OPERS allocates to some asset classes deemed to be very liquid (e.g., large capitalization public stocks). Staff also uses some implementation practices that leave us holding billions of dollars in cash collateral (e.g., prudent use of derivatives). The allocation itself limits illiquid securities to smaller percentages than many peers, leaving a larger proportion of tradeable assets. Staff demands a large premium in excess total expected return from illiquid allocations and strategies rather than just settling for high relative returns. A sound Liquidity Policy that grows in wisdom over time, and diligent day-to-day management of the portfolios, serves to mitigate liquidity risks simply by integrating its design seamlessly into the allocation and its implementation.



Benchmarking

Benchmarks, and alpha targets, influence the behavior of portfolio managers. When performance diverges meaningfully from benchmarks, one of two things is happening. Either the implementation has high levels of active risk, or else the benchmark is a poor fit for that asset class. Over- and under-performance alerts us to determine which it is, because these two developments require very different responses.

Setting benchmarks with the advice of its Investment Advisors is one of the Board’s most fundamental tasks because benchmarks target what the Board is trying to accomplish with each asset class. For example, in choosing the Russell 3000 as its U.S. equity asset class benchmark, the Board is saying to Staff “be like this” in our return stream and even “do like this” in reflecting the broad make-up and risk profile of the index in our implementation.

Narrow performance divergence from the benchmark most commonly occurs through manager implementation style. Staff is accountable for managing or exploiting this opportunity. However, very wide divergence from benchmark is due to poor fit between the asset allocation and the benchmark. It means the benchmark poorly describes the asset class and may measure the goal of the allocation (“be like this”) without enough reference to the “do like this” part of benchmarking.

The Board may purposely introduce divergence of the allocation with benchmarks. When the Board adds an active return expectation to an asset class benchmark, it is prescribing a tracking error between the expected performance and the asset class benchmark since some level of mismatch is needed to get excess return. But to preserve the overall intent of the allocation, the Board’s active risk goals are modest.

The only way to maintain discipline to our implementation of the allocation is to have benchmarks and monitor the resulting portfolio fit to the intended allocation. We must keep checking to make sure our benchmark is the best representation we can find for our choice of asset class.

Publicly-traded asset classes have benchmarks that are rules-based. Change the rules, and you change both the benchmark and, most probably, your investment outcome. Readily replicable asset classes like U.S. stocks can have multiple (indeed an almost infinite number of) benchmark choices. Choosing the right one or combination can make a huge difference in the information ratio achieved (the efficiency with which the investor has extracted the return of the asset class given risks taken). Benchmark selection is active risk, even if the strategy employed is passive. Some combinations of equity factors used to be called active management styles. Now they have been identified simply as factor exposures implemented in a (tight or loose) rules-based manner.

The selection of benchmarks may seem straight-forward for the traditional publicly traded asset classes like stocks and bonds. However, selecting appropriate benchmarks for alternative and multi-asset classes is opaque. Using a hybrid approach for a benchmark for, say, private equity (e.g., a published stock index plus a premium of 300 basis points) and measuring only over long periods of time, it becomes easier to assess whether the investor has been compensated for any



illiquidity risk assumed and whether results reflected sufficient additional return to warrant the extra risks assumed. This works over the long run to measure outcomes if not implementation.

To measure shorter periods, we end up using very imperfect universes of the opportunity set (e.g., all hedge funds reporting to HFRI, all private equity funds in State Street’s client accounts, the Open-End Diversified Core Equity (“ODCE”) real estate universe plus a spread). Far from perfect, the moves were an improvement of the old benchmarks and were made by the Board on the recommendation of Aon Hewitt. They have been in place for several years now and are as reasonable benchmarks for these asset types as any we know of. But we keep looking.

Our recent experience with multi-asset class benchmarks leads Staff and Investment Advisors to want to review their efficacy. The tracking error of portfolios versus selected benchmarks has become so large that the benchmarks themselves do not translate any useful information about how the allocation is being implemented to the Board, Investment Advisors or Staff. Therefore, this will likely become a topic of Board education and discussion early in 2017.

Alternative and multi-asset class benchmarks cannot meet the same standards as traditional benchmarks (transparent rules, investability, etc.). Instead, we must begin to see these allocations as being goals-based strategies rather than asset classes in the traditional sense. What is the investor trying to accomplish by investing in non-traditional asset classes or in alternative strategies? And how will interested parties (e.g., the Board) know when Staff’s implementation of the allocation is addressing the goal effectively (managing the cost of implementation, achieving the goals of the allocation, minimizing implementation error)?

The process of benchmark selection does not have a finish line, but is rather a continuum and never fully completed. Benchmarks must be constantly reviewed and renewed as better ways to measure outcomes become available through better technology and evolving practices.

Conclusion

As in past years, and on behalf of the Investment Division’s Staff, I would like to acknowledge the assistance and advice of OPERS Investment Advisors, and give recognition to the invaluable assistance of Enterprise Risk, Finance, Human Resources, Information Technology, Internal Audit, Investment Accounting and Operations, and Legal Services, all of which is greatly appreciated. Finally, I would like to thank the Executive Director and the OPERS Retirement Board members for their confidence in Staff, for the resources they make available to us, and for their continued oversight of the Investments Division in service to our members.

Respectfully,

Richard D. Shafer, CFA

Chief Investment Officer

January 18, 2017

EXECUTIVE SUMMARY


EXECUTIVE SUMMARY

The following Summary outlines the strategies, asset allocation, and asset class strategies for OPERS Defined Benefit and Health Care 115 Trust Funds. During 2016, the OPERS Retirement Board was given formal guidance from the Internal Revenue Service approving the closure and consolidation of the existing 401(h) account, 115 Trust, and VEBA Trust into a single Health Care Fund under the 115 Trust. The Investment Objectives and Asset Allocation Policy of Health Care 115 Trust Fund was approved by the OPERS Retirement Board at its June 2016 meeting. The asset allocation is the same as that of the legacy 401(h) Health Care Fund. This Summary also discusses initiatives and resources as well as performance and risk expectations.

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FUND STRATEGIES

Since the Defined Benefit and Health Care 115 Trust Funds achieved their strategic asset allocations approved by the OPERS Retirement Board, no asset class adjustments are expected. Within asset classes, adjustments will be made where portfolio liquidity can be improved for little give-up in return expectation and where internal management of assets provides a better expected net return.

The following table outlines the projected base case returns with ranges for the Defined Benefit, Health Care, and Health Care 115 Trust Funds. The base case return expectations are lower than in 2016 for both the Defined Benefit and Health Care 115 Trust Funds largely due to lower expected returns for the Public Equity, Fixed Income, and Alternatives asset classes.

Base Case Return Active Tracking Information

Return* Range Return Error Ratio

2017 7.20 -6.70 to 21.10 0.42 1.05 0.40

2016 7.40 -6.30 to 21.10 0.44 1.10 0.40

2017 6.42 -6.08 to 18.92 0.31 0.78 0.40

2016 6.51 -5.99 to 19.01 0.31 0.78 0.40

Defined Benefit Fund - - - - - - % - - - - - - - - - - - % - - - - - -

HC 115 Trust Fund

*Base Case Return incudes the active return

The active returns shown above incorporate an information ratio of 0.40. This ratio measures the active return per unit of tracking error (active risk).

Additional details regarding the Defined Benefit and Health Care 115 Trust Funds strategies are included later in this Annual Investment Plan.

EXECUTIVE SUMMARY


ASSET ALLOCATION AND ASSET CLASS STRATEGIES

The Public Equity benchmark in the Defined Benefit and Health Care 115 Trust Funds is determined by the global weighting of U.S. Equity and Non-U.S. Equity based on the MSCI All Country World Index-Investable Market Index (“MSCI ACWI-IMI”). Therefore, market prices determine the split between U.S. and Non-U.S. Equities.

Within the Fixed Income asset class, several changes in the sub asset allocation will be implemented for both Funds. Below is the summary of dynamic asset allocation recommendation.

Defined Benefit Fund Current Allocation New Allocation Net Change

Core Fixed 10% 9% -1%

TIPS 1% 2% 1%

Global High Yield 1% 0% -1%

Emerging Markets Debt 6% 7% 1%

Health Care 115 Trust Fund Current Allocation New Allocation Net Change


TIPS 5% 6% 1%

Global High Yield 1.5% 0% -1.5%


High Yield 2.5% 3% 0.5% Other initiatives within the traditional asset classes are being considered in order to manage a greater proportion of assets internally. These will be discussed as they are developed and will be part of a multi-year effort to continue to control risks and remain cost-effective. But they are implementation initiatives, not changes in allocation. Within the Alternatives asset class, no strategic allocation changes are expected.

The Fund Management Committee will continue to monitor overall fund asset allocation and exposures, rebalancing as appropriate in observance of Board Policies

Resources

The Investments Division Staff is comprised of 68 budgeted positions including two new approved positions for 2017. Staff biographies are provided in the Appendix.

The Investments Division submitted an estimated compensation and operating budget of $27.8 million for 2017. The budget includes the Finance Division’s estimate of the 2017 incentive compensation payout, based on the prior year’s budget. The budget includes the Investments Division’s internal investment management expenses.

Staff estimates the total cost to manage the OPERS asset base at 76.7 basis points or $687.1 million. The cost assumes a long-term growth trend in the fund’s asset base, whereas an

EXECUTIVE SUMMARY


unanticipated bear market would reduce the cost. While asset allocation (e.g. alternative vs. traditional investments) and investment structure (internal management of portfolio vs. external management) are main drivers of investment expenses, success also raises fees (e.g. some managers get a slice of profits, and appreciation of asset values raises the total amount of assets on which fees are charged). The cost estimate also includes tens of millions of dollars in fees to private equity and private real estate managers that are repaid to OPERS along with its other capital contributions when investments are sold. To this extent, fee estimates can be overstated by material amounts.

All returns reported in this AIP are net of all fees. Fees are discussed in greater details in later pages.

FUND STRATEGIES


FUND STRATEGIES

DEFINED BENEFIT FUND

Expected Asset Growth – Defined Benefit Fund

The table below summarizes Staff’s estimate (base case) of market values and ranges for the Defined Benefit Fund at December 31, 2017. Pessimistic and optimistic cases are also provided for reference.

Pessimistic Base Optimistic

Case Case Case

12/31/16 Market Value ($ billions) $77.00 $77.00 $77.00

Expected Total Return -6.70% 7.20% 21.10%

Expected Investment Gain ($ billions) -$5.16 $5.54 $16.25

Expected Cash Flow ($ billions) -$3.60 -$3.60 -$3.60

12/31/17 Market Value ($ billions) $68.24 $78.94 $89.65

The anticipated beginning market value of $77 billion for December 31, 2016 is derived by a smoothing projection from the actual market value as of November 30, 2016.

Asset Allocation – Defined Benefit Fund

The 2017 target asset allocation and ranges for the Defined Benefit Fund reflect an estimate by Staff of the expected progress to be made toward dynamic asset allocation targets recommended by NEPC at the January 2017 Board meeting. Also included are 2016 Asset Liability Study strategic asset allocation and asset allocations for a peer group of large pension plans as of June 2016.

FUND STRATEGIES


12/31/2016 12/31/2017 2016 A/L Study Peer

Estimated Target Target Range Group*

Public Equity 40.90% 40.90% 39.00% 31% to 47% 48.53%

U.S. Equity 22.40% 22.40% 21.26% Mkt. Wgt. ± 5% 28.95%

Non-U.S. Equity 18.50% 18.50% 17.74% Mkt. Wgt. ± 5% 19.58%

Fixed Income 23.00% 23.00% 23.00% 16% to 30% 23.89%

Core Fixed 9.80% 9.00% 10.00% 7% to 13% 17.35%

Emerging Markets Debt 6.00% 7.00% 6.00% 2% to 8% 1.76%

Floating Rate Debt 0.20% 0.00% 0.00% 0% to 2% 0.00%

Securitized Debt 1.00% 1.00% 1.00% 0% to 2% 1.51%

High Yield 3.00% 3.00% 3.00% 2% to 5% 1.32%

Global High Yield 1.00% 0.00% 1.00% 0% to 2% 0.00%

TIPS 1.00% 2.00% 1.00% 0% to 2% 1.14%

U.S. Treasury 1.00% 1.00% 1.00% 0% to 2% 0.81%

Alternatives 29.10% 29.10% 31.00% 22% to 40% 22.48%

Private Equity 10.00% 10.00% 10.00% 5% to 15% 8.22%

Real Estate 10.00% 10.00% 10.00% 5% to 15% 9.51%

Hedge Funds 8.00% 8.00% 8.00% 4% to 12% 4.21%

Opportunistic 0.10% 0.10% 2.00% 0% to 4%

Commodities 1.00% 1.00% 1.00% 0% to 2% 0.54%

Risk Parity 5.00% 5.00% 5.00% 2% to 8% 0.41%

GTAA 2.00% 2.00% 2.00% 0% to 4% 0.37%

Other 4.32%

Total Defined Benefit Fund 100.00% 100.00% 100.00% 100.00%

Asset Class

**The asset allocations are derived from the organizations in the Peer Group Comparison section on page 37.

Active Return Active Return Target Tracking

Average Performance Performance Tracking Error Target

Allocation Objectives Contribution Error Range Information

(%) (bps) (bps) (bps) (bps) Ratio

U.S. Equity 22.4% 20 4 50 0-100 0.40

Non-U.S. Equity 18.5% 60 11 150 0-300 0.40

Fixed Income 23.0% 20 5 50 0-200 0.40

Alternatives 29.1% 63 19 500 250-750 0.13

Risk Parity 5.0% 0 0 1500 0-2000 NA

GTAA 2.0% 160 3 400 0-800 0.40

Defined Benefit Fund 100.0% NA 42 105 0-300 0.40

Schedule of Expected Performance and Volatility

FUND STRATEGIES


The above table shows a projected active management contribution of 42 basis points to the Defined Benefit Fund’s return. The estimated tracking error of 105 basis points indicates a 68% probability that the active return will be in a range of -63 basis points to +147 basis points. This interval is calculated by subtracting the tracking error from, and adding the tracking error to, the expected active return. The projected active management contribution to the Defined Benefit Fund performance is 2 basis points lower from previous year due to lower active performance in Private Real Estate asset class.

Return and Risk – Defined Benefit Fund

The performance objectives for the Defined Benefit Fund are to: (1) exceed the return of the Policy benchmark within an appropriately risk-constrained framework, net of investment fees and expenses: and (2) exceed the actuarial interest rate over a reasonably longer time horizon. The Policy benchmark combines designated market indices for asset classes, weighted by asset allocation targets. Asset class targets and benchmarks are set by the OPERS Retirement Board.

The return estimates in the following table were derived from the asset class return expectations developed by the OPERS Retirement Board’s retained Investment Advisor, NEPC. The single-point estimate return of 7.20% is comprised of an expected return of 6.78% from the policy mix and an additional contribution of 0.42% from active management, net of fees.

In the following table, Staff divides return and risk into two components.

Policy: The return and risk derived from the policy asset allocation and the intermediate term return and risk forecast of the underlying asset classes

Active: The return and risk associated with deviations from benchmark allocations at either the asset class level or portfolio level. It reflects the potential impact to relative performance from deviating from the asset class policy allocation targets, and from individual portfolio active risk

The Policy Return and Active Return are calculated as weighted averages of expected returns and expected alphas of each sub-asset class.

FUND STRATEGIES


Asset Classes Pessimistic Base Optimistic

Public Equity -11.13% 7.27% 25.67%

U.S. Equity -12.39% 5.91% 24.21%

Non-U.S. Equity -13.35% 8.35% 30.05%

Fixed Income -3.45% 4.15% 11.75%

Core Fixed -3.38% 2.65% 8.68%

Emerging Markets Debt -7.47% 5.83% 19.13%

Securitized Debt -8.30% 4.70% 17.70%

High Yield -8.25% 4.75% 17.75%

Global High Yield -8.25% 4.75% 17.75%

TIPS -3.50% 3.00% 9.50%

U.S. Treasury -3.50% 2.00% 7.50%

Alternatives -7.76% 7.44% 22.64%

Private Equity -14.75% 8.25% 31.25%

Real Estate -9.11% 7.49% 24.09%

Hedge Funds -2.47% 6.03% 14.53%

Opportunistic -11.75% 5.75% 23.25%

Commodities -14.25% 4.75% 23.75%

Risk Parity -11.07% 6.93% 24.93%

GTAA -5.04% 6.65% 18.34%

Policy Return -6.62% 6.78% 20.18%

Sources of Return Pessimistic Base Optimistic

Policy -6.62% 6.78% 20.18%

Active -0.63% 0.42% 1.47%

Total Return -6.70% 7.20% 21.10%

Sources of Variability Information Sharpe

Risk Risk Ratio Ratio*

Policy 13.40% 0.38

Active 1.05% 0.40

Total Risk 13.90% 0.39

*In Sharpe Ratio, 1.75% (5-7 year Cash Return) is used as risk free rate

2017 Total Return Assumptions

2017 Total Risk and Active Risk Assumptions

2017 Policy Return Assumptions

FUND STRATEGIES


HEALTH CARE 115 TRUST FUND

Expected Asset Growth – Health Care 115 Trust Fund

The table below summarizes Staff’s estimate (base case) of market values and ranges for the Health Care 115 Trust Fund at December 31, 2017. Pessimistic and optimistic cases are also provided for reference.

Health Care 115 Trust Fund

2017 Expected Asset Growth

Pessimistic Base Optimistic

Case Case Case

12/31/16 Market Value ($ millions) $11.80 $11.80 $11.80

Expected Total Return -6.08% 6.42% 18.92%

Expected Investment Gain ($ millions) -$0.72 $0.76 $2.23

Expected Cash Flow ($ millions) -$1.32 -$1.32 -$1.32

12/31/17 Market Value ($ millions) $9.76 $11.24 $12.71

Estimated Market Values, Returns and Cash Flows

The anticipated beginning market value of $11.80 billion for December 31, 2016 is derived by a smoothing projection from the actual market value as of November 30, 2016. Asset Allocation – Health Care 115 Trust Fund

The 2017 target asset allocation and ranges for the Health Care 115 Trust Fund reflect an estimate by Staff of the expected progress to be made toward dynamic asset allocation targets recommended by NEPC at January 2017 Board meeting. There is no peer universe of public pension plans with separate health care funds to compare to.

FUND STRATEGIES


12/31/2016 12/31/17 2016 Approved Policy

Estimated Target Target Range

Public Equity 44.90% 44.90% 43.00% 34% to 52%

U.S. Equity 24.50% 24.50% 23.37% Mkt. Wgt. ± 5%

Non-U.S. Equity 20.40% 20.40% 19.63% Mkt. Wgt. ± 5%

Fixed Income 34.00% 34.00% 34.00% 24% to 44%

Core Fixed 16.80% 16.00% 17.00% 12% to 22%

Emerging Markets Debt 6.00% 7.00% 6.00% 2% to 8%

Floating Rate Debt 0.20% 0.00% 0.00% 0% to 2%

Securitized Debt 1.00% 1.00% 1.00% 0% to 2%

High Yield 2.50% 3.00% 2.50% 0% to 5%

Global High Yield 1.50% 0.00% 1.50% 0% to 4%

TIPS 5.00% 6.00% 5.00% 2% to 8%

U.S. Treasury 1.00% 1.00% 1.00% 0% to 2%

Alternatives 14.10% 14.10% 16.00% 11% to 21%

REITs 6.00% 6.00% 6.00% 3% to 9%

Hedge Funds 6.00% 6.00% 6.00% 3% to 9%

Opportunistic 0.10% 0.10% 2.00% 0% to 4%

Commodities 2.00% 2.00% 2.00% 0% to 4%

Risk Parity 5.00% 5.00% 5.00% 2% to 8%

GTAA 2.00% 2.00% 2.00% 0% to 4%

Health Care 115 Trust Fund 100.00% 100.00% 100.00%

Asset Class

Active Return Active Return Target Tracking

Average Performance Performance Tracking Error Target

Allocation Objectives Contribution Error Range Information

(%) (bps) (bps) (bps) (bps) Ratio

U.S. Equity 24.5% 20 5 50 0-100 0.40

Non-U.S. Equity 20.4% 60 12 150 0-300 0.40

Fixed Income 34.0% 20 7 50 0-200 NA

Alternatives 14.1% 24 3 300 200-400 0.08

Risk Parity 5.0% 0 0 1500 0-2000 NA

GTAA 2.0% 160 4 400 0-800 0.40

Health Care 115 Trust Fund 100.0% NA 31 78 0-300 0.40

FUND STRATEGIES


The above table shows an anticipated active management contribution of 31 basis points to the Health Care 115 Trust Fund’s return. The estimated tracking error of 78 basis points indicates a 68% probability that the active return will be in a range of -47 basis points to +109 basis points. This interval is calculated by subtracting the tracking error from, and adding the tracking error to, the expected active return. The expected active management contribution to the Health Care 115 Trust Fund performance for 2016 was 31 basis points.

Return and Risk – Health Care 115 Trust Fund

The performance objective for the Health Care 115 Trust Fund is to exceed the return of the Policy benchmark within an appropriately risk-constrained framework, net of investment fees and expenses. The Policy benchmark combines designated market indices for asset classes, weighted by asset allocation targets. Asset class targets and benchmarks are set by the OPERS Retirement Board.

The return estimates in the table below were derived from the asset class return expectations developed by the OPERS Retirement Board’s retained Investment Advisor, NEPC. The single-point estimate return of 6.42% is comprised of an expected return of 6.11% from the policy mix and an additional contribution of 0.31% from active management, net of fees.

In the following table, Staff divides return and risk into two components.

Policy: The return and risk derived from the policy asset allocation and the intermediate term return and risk forecast of the underlying asset classes

Active: The return and risk associated with deviations from benchmark allocations at either the asset class level or portfolio level. It reflects the potential impact to relative performance from deviating from the asset class policy allocation targets, and from individual portfolio active risk

The Policy Return and Active Return are calculated as weighted averages of expected returns or expected alphas of each sub-asset class.

FUND STRATEGIES


Asset Classes Pessimistic Base Optimistic

Public Equity -11.13% 7.27% 25.67%

U.S. Equity -12.39% 5.91% 24.21%

Non-U.S. Equity -13.35% 8.35% 30.05%

Fixed Income -2.86% 3.74% 10.34%

Core Fixed -3.38% 2.65% 8.68%

Emerging Markets Debt -7.47% 5.83% 19.13%

Securitized Debt -8.30% 4.70% 17.70%

High Yield -8.25% 4.75% 17.75%

Global High Yield -8.25% 4.75% 17.75%

TIPS -3.50% 3.00% 9.50%

U.S. Treasury -3.50% 2.00% 7.50%

Alternatives -6.38% 6.42% 19.22%

REITs -14.50% 6.50% 27.50%

Hedge Funds -2.47% 6.03% 14.53%

Opportunistic -11.75% 5.75% 23.25%

Commodities -14.25% 4.75% 23.75%

Risk Parity -11.07% 6.93% 24.93%

GTAA -5.04% 6.65% 18.34%

Policy Return -6.10% 6.11% 18.32%

Sources of Return Pessimistic Base Optimistic

Policy -11.07% 6.11% 24.93%

Active -0.47% 0.31% 1.09%

Total Return -6.08% 6.42% 18.92%

Sources of Variability Information Sharpe

Risk Risk Ratio Ratio*

Policy 12.21% 0.36

Active 0.78% 0.40

Total Risk 12.50% 0.37

*In Sharpe Ratio, 1.75% (5-7 year Cash Return) is used as risk free rate

2017 Policy Return Assumptions

2017 Total Return Assumptions

2017 Total Risk and Risk Attribution Assumptions

TACTICAL OUTLOOK


TACTICAL OUTLOOK

The following tactical outlooks provide a background and context for the asset class strategies for the Defined Benefit and Health Care 115 Trust Funds. There are two components of the tactical outlook: the capital markets observations and the asset class outlook. The Investment Advisors (NEPC and Aon Hewitt Investment Consulting), retained by OPERS Retirement Board, provided these outlooks for 2017.

Capital Markets Observations

U.S. economic expansion persists as Federal Reserve begins policy shift. Economic growth cycles don’t die of old age and can persist naturally The health of U.S. consumers can extend the economic expansion Fiscal stimulus unlikely to push economic growth into a higher gear

Federal Reserve Gradualism Slow expectations of interest rate increases from the Federal Reserve Historically, rapid tightening of Fed policy is a catalyst for a U.S. recession U.S. dollar strength is interconnected with U.S. Federal Reserve policy Fed policy uncertainty is likely to be elevated throughout 2017

China Transitions China is the global growth engine but face transitions that are fundamentally linked to

economic evolution and monetary policy progression of the People’s Bank of China (“PBOC”)

Government encounters tradeoffs in attempting to sustain growth The PBOC is tasked with straddling a delicate path as the economy evolves Managed policy transitions come with significant risks which require balance

Globalization backlash Weak economic growth and uneven wages over the last decade have fueled political

discontent in the west Populist movements destabilize the established political order but are not inevitably

bearish for equity markets For many nations, a turn inward is associated with globalization fatigue

U.S. Equity Outlook

Economic growth continues to be slow

Employment appears healthier. Wages and earnings have increased which should help drive consumption Consumer Discretionary could be a beneficiary Housing has been a positive force in the U.S. economy recently but may slow once

mortgage rates start to rise

TACTICAL OUTLOOK


Valuations remain elevated; however pockets of opportunities exist as bond proxies have been bid up to risky levels while more economically sensitive segments look more attractive

Non-U.S. Equity Outlook

Political uncertainty will lead to continued volatility in the developed markets Election cycles in Denmark, France, and Germany coupled with uncertainty in Italy all

should point to increased volatility as well as the potential for opportunistic buying

Relative valuations for developed market stocks are attractive. Slow signs of a growth recovery within Europe

Small cap stocks in the developed and emerging markets remain attractive

Large asset inflows into emerging markets could provide a headwind to small cap stocks

Fixed Income Outlook

Federal Reserve anticipated rate hike in December The FED is signaling a single rate hike in 2016. A gradual path of interest rate

increases throughout 2017 and 2018 is expected following recent positive economic reports

Credit Cycle Investors find that we are in the later stages of the current cycle, however there is no

definitive end in sight Domestic market investor sentiment is positive. Many believe the current cycle will

progress into 2017 Global markets have continued to overlook events which were previous thought to be

catalysts of volatility, as seen in the recent European votes Looking ahead, we see signs that defaults in high yield may have peaked mid-year

and may trend down gradually, though defaults in bank loans are still low vs. historical averages

Relative to last year, we expect a dampening return outlook, heightened volatility, and an increase in treasury yields In the US – a potential shift toward fiscal spending could result in upward pressure on

inflation – TIPS could be a defensive portfolio hedge Spreads are priced close to perfection; markets not leaving much ability to absorb

shocks Abroad – key upcoming European elections might introduce further political tail risks

similar to Brexit and the US election Following the US presidential election, intermediate yields increased by 35% on

average, with the 5-year rising 54bps to 1.84%, the 10-year rising 56bps to 2.38% and the 20-year rising to over 2.60%

New issuance is expected to come in higher than total 2015 issuance December’s projected issuance of $30 billion should push 2016 supply beyond last

year’s total issuance.

TACTICAL OUTLOOK


2017 is expected to follow a similar path of increased new issuance increasing overall supply

Globally – sovereign credits in developed markets looking more bleak: a third trading with negative yields, two thirds under 1%

Emerging markets sovereigns performed strongly in 2016, especially in local currency. Lots of uncertainty about how new US government policies will impact emerging markets, but fundamentally emerging market sovereigns and corporates have been stabilizing and improving. We expect more volatility particularly in local rates and currencies post the U.S.

election. If the US government carries out the president-elect’s pre-election agenda trade and emerging markets may suffer, U.S. rates and dollar are poised to strengthen. Upcoming important European elections to watch.

There will likely be divergence among countries – fundamental situations vary across emerging markets, country and security selection will be key

Real Assets Outlook

Commodity markets continue to make progress towards equilibrium Most commodities have been trading below the marginal cost of production for an

extended period, resulting in capex cuts and reduced output

The coordinated OPEC cuts should bode well for the price of oil

Improvements in the Chinese economy may generate an increase in broad commodity consumption

Within U.S. REITs favorable supply demand imbalances should continue to lead to strong cash flow and dividend growth

Private Equity Outlook

Barring a market shock, 2017 is likely to be a moderate year for private equity exits but a more difficult year for new investments due to signs of overheating in areas of the industry: Total fundraising in 2016 is expected to be roughly in line with 2015 making it a four-

year run of high levels of fundraising; dry powder has reached a new peak of just over $1.2 trillion. In light of the accelerated fundraising of several funds, a fall off is likely in 2017.

Allocations to private equity continue to increase amongst institutional investors and are expected to continue in this manner.

The number of new private equity deals has been flat to slightly increasing while the total value of those deals has decreased. Larger deals are not getting done likely due to the high valuations (purchase price multiples of 10.5x EBITDA the 8.2x for the middle market).

Funds with strong performance are raising larger funds, often with only one close, while others continue to experience increased fundraising time. Investors are more

TACTICAL OUTLOOK


discerning, but moving quickly for the best names and potentially pushing those managers to raise too much capital.

Capital markets are robust with high valuations and high availability of debt. Purchase prices are high (10.1x EBITDA -- just below the 2015 peak of 10.3x). Debt continues to be broadly available at very borrower-friendly terms. While still

robust, leverage has fallen to 5.5x EBITDA from the last peak of 5.9x EBITDA in 2014. In light of expected interest rate increases, a slowdown in volume and decrease in leverage is likely.

Default rates have increased but may temper if energy prices increase. Outside of troubled industries (i.e. energy), we do not expect a material increase in defaults as many financing packages were done with little to no covenants.

Private equity investment exits have steadily decreased in both number and value since 2015 as sellers took advantage of debt availability and high valuation multiples for an extended period of time and have sold a large portion of the aged portfolio that built up during the 2008 – 2010 slow down.

Growth in the U.S. continues to be slow, but steady. Europe overall is at a slower rate with growing issues over Brexit and increased nationalistic feelings across the continent. Asia, specifically China is showing increased signs of weakness. We see this continuing into 2017.

Potential energy price increases loom on the horizon and could bolster related investment activity.

Venture capital activity has been extremely strong for the past two and a half years in terms of funds raised, deals done and dry powder. The market looks overheated and may be due for a correction in 2017. Strong recent venture capital returns continue to lure investors back to this riskier sub

asset class as they seek increased return. Investment activity has been running at the highest level since 2000 for 2.5 years.

Non-traditional investors like hedge funds and mutual funds have entered the fray especially in late stage investing rounds.

Recently raised funds have seen strong returns but pre money valuations started to show signs of weakness.

While the exit environment for venture capital investments has moderated and is running at its lowest level since 2009. There continues to be a significant backlog of companies who have filed to go public.

Consistent with last year, technology and healthcare companies are flush with cash and continue to seek growth through acquisition.

There are pockets of attractive investment strategies within all sectors of private equity. We favor investment in all sectors over multiple vintage years in order to avoid

overexposure to any one strategy or economic cycle as one cannot time the market and good funds are raised in all vintage years.

At this point, it may be prudent to temper allocations to secondaries, mezzanine strategies, mega cap markets and venture, especially late stage.

As always, manager selection will be the key to generating the best returns with a current focus on choosing managers with strong operational capabilities and high levels of valuation discipline on new deals.

TACTICAL OUTLOOK


Real Estate Outlook

The U.S. commercial real estate recovery continued in 2016 to-date, albeit at a slowing pace, supported by the ongoing economic recovery, expansion of the labor market, and solid real estate fundamentals. The real estate market is now mature and returns moderated in 2016 back in line with long-run averages after hovering meaningfully above average for the last five years. The moderation has been driven almost exclusively by the appreciation side versus a decline in the income component, which to date, remains healthy. We expect this moderation to continue in 2017.

While the timing of the next cyclical downturn remains difficult to predict, we believe 2017 will be a good year to plan for the next cyclical swing and to continue to implement portfolio downside risk measures, while continuing to receive relatively attractive returns from the asset class

Fundamentals for the U.S. real estate sector should remain healthy near term: The national supply and demand balance has changed, with demand slower than last

year in most property types and new supply largely continuing to expand This change is expected to drive a moderation in net operating income (NOI) growth

medium term, following a long period of outperformance. That said, near term NOI growth remains healthy--albeit slowing in most but not all property types--and is expected to bolster and help to drive total returns going forward

New supply is forecast to slow as well in the medium term, which may help to mitigate downside risks in fundamentals during a market correction…if it comes to fruition

While transaction volume, overall, has declined so far in 2016, commercial real estate pricing resumed growth late in the second quarter after a general stagnation to slight decline over the last six months

Looking forward to 2017, if economic growth hovers at current levels and interest rates rise moderately, real estate values are likely to hold. However, a meaningful slowdown in the U.S. economy is likely to result in a decline in near-term rental rate growth prospects

Several broader market risk factors remain active: Risk of rising interest rates remains present into 2017 and another interest rate hike

before year-end 2016 seems fairly certain. While the Fed plans to continue to pursue a gradual tightening of monetary policy over the next year, that strategy could be altered by the regulatory policy changes implemented by the new Presidential administration

The long term impacts of Brexit on U.S. real estate remain uncertain, but, so far, the market has been fairly shielded, with the exception of a handful of firms with international exposure. Brexit could potentially spur the growth of foreign investment in U.S. real estate, attracted to the market for its perceived stability and liquidity.

We are recommending that institutional investors consider the following actions: Include appropriate risk mitigate measures as a staple in portfolios as the U.S. real

estate cycle is mature and will be more susceptible to bumps along the road Portfolio structure and other long-term risk mitigation measures are important to

managing liquidity and interest rate sensitivities long-term, as well as reducing return volatility during cyclical swings, and thus should be part of long term portfolio construction plans

TACTICAL OUTLOOK


Hedge Funds Outlook

For 2017, we expect some meaningful shifts in markets and economies that should lead to improved hedge fund returns on both a relative and absolute basis. Stock markets around the world are trading at very high valuations. Given this

elevated starting price, we expect equity returns going forward to be significantly lower than recent historical returns and markets to be more volatile. Lower returns to long-only equities, combined with greater volatility will make hedge fund returns relatively more attractive and offer greater opportunity for manager value add in the hedge fund space.

Global interest rates have been on a down-trend for years but there are many reasons to believe that this trend will not continue much longer. Rates in most developed markets have been hovering on either side of zero but some have recently started to move back up, driven primarily by slow but persistent economic growth, particularly in the U.S. Rising rates will be a headwind for bond returns but may be good for a number of hedge fund strategies.

In an attempt to stimulate their economies, governments around the world have been using their central banks to hold interest rates low and also to suppress market volatility. These actions have been only marginally effective in sparking growth and many central banks are starting to step back from these efforts. This will likely lead to a resurgence of volatility and also an increase in dispersion across markets which should provide increased investment opportunities for nimble participants such as hedge funds.

The presidential election in the U.S. and the Brexit vote in the UK have injected significant uncertainty into financial markets. They have introduced the prospect of changing and substantially reduced regulation, changing monetary and fiscal policy, and changes in global trade. Regardless of the final form of all of these changes, as the rules of the game shift investors can expect that hedge funds will enjoy new opportunities to generate attractive returns.

Total hedge fund assets under management have been stable for the past three years and we expect this trend to continue. That said, there are flows of capital into, out of, and across hedge fund strategies. There has been some rotation in the hedge fund investor base. A few extremely large

investors are reducing or eliminating hedge funds from their portfolios as they come to the conclusion that these capacity constrained strategies are not efficient or effective opportunities for their very large amounts of capital.

Many investors have refined the objectives for their hedge fund allocations within their broader portfolios and are fine-tuning their investments to more effectively enhance returns and/or reduce risk.

Active investment management strategies across all asset classes have had a difficult time adding value over the past few years. In response, many investors have tried to more closely link the fees they pay with the value added to their portfolios. This has resulted in downward fee pressure across the active management universe and especially in hedge funds where fees tend to be high.

Given the uncertain and changing economic environment we believe that both discretionary and systematic macro hedge funds will have an increasingly broad opportunity set in 2017. As rates, spreads and equities react to the changing and more

TACTICAL OUTLOOK


volatile economic environment we expect high quality macro managers to generate attractive returns.

The event-driven space has enjoyed a surprisingly opportunity rich environment over the past year and we expect that to continue for at least the first half of 2017. Merger activity, particularly in the U.S., has been strong and with the prospect of reduced regulation in general and reduced anti-trust pressure specifically, M&A activity is likely to continue. Rising rates may also drive an increase in restructuring activity, likely more towards the second half of the year. This may lead to the long-anticipated distressed debt cycle and an increase in defaults across the high yield universe.

We continue to have a less favorable outlook for long-biased equity, credit, and commodity strategies as there is the potential for an economic environment to develop that produces headwinds for all three asset classes. Markets seem to be at an inflection point and it will be all the more important to be able to actively position portfolios with a significant short or hedging component.

Opportunistic investing strategies appear to be poised for an attractive run with a number of sophisticated money managers raising capital for new products. These less liquid opportunities are often focused on sectors where recent capital requirement regulations have forced large banks to abandon business lines that they formerly dominated.

ASSET CLASS STRATEGIES



PUBLIC EQUITY

The Defined Benefit and Health Care 115 Trust Fund’s Public Equity allocation is unchanged from 2016. The Public Equity allocation is based on the global market weighting between U.S. equity and Non–U.S. equity based on the MSCI All Country World Index-Investable Market Index (“MSCI ACWI-IMI”). The weighting is rebalanced at approximately 90-day intervals.

Sub-asset class allocations within the Non-U.S. Equity asset class are currently in alignment with the custom strategic benchmark (“custom benchmark”) approved by the Board in July 2011. The custom benchmark includes an allocation to the Emerging Markets small cap segment (4%) and an explicit allocation to Developed Markets small cap securities (10%). The custom benchmark is composed of 55% MSCI World Index (ex U.S.) Standard Index; 10% MSCI World Index (ex U.S.) Small Cap Index; 31% MSCI Emerging Markets Standard Index; and 4% MSCI Emerging Markets Small Cap Index. This structure reflects a strategic overweight to Emerging Markets compared to the Emerging Markets allocation of MSCI All Country World Index ex U.S. Investable Markets Index (“MSCI ACWI ex U.S. IMI”). The Investments Division has established a significant base of internally managed Non-U.S. Equity portfolios.

The following table shows the benchmarks and performance objectives for the Public Equity asset class.

Alpha Target

Target Tracking Target

(net of fees) Error Information

Benchmark (bps)* (bps) Ratio

U.S. Equity Russell 3000 20 50 0.40

Non-U.S. Equity Custom Benchmark 60 150 0.40

Public Equity Asset CalssExpected Performance and Tracking Error

*bps = basis points

In addition to traditional actively managed and index-oriented portfolios, OPERS internally

manages four smart beta portfolios in the Public Equity asset class. Smart beta strategies

employ weighting schemes that differ from traditional capitalization-weighted indices and seek to

position the portfolio with exposure to attractive styles or factors which are expected to

outperform. These strategies are systematic, rules-based approaches constructed using

quantitative modeling techniques. The internal quantitative management group manages these

strategies. Staff is performing additional research and dedicating resources to further develop the

capabilities to internally develop models for creating additional smart beta strategies. The

objective is to implement a new smart beta strategy in the Public Equity asset class in 2017.



FIXED INCOME

Within the Fixed Income asset class, several changes in the sub asset allocation will be implemented for both Funds. Below is the summary of dynamic asset allocation recommendation.

Defined Benefit Fund Current Allocation New Allocation Net Change


TIPS 1% 2% 1%

Global High Yield 1% 0% -1%


Health Care 115 Trust Fund Current Allocation New Allocation Net Change


TIPS 5% 6% 1%

Global High Yield 1.5% 0% -1.5%


High Yield 2.5% 3% 0.5%

The internal Global Bonds team is continuing its initiative to manage a portion of the Funds’ high yield assets in-house. The proposed internal high yield portfolio would be of a higher credit quality bias, and have the advantage of a lower expense base than the Funds’ current external high yield manager group. The search for a lead High Yield Portfolio Manager is pending. Contingent on a hiring, requisitions for a supporting team of high yield credit analysts are in place.

The Floating Rate Debt portfolio will continue to be phased out in an orderly fashion. U.S. Treasury sub-asset class was created as a part of 2016 NEPC dynamic asset allocation recommendation, which was approved by the OPERS Retirement Board in its January 2016 meeting. The move from Floating Rate Debt to U.S. Treasury allocation would result in the improvement in liquidity of the Funds. Additional liquidity from U.S. Treasury portfolio will be valuable if the corporate credit markets continue to be strained in 2017, as is observed by the Investment advisor, NEPC. Treasury account should be the “last resort source” to be tapped for benefit payments during extremely distressed and correlated market events.

The following table shows the benchmarks and performance objectives for the Fixed Income asset class.



Alpha Target



Benchmark (bps)* (bps) Ratio

Core Fixed Bloomberg Barclays Aggregate 30 75 0.40

Emerging Markets Debt EMD Custom Benchmark** 92 230 0.40

Securitized Debt Non-Agency Bloomberg Barclays CMBS + 2% 160 400 0.40

High Yield Bloomberg Barclays U.S. High Yield 68 170 0.40

TIPS Bloomberg Barclays TIPS 0 15 NA

U.S Treasury Bloomberg Barclays U.S. Treasury Index 0 30 NA

Expected Performance and Tracking Error

Fixed Income Asset Class

*bps = basis points

** 50/50 mix of the JP Morgan EM Bond Index Global & the JP Morgan Government Bond Index- Emerging Markets Global Diversified

Securities Lending

In the securities lending program, Staff utilizes multiple lending agents to maximize lending revenue. Staff strives to hire agents who provide competitive fee splits, while providing risk controls and expertise in the asset class being loaned. We are biased toward lending assets in an auction environment so borrowers are providing maximum revenue in a competitive environment on a regular basis. In 2017, Staff will continue lending the Treasury and Agency assets in-house. This effort has increased revenues from Treasury lending. The collateral from the securities lending program is managed internally. The combination of lending revenue and investment income comprise the total securities lending performance. We continue to explore lending of other asset classes, as well as other opportunities that may increase revenue generated from securities lending and cash management.

Cash Management

The cash portfolios are managed with a low-to-moderate risk profile that results in principal preservation while exceeding the performance of the respective benchmarks. The benchmark for the OPERS Short Term Investment Funds (“STIF”) is the Merrill Lynch 3-month Treasury Bill Index. The benchmark for the Securities Lending STIF and the Key/MBS STIF is the Overnight Bank Funding Rate published on a daily basis by the Federal Reserve Bank of NY.

.



ALTERNATIVES

The Alternatives Asset Class is composed of Private Equity, Real Estate, Hedge Funds, Opportunistic, REITs, and Commodities investment strategies. The Defined Benefit and Health Care 115 Trust Funds invest in different sub-asset classes and weightings in the Alternatives Asset Class to meet their unique investment objectives.

The following table summarizes the benchmark, performance objectives and tracking error for the various alternative investment strategies utilized within the Fund.

Alpha Target



Benchmark (bps) (bps) Ratio

Private Equity State Street Private Equity Index 100 700 0.14

Real Estate Net NFI-ODCE + 0.85% 40 700 0.06

Hedge Funds Custom Benchmark* 50 400 0.13

Opportunistic Custom Benchmark** 16 40 0.4

REITs DJ U.S. Select RESI 0 10 NA

Commodities S&P GSCITR Index 36 90 0.40

Alternatives Asset ClassExpected Performance and Tracking Error

* Weighted average of underlying strategies in page 28

** Market cap weighted average of underlying investments

Private Equity

The Private Equity Program (“Program”) is approximately 11.7%, which is 1.7% above its 10% target allocation in the Defined Benefit Fund. Over the past year, the allocation has gradually decreased from its high of approximately 12.5% as Staff has reduced the amount of commitments over the past few years and distributions have exceeded contributions in recent years. Staff expects the actual allocation to Private Equity to remain one to two percent above its target allocation for the next several years, assuming the value of the overall Defined Benefit Fund stays flat. If the value of the overall Defined Benefit Fund is able to grow, however, then the allocation should move closer to its long-term target of 10% at a faster pace.

Staff expects to reach the target allocation through a combination of factors: 1) the cash flow profile of the investments in secondary funds 2) the maturing primary commitments made during 2010-2013 3) the ongoing robust environment for selling companies and 4) the reduced number of commitments made and expected to be made during 2014-2019.

Staff anticipates a number of existing managers will raise new funds during 2017 and the planned commitment levels for these funds total just under $1.1 billion. Staff expects the next several years will focus on re-ups with existing managers. If Staff does allocate any capital to new



managers over the next several years it will likely be in strategies such as U.S.-focused small to middle market buyout, energy or emerging markets. Staff will also focus on growing the co-investment program from its current 9.4% weight. Improved terms for OPERS will continue to be a priority for Staff with the expectation of continuing our successful results of reducing the costs of the Program.

Real Estate

Private market real estate has a target allocation to the Defined Benefit (“DB”) Fund of 10.0%. The portfolio began 2016 with an estimated net asset value of $8.19 billion or 11.1% of the DB Fund and at the end of November had a net asset value of $8.26 billion or 10.8% of the DB Fund.

The Health Care 115 Trust (“HC115”) Fund has a target real estate allocation of 6.0%, and this exposure is obtained through investments in publicly traded real estate securities known as Real Estate Investment Trusts or REITs. The value of the REIT portfolio was $662.26 million or 6.2% of the HC115 Fund at the beginning of 2016 and had a net asset value of $659.56 million or 5.9% of the HC115 Fund at the end of November.

Total returns for domestic commercial real estate began to moderate in 2016, despite this being the sixth consecutive year of trailing four quarter double digit returns for the NFI-ODCE (“NCREIF Fund Index – Open end Diversified Core Equity”). Staff does not anticipate a violent correction in commercial real estate values as was experienced during the Global Financial Crisis, but rather a modest decline in total returns over the next few years. Staff expects that property fundamentals will continue to improve due to growth in GDP, employment increases and modest levels of new construction. We believe cap rates may increase in a rising interest rate environment, which could depress real estate values. Staff anticipates that commercial real estate returns will mean revert to levels that fall between the returns of bonds and stocks.

Staff intends to continue to bring the portfolio net asset value closer to the allocation target in 2017 and pursue tactical sales of existing assets. Staff will continue to sell assets when the capital markets value properties at premium prices, as well as sell assets that Staff would prefer not to own during a market correction. Staff intends to continue to seek niche opportunities to deploy capital into new investments that are currently out of favor and are expected to produce outsized returns.



Hedge Funds

The Hedge Funds sub-asset class is near its target allocations of 8% in the Defined Benefit Fund,

and 6% in the Health Care 115 Trust Fund. In 2017, Staff will continue to focus on activities with

potential to enhance performance including: 1) reducing fees with existing managers, 2)

identifying lower cost strategies, and 3) researching niche strategies for potential inclusion in the

portfolio.

Hedge Funds Strategy Allocation Target and Range for 2017

Strategy Target Range

Multi-Strategy 15% 0-35%

Equity Hedge 20% 0-35%

Event Driven 30% 0-40%

Relative Value 15% 0-30%

Macro/Tactical 20% 0-30%

Opportunistic

The Opportunistic sub-asset class is intended to permit investments in assets or strategies not presently contemplated in the respective Defined Benefit or Health Care 115 Trust Funds. The maximum size for any single benchmarked strategy is 0.5% of the total fund. The Opportunistic allocation currently contains an Interest Rate and Volatility portfolio which provides exposure to the U.S. interest rate and volatility markets using a combination of Treasuries, futures and options. The benchmark is the Barclays U.S. Treasury Index with a duration of approximately five years.

Uncommitted portions of the Opportunistic asset class will be allocated into the U.S. and non-U.S. equity exposure within the Public Equity asset class.

Commodities

The Commodity sub-asset class provides exposure to both the Defined Benefit and Health Care 115 Trust Funds as shown in the Fund Strategies sections. The allocation includes a risk-controlled mix of index and enhanced index commodity strategies.

.



RISK PARITY

Risk parity is an alternative approach to asset allocation which focuses on allocation of risk rather than allocation of capital. When asset allocations are adjusted to the same risk level, the portfolio can achieve a higher risk adjusted return and can be more resistant to equity market downturns than a traditionally equity-centric portfolio.

OPERS has 5% of both Defined Benefit and Health Care 115 Trust assets to the Risk Parity concept. For operational reasons it is treated as an asset class. The performance benchmark for the Risk Parity asset class is the weighted average of underlying managers’ performance benchmarks. Knowing that risk parity managers are trying to construct diversified balanced portfolios and not trying to outperform a benchmark, the Risk Parity asset class has an expected alpha target of zero.

GLOBAL TACTICAL ASSET ALLOCATION

Global Tactical Asset Allocation, or GTAA, is a “top-down” investment strategy that attempts to exploit short-term mis-pricings among a global set of asset classes. This strategy focuses on general movements in markets rather than on performance of “bottom-up” security selection. Target allocations of 2% for the Defined Benefit and Health Care 115 Trust Funds were completed in the first quarter of 2013. The performance benchmark for the GTAA asset class is the weighted average of underlying managers’ performance benchmarks. GTAA has an alpha target of 160 basis points with a target tracking error of 400 basis points.

POLICIES, COMMITTEES, AND RESOURCES



OPERS RETIREMENT BOARD POLICIES GOVERNING INVESTMENT ACTIVITIES

The following exhibit illustrates the structure and relationship of the Policies within the total System and its three investment Funds. All Policies are available at www.opers.org.

STAFF COMMITTEE STRUCTURE

Broker - Dealer Policy

Corporate Governance

Leverage Policy

Derivatives Policy

External Investment Managers’ Insurance Policy

Iran and Sudan Divestment Policy

Material Nonpublic Information Policy

DC Fund Policy

Ohio-Qualified & Minority-Owned Manager Policy

Personal Trading Policy

Proxy Voting Guidelines

Responsible Contractor Policy

Securities Lending Policy

Soft Dollar/Other Commission Arrangements Policy

OFAC Policy

Liquidity Policy

INVESTMENT-WIDE POLICIES

Cash Policy

Commodity Policy

Hedge Funds Policy

Opportunistic Fund Policy

GTAA Policy

Public Equity Policy

Fixed Income Policy

Private Equity Policy

Real Estate Policy

Risk Parity Policy

ASSET/SUB-ASSET CLASS POLICIES

OPERS FUNDS

FUND POLICIES

DEFINED BENEFIT

FUND

Investment

Objectives and Asset

Allocation Policy

HEALTH CARE

115 TRUST FUND

Investment

Objectives and Asset

Allocation Policy



The Chief Investment Officer (“CIO”) utilizes a variety of committees, working groups and meeting

structures to govern the Investments Division’s activities. Committees enhance collective inputs,

retain institutional knowledge, document due diligence and other processes, promote

transparency and accountability, and formalize decision-making. Committees are designed to

combine structure and flexibility to efficiently share information and bring appropriate decision

makers together on a timely basis, while minimizing operational risk. The committees and working

groups vary in both the frequency of meetings and the degree of structure and formality. Here is

an outline of the Investment related committees and meetings.

Committee Structure

Board

Rick Shafer

CIO

Iran Sudan Divestiure

Portfolio Progress Meeting

Risk Related

Leadership Team

Corporate Governance

Risk Steering

Operational

Counterparty

Management Related

Internal Equity Index/tilt

Fund Management

Broker Review

DC Funds Staff Investments Committee

Board Investment Committee

Private Equity

Active Equity

Global Bonds

Real Estate

Global EquityGlobal Fixed Income

Public Market Alternatives

Investment Related



Committee/Meeting Purpose and Description

Investment Committees Approvals and Decisions

Broker Review* Monitor/Approve and Evaluate Brokers, Complete ORSC Reports

Counterparty* Set Counterparty Limits and Monitor Counterparty Exposures

DC Funds Staff Investments Committee*Review/Monitor Defined Contribution Fund's Allocation and

Rebalancing Activities

Fund Management*

Implement Asset Allocation and Investment Strategies, Cash

Forecasting, Fund and Portfolio Exposure Metrics, and Set

Quarterly Fund Target Benchmark Allocations Transitions,

Liquidity Management

Operational Risk* Identify and Monitor Operational Risks

Risk Steering* Assess and Prioritize Risk Matters

Investment Meetings External Portfolio Management

Private Equity* Review PE Opportunities for CIO Approval

Real Estate* Review RE Opportunities for CIO Approval

Public Markets Alternatives*Review Hedge Funds, Risk Parity, GTAA, Commodities, and

Opportunistic strategies

Investment Meetings Internal Portfolio Management

Active EquityReview Sector Outlooks, Portfolio Composition, and Risk

Management

Global BondsReview Sector Outlooks, Portfolio Composition, and Risk

Management

Quantitative Equity Index/Tilt/Derivatives Review Strategies, Derivatives, Index, and Tilt Portfolios

Portfolio Progress Meeting Plan and Implement New Portfolio

Transition Management Transition Assets between Managers and Conduct Rebalancing

Investment Meetings Internal and External Portfolio Management

Global Equity* Review All Internal and External Global Equity Investment

Global Fixed Income* Review All Internal and External Global Fixed Income Investment

Non-Investment Division Committees Committees with Investment Staff Involvement

Iran/Sudan Divestiture* Leadership Team*

Corporate Governance*

* Committee has charter



STAFFING

Recruiting and retaining the best and most talented Staff is a critical priority for the Investments Division. The following table shows the anticipated staffing for 2017.

Fixed Active

Office Income Equity Index Total

of the Internal Internal Quant Fund Cash/ External Invest.

CIO Mgmt. Mgmt. Trading Management Sec Lending Funds Division

8 14 11 10 5 3 16 68

Target Staffing for Year End 2017

2017 Investment Plan Projected Staffing

Staffing Costs

Assuming full staffing levels for 2017, the chart below details the estimated $17.68 million of compensation for the Investments Division. This represents approximately 2 basis points of cost, an increase of only 0.18 basis points from the 2016 projection despite two Staff additions.

Office 2017 2016

of the Internal External Projected Projected

CIO Mgmt. Mgmt. Total Total

Salaries 1.43$ 6.24$ 1.98$ 9.65$ 9.25$

Benefits 0.72$ 3.12$ 0.99$ 4.83$ 4.51$

Incentive Compensation 0.47$ 2.07$ 0.66$ 3.20$ 2.40$

Total Compensation 2.62$ 11.43$ 3.63$ 17.68$ 16.16$

Average Assets ($ billions) 88.50$ 33.77$ 54.73$ 88.50$ 89.00$

Compensation (Basis Points) 0.30 3.38 0.66 2.00 1.82

Estimated 2017 Total Compensation Costs

($ millions)



Operating Budget

The Investments Division’s 2017 operating budget (excluding compensation) is $10.07 million. This operating budget reflects an increase of $1.05 million from the 2016 budget due to transfer expenses from soft dollar to hard dollar budget in 2017.

Total

Internal External Invest.

Mgmt. Mgmt. Division

2016 Operating Budget 5.40$ 3.62$ 9.02$

2017 Operating Budget 7.15$ 2.93$ 10.07$

Percent Change 32.4% -19.1% 11.6%

Percent of Total 71.0% 29.0% 100.0%

Average Assets ($ billions) 33.77$ 54.73$ 88.50$

Operating Budget (Basis Points) 2.12 0.53 1.14

Operating Budget less Total Compensation

($ millions)

Management Cost

The expected annual external management fees by asset class and sub-asset class for the Investments Division are in the table below. The estimate of fees is based on the projected average market value for the Defined Benefit and Health Care 115 Trust Funds, as shown by sub-asset class in the average assets column below. For three sub-asset classes within the Alternatives Asset Class, Staff estimates the performance fees based on the average performance assumption over the market cycle of each sub-asset class. Since the performance fee is based on yearly performance, its hurdle rate and other fee payment conditions, this portion is the most difficult to estimate.



Total for 2017

Average Annual Annual Average Annual Annual

Assets Cost Cost Assets Cost Cost

($ millions) ($ millions) (bps) ($ millions) ($ millions) (bps)

Public Equity 20,666 2.7 1.3 16,401 66.2 40.3

U.S. Equity 16,935 2.0 1.2 3,355 15.3 45.6

Non-U.S. Equity 3,730 0.7 1.9 13,046 50.9 39.0

Public Fixed Income 12,707 1.3 1.0 9,146 37.4 40.9

Core Fixed 8,666 1.0 1.1 107 0.4 42.0

Emerging Markets Debt 0 0.0 0.0 6,265 26.2 41.8

Floating Rate Debt 0 0.0 0.0 90 0.4 45.0

U.S. Treasury 895 0.1 0.6 0 0.0 0.0

Securitized Debt 895 0.1 1.2 0 0.0 0.0

High Yield 0 0.0 0.0 2,685 10.3 38.5

Global High Yield 0 0.0 0.0 0 0.0 34.0

TIPS 2,251 0.1 1.4 0 0.0 0.0

Alternatives 781 0.1 1.0 23,535 253.1 107.5

Private Equity 0 0.0 0.0 7,798 117.0 150.0

Real Estate 0 0.0 0.0 7,798 49.9 64.0

REITs 691 0.0 0.4 0 0.0 0.0

Hedge Funds 0 0.0 0.0 6,930 86.2 124.4

Opportunistic 90 0.1 5.6 0 0.0 0.0

Commodities 0 0.0 0.0 1,010 1.3 13.0

Risk Parity 0 0.0 0.0 4,475 21.0 47.0

GTAA 0 0.0 0.0 1,790 15.8 88.0

Total 34,153 4.1 1.2 55,347 393.4 71.1

Custody 5.0 2.5

Total Fund 34,153 9.1 2.7 55,347 395.9 71.5

Performance Fee

Private Equity 0 0.0 0.0 7,798 80.0 102.6

Real Estate 0 0.0 0.0 7,798 90.5 116.0

Hedge Funds 0 0.0 0.0 6,930 88.0 127.0

Total Performance Fee 0 0.0 0.0 22,525 258.5 114.7

Total Fund with Perf. Fee 34,153 9.1 2.7 55,347 654.4 118.2

Estimate of External and Internal Management Costs

Internal Management External Management

There is a significant cost advantage for passive and systematic forms of asset management and further savings are achieved for internally-managed assets. Sources of internal cost savings arise from lower rent, less travel, no marketing costs, no stand-alone business expenses and no profit



margin. But there are also many appropriate business and risk management reasons why OPERS uses external management for some asset classes and portfolios.

Total Costs

All investment performance returns are reported after fees. Using the same “CEM – compatible*” fee calculation used in prior years, the total costs of the investment program in 2017 are projected to be $607.1 million, or 67.8 basis points of assets under management. However, the CEM method excludes the estimated “carry costs” from Private Equity, Including these latter costs raises the total fees, estimated for 2017 to 76.7 basis points, or $687.1 million.

Total

Internal External Invest. % of

Mgmt. Mgmt. Division Total

Total Compensation 14.1 3.6 17.7 2.6%

Operating Budget less Compensation 7.1 2.9 10.1 1.5%

Manager Fees 651.9 651.9 94.9%

Custody 5.0 2.5 7.5 1.1%

Total Costs 26.2 660.9 687.1 100.0%

Percent of Total 0.0 1.0

Average 2017 Asset Size ($ billions) 34.2 55.3 89.5

Costs in Basis Points 7.7 119.4 NA

Costs in Basis Points to Total Fund NA NA 76.7

Estimated 2017 Total Costs

($ millions)

*CEM Benchmarking, Inc. is an independent firm that provides an assessment of pension plans and it

evaluates OPERS investment program relative to a peer group of comparably sized public plans.

Peer Group Comparison

The following chart compares OPERS asset size and Investment Staff to its peer group as of June 30, 2016. While differences in the percentage and types of assets managed internally exist, OPERS compares very favorably. Data are from Pension Fund Data Exchange.



$0

$50

$100

$150

$200

$250

$300

$350

0 50 100 150 200

Ass

et S

ize

($bi

llion

s)

Investment Staff

Public Plan Peer Group

Asset Size and Investment Staff

6/30/2016

The following table lists the public pension peer group referenced in the chart.

Asset Size

($ millions)

North Carolina Retirement System $87,600 28 $3,129

Employees Retirement System of Georgia $80,300 29 $2,769

New Jersey Division of Investment $79,200 34 $2,329

State Board of Administration of Florida $141,400 61 $2,318

New York State Teachers' Retirement System $107,000 48 $2,229

Washington State Investment Board $81,600 39 $2,092

California State Teachers' Retirement System $188,700 110 $1,715

California Public Employees' Retirement System $295,100 174 $1,696

Ohio Public Employees Retirement System $87,500 52 $1,683

State of Wisconsin Investment Board $102,100 77 $1,326

Ohio State Teachers Retirement System $69,500 92 $755

Average $120,000 68 $2,004

Peers

Investment

Staff

Public Plan Peer Group (as of 6/30/2016)

Asset Size per

Investment Staff

APPENDIX

INVESTMENT ORGANIZATION STRUCTURE


INVESTMENT ORGANIZATION STRUCTURE

Port

folio

Manager

(Lead)

Ste

phen S

tuckw

isch

A.J

. S

aye

rs

Inve

stm

ent A

naly

st

Port

folio

Manager

HE

DG

E F

UN

DS

John B

lue

Port

folio

Manager

Brian W

right

Port

folio

Manager

Noum

ouke

Bere

te

Associa

te In

vestm

ent A

naly

st

AL

TE

RN

AT

IVE

S

Vacan

t

Se

nio

r P

ort

folio

Man

ag

er

RE

AL

ES

TA

TE

Po

sit

ion

s a

s o

f D

ece

mb

er

31, 2016

INV

ES

TM

EN

TS

- O

RG

AN

IZA

TIO

NA

L S

TR

UC

TU

RE

Cu

rre

nt

Po

sit

ion

Vacan

t P

osit

ion

Matt S

herm

an

Senio

r T

rader

Christy

Ruoff

Tra

der

II

Lori D

avi

e

Tra

der

I

Inve

stm

ent A

naly

st

Kurt

Gro

ve

Associa

te In

vestm

ent A

naly

st

Chad H

am

berg

Quantit

ativ

e A

naly

st

TR

AD

ING

Joan S

tack

Head T

rader

Vacant

Bra

d S

turm

Inve

stm

ent A

naly

st

Gre

g C

orc

ora

n

Associa

te In

vestm

ent A

naly

st

HIG

H Y

IEL

D

Tim

Sw

ingle

Senio

r In

vestm

ent A

naly

st

Mac P

rice

Senio

r In

vestm

ent A

naly

st

Zach M

art

in

Mik

e P

ark

er

Asst. P

ort

folio

Manager

Erick

Weis

Index

Port

folio

Manager

Ale

x H

am

ilton

Asst. P

ort

folio

Manager

Roger

Tong

Quantit

ativ

e A

naly

st

Jeff G

old

en

Asst. P

ort

folio

Manager

Ste

ve B

ark

er

Senio

r In

vestm

ent A

naly

st

Rya

n K

houry

Senio

r In

vestm

ent A

naly

st

Todd S

oots

Joyc

e W

illia

ms

Exe

cutiv

e A

ssis

tant

Cra

ig C

arr

oll

Associa

te In

vestm

ent A

naly

st

Jam

es R

ichard

son

Associa

te In

vestm

ent A

naly

st

Jack

Lake

Senio

r R

isk

Analy

st

Mic

helle

Lew

is

Ris

k A

naly

st

Aro

n L

au

Dan G

erm

an

Inve

stm

ent R

isk

Offic

er

Quantit

ativ

e M

anager

FU

ND

MA

NA

GE

ME

NT

RIS

K M

AN

AG

EM

EN

T

Ris

k A

naly

st

Vacant

Inve

stm

ent A

naly

st

Vacant

Inve

stm

ent A

naly

st

Anis

ha B

row

n

Port

folio

Assis

tant

Vacant

Port

folio

Manager

Vacant

Senio

r In

vestm

ent A

naly

st

Vacant

Senio

r In

vestm

ent A

naly

st

Tony

Enderle

Tra

din

g M

anager

Port

folio

Manager

AC

TIV

E E

QU

ITY

Pra

bu K

um

ara

n

Fund M

anager

JG L

ee

Inve

stm

ent A

naly

st

Vacant

Associa

te In

vestm

ent A

naly

st

Vacant

Port

folio

Manager

(Lead)

Zach Z

erm

an

Associa

te In

vestm

ent A

naly

st

Vacant

Port

folio

Manager

Gre

g C

otterm

an

Lew

is T

racy

Port

folio

Manager

Cheri W

ools

ey

Port

folio

Manager

Nic

k K

ots

onis

Sr.

Inve

stm

ent A

naly

st/E

conom

ist

Davi

d B

uchholz

Inve

stm

ent A

naly

st

PR

IVA

TE

EQ

UIT

Y

Port

folio

Manager

(Lead)

Rya

n C

asebolt

Senio

r In

vestm

ent A

naly

st

QU

AN

T E

QU

ITY

Gerr

y P

ete

rs

Senio

r P

ort

folio

Manager

Xin

yang G

u

Quantit

ativ

e A

naly

st

FIX

ED

IN

CO

ME

Edw

ard

Pain

vin

Senio

r P

ort

folio

Manager

Vacant

Port

folio

Manager

Paul G

reff

Deputy

CIO

Ne

w P

osit

ion

Lin

coln

Carn

am

Senio

r O

p R

isk

Analy

st

Mark

Ehre

sm

an

Senio

r P

ort

folio

Manager

Chris R

ieddle

Port

folio

Manager

CA

SH

/ S

EC

LE

ND

ING

Jerr

y M

ay

Port

folio

Manager

Tere

sa B

lack

Senio

r In

vestm

ent A

naly

st

JoA

nn Y

ocum

Inve

stm

ent A

ssis

tant

Dave

Dury

Associa

te In

vestm

ent A

naly

st

Erik

Cagnin

a

Port

folio

Manager

Vacant

Port

folio

Manager

EX

TE

RN

AL

MA

NA

GE

ME

NT

DeA

nne M

annio

n

Rick

Shaf

erCI

O

STAFF DIRECTORY


STAFF DIRECTORY

Department/Title Department/Title

Name

Education/Designation/

License OPERS Total Name


License OPERS Total

Investment

Experience

Investment

Experience

Steven Barker Teresa Black

John Blue Noumouke Berete

Anisha Brown David Buchholz

Erik Cagnina Lincoln Carnam

Craig Carroll Ryan Casebolt

Active Equity

Senior Investment Analyst

MBA, The Ohio State University

BS, The Ohio State University

Hedge Funds

Portfolio Manager



CFA Charterholder

CAIA Charterholder

Fixed Income

Portfolio Manager

MBA, Case Western Reserve

BS, Miami (OH) University

CFA Charterholder

17 17

Fund Management

Associate Investment Analyst

BA, Eastern Michigan University

BA, Michigan State University

2017 Level II Candidate in the CFA

Program

23 25

11 22

10

Private Equity

Portfolio Assistant

BA, The Ohio State University

External Public Markets



CFA Charterholder

CAIA Charterholder

3 14

4 17

17 21

1 3

Cash/Securities Lending



Passed Level I of the CFA Program

Hedge Funds


MFE, Ohio University

BS, Franklin University

CIPM,FRM

CAIA Charterholder

2017 Level III Candidate in the CFA

Program

Risk Management

Senior Operational Risk Analyst

MBA, William & Mary Mason School of

Business

BA, Muhlenberg College

CFA Charterholder

1

1

Fixed Income

Investment Analyst

BS, Wright State University

CFA Charterholder

81 11

STAFF DIRECTORY



Name




License OPERS Total

Investment

Experience

Investment

Experience

Greg Corcoran Greg Cotterman

Lorie Davie David Dury

Mark Ehresman Tony Enderle

Dan German Jeff Golden

Paul Greff Kurt Grove

Public Markets

Deputy CIO

MBA, University of Detroit

BA, Kalamazoo College

CFA Charterholder

Fixed Income

Trading Manager

BS, Bowling Green State University

CFA Charterholder

15 15

Risk Management

Investment Risk Officer

MBA, University of Pittsburgh

BS, Allegheny College

CFA Charterholder

8 27

Fixed Income

Senior Portfolio Manager



CFA Charterholder

18

Active Equity

Assistant Portfolio Manager

BS, Princeton University

CFA Charterholder

2 17

2

Cash/Securities Lending


BS, St. Michaels College

Trading

Trader I

BA, Ashford University

MAOM, Ashford University

CP (Certified Paralegal)

Series 63

19

3 8

19

7 15

Private Equity

Investment Analyst


BMus, Capital University

Series 63

5 8

Fixed Income


BS, Xavier University

CFA Charterholder

3

Active Equity



Passed Level III of the CFA Program

9

15 15

STAFF DIRECTORY



Name




License OPERS Total

Investment

Experience

Investment

Experience

Xinyang Gu Chad Hamberg

Alex Hamilton Ryan Khoury

Nick Kotsonis Prabu Kumaran

Jack Lake Aron Lau

J.G. Lee Michelle Lewis

Risk Management

Senior Risk Analyst


BS, Marist College

CFA Charterholder

16 16

2 6

Fixed Income

Senior Investment

Analyst/Economist


CFA Charterholder

9 12

Fund Management

Fund Manager

MBA, Asian Institute of Management

B Eng (Mech), Anna University

CFA Charterholder

4 9

Quantitative Equity

Quantitative Analyst

MS, The Ohio State University

BS, Southeast University, China

Quantitative Equity

Investment Analyst

MBA, Wright State University

BS, Wright State University


Program

Quantitative Equity


BS, Ohio State University

CFA Charterholder

Risk Management

Risk Analyst


CFA Charterholder

Fund Management

Quant Manager

PhD, The Ohio State University

CFA Charterholder

FRM Charterholder

PRM Charterholder

Risk Management

Risk Analyst

MBA, University of Phoenix

BA, Wright State University


Program

20

239

6 6

8 19

15

5 14

187

Active Equity


BS, University of Minnesota,

Twin Cities

CFA Charterholder

STAFF DIRECTORY



Name




License OPERS Total

Investment

Experience

Investment

Experience

DeAnne Mannion Zachary Martin

Jerry May Edward Painvin

Mike Parker Gerry Peters

Mac Price James Richardson

Chris Rieddle Christy Ruoff

34

5

Fixed Income

Portfolio Manager

MBA, Indiana University

BS, Indiana University

CFA Charterholder

10 27

Active Equity


MBA, Boston University

JD, University of Chicago

BA, James Madison University

CFA Charterholder

10

6

Trading

Trader II


Series 63

1

Fund Management


BBA, Eastern Kentucky University


Program

5

34

3 19

Active Equity


MBA, Wake Forest University

BA, Flagler College

CFA Charterholder

CMT Charterholder


Lead Portfolio Manager



BA, Mt. Holyoke College


5 7

13 25

23

Active Equity

Investment Analyst

BBA, University of Kentucky

2017 Level III Candidate in the CFA

Program

16

30

Quantitative Equity


MBA, Drexel University

BS, Lafayette College

Active Equity


BS, Wharton, University of

Pennsylvania

CFA Charterholder

8 14

Fixed Income

Portfolio Manager

MBA, Ashland University

BA, Abilene Christian University

CTP

STAFF DIRECTORY



Name




License OPERS Total

Investment

Experience

Investment

Experience

A.J. Sayers Rick Shafer

Matthew Sherman Todd Soots

Joan Stack Stephen Stuckwisch

Bradley Sturm Timothy J. Swingle

Roger Tong Lewis Tracy

Real Estate

Lead Portfolio Manager


MA, University of Cincinnati

MAIR, University of Cincinnati

BA, University of Cincinnati

CAIA Charterholder

Real Estate

Investment Analyst


CAIA Charterholder

Passed Level III of the CFA Program

4 4

21

Real Estate

Portfolio Manager


BA, Hanover College

CFA Charterholder

CAIA Charterholder

Active Equity


BSBA, The Ohio State University

CFA Charterholder

CMT Charterholder

CPA (Inactive)

CMA

Private Equity

Portfolio Manager

PhD, The Ohio State University


BA, University of California at Berkeley

CAIA Charterholder

16

Quantitative Equity

Quantitative Analyst

MBA, The College of Insurance

MS, New Jersey Institute of

Technology


14 31

23

13 22

1823

16

18

Trading

Head Trader Equities

MBA, Fordham University

BA, Mt. Holyoke College

8

CIO

BA, Dartmouth College

CFA Charterholder

Fixed Income

Portfolio Manager



CFA Charterholder

22 15 17

43

Trading

Senior Equity Trader

MBA, Otterbein University


Series 63

11

41

STAFF DIRECTORY



Name




License OPERS Total

Investment

Experience

Investment

Experience

Erick Weis Joyce Williams

Cheri Woolsey Brian Wright

JoAnn Yocum Zachary Zerman

10

Fixed Income

Investment Assistant

AS, Bliss Business College

31

25

Private Equity

Portfolio Manager

MBA, Baylor University

BA, Baylor University

CFA Charterholder

Fund Management



CFA Charterholder

2

22 23

Quantitative Equity

Portfolio Manager


BBA, University of Toledo

CFA Charterholder

7

17


Portfolio Manager

MS, Indiana University

BSBA, Auburn University

CFA Charterholder

CPA (Inactive)

6

Executive Assistant


Awarded the Claritas® Investment

Certificate (2014)

7 9

10

Documents

Annual Investment Plan - OPERSJan 18, 2017 · CHIEF INVESTMENT OFFICER’S LETTER The role of this letter is to step back from detailed meeting agendas to consider some of the broader