Market & Portfolio UpdateAmy C. McGarrityChief Investment Officer

June 19, 2020

2

-0.9%

13.1%

14.3%

14.5%

16.5%

18.0%

18.1%

23.4%

24.4%

26.4%

31.5%

34.4%

2.5%

-0.7%

-1.9%

4.8%

-26.3%

-10.3%

-6.6%

1.6%

-11.7%

-6.4%

-2.4%

-60.1%

-70% -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40%

US Dollar Index

Emerging U.S. Dollar Debt

U.S. Corporate High Yield Debt

U.S. Corporate Investment Grade Debt

Broad Commodities

Emerging Market Equities

Japanese Equities

Chinese Equities

European Equities

Global Equities

U.S. Equities

WTI Crude Oil

Return

2020 YTD Return

2019 Return

All returns are presented in unhedged USD terms

*YTD performance as of 6/17/2020

2019 Highest

Performers

“Risk assets” rebounded in 2019, but turned broadly negative in 2020

Market Performance

2020 YTD* vs. 2019 Calendar Year

3

Global Equity Market Volatility

-19%

17%

-7%

22%

3%

17%

11%13%

20%

25%

-15%-17%

-21%

32%

13%

9%

19%

10%

-44%

32%

10%

-9%

13%

20%

2%

-4%

6%

22%

-11%

24%

-7%

-26%

-11%-13%

-6%-8%

-4%-6%

-11%

-21%

-7%

-20%

-32% -31%

-14%

-9%-7%

-13% -11%

-53%

-27%

-16%

-24%

-14%

-9% -10%

-16%

-12%

-2%

-21%

-6%

-34%

-60%

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020YTD

(6/17)

MSCI ACWI Intra-Year Declines vs. Calendar Year Returns Despite average intra-year decline of 15.2%, annual returns were positive in 21 of 30 years

Price Return

Intra Year Price Drop

4

Share of S&P 500’s Total Market Value,

Five Biggest Stocks, Monthly

Company/IndexReturn 01/2014-

06/2020

S&P 500 Index 68%

Amazon.com Inc 562%

Microsoft Corp 419%

Apple Inc 339%

Facebook Inc 331%

Alphabet Inc (Google) 159%

Berkshire Hathaway Inc 53%

Exxon Mobil Corp -54%

5

Jobless Claims

Weekly Jobless Claims – Global Financial Crisis vs. COVID-19 Pandemic

0

5,000

10,000

15,000

20,000

25,000

0

1,000

2,000

3,000

4,000

5,000

Avg

Wee

kly

Co

nti

nu

ing

Job

less

Cla

ims

(00

0s)

Avg

Wee

kly

Init

ial J

ob

less

Cla

ims

(00

0s)

Continuing Jobless Claims Initial Jobless Claims

2004 - 2008

Global Financial Crisis

2010 - 2019

COVID Pandemic

6

Style & Quality Returns – Perspective

Benchmark YTD Return

S&P 500 Index -2.7%

S&P 500 Growth Index 7.2%

S&P 500 Value Index -14.0%

Benchmark YTD Return

Bbg Barc US Agg 5.8%

Bbg Barc US Corp High Yield -1.9%

60

70

80

90

100

110

31-Dec 31-Jan 29-Feb 31-Mar 30-Apr 31-May

Growth vs. Value YTD Returns

S&P 500 Index

S&P 500 Growth Index

S&P 500 Value Index

All Indexes set to 100 as of 12/31/2019

75

80

85

90

95

100

105

110

31-Dec 31-Jan 29-Feb 31-Mar 30-Apr 31-May

Investment Grade vs. High Yield YTD Returns

Bbg Barc US Agg

BBg Barc US Corp High Yield

All Indexes set to 100 as of 12/31/2019

7

Asset Class Returns – Perspective

Benchmark Annualized Return

MSCI ACWI IMI NR w/US Gross 8.7%

Bbg Barc US Agg 3.9%

FTSE 3 Mo T Bill 0.6%

Bbg Commodities TR -6.0%

Benchmark YTD Return (6/17)

MSCI ACWI IMI NR w/US Gross -6.4%

Bbg Barc US Agg 5.8%

FTSE 3 Mo T Bill 0.5%

Bbg Commodities TR -20.5%

50

100

150

200

250

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Comparative Investment Returns - Prior Decade

Stocks

Bonds

Cash

Commodities

All Indexes set to 100 as of 05/31/201065

70

75

80

85

90

95

100

105

110

12

/31

1/7

1/1

4

1/2

1

1/2

8

2/4

2/1

1

2/1

8

2/2

5

3/3

3/1

0

3/1

7

3/2

4

3/3

1

4/7

4/1

4

4/2

1

4/2

8

5/5

5/1

2

5/1

9

5/2

6

6/2

6/9

6/1

6

Comparative Investment Returns - YTD 2020

Stocks

Bonds

Commodities

Cash

All Indexes set to 100 as of 12/31/2019

8

Forecasting and market timing is extremely difficult

Strategic Asset Allocation vs. Tactical Asset Allocation

There are two classes of forecasters: those who don’t

know – and those who don’t know they don’t know

Ken Galbraith

Forecasts create the mirage that

the future is knowablePeter Bernstein

Forecasts usually tell us more of the

forecaster than of the futureWarren Buffett

PERA focuses on strategic asset allocation at the total fund level, with individual views expressed

via portfolio construction/management

9

PolicyAsset class weights will be within permissible ranges

StatusAll asset class weights within permissible ranges

Asset Allocation Policy

Asset Class 2020 Policy

Benchmark Weight

Actual Weight*(May 31, 2020)

Range Risk Weight (March 31, 2020)

Global Equity 56.0% 55.7% 48%–60% 63.0%

Fixed Income 23.5% 21.9% 18%–28% 1.2%

Private Equity 8.5% 8.6% 4%–13% 19.2%

Real Estate 8.5% 9.2% 4%–13% 13.0%

Alternatives 3.5% 4.0% 0%–12% 2.3%

Cash/Short Term** 0.0% 0.6% 0%–3% 1.3%

Total 100% 100% 100%

* Transitional cash remains within respective asset classes

** Includes Cash Overlay

10

Investments-Related Strategic Initiative Projects

Project Status

Updated Proxy

Voting Statement

In progress – evaluating 2020 proxy season themes and potential Policy

enhancements; expected completion by 1Q2021

Participation on

Secure Savings

Board

Bill to create the Colorado Secure Savings Plan passed the House and Senate

in June. Expected to be signed by Governor Polis prior to July 15, 2020.

Refreshed

technology

roadmap

In progress – currently reviewing a consulting firm’s proposal to complete a

private asset class fund expense review; expected completion mid-2020

DC plan: improved

alignment of

preferences and

product offerings

In progress – member research, evaluation of current and proposed options

by Defined Contribution Committee; recordkeeper RFP process; expected

completion 2021

11

Investment Activities

New hires in Equities, Fixed Income, Operations, and Private Equity

Internally-managed Asset-Backed Securities portfolio to commence in July

in Fixed Income

Refreshed Investment FactSheets for Private Equity and Internal Costs

Savings with 2019 data

12

Updated Investment FactSheets

13

COPERA’s Venerable* Investments Department

* Venerable – accorded a great deal of respect, especially because of age, wisdom, or character

14

APPENDIX

15

Portfolio Monitor

ASSET CLASS STRATEGY

Global EquityPortfolio retains higher quality bias. No material sector or geographic overweights or

underweights relative to the benchmark.

Fixed Income

The current environment is volatile. Treasury yields are at historic lows while

valuations in other asset classes have become more attractive. The portfolio is

positioned with a modest overweight to spread products and has no significant

duration deviation versus the benchmark.

Private EquityIn process with several re-up strategies, including an opportunistic distressed credit

fund. Most fund commitments are closing well in advance of initial deployment. PE

team will be reviewing portfolio management opportunities in the coming months.

Real Estate

Currently a challenging investment environment. Prices in aggregate are in early

stages of cyclical downtrend with deepest impact to service retail, lodging, and open

plan office environments. Focus remains on tenant rent preservation and

stabilization of internal portfolio.

Alternatives

Allocating to opportunistic and special situations funds, which can tactically invest

across multiple asset classes. In addition, new investments have been made in

diversifying strategies, including private global infrastructure, royalties and

permanent crops/agriculture.

16

Active Risk Policy

PolicyActive risk within marketable securities asset classes (i.e., Global Equity and Fixed Income) and

total marketable securities portfolios will not exceed maximums

StatusActive risk levels are within policy limits

Active Risk

Portfolio

Five-Year Historical Tracking

Error in Basis Points

March 31, 2020

Active Risk Policy Maximum

in Basis Points

Global Equity 121 225

Fixed Income 18 100

Total Marketable Securities 90 150

17

Calendar Year Returns

*Large Growth – Russell 1000 Growth; Large Value – Russell 1000 Value; Small Growth – Russell 2000 Growth; Small Value – Russell 2000 Value; ACWI – MSCI ACWI; EAFE – MSCI EAFE; EM – MSCI EM; REITs – FTSE NAREIT All Equity REITs; Bonds – Bloomberg Barclays Aggregate; High Yield – Bloomberg Barclays U.S.Corporate High Yield; Cmdty – S&P GSCI Composite Index; HFOF – HFRI FOF Composite Index; NCREIF – NCREIF ODCE Index

**2020 Returns are through May 31. 2020. NCREIF ODCE Index returns are through March 31, 2020.

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020**

Sm Growth NCREIF REITs Sm Growth REITs NCREIF Sm Value EM NCREIF Lg Growth Bonds

29.1 15.0 19.7 43.3 28.0 14.0 31.7 37.3 7.4 36.4 5.5

REITs REITs EM Sm Value Lg Value Lg Growth Lg Value Lg Growth Bonds REITs Lg Growth

27.9 8.3 18.2 34.5 13.5 5.7 17.3 30.2 0.0 28.7 5.2

Sm Value Bonds Sm Value Lg Growth Lg Growth REITs High Yield EAFE Lg Growth Sm Growth NCREIF

24.5 7.8 18.1 33.5 13.1 2.8 17.1 25.0 -1.5 28.5 0.8

EM High Yield Lg Value Lg Value NCREIF Total Fund Cmdty ACWI High Yield ACWI Total Fund

18.9 5.0 17.5 32.5 11.5 1.5 11.4 24.0 -2.1 26.6 -2.3

Lg Growth Lg Growth EAFE ACWI Bonds Bonds Sm Growth Sm Growth Total Fund Lg Value HFOF

16.7 2.6 17.3 22.8 6.0 0.5 11.3 22.2 -3.5 26.5 -3.6

Lg Value Total Fund ACWI EAFE Total Fund HFOF EM Total Fund REITs EAFE High Yield

15.5 1.9 16.1 22.8 5.7 -0.3 11.2 18.1 -4.0 22.0 -4.7

NCREIF Lg Value High Yield Total Fund Sm Growth EAFE REITs Lg Value HFOF Total Fund Sm Growth

15.3 0.4 15.8 15.6 5.6 -0.8 8.6 13.7 -4.1 20.3 -6.6

High Yield Cmdty Lg Growth NCREIF ACWI Sm Growth ACWI REITs Lg Value EM ACWI

15.1 -1.2 15.3 12.9 4.2 -1.4 7.9 8.7 -8.3 18.4 -9.2

Total Fund Sm Growth Sm Growth HFOF Sm Value ACWI NCREIF Sm Value ACWI Cmdty EAFE

14.0 -2.9 14.6 9.0 4.2 -2.4 7.8 7.8 -9.4 17.6 -14.3

ACWI Sm Value Total Fund High Yield HFOF Lg Value Total Fund HFOF Sm Growth Sm Value REITs

12.7 -5.5 12.9 7.4 3.4 -3.8 7.3 7.7 -11.7 15.5 -15.3

Cmdty HFOF NCREIF REITs High Yield High Yield Lg Growth High Yield Sm Value High Yield Lg Value

9.0 -5.7 9.8 2.9 2.5 -4.5 7.1 7.5 -12.9 14.3 -15.7

EAFE ACWI HFOF Cmdty EM Sm Value Bonds NCREIF EAFE Bonds EM

7.8 -7.3 4.8 -1.2 -2.2 -7.5 2.6 6.7 -13.8 8.7 -16.0

Bonds EAFE Bonds Bonds EAFE EM EAFE Cmdty Cmdty HFOF Sm Value

6.5 -12.1 4.2 -2.0 -4.9 -14.9 1.0 5.8 -13.8 6.4 -25.6

HFOF EM Cmdty EM Cmdty Cmdty HFOF Bonds EM NCREIF Cmdty

5.7 -18.4 0.1 -2.6 -33.1 -32.9 0.5 3.5 -14.6 3.1 -39.4