Performance Review · June 2015 June 2016 June 2017 June 2018 December 2018 NCRS Cash Management Supplemental Retirement Other. Investment Management Division NCRS Asset Allocation

Performance Review

February 20, 2019

Investment Management Division

Cost-Efficiencies Initiative Update

• Goal: • Obtain $100 million of incremental cost-efficiencies for the NCRS investment

program, consistent with fiduciary requirements and investment objectives

• The $100 million goal would be measured on a cumulative basis over a four-year timeframe

• The goal is comprehensive of the Pension and Supplemental Retirement Plans

• Progress to date:

2

Fully Executed Activities Approx. Annual Savings ($000)Investment-related services: renegotiations / restructuring $9,364Investment manager terminations / renegotiations $82,956 Sub-Total $92,320

In Process Investment manager & services renegotiations / restructuring $3,828

Grand Total $96,148


US Economic Environment

3

3.5

4

4.5

5

5.5

6

6.5

7

Unemployment Rate

60

65

70

75

80

85

90

95

100

105

Consumer Confidence

0

50

100

150

200

250

300

350

400Payroll

Private NF Payroll (in thousands) Total NF Payroll (in thousands)

-1.5

-1

-0.5

0

0.5

1

1.5

2

2.5Retail Sales

Retail Sales (m/m) Retail Sales x Auto/Gas (m/m )

350

400

450

500

550

600

650

700

750

3.5

4.0

4.5

5.0

5.5

6.0

6.5

7.0

7.5Home Sales

Existing Home Sales (in millions) New Home Sales (in thousands)(Right)

40

45

50

55

60

65 ISM

ISM Non-Manf. ISM

-0.5

0

0.5

1

1.5

2

2.5

3

3.5 CPI

CPI (y/y) Core CPI (y/y)

0

0.5

1

1.5

2

2.5

3 PCE

PCE (y/y) Core PCE (y/y)

-2

-1

0

1

2

3

4

5

6

GDP (Q/Q annualized)

Source: Bloomberg (data as of 12/31/2018) 3


Global Economic Environment

Countries Date Value Date Value Date Value Countries Date Value Date Value Date Value

U.S. 09/18 3.0 12/18 3.9 12/18 1.9 Asia/Pacific/Latam

Europe China 12/18 6.4 12/18 1.9

Germany 09/18 1.1 12/18 5.0 12/18 1.7 India 09/18 7.1 12/18 5.2

France 12/18 0.9 12/18 9.1 12/18 1.6 Japan 09/18 0.0 12/18 2.4 12/18 0.3

U.K. 09/18 1.5 11/18 4.0 12/18 2.1 Indonesia 09/18 5.2 12/18 3.1

Italy 12/18 0.1 12/18 10.3 12/18 1.1 Brazil 09/18 1.3 12/18 3.8

Spain 12/18 2.4 12/18 14.3 12/18 1.2 Australia 09/18 2.8 12/18 5.0 12/18 1.8

Real GDP YoY Unemployment CPI YoYReal GDP YoY Unemployment CPI YoY



Market EnvironmentUST (Constant Maturity) Curve

1.001.251.501.752.002.252.502.753.003.253.503.754.00

Most Recent 1 Mo. Ago 3 Mo. Ago 1 Year Ago

Corporate Credit OAS (BofAML Indices)

0.00

5.00

10.00

15.00

20.00

CCC & Below B BB IG Master

1,0001,2501,5001,7502,0002,2502,5002,7503,0003,2503,5003,7504,000

10,00012,50015,00017,50020,00022,50025,00027,50030,00032,50035,00037,50040,000

Dow Jones Nikkei 225 Hang Seng Euro Stoxx 50 (Right)

Global Equity Markets

US Dollar Trade Weighted Broad Index

95

100

105

110

115

120

125

130

5152535455565758595105115125

5152535455565758595

105115125

VIX CS Fear MOVE (Right)

Volatility Indicators



Assets Under Management ($MM)$123.8 billion as of December 31, 2018

Note: The Cash Management Program does not include Assets with Fiscal Agent, which are reflected in the Bond Proceeds Fund. These funds, which may have been reported in the Cash Management Program previously, have now been removed for all years shown in this report to more accurately reflect the Cash Management Program balance. 6

89,576 87,570 94,057 98,182 94,226

12,953 15,037

16,449 17,297

16,190 9,186 9,304

10,494 11,480

10,822 2,139 2,174

2,358 2,312

2,568

0

10,000

20,000

30,000

40,000

50,000

60,000

70,000

80,000

90,000

100,000

110,000

120,000

130,000

June 2015 June 2016 June 2017 June 2018 December 2018

NCRS Cash Management Supplemental Retirement Other


NCRS Asset AllocationAs of December 31, 2018

7

Minimum Maximum

Growth $48,651 51.63% 58.00% 37.00% 71.00% -6.37% ($6,000)

Public Equity 34,329 36.43% 42.00% 37.00% 47.00% -5.57% (5,245)

Private Equity 5,429 5.76% 6.00% 0.00% 8.75% -0.24% (225)

Non Core Real Estate 3,227 3.42% 3.00% 0.00% 8.00% 0.42% 400

Opportunistic Fixed Income 5,666 6.01% 7.00% 0.00% 7.50% -0.99% (929)

Rates & Liquidity 31,957 33.92% 29.00% 24.00% 42.00% 4.92% 4,632

IG Fixed Income & Cash 28,014 29.73% 28.00% 24.00% 32.00% 1.73% 1,631

Pension Cash 3,943 4.18% 1.00% 0.00% 10.00% 3.18% 3,001

Inflation Sensitive & Diversifiers 11,737 12.46% 11.00% 4.00% 16.00% 1.46% 1,372

Inflation Sensitive 6,311 6.70% 6.00% 2.00% 7.50% 0.70% 658

Core Real Estate 5,426 5.76% 5.00% 2.00% 10.00% 0.76% 715

Multi-Strategy 1,880 2.00% 2.00% 0.00% 4.00% 0.00% (4)

Grand Total $94,226 100.00%

Relative $

($MM)

Market

Value ($MM)% Target

RangeRelative %


NCRS Asset Allocation (Unaudited)As of February 11, 2019

8

Minimum Maximum

Growth $51,468 52.99% 58.0% 37.0% 71.0% -5.01% ($4,871)

Public Equity 37,197 38.29% 42.0% 37.0% 47.0% -3.71% ($3,600)

Private Equity 5,382 5.54% 6.0% 0.0% 8.8% -0.46% ($446)

Non Core Real Estate 3,242 3.34% 3.0% 0.0% 8.0% 0.34% 328

Opportunistic Fixed Income 5,647 5.81% 7.0% 0.0% 7.50% -1.19% ($1,153)

Rates & Liquidity 32,066 33.01% 29.0% 24.0% 42.0% 4.01% 3,897

IG Fixed Income & Cash 28,399 29.24% 28.0% 24.0% 32.0% 1.24% 1,201

Pension Cash 3,667 3.78% 1.0% 0.0% 10.0% 2.78% 2,696

Inflation Sensitive & Diversifiers 11,727 12.07% 11.0% 4.0% 16.0% 1.07% 1,042

Inflation Sensitive 6,215 6.40% 6.0% 2.0% 7.5% 0.40% 387

Core Real Estate 5,512 5.67% 5.0% 2.0% 10.0% 0.67% 655

Multi-Strategy 1,875 1.93% 2.0% 0.0% 4.0% -0.07% ($68)

Grand Total $97,136 100.00%

Market Value

($MM)Relative $

(MM)Relative %

Range% Target


NCRS Total Net Portfolio Return vs. BenchmarksAs of December 31, 2018

Notes: Returns for periods greater than one year are annualized.Implementation Benchmark is a blend of the Asset Class Benchmarks at policy weights. It is currently weighted as follows: 58% Growth Benchmark; 29% Rates & Liquidity Benchmark; 11% Inflation Sensitive & Diversifiers Benchmark; and 2% Multi-Strategy Benchmark.Long-Term Policy Benchmark is comprised of 57% MSCI ACWI IMI Net; 33% BOAML 5+ Years U.S. Treasury Index; 6% Bloomberg Commodity Index; and 4% BOAML 1-3 Years U.S. Inflation-Linked Treasury Index.

9


Growth of a DollarThrough December 31, 2018

10

Notes: Long-Term Policy Benchmark is comprised of 57% MSCI ACWI IMI Net; 33% BOAML 5+ Years U.S. Treasury Index; 6% Bloomberg Commodity Index; and 4% BOAML 1-3 Years U.S. Inflation-Linked Treasury Index.

1.00

1.20

1.40

1.60

1.80

2.00

2.20

2.40

2.60

2.80

3.00

3.20

3.40

3.60

3.80

4.00

4.20

NCRS Long-Term Policy Benchmark


Growth of a Dollar5 Years Ending December 31, 2018 10 Years Ending December 31, 2018

Note: NCRS Alternatives includes the following: Core Real Estate; Inflation Sensitive – Private Natural Resources; Inflation Sensitive – Real Assets and Other Diversifiers; Multi-Strategy Investments; Non Core Real Estate; Opportunistic Fixed Income; Private Equity; Equity Hedge Strategies; and closed-end Public Natural Resource funds. 11

0.90

0.95

1.00

1.05

1.10

1.15

1.20

1.25

1.30

1.35

1.40

1.45

1.50

NCRS Long-Term Policy Benchmark NCRS Alternatives

0.60

0.80

1.00

1.20

1.40

1.60

1.80

2.00

2.20

2.40

NCRS Long-Term Policy Benchmark NCRS Alternatives


Estimated Contribution to Total Plan Return – 1 YearAs of December 31, 2018

12

Notes: 1.) Estimated Contributions are based on average market value and the total return for the period.

Contribution to Total Plan $ Earnings = Average $ Market Value * % Total Return for each asset classContribution to Total Plan % Returns = Average Market Value % weight * % Total Return for each asset class

2.) Alternatives for this analysis include the following: Private Equity, Non Core Real Estate, Opportunistic Fixed Income, Inflation Sensitive, Core Real Estate, and Multi-Strategy investments.

-0.10%

0.32%

0.49%

0.36%

0.50%

1.04%

2.61%

-3.98%

0.08%

-0.18%

-1.47%

Multi-Strategy

Core Real Estate

Inflation Sensitive

Opportunistic Fixed Income

Non Core Real Estate

Private Equity

Total Alternatives

Public Equity

Cash

IG Fixed Income

Total Pension

Contribution to Total Plan % Returns

$(101)

$313

$480

$351

$485

$1,020

$2,549 $(3,897)

$82

$(174)

$(1,440)

Multi-Strategy

Core Real Estate

Inflation Sensitive



Private Equity

Total Alternatives

Public Equity

Cash

IG Fixed Income

Total Pension

Contribution to Total Plan $ Earnings (millions)


NCRS Net of Fees Return AttributionTotal Fund vs. Implementation Benchmark: 1 Year Ending December 31, 2018

13

-1.47

-3.56

2.09

-4.00 -2.00 0.00 2.00 4.00

Portfolio Return

Benchmark Return

Value Add

Total Fund Performance

0.31

1.79

2.09

0.00 0.50 1.00 1.50 2.00 2.50

Allocation Effect

Selection Effect

Value Add

Attribution

0.0

0.4

0.4

2.8

0.4

-1.3

0.3

-0.8

-2.2

-3.0 -1.5 0.0 1.5 3.0

Multi-Strategy

Inflation Sensitive

Core Real Estate

Cash

Investment Grade FI

Opportunistic FI


Private Equity

Public Equity

Avg Active Weight

0.00

0.01

0.03

0.18

-0.03

0.02

0.04

-0.12

0.18

-0.4 -0.2 0.0 0.2 0.4 0.6 0.8

Allocation Effect

0.04

0.28

0.10

0.00

0.07

0.61

0.13

0.23

0.33

-0.4 -0.2 0.0 0.2 0.4 0.6 0.8

Selection Effect


NCRS Net of Fees Return AttributionTotal Fund vs. Implementation Benchmark: 3 Years Ending December 31, 2018

14

5.93

5.06

0.87

0.00 1.00 2.00 3.00 4.00 5.00 6.00 7.00

Portfolio Return

Benchmark Return

Value Add


-0.09

0.96

0.87

-0.20 0.00 0.20 0.40 0.60 0.80 1.00 1.20

Allocation Effect

Selection Effect

Value Add

Attribution

-0.1

0.4

0.0

1.7

0.4

-1.2

0.9

-0.9

-1.2

-3.0 -1.5 0.0 1.5 3.0

Multi-Strategy

Inflation Sensitive

Core Real Estate

Cash

Investment Grade FI

Opportunistic FI


Private Equity

Public Equity

Avg Active Weight

0.00

-0.02

0.01

-0.01

-0.03

0.01

-0.01

-0.04

0.00

-0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7

Allocation Effect

0.02

0.22

0.04

0.01

-0.02

0.15

0.20

0.09

0.24

-0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7

Selection Effect


NCRS Net of Fees Return AttributionTotal Fund vs. Implementation Benchmark: 5 Years Ending December 31, 2018

15

4.83

4.15

0.68

0.00 1.00 2.00 3.00 4.00 5.00 6.00

Portfolio Return

Benchmark Return

Value Add


-0.09

0.77

0.68

-0.30 -0.10 0.10 0.30 0.50 0.70 0.90

Allocation Effect

Selection Effect

Value Add

Attribution

-0.1

-0.1

-0.4

1.1

0.1

-1.0

0.9

-1.0

0.4

-3.0 -1.5 0.0 1.5

Multi-Strategy

Inflation Sensitive

Core Real Estate

Cash

Investment Grade FI

Opportunistic FI


Private Equity

Public Equity

Avg Active Weight

0.00

0.02

-0.03

-0.02

-0.01

0.03

0.03

-0.06

-0.04

-0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7

Allocation Effect

0.02

0.14

-0.01

0.01

-0.10

0.18

0.24

0.09

0.20

-0.7 -0.5 -0.3 -0.1 0.1 0.3 0.5 0.7

Selection Effect


NCRS Net of Fees Risk MetricsAs of December 31, 2018

16

Rolling Sharpe Ratio Rolling Information Ratio

-4.00

-2.00

0.00

2.00

4.00

6.00

8.00

10.00

Rolling 1 Year Rolling 3 Year Rolling 5 Year

Avg. 1 Year Avg. 3 Year Avg. 5 Year

Sharpe Target (0.40)

-3.00

-2.00

-1.00

0.00

1.00

2.00

3.00

4.00



Info Ratio Target (0.30)

Rolling Volatility Rolling Tracking Error

0.00%

5.00%

10.00%

15.00%

20.00%



Volatility Target (10%)

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%



1 Year 3 Year 5 Year

At Month End: 5.58% 4.64% 4.87%


At Month End: 0.60% 0.74% 0.72%


At Month End: -0.60 1.06 0.86


At Month End: 3.50 1.18 0.94


NCRS Gross of Fees Return and RiskBNY Mellon Universe: U.S. Public Funds > $20B; Data as of December 31, 2018

17Note: Data shown is gross of fees with the exception of incentive payments, which have been deducted from NAV when applicable.

Returns 1 Year 3 Years 5 Years 10 Years 15 Years 20 Years

25th Percentile -1.06 7.21 6.12 9.05 7.02 6.46

Median Percentile -2.25 6.78 5.52 8.84 6.72 6.07

75th Percentile -3.48 6.51 5.20 8.24 6.45 5.91

NCRS -0.97 6.49 5.46 8.17 6.43 5.95

Percentile Rank (1 = highest performance)

24 77 53 77 82 69

Risk 1 Year 3 Years 5 Years 10 Years 15 Years 20 Years

25th Percentile 7.41 5.99 6.08 8.33 8.91 9.23

Median Percentile 6.44 5.49 5.53 7.61 8.42 8.61

75th Percentile 5.24 4.62 4.83 6.64 7.86 8.04

NCRS 5.28 4.54 4.79 6.64 7.22 7.65

Percentile Rank (100 =

lowest risk)71 77 77 77 94 94


NCRS

0.7

0.8

0.9

1.0

1.1

1.2

1.3

1.4

5.0 5.5 6.0 6.5 7.0 7.5 8.0 8.5 9.0 9.5 10.0

Shar

pe

Rat

io

Standard Deviation (%)

10 Year Plot: Sharpe Ratio vs. Volatility

NCRS Gross of Fees Sharpe RatioBNY Mellon Universe: U.S. Public Funds > $20B; Data as of December 31, 2018

18Note: Data shown is gross of fees with the exception of incentive payments, which have been deducted from NAV when applicable.

Sharpe 1 Year 3 Years 5 Years 10 Years 15 Years 20 Years

25th Percentile -0.50 1.18 1.00 1.17 0.72 0.56

Median Percentile -0.55 1.06 0.89 1.10 0.65 0.53

75th Percentile -0.74 0.95 0.80 1.03 0.62 0.46

NCRS -0.51 1.19 1.01 1.16 0.72 0.55

Percentile Rank 30 24 24 30 25 32


NCRS Liquidity Profile - StructuralAs of December 31, 2018

19Note: Level 1 Liquidity = T+3; Level 2 = T+3 to 12 Months; Level 3 = 12 to 24 Months; Level 4 = Greater than 24 Months

Liquidity Allocation ($ Market Value)

Liquidity Allocation ($ Market Value + Uncalled)

Liquidity Allocation (% Market Value)

Liquidity Allocation (% Market Value + Uncalled)

- 20,000 40,000 60,000 80,000 100,000 120,000

Global Public Equity

Private Equity



Investment Grade Fixed Income

Cash

Inflation Sensitive

Core Real Estate

Multi-Strategy

Total NCRS

Level 1 Level 2 Level 3 Level 40% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%


Private Equity




Cash

Inflation Sensitive

Core Real Estate

Multi-Strategy

Total NCRS

Level 1 Level 2 Level 3 Level 4

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%


Private Equity




Cash

Inflation Sensitive

Core Real Estate

Multi-Strategy

Total NCRS

Level 1 Level 2 Level 3 Level 4 - 20,000 40,000 60,000 80,000 100,000 120,000


Private Equity




Cash

Inflation Sensitive

Core Real Estate

Multi-Strategy

Total NCRS

Level 1 Level 2 Level 3 Level 4


NCRS Liquidity Profile - FundingNet Benefit Payments by calendar year

20

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

-

500

1,000

1,500

2,000

2,500

3,000

3,500

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Paid Net Benefit Payments ($MM) Projected Net Benefit Payments Annual Payments % 3% Guideline


NCRS Alternatives Liquidity Profile - FundingThrough December 31, 2018

21

Prior 12-MonthsAverage Monthly Cash Flows by Alternative Asset Class ($MM)

Prior 12-MonthsTotal Cash Flows by Alternative Asset Class ($MM)

(970) (599) (911) (611) (595) (77) (3,762)

1,496 783 1,383 342

1,228 1

5,233

526 183 472 (268)

634 (76)

1,471

(6,000)

(4,000)

(2,000)

0

2,000

4,000

6,000

Inflation Opp Fixed Income Private Equity Funds Real Estate - Core Real Estate - Non Core Multi-Strategy Total Alternatives

Contributions Distributions Net

(81)(50) (76) (51) (50)

(6)(314)

125 65 115 29

102 0

436

44 15 39 (22)

53 (6)

123

(400)

(200)

0

200

400

600

Inflation Opp Fixed Income Private Equity Funds Real Estate - Core Real Estate - Non Core Multi-Strategy Total Alternatives

Contributions Distributions Net


NCRS Asset Class Net of Fees PerformanceAs of December 31, 2018

22

Market Value ($MM) 1 Year 3 Years 5 Years 10 Years 15 Years 20 Years

Growth $48,651 -3.89 7.56 5.71 9.60 6.32 5.31

Benchmark1 -6.22 6.32 4.47 8.72 5.71 4.43

Public Equity $34,329 -9.32 6.59 4.39 10.08 6.10 5.14

Benchmark2 -10.05 5.99 3.91 9.24 5.47 4.19

Private Equity $5,429 18.32 11.99 11.83 8.46 8.95 6.88

Benchmark3 13.18 10.09 9.90 9.40 11.97 11.79

Non-Core Real Estate $3,227 13.32 12.48 14.31 4.26 7.32 7.11

Benchmark4 8.83 7.15 8.11 2.05 7.31 7.41

Opportunistic Fixed Income $5,666 5.69 6.61 4.06 7.44 - -

Benchmark5 -5.21 4.00 0.96 3.67 - -

Rates & Liquidity $31,957 -0.31 2.28 3.06 4.63 4.93 5.44

Benchmark6 -0.74 2.33 3.37 4.40 4.72 5.23

IG Fixed Income $28,014 -0.57 2.34 3.13 4.66 4.95 5.46

Benchmark7 -0.83 2.37 3.42 4.42 4.74 5.25

Cash $3,943 1.88 1.32 1.00 - - -

Benchmark8 1.81 0.99 0.61 - - -

Inflation Sensitive & Diversifiers $11,737 6.32 7.29 4.68 1.88 4.08 4.80

Benchmark9 2.85 5.16 3.96 0.88 3.58 4.80

Inflation Sensitive $6,311 6.88 7.20 2.17 -1.52 3.05 3.49

Benchmark10 2.16 3.82 0.07 -0.79 4.21 4.01

Core Real Estate $5,426 5.67 7.48 8.22 6.62 6.57 6.70

Benchmark11 3.65 6.75 8.73 5.94 7.02 7.40

Multi-Strategy $1,880 -4.79 4.66 3.49 8.26 5.33 -

Benchmark12 -6.51 3.48 2.39 7.51 6.69 -


NCRS Calendar Year Asset Class Return DiversificationAs of December 31, 2018

23

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Non Core Real

Estate

20.66

Inflation

Sensitive

9.50

Global Public

Equity

32.68

Opportunistic

Fixed Income

15.89

Non Core Real

Estate

17.28

Global Public

Equity

17.59

Global Public

Equity

26.27

Non Core Real

Estate

19.45

Non Core Real

Estate

14.84

Non Core Real

Estate

11.73

Global Public

Equity

24.44

Private Equity

18.32

Private Equity

18.00

Investment

Grade Fixed

Income

7.05

Multi-Strategy

16.75

Global Public

Equity

15.24

Private Equity

13.87

Multi-Strategy

14.70

Multi-Strategy

22.61

Private Equity

14.02

Private Equity

9.20

Global Public

Equity

7.33

Multi-Strategy

13.58

Non Core Real

Estate

13.32

Multi-Strategy

8.73

Opportunistic

Fixed Income

-2.15

Total Pension

Plan

15.08

Total Pension

Plan

11.61

Investment

Grade Fixed

Income

10.82

Opportunistic

Fixed Income

13.95

Opportunistic

Fixed Income

16.56

Core Real

Estate

10.41

Core Real

Estate

8.28

Inflation

Sensitive

7.19

Total Pension

Plan

13.53

Inflation

Sensitive

6.88

Core Real

Estate

8.48

Non Core Real

Estate

-3.08

Investment

Grade Fixed

Income

7.63

Investment

Grade Fixed

Income

9.45

Core Real

Estate

7.89

Core Real

Estate

13.67

Non Core Real

Estate

12.88

Investment

Grade Fixed

Income

8.51

Multi-Strategy

0.85

Opportunistic

Fixed Income

7.09

Non Core Real

Estate

12.40

Opportunistic

Fixed Income

5.69

Total Pension

Plan

8.34

Private Equity

-4.46

Opportunistic

Fixed Income

6.72

Core Real

Estate

8.48

Multi-Strategy

6.15

Total Pension

Plan

11.84

Total Pension

Plan

12.28

Total Pension

Plan

6.19

Total Pension

Plan

0.29

Core Real

Estate

6.68

Private Equity

11.95

Core Real

Estate

5.67

Global Public

Equity

7.88

Core Real

Estate

-13.37

Inflation

Sensitive

-5.77

Multi-Strategy

6.90

Opportunistic

Fixed Income

2.22

Non Core Real

Estate

7.78

Private Equity

11.72

Global Public

Equity

3.68

Investment

Grade Fixed

Income

0.28

Total Pension

Plan

6.26

Core Real

Estate

10.12

Investment

Grade Fixed

Income

-0.57

Inflation

Sensitive

7.82

Total Pension

Plan

-19.72

Private Equity

-9.39

Private Equity

5.70

Total Pension

Plan

2.12

Investment

Grade Fixed

Income

7.29

Core Real

Estate

11.28

Opportunistic

Fixed Income

3.40

Global Public

Equity

-1.26

Private Equity

6.05

Inflation

Sensitive

7.53

Total Pension

Plan

-1.47

Investment

Grade Fixed

Income

7.09

Multi-Strategy

-25.19

Core Real

Estate

-13.63

Non Core Real

Estate

-4.23

Inflation

Sensitive

-5.47

Private Equity

5.74

Inflation

Sensitive

-1.32

Multi-Strategy

2.69

Opportunistic

Fixed Income

-2.61

Multi-Strategy

6.00

Opportunistic

Fixed Income

7.05

Multi-Strategy

-4.79

Opportunistic

Fixed Income

7.06

Global Public

Equity

-39.90

Non Core Real

Estate

-43.11

Inflation

Sensitive

-13.21

Global Public

Equity

-7.20

Inflation

Sensitive

1.06

Investment

Grade Fixed

Income

-3.49

Inflation

Sensitive

-0.65

Inflation

Sensitive

-9.05

Investment

Grade Fixed

Income

3.24

Investment

Grade Fixed

Income

4.42

Global Public

Equity

-9.32


New, Incremental & Uncalled Investment CommitmentsSince November 15th IAC Meeting As of December 31, 2018

Fund Name Firm NameNew or Incremental Commitment ($MM)

Closing Date

Non-Core Real Estate

Blackstone Real Estate Partners IX LP Blackstone 300 12/21/18

Public Equity

Valueact Fund B Valueact 75 01/15/19

24

Asset ClassUncalled

Commitments ($MM)

Public Equity 0

Private Equity 2,562

Non-Core Real Estate 1,678

Opportunistic Fixed Income 990

Inflation Sensitive 1,582

Core Real Estate 529

Multi Strategy 95

Total 7,436


New and Total Uncalled Private Asset Class CommitmentsBy Calendar Year of Closing

25

*2018 data as of 12/31/2018

-

2,000

4,000

6,000

8,000

10,000

12,000

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

$ M

illio

ns

Richard Moore Janet Cowell Dale Folwell Ending Total Uncalled


Asset Allocation History

26

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

% o

f To

tal P

lan

Mar

ket

Val

ue

Public Equity Private Equity Non-Core RE Opp FI IG Fixed Cash Inflation Sens. Core RE Multi-Strat


Exited InvestmentsSince November 15th IAC Meeting

Fund Name Redemption Amount ($MM) Redemption Effective

Public Equity

None -- --

Private Equity

None -- --

Non-Core Real Estate

None -- --


None -- --

Inflation Sensitive

None -- --

Core Real Estate

None -- --

Multi Strategy

None -- --

27


Top 20 Investment ManagersAs of December 31, 2018

28

Rank Manager Market Value ($) Uncalled ($) % MV % MV Cum.

1 Internal Fixed Income 31,957,318,673 - 33.9% 33.9%

2 Internal Equity 13,740,125,443 - 14.6% 48.5%

3 BlackRock, Inc. 9,715,698,889 - 10.3% 58.8%

4 Blackstone Group, The 2,795,839,234 1,587,077,329 3.0% 61.8%

5 Wellington Management 2,609,541,035 - 2.8% 64.5%

6 Rockwood Capital 2,389,523,920 420,775,621 2.5% 67.1%

7 Mondrian Investment Partners Limited 2,212,581,182 - 2.3% 69.4%

8 Baillie Gifford 1,977,089,004 - 2.1% 71.5%

9 Angelo, Gordon & Co. 1,669,520,136 83,716,462 1.8% 73.3%

10 Gladius Capital Management LP 1,661,896,748 80,025,130 1.8% 75.1%

11 Walter Scott & Partners 1,650,607,496 - 1.8% 76.8%

12 DoubleLine Capital LP 750,101,326 - 0.8% 77.6%

13 ValueAct Capital 735,631,913 - 0.8% 78.4%

14 Campbell Group LLC, The 715,107,444 - 0.8% 79.2%

15 Rockpoint Group, LLC 686,973,225 258,225,950 0.7% 79.9%

16 TimesSquare Capital Management, LLC 604,657,525 - 0.6% 80.5%

17 Providence Equity Partners 602,038,010 141,373,476 0.6% 81.2%

18 Marathon Asset Management 539,948,786 91,252,000 0.6% 81.7%

19 Anchorage Capital Partners, Ltd. 535,680,273 - 0.6% 82.3%

20 Franklin Templeton Investments 530,513,108 - 0.6% 82.9%

113 Remaining Managers 16,145,499,773 4,773,113,070 17.1% 100.0%

Total 94,225,893,142 7,435,559,037 100.0% 100.0%


Active Funds and RelationshipsAs of December 31, 2018

29

182

207 210 219

247

263

289

304305

327

296

288

100 109

115114

131

141 145 148 142 146138 132

0

50

100

150

200

250

300

350

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Number of Active Funds and Relationships

Active Funds Active Relationships


Appendix

30


NCRS Public Equity Net of Fees PerformanceAs of December 31, 2018

31*Public Equity returns also include the global equity portfolio, which has been liquidated but currently contains a residual amount of roughly $850k.

Market Value ($MM) 3 Month 1 Year 3 Years 5 Years 10 Years

Public Equity* $34,329 (13.27) (9.32) 6.59 4.39 10.08

Benchmark2 (13.16) (10.05) 5.99 3.91 9.24

Domestic Portfolio $17,655 (14.39) (4.82) 8.74 7.60 13.41

Russell 3000 (14.30) (5.24) 8.97 7.91 13.18

Non-US Portfolio $16,090 (12.16) (13.41) 5.67 1.76 6.94

Custom Benchmark (11.87) (14.76) 4.39 0.85 6.11

Equity Hedge $581 (9.97) (5.89) 2.41 2.52 -

MSCI ACWI (Beta Adjusted) (5.40) (3.95) 2.69 1.37 -


NCRS Public Equity Portfolio CharacteristicsAs of December 31, 2018

32

0.34%

6.05%

5.94%

6.07%

7.31%

10.60%

11.43%

13.45%

16.08%

22.72%

0.05%

5.91%

5.42%

5.29%

7.02%

10.88%

12.25%

15.00%

17.19%

20.99%

0% 5% 10% 15% 20% 25%

Other

Utilities

Materials

Energy

Cons. Staples

Prod Durables

Health Care

Cons. Disc.

Technology

Financials

Total Equity Sector Allocation

Portfolio

MSCI ACWI IMI

52.1%

16.5%

9.1% 7.7% 5.6% 4.6%1.9% 2.4%

54.0%

13.9% 11.7%8.0%

5.4% 3.9% 3.0%0.0%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

United States Europe ex UK Emerging Markets Japan United Kingdom Asia / Pacific Basin exJapan

Americas ex US Multiple Domicile

Total Equity Regional Allocation

Portfolio MSCI ACWI IMI Index

Portfolio MSCI ACWI IMI

Price / Earnings 16.8 16.0

Dividend Yield 2.47 2.68

Price / Book 2.16 2.00

Debt / Equity 0.91 0.95

Market Cap ($B Weighted Median) 37.58 36.81

Return on Equity - 1 Year 17.60 17.30

Portfolio Characteristics


NCRS Private Equity PortfolioAs of December 31, 2018

*Private Equity returns include a stock distribution account, in the amount of roughly $21 million, which does not fall under any specific sub-section. 33

Buyout41.9%

Growth Equity25.3%

Special Situations

15.6%

Fund of Funds17.1%

Strategy Allocation (Based on Valuation)


Private Equity $5,429 3.56 18.32 11.99 11.83 8.46

Benchmark3 2.83 13.18 10.09 9.90 9.40

Buyout $2,271 1.86 14.15 11.72 10.40 7.06

Growth $1,373 4.55 25.73 14.85 15.87 11.74

Special Situations $848 4.31 15.24 9.40 6.75 6.64

Fund of Funds $927 5.33 21.21 11.92 14.11 9.29

Net of Fees Performance

Pre-2004 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Total

NCRS 12.04 6.96 5.42 3.55 10.00 9.48 11.05 21.26 11.19 15.36 11.90 18.46 15.63 11.78 6.07 4.55 8.67

# of Funds 28 3 11 21 15 17 3 1 6 6 9 4 9 6 7 3 149

IRR by Vintage Year


NCRS Non-Core Real Estate PortfolioAs of December 31, 2018

34

Opportunistic

71.1%

Value Add28.9%



Non-Core Real Estate $3,227 1.80 13.32 12.48 14.31 4.26

Benchmark4 1.22 8.83 7.15 8.11 2.05

Opportunistic $2,294 1.63 13.39 11.95 13.66 3.08

Value Add $933 2.21 12.88 13.18 15.32 6.20

Pre-2004 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Total

NCRS 9.12 15.69 -1.45 2.78 2.40 16.26 N/A 15.85 18.28 18.55 16.16 7.56 9.42 7.93 N/A -0.06 6.65

# of Funds 16 3 15 13 8 6 N/A 6 7 5 7 7 6 7 N/A 1 107

IRR by Vintage Year


NCRS Opportunistic Fixed Income PortfolioAs of December 31, 2018

35


Opportunistic Fixed Income $5,666 (1.04) 5.69 6.61 4.06 7.44

Benchmark5 (3.96) (5.21) 4.00 0.96 3.67

Traditional Corporate Credit $926 0.39 6.68 8.12 4.88 12.11

Distressed Credit $422 (1.32) 5.51 10.03 7.33 10.12

Special Situations $1,659 2.79 11.75 9.53 9.42 10.93

Hedged Fixed Income $2,659 (3.68) 1.99 4.08 1.61 -


Traditional Corporate Credit

16.3%

Distressed Credit7.5%

Special Situations

29.3%

Hedged Fixed Income46.9%


2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Total

NCRS 2.87 N/A 17.00 8.49 22.42 6.12 4.38 2.15 5.36 4.10 9.19 8.66 6.68 N/A 5.96

# of Funds 1 N/A 1 3 1 4 9 2 7 3 1 8 2 N/A 42

IRR by Vintage Year


NCRS Rates & Liquidity PortfolioAs of December 31, 2018

36


Rates & Liquidity $31,957 1.38 (0.31) 2.28 3.06 4.63

Benchmark6 1.64 (0.74) 2.33 3.37 4.40

IG Fixed Income $28,014 1.48 (0.57) 2.34 3.13 4.66

Core Fixed Income $24,965 1.60 (0.82) 2.48 3.27 4.66

IG Fixed Income Cash $3,049 0.48 1.63 1.21 - -

Pension Cash $3,943 0.59 1.88 1.32 1.00 -


Avg. Coupon Yield to Worst Effective Duration

4.00% 2.80% 9.8

4.50% 4.40% 9.0

3.80% 3.40% 4.7

4.10% 3.70% 7.6Total

Government (Treasury & Agency)

Corporate

Mortgage

Portfolio Characteristics


NCRS Core Fixed Income Portfolio CharacteristicsAs of December 31, 2018

37

27.9%

35.1% 36.1%

0.9%

30.0%

35.0% 35.0%

0.0% 0.0% 0.0%0%

10%

20%

30%

40%

Gov't (UST & Agency) Corporate RMBS Asset-backed CMBS Cash

Sector Allocation

Portfolio Benchmark

25.3%

39.3%

1.1%3.3%

16.3% 13.9%

0.8%

29.3%

35.7%

1.2% 3.8%

21.3%

8.7%

0%

10%

20%

30%

40%

50%

Treasury Agency (Debt &MBS)

AAA AA A BBB High Yield

Quality Allocation

Portfolio Benchmark


NCRS Inflation Sensitive PortfolioAs of December 31, 2018

38

Private Natural Resources

41.9%

Public Natural

Resources3.1%Inflation Linked Bonds

19.1%

Real Assets & Other

Diversifiers 36.0%


2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Total

NCRS 0.48 6.89 0.48 N/A -8.38 -6.22 8.07 6.84 10.66 4.96 2.40 N/A 31.78 1.19

# of Funds 3 2 2 N/A 3 9 7 11 12 4 4 N/A 4 61

IRR by Vintage Year


Inflation Sensitive $6,311 0.67 6.88 7.20 2.17 (1.52)

Benchmark10 0.30 2.16 3.82 0.07 (0.79)

Private Natural Resources $2,642 1.01 6.88 7.31 3.07 0.87

Public Natural Resources $196 (13.73) (14.08) (3.19) (9.14) -

Inflation Linked Bonds $1,203 (0.80) 0.74 2.96 - -

Real Assets & Other Diversifiers $2,270 2.55 11.52 10.13 8.59 -


NCRS Core Real Estate PortfolioAs of December 31, 2018

39

Public Equity Real Estate12.5%

Private Equity Core Real

Estate87.5%



Core Real Estate $5,426 1.13 5.67 7.48 8.22 6.62

Benchmark11 0.26 3.65 6.75 8.73 5.94

Public Equity Real Estate $678 (5.27) (5.36) 4.17 6.09 11.32

Private Equity Core Real Estate $4,748 2.12 7.48 8.02 8.49 5.17


Pre-2004 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Total

NCRS 7.63 9.76 -8.33 5.45 1.39 10.04 N/A 23.62 N/A N/A 7.45 7.49 5.09 7.22 N/A -2.04 7.15

# of Funds 5 1 1 2 3 1 N/A 1 N/A N/A 2 6 2 9 N/A 1 34

IRR by Vintage Year


NCRS Multi-Strategy PortfolioAs of December 31, 2018

40


Multi-Strategy $1,880 (7.88) (4.79) 4.66 3.49 8.26

Benchmark12 (8.77) (6.51) 3.48 2.39 7.51

Rebalance Strategy $1,452 (10.63) (6.43) 5.02 3.92 -

Event Driven $218 (0.91) 5.06 - - -

Risk Mitigation $150 10.30 2.65 - - -

Volatility Trading $60 2.63 (25.73) - - -


Rebalance Strategy77.2%

Event Driven11.6%

Risk Mitigation8.0%

Volatility Trading3.2%



Notes:

1. The Growth Benchmark is a blend of the Public Equity Benchmark, Private Equity Benchmark, Non-Core Real Estate Benchmark, and Opportunistic FI Benchmark at policy weights.

2. The Public Equity Benchmark is the dynamically-weighted combination of the MSCI ACWI IMI Net (Long-Only) and a beta-adjusted MSCI ACWI IMI Net (Hedged Equity).

3. The Private Equity Benchmark is comprised of the following Burgiss Group Private iQ indices: 50% Buyout, 20% Venture Capital, and 30% Distressed.

4. The Non-Core Real Estate Benchmark is comprised of the following Burgiss Group Private iQ indices: 80% U.S. Non-Core Real Estate (Opportunistic and Value-Added) and 20% Non-U.S. Non-Core Real Estate (Opportunistic and Value-Added).

5. The Opportunistic Fixed Income Benchmark is a comprised of 50% HFRX Distressed Securities Index, 20% HFRX Relative Value Index, 15% Credit Suisse Leveraged Loan Index, and 15% BOAML High Yield Index*.

6. The Rates & Liquidity Benchmark is a blend of the IG Fixed Income Benchmark and the Cash Benchmark at policy weights.

7. The IG Fixed Income Benchmark is comprised 10% iMoneyNet First Tier Institutional Money Market Funds Net Index and 90% custom BOAML Core Investment Grade Index*. The custom BOAML core index comprised of the following weightings: 30% BOAML 5+ Years Governments, 35% BOAML 5+ Years Investment Grade Corporates, and 35% BOAML Mortgage Master.

8. The Cash Benchmark is the iMoneyNet First Tier Institutional Money Market Funds Net Index.

9. The Inflation Sensitive & Diversifiers Benchmark is a blend of the Inflation Sensitive Benchmark and the Core Real Estate Benchmark at policy weights.

10. The Inflation Sensitive Benchmark is the dynamically weighted combination of the Bank of America Merrill Lynch 1-3 Years U.S. Inflation-Linked Treasury Index (TIPS)*, the Bloomberg Commodities Index (Commodities), and a combination of the benchmarks of investments classified within Private Natural Resources or Other Real Assets and Diversifiers.

11. The Core Real Estate Benchmark is comprised of 80% NCREIF ODCE Net and 20% FTSE EPRA NAREIT Global Index.

12. The Multi-Strategy Benchmark is comprised of a dynamically-weighted combination of the HFRX ED: Multi-Strategy Index, net of fees, and the market value weighted benchmarks for any other total fund strategies within the Portfolio.

All data presented are based on currently available information at time of publication and may be revised subsequently.

*Source: BofA Merrill Lynch, used with permission. See disclaimer on next page.

41


Disclaimer

BOFA MERRILL LYNCH IS LICENSING THE BOFA MERRILL LYNCH INDICES “AS IS,” MAKES NO WARRANTIES REGARDING SAME, DOES NOT GUARANTEE THESUITABILITY, QUALITY, ACCURACY, TIMELINESS, AND/OR COMPLETENESS OF THE BOFAML INDICES OR ANY DATA INCLUDED IN, RELATED TO, OR DERIVEDTHEREFROM, ASSUMES NO LIABILITY IN CONNECTION WITH THEIR USE, AND DOES NOT SPONSOR, ENDORSE, OR RECOMMEND THE DEPARTMENT OFSTATE TREASURER, OR ANY OF ITS PRODUCTS OR SERVICES.

42

Documents

Performance Review · June 2015 June 2016 June 2017 June 2018 December 2018 NCRS Cash Management Supplemental Retirement Other. Investment Management Division NCRS Asset Allocation