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Proprietary & Confidential

February 2018

The New Mexico State Investment Council (“NMSIC”) Third Quarter 2017: Real Estate Performance Measurement Report

Table of Contents

PERFORMANCE MEASUREMENT HIGHLIGHTS 3Q 2017

APPENDIX:

ADDITIONAL 3Q 2017 PERFORMANCE ATTRIBUTION

REAL ESTATE MARKET UPDATES

DEFINITIONS

FLASH REPORT: 3Q 2017

2

Disclaimer: This is a public version of the original Performance Measurement Presentation, portions of which have been removed for confidentiality purposes.

1. Performance Measurement Highlights: 3Q 2017

Portfolio Highlights

In the third quarter, New Mexico State Investment Council’s (NMSIC) approved an increase to the real estate allocation from 10%

to 12%. NMSIC’s 3Q17 real estate market value represents 9.0% of total fund assets.

The real estate portfolio continues to grow and provide positive performance. As of 3Q17, NMSIC outperformed the NFI-ODCE

Index on a net basis over all standard measurement periods.

NMSIC real estate commitments made since 2011 (inception of rebalancing) have been accretive to the real estate portfolio,

resulting in net time weighted returns of 8.9%, 12.4% and 13.2% over the one, three and five- year periods, outperforming the

ODCE benchmark by approximately 220 bps, 260 bps, and 260 bps over these respective time measurements.

As of 3Q17, the Legacy Portfolio only represented approximately 5% of the portfolio NAV.

4

As of 3Q17 Quarter One-Year Three-Year Five-Year

TGRS TNET TGRS TNET TGRS TNET TGRS TNET

NMSIC* 2.7 2.3 9.9 8.0 13.6 11.3 14.2 11.6

NFI-ODCE* 1.9 1.6 7.7 6.7 10.8 9.8 11.6 10.6

Over/Under Performance 0.8 0.6 2.2 1.3 2.8 1.5 2.6 1.0

*Time Weighted Returns over the quarter, one-, three-, and five-year periods.

Portfolio Highlights

As of 3Q17, NMSIC’s portfolio consisted of 61% exposure to core investments and 39% exposure to tactical investments, on a

NAV basis.

During the quarter, managers called approximately $88 million across the core and tactical investments; return-of-capital

combined with income distributions totaled $77 million, bringing total distributions to $302 million over the last 12 months.

Strategic Core Portfolio

‒ Since December 2011, eight strategic core commitments have been made, totaling $912.0 million.

• Townsend and Staff will continue to consider rebalancing initiatives as well as allocating new capital to current as well as new core

investment positions.

‒ As of September 30, 2017, approximately $34 million remains unfunded.

Tactical Portfolio

‒ Since December 2011, approximately $1.3 billion has been committed to 20 tactical investments, including four commitments in 2017

totaling approximately $267 million. These commitments target US industrial, US multifamily, European industrial, and a diversified US

fund.

5

Real Estate Portfolio Allocation

PORTFOLIO STATUS

Since the 2004 inception, NMSIC has committed approximately $3.7 billion to real estate across seven joint ventures and 46 funds

with 30 different managers.

Investment activity from 2004-2007 focused exclusively on tactical investments.

In 2011, NMSIC and Townsend began to implement its portfolio repositioning through commitments to core open end funds as

well as tactical strategies in order to maintain vintage year exposure and capitalize on market opportunities, while divesting of

non-strategic JV relationships.

In the third quarter, Council approved an increase to the real estate allocation from 10% to 12%. Based on the 12% allocation, the

pacing calls for approximately $248 million of non-core commitments and $90 million of core commitments in 2018. For 2017,

NMSIC made a combined commitment of $267 million to four non-core funds.

2 Funds $81

6 Funds $289

5 Funds $177

8 Funds

$597

1 Fund $100

4 Funds $225

5 Funds $201

4 Funds

$235

1 Fund $100

5 Funds $410

1 Fund

$75

1 Fund

$50

3 Funds

$200

2 Funds $175

4 Funds$267

4 Funds $275

Core Allocation

$90

$248.4

$257.1 $266.1 $275.4 $285.1 $295.0 $305.4

$0

$100

$200

$300

$400

$500

$600

$700

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Projected

2019 Projected

2020 Projected

2021 Projected

2022 Projected

2023 Projected

2024 Projected

$ in

Mill

ion

s

NMSIC Real Estate Allocation Growth

Annual Tactical Commitments Annual Core Commitments Per Pacing Model Tactical Per Pacing Model Core

In 2011, NMSIC increased its real estate allocation from 5% to 10% of total assets. In 3Q17, NMSIC increased its real estate allocation from 10% to 12% of total assets.6

Real Estate Portfolio Performance

PERFORMANCE

The NMSIC real estate portfolio seeks to outperform the NFI-ODCE (net of fees) on a time weighted return basis over a rolling

five-year period.

Recent total performance is strong. NMSIC outperforms over all standard measurement time periods.

Performance of the rebalanced portfolio and corresponding commitments made since 2011 remains compelling, with significant

outperformance reported against the ODCE benchmark over all measured periods.

*NMSIC Legacy Holdings represent investments made prior to the rebalancing initiative beginning 1Q 2011. **Time Weighted Returns over the quarter, one-, three-, and five-year periods.

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

Quarter One-Year Three-Year Five-Year Value Weighted Since Inception Net IRR

NMSIC Total Portflio Performance** As of September 30, 2017

NM SIC (net) New Commitments Since 2011 (net) NFI-ODCE (net)

7

Appendix A: Additional 3Q 2017 Performance Attribution

Real Estate Portfolio Domestic and International Exposure

PORTFOLIO STATUS

As of 3Q17, NMSIC’s U.S. exposure is approximately $1.6 billion on a NAV basis, representing 84% of the total portfolio vs. 16% of

international exposure ($313.4 million).

As of 3Q17, NMSIC has committed approximately $418 million to seven dedicated international investments since 2013. These

investments currently represent approximately 8% of the portfolio’s NAV and have approximately $240 million of unfunded

commitments. Additional international exposure comes from diversified global fund commitments.

US 83.9%

Emerging Americas

0.3%

Europe 7.4%

Asia 8.1%

Other 0.3%

Global Geographic Diversificsiton Based on NAV

9

Real Estate Portfolio Performance – Portfolio One-Year Attribution

ONE-YEAR TIME WEIGHTED RETURN PERFORMANCE

The charts below show the contribution of each the New Portfolio and the Legacy Portfolio to the total one-year net return, as

well as the return contribution of each portfolio by asset risk type.

Over the one-year period, the New Portfolio continues to be the main driver of NMSIC’s total net return. The New Portfolio’s

share of return was 8.3% vs. -0.2% from the Legacy Portfolio. The New Portfolio continues to grow as additional commitments are

made, which further minimize the effects of the Legacy Portfolio on shorter-term returns.

Over the one-year period, the Strategic Core Portfolio represented 4.7% of NMSIC’s one-year net return and had the largest

impact on the portfolio shorter-term returns due to its weight combined with strong returns.

10

8.1%

-0.2%

8.3%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

Legacy Portfolio ($99.6 M / -2.4%)

New Portfolio ($1.8 B / 8.9%)

Total NMSIC ($1.9 B / 8.1%)

3Q17 One-Year Net Contribution Legacy and New Investments

NAV/One-Year net TWR

8.1%

4.7%

1.1%

1.9%

0.3%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

Strategic Core ($1.2B / 7.6%)

Tactical Value Add ($353.1 M / 6.6%)

Tactical Opportunistic

($333.7 M / 11.2%)

Tactical Credit ($72.7 M / 7.6%)

Total NMSIC ($1.9 B / 8.1%)

3Q17 One-Year Net Contribution by Risk Type

NAV/One-Year net TWR

Real Estate Portfolio Performance – Portfolio PME Analysis

PME ANALYSIS

The charts below show the relative performance of NMSIC’s real estate portfolio versus a global public real estate index. The

public index performance is weighted based on the timing and value of contributions/distributions made within the real estate

portfolio.

Since inception, NMSIC’s Real Estate portfolio has underperformed the public index by approximately 70 bps.

Performance of the rebalanced portfolio and corresponding commitments made since 2011 has outperformed the public index by

approximately 530 bps.

11

7.4%

12.7%

0%

2%

4%

6%

8%

10%

12%

14%

Ne

t IR

R

PME Attribution - New Portfolio 2011 InceptionPME based on FTSE EPRA/NAREIT Developed Index Total Return

PME New Portfolio 2011 Inception

6.4%5.7%

0%

2%

4%

6%

8%

10%

12%

14%

Ne

t IR

R

PME Attribution - NMSIC Since InceptionPME based on FTSE EPRA/NAREIT Developed Index Total Return

PME NMSIC Since Inception

Real Estate Portfolio Performance – Legacy Investment Distributions

The charts below illustrate changes in the Legacy Investments since 2010, as well as expected distributions from the Legacy

Investments from 2016 to 2017*.

*Chart based on managers’ projections.

12

$0

$100

$200

$300

$400

$500

$600

$700

$ in

Mill

ion

s

2010 - 3Q17 NAV Components - Real Estate Legacy Portfolio

$100 m

$49 m

$88 m

$98 m

$0

$20

$40

$60

$80

$100

$120

9/30 NAV 2016 Dist. 2016-2017 Dist. In

mill

ion

($

)

Legacy Portfolio Expected Distribution - 2017 As of September 30, 2017

Actual Distributions Projected Distributions

Real Estate Portfolio Performance – Diversification

The portfolio is well diversified, although underweight to retail and strategically underweight to office on a NAV basis. The

portfolio is strategically overweight to hotel and “other” property type (including for sale residential, student housing, self storage

etc.).

The portfolio is also well diversified by geographic location within the U.S.

The international exposure is concentrated in Europe and Asia with the remaining international exposure primarily in Latin

America (through a legacy investment).

13

23

.8 3

0.2

15

.8

17

.3

3.3

9.6

23

.8

36

.7

15

.6 20

.0

0.5

3.4

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

Apartment Office Industrial Retail Hotel Other

Property Type Diversification (%)

NMSIC NFI-ODCE 1

6.3

8.2

7.5

2.0

10

.4

7.4

4.0

23

.6

2.2

18

.3

21

.8

9.4

8.0

1.4

9.4

9.4

4.9

35

.7

0.0

0.0

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

40.0

NE ME ENC WNC SE SW Mtn Pacific Var-US Ex-US

Property Type Diversification (%)

NMSIC NFI-ODCE

Investment Guidelines & Compliance

The Real Estate portfolio’s objectives are: portfolio diversification and volatility reduction, inflation hedging, income generation,

attractive risk adjusted returns, and capital preservation.

Council approved an increase to the real estate allocation in 3Q17 from 10% to 12%.

Category Strategic Plan Requirement Compliance

Funding Status

Allocation target 12% of total Plan Assets ($2.6 billion)

Return Targets/Benchmark

Private Real Estate ODCE net over a rolling five years

Investment Style Allocations

Private (Core, Non-Core) Core (40%-70%), Non-Core (30%-60%)

Public REITs (0%-10%)

Risk Policies

Manager/Fund Diversification 35% to one manager

Max LP share of fund 25%

Property Type Diversification Core +/- 15% from ODCE

Property Location Diversification None. Portfolio strives to be well diversified by location

International Exposure 30% max ex-US

Leverage Core 50% / Non-Core 75%

14

Appendix B: 3Q17 Economic Dashboard – Market Outlook

United States Real Estate Market Update (3Q17)

COMMERCIAL REAL ESTATE

In 2016, $124.1bn of aggregate capital was raised by US real estate funds. 2017 (YTD), Private Equity Real Estate Funds have raised 101.8bn. Continuing on trend since 2012, 2017 (YTD) has witnessed the largest average fund size at $451m thus far.

Transaction cap rates (5.82%) on average compressed during the 3rd Quarter of 2017. Multifamily, industrial and office experienced cap rate compression, while retail cap rates remained flat.

10 year treasury bond yields compressed an expanded 3 bps to 2.33% during the quarter and, subsequent to quarter end, have continued to expand. It appears now the pro-growth political agenda the market expected will be eventually be achieved, as fiscal stimulus through tax cuts now appears imminent.

GENERAL

The S&P 500 produced a gross total return of 4.5% during the Quarter, as markets have continued to rally to new heights. MSCI US REIT index produced a more moderate return of 1.3%, as REIT relative performance has continued to lag considerably the equity market year- to-date. Consumer Sentiment remained in line with the end of 2Q17, concluding 3Q17 at a composite 95.1 and remains elevated. US 10 year treasury bond yields expanded 3 bps during the Quarter.

Macro indicators for U.S. real estate continue to gain momentum, as GDP growth in the 3Q accelerated to an annualized rate of 3.3%. With the conclusion of June, the economy has now experienced 84 consecutive months of job growth. Headline inflation remained healthy at 1.9%, near the Fed’s 2% target. The Federal Reserve raised rates in January 2018.

Sources: Bureau of Economic Analysis, U.S. Census Bureau, Federal Reserve Board, NCREIF, Cushman and Wakefield, Real Capital Analytics, Bloomberg LP., Preqin, University of Michigan

Source: NCREIF

Source: NCREIF

4

5

6

7

8

9

10

20

00

20

01

20

02

20

03

20

04

20

05

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

20

17

Current Value Cap Rates by Property Type

Apartment Industrial Office Retail

-15

-10

-5

0

5

10

15

20

20

00

20

01

20

02

20

03

20

04

20

05

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

20

17

4-Qtr Rolling NOI Growth By Property Type

Apartment Industrial Office Retail

16

INDUSTRIAL MULTIFAMILY

• As of 3Q17, Industrial properties returned 3.3% and outperformed the NPI by 159 bps.

• Demand continues to outpace new supply as evident by year-to-date absorption. 165.6 million SF has been absorbed while 161.0 million SF of new product has been delivered to market over that same time period.

• With 221.2 million SF of new inventory currently under construction, preleasing has remained strong with a rate of 54.2% for new deliveries.

• Developer confidence remains robust illustrated by 70.0% of projects being developed on a speculative basis over the past several quarters.

• Rents increased 5.3% on an annualized basis to $5.40 per SF, with 79% of US markets experiencing rental rate increases.

• Construction deliveries increased 10 bps quarter-over-quarter to what is expected to be the cycle peak of 115,000 units, or 1.5% of supply

• The increased level of deliveries resulted in a national vacancy rate of 5.2%. This represents a 30 bps softening on a year-over-year basis.

• Despite the increased level of deliveries, net absorption increased 20 bps to 1.3% of supply.

• Annualized rent growth was 2.4%, representing 140 bps reduction when compared year-over-year.

• The apartment sector delivered a 1.7% return during the Quarter, underperforming the NPI by 4 bps

OFFICE RETAIL

• The Office sector returned 1.4% in 3Q17, 30 bps below the NPI. • Leasing activity totaled 62.4 million SF, an increase of 11.1% when compared to the

previous quarter. This can be attributed to leases in excess of 250,000 SF representing 17.5% of third quarter transactions.

• Rents are up 2.7% year-over-year, slower than the pace experienced in the previous quarter. High-quality new supply remains in high demand, commanding a 41.6% premium.

• As new supply continues to enter the market, vacancy rose for a fourth consecutive quarter to 15.0%. CBD and Class A office vacancy stand at 12.5% and 14.8%, respectively.

• Completions are beginning to surpass groundbreakings, resulting in slowly declining development activity. Current activity stands at 101.4 million SF, remaining near cyclical highs. Year-to-date, 46.5 million SF has been delivered with 2017 totals estimated to reach 69.2 million SF.

• Vacancy is continuing to show a widening margin when comparing quality of assets.

Total vacancy stands at 4.2% with top-tier malls experiencing 2.7% vacancy, while second-tier malls standing at 6.0%.

• Despite the increased number of closure announcements, move-ins continue to exceed move-outs. Net absorption totaled 9.9 million SF in the third quarter, bringing the year-to-date figure to 40.1 million SF.

• Constructions activity continues to decline, declining 14.4% year-over-year to 72.1 million SF. Total retail deliveries also declined by 19.8% year-over-year to 14.5 million SF.

• As of 3Q17, the retail sector delivered a quarterly return of 1.2%, performing 49 bps below the NPI.

United States Property Matrix (3Q17)

Sources: Real Capital Analytics, Bloomberg LP, Green Street, US Census Bureau, NCREIF, Jones Lang LaSalle, REIS, Cushman and Wakefield

17

capital in a market short of product, which will drive investors to consider non-traditional channels to access real estate. London maintained its top global investment position, followed by Los Angeles and New York in second and third place, respectively.

EUROPE European investment increased 24% y/y in 3Q 2017, for a total year-to-date

volume of $183 billion. German and Dutch markets continued to be strong with investment volumes increasing year-to-date by 9% and 115%, respectively. This performance was partially offset by y/y declines in France, Sweden, and Poland, with decreases of 17%, 17%, and 8%, respectively. The U.K. is demonstrating a recovery from a year with performance affected by the uncertainty regarding Brexit, with year-to-date volumes up 28%. The Nordic markets’ investment volumes continued to increase, with a 76% rise in Q3 and 22% year-to-date increase as compared to the same period last year. Investment activity in Southern Europe was strong with a 21% year-to-date increase y/y, despite a 24% decrease in Spain in Q3.

ASIA Asia Pacific year-to-date investment volumes were $97 billion, a 12% increase

as compared to the same period last year. Japan’s transactions came in at $6.9 billion in Q3, a 20% decrease y/y due to fewer large deals. The domestic buyers continued to dominate the Japanese market, comprising 80% of total transactions. Australia demonstrated strong performance, with volumes increasing 18% y/y for a total of $6.8 billion in Q3. While China contributed $8.4 billion to investment volumes in Q3, this was a 14% decrease y/y, largely due to domestic investors showing caution before China’s Party Congress in October 2017 and Chinese banks being more cautious with lending.

Global Real Estate Market Update (3Q17)

GLOBAL

Global investment activity remained strong during 3Q 2017 totaling $165 billion, unchanged from 3Q 2016 levels. Despite continued geopolitical tensions and potential rising interest rates, the global real estate market was stable. There will likely be volume growth constraints in 2018 due to late-cycle caution and challenges of deploying

Sources: Jones Lang LaSalle Research, Bloomberg LP

Direct Commercial Real Estate Investment - Regional Volumes, 2016 - 2017

$ US Billions Q2 2017 Q3 2017

% Change

Q2 17 - Q3 17 Q3 2016

% Change

Q3 16 - Q3 17 YTD 2016 YTD 2017

% Change

YTD 16 - YTD 17

Americas 64 62 -3% 77 -19% 207 184 -11%

EMEA 60 69 15% 56 23% 161 183 14%

Asia Pacific 33 35 6% 33 6% 87 97 11%

Total 157 166 6% 166 0% 455 464 2%

Source: Jones Lang LaSalle, October 2017

Global Outlook - GDP (Real) Growth % pa, 2016-2018

2016 2017 2018

Global 3.1 3.6 3.7

Asia Pacific 5.5 5.5 5.4

Australia 2.5 2.2 2.3

China 6.7 6.8 6.2

India 7.9 6.5 7.5

Japan 1.0 1.7 1.6

North America 0.7 1.9 2.4

US 1.6 2.2 2.4

MENA* 4.5 2.1 3.1

European Union 2.0 2.5 2.1

France 1.1 1.7 1.8

Germany 1.8 2.1 2.0

UK 1.8 1.5 1.5*Middle East North Africa

Source: Jones Lang LaSa l le (Oxford Economics ), October 2017

18

Appendix C: Definitions

New Mexico State Investment Council

DEFINITIONS: Townsend classifies risk into two main groups – Strategic Core and Tactical Non-Core Real Estate. Within Tactical Non-Core we utilize the sub-categories of Value-Added and Opportunistic. The definitions of these classifications for the NMSIC’s program are noted below:

Strategic Core – Operating and substantially leased (typically 80% or higher at the time of acquisition) properties; typically included in this category are the traditional asset types including office, retail, industrial, and multifamily residential, although as the real estate asset class matures, we are beginning to see alternative property types being included in this category (e.g., hotels, self-storage). Leverage is usually limited to less than 30% of value although in some instances, leverage can be as high as 50%.

Tactical Non-Core – Consists of both Value-Added and Opportunistic Return strategies and includes leasing and/or development risk, asset repositioning, distressed assets, and/or specialty property types; NMSIC’s program allows for an international component up to 30% of the real estate program. Tactical Non-Core investments can be made through a variety of structures.

– Value-Added – Properties that take on moderate additional risk from one or more of the following sources: leasing, redevelopment, repositioning, and require certain specialized operating expertise. Leverage is usually limited to less than 50% of value although in some instances, leverage can be as high as 65%.

– Opportunistic – Investments include direct real estate assets (such as development or major redevelopment of office, retail, industrial, residential or specialized property types). Other forms of investment are also included such as land plays, operating companies, distressed debt/properties, and other specialized investments (e.g., brown fields). Leverage is usually 75% of value or greater.

– Credit – Investments include debt focused strategies with real estate serving as collateral. Typical investments include mezzanine financing, recapitalizations, legacy debt instruments, listed debt securities, and preferred equity.

20

New Mexico State Investment Council

DEFINITIONS (CONTINUED):

TOWNSEND PORTFOLIO WEIGHTED INDEX

This Index is a combination of the equal weighted ODCE, Townsend Value Added Fund Index, Townsend Opportunistic Return Fund Index. The equal weighted Index provides a comparison of the investable universe since the NMSIC initiated its real estate portfolio.

THE NCREIF PROPERTY INDEX (NPI)

The NCREIF Property Index represents data collected from the Data Contributing Members of the National Council of Real Estate Investment Fiduciaries (NCREIF). The NPI is an unlevered domestic index, gross of fees, that aggregates the returns of over 7,000 privately owned institutional investment properties valued at over $500 billion. All properties have been acquired, at least in part, on behalf of tax-exempt institutions and held in a fiduciary environment. The properties are wholly owned and joint venture investments consisting of operating properties only – no development projects. It is not possible for investors to invest in or duplicate the NPI.

NFI-ODCE

The NFI-ODCE, like the NCREIF Property Index and other stock and bond indices, is a capitalization-weighted index based on each fund’s Net Invested Capital. The NFI-ODCE is a gross of fee and net of fee time-weighted return index consisting of Open-end Core Funds. Open-end Funds are defined as infinite-life vehicles consisting of multiple investors who have the ability to enter or exit the fund on a periodic basis, subject to contribution and/or redemption requests, thereby providing a degree of potential investment liquidity.

We believe that given the inherent valuation lag and lack of leverage in the NPI that the Townsend Indices provide the proper comparison to Investors’ Real Estate Portfolios. The composition of these respective Indices represents the investable universe of funds in each sector and includes leverage.

21

New Mexico State Investment Council

DEFINITIONS (CONTINUED):

INTERNAL RATE OF RETURN (“IRR”)

IRR is the average rate earned by each and every dollar invested during the period. This rate is influenced not only by movements in financial markets and decisions made by portfolio managers, but also by the timing and size of cash inflows and outflows and the beginning and ending market values.

TIME-WEIGHTED RETURN (“TWR”)

A rate-of-return measure of portfolio performance that gives equal weight to each period regardless of any differences in amounts invested in each period. TWR are designed to eliminate the effect that the size and timing of cash flows has on the IRR since the pattern of cash flows varies significantly among funds.

22

New Mexico State Investment Council

DEFINITIONS (CONTINUED):

*Frontier is comprised of 151 countries mainly consisting of other developing countries not listed in the Emerging regions as well as Third World countries.

Developed

Americas

(2)

Developed Europe

(21)

Developed Asia

(5)

Developed Middle

East and Africa

(1)

Emerging

Americas

(6)

Emerging Europe

(5)

Emerging Asia

(8)

Emerging Middle

East and Africa

(3)

Frontier*

(151)

United States Austria Austra l ia Is rael Brazi l Czech Republ ic China Egypt Other Developing

Canada Belgium Hong Kong Chi le Hungary India South Africa and Third World

Denmark Japan Colombia Morocco Indones ia Turkey countires

England New Zealand Mexico Poland South Korea

Finland Singapore Peru Russ ia Malays ia

France Puerto Rico Phi l ippines

Germany Taiwan

Greece Thai land

Ireland

Ita ly

Luxembourg

Netherlands

Northern Ireland

Norway

Portugal

Scotland

Spain

Sweden

Switzerland

United Kingdom

Wales

Geographic Diversification

23

Appendix D: 3Q 2017 Flash Report

2,610,775,904 12.0% 1,947,901,912 9.0% 511,456,564 2.4% 151,417,428 0.7%

TGRS TNET TGRS TNET TGRS TNET TGRS TNET2.7 2.3 9.9 8.0 13.6 11.3 14.2 11.6

1.9 1.6 7.7 6.7 10.8 9.8 11.6 10.6

Funding Status ($)Investment

Vintage YearCommitment

AmountFundedAmount

UnfundedCommitments

CapitalReturned

MarketValue

MarketValue (%)

Market Value+ Unfunded

Commitments (%)

Berkshire Multifamily Income Realty Fund 2015 75,000,000 79,123,713 0 4,117,104 93,709,306 4.8 3.8

Heitman HART 2012 75,000,000 75,812,582 0 15,293,414 106,083,470 5.4 4.3

Invesco Real Estate Asia Fund 2016 150,000,000 150,983,214 0 4,557,448 158,794,623 8.2 6.5

Jamestown Premier Property Fund 2012 102,000,000 93,362,184 28,989,587 40,548,005 116,922,500 6.0 5.9

Lion Industrial Trust - 2007 2012 85,000,000 95,419,023 0 12,429,653 129,855,104 6.7 5.3

PRISA LP 2011 175,000,000 184,899,176 0 35,990,110 259,102,746 13.3 10.5

UBS Trumbull Property Fund 2013 150,000,000 150,000,000 0 18,728,256 184,367,852 9.5 7.5

USAA Eagle Real Estate Fund 2013 100,000,000 95,336,672 4,663,328 0 139,502,603 7.2 5.9

Strategic Core Investments 2011 912,000,000 924,936,564 33,652,915 131,663,990 1,188,338,204 61.0 49.7

AG Core Plus Realty Fund 2004 50,000,000 47,500,000 2,500,000 71,961,304 226,711 0.0 0.1

AG Core Plus Realty Fund II 2007 50,000,000 47,250,000 2,750,000 61,526,979 1,819,767 0.1 0.2

AG Core Plus Realty Fund III 2011 100,000,000 100,000,000 5,000,000 133,634,804 34,840,777 1.8 1.6

AG Core Plus Realty Fund IV 2015 75,000,000 31,500,000 43,500,000 644,702 34,622,120 1.8 3.2

Almanac Realty Securities VI 2012 50,000,000 30,951,138 7,500,000 23,420,342 20,062,321 1.0 1.1

Almanac Realty Securities VII 2015 50,000,000 20,790,373 30,204,189 2,608,226 21,841,938 1.1 2.1

American Value Partners Fund I 2007 50,000,000 37,852,856 12,147,144 30,361,896 9,153,706 0.5 0.9

Asana Partners Fund I 2017 75,000,000 28,153,077 46,846,923 0 29,594,575 1.5 3.1

Berkshire Multifamily Value Plus Fund III 2013 50,000,000 51,703,459 1,001,450 36,204,127 42,025,391 2.2 1.7

Berkshire Multifamily Value Plus Fund IV 2017 75,000,000 23,648,948 26,351,052 0 24,636,134 1.3 2.1

Cypress Acquisition Partners Retail Fund 2013 50,000,000 52,530,916 5,915,728 14,121,516 52,431,006 2.7 2.4

Exeter Industrial Value Fund III 2014 35,000,000 33,949,363 1,050,637 6,013,845 38,394,536 2.0 1.6

Exeter Industrial Value Fund IV 2017 42,000,000 4,200,000 37,800,000 0 3,872,619 0.2 1.7

Place / BV Student Housing Fund 2007 50,000,000 50,000,000 0 24,248,568 23,516,912 1.2 1.0

SIC/Leed, LLC 2005 0 10,221,674 0 9,999,155 15,729,190 0.8 0.6

Strategic Partners Value Enhancement Fund 2006 38,125,000 38,225,238 0 42,704,501 0 0.0 0.0

Trammell Crow Investment Fund II 2007 150,000,000 147,763,060 2,236,942 83,679,368 374,647 0.0 0.1

Tactical Value-Added Investments 2004 990,125,000 756,240,102 224,804,065 541,129,333 353,142,350 18.1 23.5

AG Realty Fund VII 2007 75,000,000 70,500,000 4,500,000 100,215,580 8,140,886 0.4 0.5

ARES European Real Estate Fund IV 2014 75,000,000 63,970,574 20,466,692 27,565,193 45,641,955 2.3 2.7

Blackstone Real Estate Partners Asia 2014 50,000,000 38,540,865 23,416,066 15,383,691 34,067,465 1.7 2.3

Blackstone Real Estate Partners VII 2012 75,000,000 82,376,581 11,062,101 56,898,338 71,221,597 3.7 3.3

Blackstone Real Estate Partners VIII 2015 75,000,000 40,851,081 45,278,583 11,844,550 37,946,017 1.9 3.4

CIM Real Estate Fund III 2007 50,000,000 53,784,764 0 63,648,201 27,669,946 1.4 1.1

Harrison Street Real Estate Partners IV 2013 50,000,000 46,716,667 12,551,432 26,932,937 33,434,564 1.7 1.9

Landmark Real Estate Fund V 2005 75,000,000 62,758,583 11,444,490 38,131,623 8,222,306 0.4 0.8

Paladin Realty Latin America Investors II 2006 25,000,000 25,040,019 0 13,402,286 4,721,877 0.2 0.2

Perella Weinberg Real Estate Fund II LP 2013 65,547,981 39,416,738 20,790,197 9,276,856 38,269,515 2.0 2.4

Rockpoint Real Estate Fund IV 2012 50,000,000 51,883,512 0 43,691,643 24,360,120 1.3 1.0

Tactical Opportunistic Investments 2005 665,547,981 575,839,384 149,509,561 406,990,898 333,696,248 17.1 19.6

Brookfield Real Estate Finance IV 2014 75,000,000 65,691,344 20,252,663 38,366,697 35,837,945 1.8 2.3

M&G Real Estate Debt Fund II 2013 23,008,275 15,371,684 7,758,490 7,650,195 8,517,884 0.4 0.7

M&G Real Estate Debt Fund III 2013 12,656,174 10,468,386 3,125,238 5,889,643 4,647,380 0.2 0.3

Pramerica Real Estate Capital VI (PRECap VI) 2016 100,516,944 53,862,274 72,353,632 31,616,896 23,721,901 1.2 3.9

Tactical Credit 2014 211,181,393 145,393,688 103,490,023 83,523,431 72,725,110 3.7 7.2

Total Tactical 2004 1,866,854,374 1,477,473,174 477,803,649 1,031,643,662 759,563,708 39.0 50.3

Total Current Portfolio

New Mexico State Investment Council 2004 2,778,854,374 2,402,409,738 511,456,564 1,163,307,652 1,947,901,912 100.0 100.0

21,756,465,863

New Mexico State Investment Council

New Mexico State Investment Council Real Estate

Third Quarter 2017Portfolio Composition ($)

Total Plan Assets Allocation Market Value Unfunded Commitments Remaining Allocation

5 Year (%)Performance Summary Quarter (%) 1 Year (%) 3 Year (%)

NCREIF Fund Index – Open End Diversified Core Equity “NFI-ODCE Value Weight”

Strategic Core Investments

Tactical Value-Added Investments

Tactical Opportunistic Investments

Tactical Credit

INC APP TGRS TNET INC APP TGRS TNET INC APP TGRS TNET INC APP TGRS TNET TGRS TNET

Strategic Core InvestmentsBerkshire Multifamily Income Realty Fund 93,709,306 1.1 0.8 1.8 1.7 4.1 3.0 7.2 6.4 8.1 7.3 1Q16 12.5 1.2Heitman HART 106,083,470 1.1 0.9 2.0 1.8 4.6 2.8 7.5 6.5 4.8 5.8 10.8 9.8 11.9 10.9 1Q13 11.3 1.6Invesco Real Estate Asia Fund 158,794,623 0.9 2.3 3.2 3.0 4.7 0.0 4.7 3.7 4.7 3.7 4Q16 13.7 1.1Jamestown Premier Property Fund 116,922,500 1.2 0.4 1.7 1.5 4.7 1.8 6.6 5.2 4.7 8.1 13.1 10.4 4.7 10.1 15.1 12.1 17.0 13.8 1Q12 12.8 1.7Lion Industrial Trust - 2007 129,855,104 1.4 2.2 3.6 3.1 5.5 9.7 15.6 13.4 5.7 9.9 16.0 13.7 5.8 9.7 16.0 13.6 16.0 13.6 3Q12 13.5 1.5PRISA LP 259,102,746 1.1 1.1 2.3 2.1 4.6 3.4 8.1 7.2 4.8 6.1 11.1 10.3 4.8 6.6 11.6 10.9 12.1 11.3 2Q11 11.1 1.4UBS Trumbull Property Fund 184,367,852 1.1 0.3 1.5 1.3 4.6 0.8 5.4 4.4 4.8 4.0 9.0 7.9 9.4 8.5 4Q13 8.6 1.4USAA Eagle Real Estate Fund 139,502,603 0.9 0.6 1.4 1.3 4.1 3.8 8.0 7.4 4.2 9.3 13.8 12.7 15.5 14.3 3Q13 13.1 1.5Strategic Core Investments 1,188,338,204 1.1 1.1 2.2 2.0 4.6 4.0 8.7 7.6 4.8 7.2 12.2 10.9 4.9 8.0 13.1 11.7 13.8 12.4 2Q11 11.4 1.4

Tactical Value-Added InvestmentsAG Core Plus Realty Fund 226,711 -1.3 0.0 -1.3 -1.1 -8.6 0.0 -8.6 -7.3 -0.5 6.2 6.0 5.0 2.0 1.6 3.9 2.8 8.6 6.5 3Q04 17.5 1.5AG Core Plus Realty Fund II 1,819,767 -0.5 -4.9 -5.4 -4.9 -0.7 -10.8 -11.5 -10.8 7.4 -1.7 6.1 3.9 7.1 5.7 13.4 8.8 8.9 5.9 4Q07 8.3 1.3AG Core Plus Realty Fund III 34,840,777 0.1 -1.5 -1.4 -1.4 2.5 0.0 2.5 1.0 5.1 20.7 26.5 21.2 6.3 19.3 26.5 21.0 23.3 18.6 4Q11 21.7 1.7AG Core Plus Realty Fund IV 34,622,120 1.5 2.9 4.4 3.7 5.1 9.0 14.5 11.7 10.6 7.3 1Q16 9.4 1.1Almanac Realty Securities VI 20,062,321 1.9 -3.0 -1.1 -1.3 7.5 0.4 7.9 7.1 6.9 8.5 15.8 14.4 17.0 14.8 1Q13 15.7 1.4Almanac Realty Securities VII 21,841,938 2.0 3.1 5.1 4.3 9.4 7.7 17.7 13.8 16.9 11.3 3Q15 11.8 1.2American Value Partners Fund I 9,153,706 2.5 -1.8 0.7 0.2 -3.3 2.4 -0.3 -2.1 9.9 -1.7 8.5 6.5 8.2 1.7 10.3 8.4 -28.0 -33.2 1Q08 0.8 1.0Asana Partners Fund I 29,594,575 -0.4 7.8 7.4 6.2 9.7 6.3 2Q17 15.7 1.1Berkshire Multifamily Value Plus Fund III 42,025,391 0.7 2.7 3.3 2.5 2.2 10.0 12.4 9.1 1.8 15.4 17.4 13.1 17.7 13.1 2Q13 13.1 1.5Berkshire Multifamily Value Plus Fund IV 24,636,134 4Q17 54.6 1.0Cypress Acquisition Partners Retail Fund 52,431,006 1.2 1.1 2.3 1.6 1.2 12.7 14.0 10.1 2.7 9.7 12.6 8.3 19.9 14.9 3Q13 12.6 1.3Exeter Industrial Value Fund III 38,394,536 1.7 2.1 3.8 2.9 8.1 15.4 24.4 18.5 10.2 12.1 23.2 16.3 23.2 16.3 4Q14 17.3 1.3Exeter Industrial Value Fund IV 3,872,619 4Q17 -94.8 0.9Place / BV Student Housing Fund 23,516,912 0.3 0.0 0.3 0.3 -0.8 -10.8 -10.6 -11.0 2.0 0.3 2.7 1.6 0.7 3.1 4.4 3.1 0.8 -1.6 2Q07 -0.5 1.0SIC/Leed, LLC 15,729,190 3.7 -0.8 2.9 2.9 17.7 -3.2 14.0 14.0 17.5 -3.4 13.6 13.6 16.8 -5.7 10.4 10.3 10.8 10.7 3Q05 10.6 2.5Strategic Partners Value Enhancement Fund 0 0.0 0.0 0.0 0.0 -15.5 -19.3 -33.4 -33.4 5.4 -4.9 -0.1 -0.5 5.4 -4.4 0.7 -0.1 1.3 -0.8 1Q07 1.6 1.1Trammell Crow Investment Fund II 374,647 -21.8 21.0 -0.8 -1.3 -58.7 92.3 -6.8 -8.7 -49.8 63.3 -6.9 -8.6 -32.5 33.9 -1.9 -3.3 -5.9 -7.5 3Q07 -12.2 0.6Tactical Value-Added Investments 353,142,350 1.2 1.7 2.8 2.1 3.7 5.7 9.6 6.6 5.5 11.5 17.4 13.7 5.3 10.0 15.7 12.2 9.0 5.9 3Q04 3.8 1.2

Tactical Opportunistic InvestmentsAG Realty Fund VII 8,140,886 -1.0 19.1 18.1 14.4 9.7 -13.5 -4.1 -3.8 20.9 -19.1 -0.6 -1.2 13.8 -0.5 14.2 10.0 12.7 8.7 1Q08 13.2 1.5ARES European Real Estate Fund IV 45,641,955 0.0 2.5 2.6 2.0 2.8 24.4 27.6 23.5 23.7 15.3 1Q15 12.9 1.1Blackstone Real Estate Partners Asia 34,067,465 0.1 3.6 3.7 2.4 0.1 21.9 22.0 14.7 0.3 27.5 27.9 18.5 26.4 16.7 3Q14 17.3 1.3Blackstone Real Estate Partners VII 71,221,597 1.2 7.7 9.0 7.0 4.0 12.8 17.2 12.7 4.2 12.8 17.4 12.7 3.3 22.5 26.3 18.9 26.3 18.9 4Q12 17.3 1.6Blackstone Real Estate Partners VIII 37,946,017 0.2 4.5 4.6 3.0 0.9 22.2 23.3 14.9 26.5 16.9 4Q15 17.8 1.2CIM Real Estate Fund III 27,669,946 0.3 -0.1 0.2 -0.2 10.3 -4.8 5.8 4.2 8.1 -2.3 7.3 6.0 6.2 4.5 11.9 10.6 1Q08 10.2 1.7Harrison Street Real Estate Partners IV 33,434,564 1.6 0.7 2.3 2.0 5.5 7.3 13.0 11.7 7.9 9.4 17.6 15.7 12.8 10.2 4Q13 10.9 1.3Landmark Real Estate Fund V 8,222,306 -0.4 3.9 3.4 3.2 -1.4 7.5 6.0 5.1 0.1 1.9 2.0 1.3 0.6 7.2 7.8 6.9 4.3 3.8 3Q05 -5.3 0.7Paladin Realty Latin America Investors II 4,721,877 0.3 -15.2 -14.9 -15.4 0.5 -25.1 -24.7 -25.3 3.7 -23.3 -20.1 -22.1 6.3 -18.2 -12.6 -14.9 -3.7 -10.4 1Q07 -5.8 0.7Perella Weinberg Real Estate Fund II LP 38,269,515 -0.1 3.2 3.1 4.5 -0.3 19.7 19.3 17.6 -0.8 20.7 19.9 15.9 12.2 0.0 1Q14 9.5 1.2Rockpoint Real Estate Fund IV 24,360,120 4.0 -2.2 1.9 1.5 4.6 -0.3 4.4 3.0 2.9 11.6 14.9 13.3 22.0 18.2 1Q13 18.9 1.3Tactical Opportunistic Investments 333,696,248 0.8 3.3 4.0 3.2 3.9 10.4 14.6 11.2 5.3 8.7 14.4 10.8 4.1 12.0 16.5 12.1 6.6 3.6 2Q05 2.7 1.1

Tactical CreditBrookfield Real Estate Finance IV 35,837,945 2.7 0.0 2.7 2.0 11.7 0.0 11.7 8.7 15.0 11.4 1Q15 10.1 1.1M&G Real Estate Debt Fund II 8,517,884 2.8 2.7 5.5 5.1 11.6 3.1 14.9 13.2 11.1 -6.3 4.3 2.7 4.8 3.1 1Q14 2.7 1.1M&G Real Estate Debt Fund III 4,647,380 2.4 1.7 4.1 3.9 8.6 2.2 10.9 9.9 8.2 -6.2 1.7 0.6 0.6 -0.5 2Q14 0.4 1.0Pramerica Real Estate Capital VI (PRECap VI) 23,721,901 1.5 4.6 6.1 5.9 3.7 2.2 6.0 4.9 6.4 4.0 3Q16 4.2 1.0Tactical Credit 72,725,109 2.3 1.8 4.1 3.6 8.9 0.7 9.7 7.6 12.8 -2.0 10.6 7.4 9.1 6.2 1Q14 6.5 1.1

Total Tactical 759,563,707 1.1 2.4 3.5 2.8 4.4 7.1 11.8 8.7 5.9 9.2 15.5 11.8 5.1 10.1 15.6 11.7 7.8 4.7 3Q04 3.3 1.1

Total PortfolioNew Mexico State Investment Council 1,947,901,911 1.1 1.6 2.7 2.3 4.5 5.2 9.9 8.0 5.3 8.0 13.6 11.3 5.0 8.9 14.2 11.6 7.4 4.8 3Q04 5.7 1.2

IndicesNCREIF Fund Index – Open End Diversified Core Equity “NFI-ODCE Value Weight” 1.1 0.8 1.9 1.6 4.4 3.2 7.7 6.7 4.6 6.0 10.8 9.8 4.8 6.5 11.6 10.6 8.1 7.1 3Q04NCREIF Property Index "NPI" 1.1 0.6 1.7 4.7 2.2 6.9 4.9 4.8 9.8 5.1 5.0 10.3 8.9 3Q04FTSE EPRA/NAREIT Developed Index in USD 1.8 1.5 6.8 7.6 8.0 3Q04

NetIRR

EquityMultiple

New Mexico State Investment Council Real Estate

Third Quarter 2017

Returns (%)Market Value

($)

Quarter 1 Year 3 Year 5 Year Inception TWR CalculationInception

INC APP TGRS TNET INC APP TGRS TNET INC APP TGRS TNET INC APP TGRS TNET TGRS TNET

Legacy PortfolioAG Core Plus Realty Fund 226,711 -1.3 0.0 -1.3 -1.1 -8.6 0.0 -8.6 -7.3 -0.5 6.2 6.0 5.0 2.0 1.6 3.9 2.8 8.6 6.5 3Q04 17.5 1.5AG Core Plus Realty Fund II 1,819,767 -0.5 -4.9 -5.4 -4.9 -0.7 -10.8 -11.5 -10.8 7.4 -1.7 6.1 3.9 7.1 5.7 13.4 8.8 8.9 5.9 4Q07 8.3 1.3AG Realty Fund VII 8,140,886 -1.0 19.1 18.1 14.4 9.7 -13.5 -4.1 -3.8 20.9 -19.1 -0.6 -1.2 13.8 -0.5 14.2 10.0 12.7 8.7 1Q08 13.2 1.5American Value Partners Fund I 9,153,706 2.5 -1.8 0.7 0.2 -3.3 2.4 -0.3 -2.1 9.9 -1.7 8.5 6.5 8.2 1.7 10.3 8.4 -28.0 -33.2 1Q08 0.8 1.0CIM Real Estate Fund III 27,669,946 0.3 -0.1 0.2 -0.2 10.3 -4.8 5.8 4.2 8.1 -2.3 7.3 6.0 6.2 4.5 11.9 10.6 1Q08 10.2 1.7Landmark Real Estate Fund V 8,222,306 -0.4 3.9 3.4 3.2 -1.4 7.5 6.0 5.1 0.1 1.9 2.0 1.3 0.6 7.2 7.8 6.9 4.3 3.8 3Q05 -5.3 0.7Paladin Realty Latin America Investors II 4,721,877 0.3 -15.2 -14.9 -15.4 0.5 -25.1 -24.7 -25.3 3.7 -23.3 -20.1 -22.1 6.3 -18.2 -12.6 -14.9 -3.7 -10.4 1Q07 -5.8 0.7Place / BV Student Housing Fund 23,516,912 0.3 0.0 0.3 0.3 -0.8 -10.8 -10.6 -11.0 2.0 0.3 2.7 1.6 0.7 3.1 4.4 3.1 0.8 -1.6 2Q07 -0.5 1.0SIC/Leed, LLC 15,729,190 3.7 -0.8 2.9 2.9 17.7 -3.2 14.0 14.0 17.5 -3.4 13.6 13.6 16.8 -5.7 10.4 10.3 10.8 10.7 3Q05 10.6 2.5Strategic Partners Value Enhancement Fund 0 0.0 0.0 0.0 0.0 -15.5 -19.3 -33.4 -33.4 5.4 -4.9 -0.1 -0.5 5.4 -4.4 0.7 -0.1 1.3 -0.8 1Q07 1.6 1.1Trammell Crow Investment Fund II 374,647 -21.8 21.0 -0.8 -1.3 -58.7 92.3 -6.8 -8.7 -49.8 63.3 -6.9 -8.6 -32.5 33.9 -1.9 -3.3 -5.9 -7.5 3Q07 -12.2 0.6Legacy Portfolio 99,575,948 0.7 0.5 1.2 0.8 5.0 -6.5 -1.5 -2.4 7.8 -3.6 4.3 3.0 6.5 0.4 7.1 5.4 4.8 2.5 3Q04 -0.4 1.0

New Portfolio 2011 InceptionAG Core Plus Realty Fund III 34,840,777 0.1 -1.5 -1.4 -1.4 2.5 0.0 2.5 1.0 5.1 20.7 26.5 21.2 6.3 19.3 26.5 21.0 23.3 18.6 4Q11 21.7 1.7AG Core Plus Realty Fund IV 34,622,120 1.5 2.9 4.4 3.7 5.1 9.0 14.5 11.7 10.6 7.3 1Q16 9.4 1.1Almanac Realty Securities VI 20,062,321 1.9 -3.0 -1.1 -1.3 7.5 0.4 7.9 7.1 6.9 8.5 15.8 14.4 17.0 14.8 1Q13 15.7 1.4Almanac Realty Securities VII 21,841,938 2.0 3.1 5.1 4.3 9.4 7.7 17.7 13.8 16.9 11.3 3Q15 11.8 1.2ARES European Real Estate Fund IV 45,641,955 0.0 2.5 2.6 2.0 2.8 24.4 27.6 23.5 23.7 15.3 1Q15 12.9 1.1Asana Partners Fund I 29,594,575 -0.4 7.8 7.4 6.2 9.7 6.3 2Q17 15.7 1.1Berkshire Multifamily Income Realty Fund 93,709,306 1.1 0.8 1.8 1.7 4.1 3.0 7.2 6.4 8.1 7.3 1Q16 12.5 1.2Berkshire Multifamily Value Plus Fund III 42,025,391 0.7 2.7 3.3 2.5 2.2 10.0 12.4 9.1 1.8 15.4 17.4 13.1 17.7 13.1 2Q13 13.1 1.5Berkshire Multifamily Value Plus Fund IV 24,636,134 4Q17 54.6 1.0Blackstone Real Estate Partners Asia 34,067,465 0.1 3.6 3.7 2.4 0.1 21.9 22.0 14.7 0.3 27.5 27.9 18.5 26.4 16.7 3Q14 17.3 1.3Blackstone Real Estate Partners VII 71,221,597 1.2 7.7 9.0 7.0 4.0 12.8 17.2 12.7 4.2 12.8 17.4 12.7 3.3 22.5 26.3 18.9 26.3 18.9 4Q12 17.3 1.6Blackstone Real Estate Partners VIII 37,946,017 0.2 4.5 4.6 3.0 0.9 22.2 23.3 14.9 26.5 16.9 4Q15 17.8 1.2Brookfield Real Estate Finance IV 35,837,945 2.7 0.0 2.7 2.0 11.7 0.0 11.7 8.7 15.0 11.4 1Q15 10.1 1.1Cypress Acquisition Partners Retail Fund 52,431,006 1.2 1.1 2.3 1.6 1.2 12.7 14.0 10.1 2.7 9.7 12.6 8.3 19.9 14.9 3Q13 12.6 1.3Exeter Industrial Value Fund III 38,394,536 1.7 2.1 3.8 2.9 8.1 15.4 24.4 18.5 10.2 12.1 23.2 16.3 23.2 16.3 4Q14 17.3 1.3Exeter Industrial Value Fund IV 3,872,619 4Q17 -94.8 0.9Harrison Street Real Estate Partners IV 33,434,564 1.6 0.7 2.3 2.0 5.5 7.3 13.0 11.7 7.9 9.4 17.6 15.7 12.8 10.2 4Q13 10.9 1.3Heitman HART 106,083,470 1.1 0.9 2.0 1.8 4.6 2.8 7.5 6.5 4.8 5.8 10.8 9.8 11.9 10.9 1Q13 11.3 1.6Invesco Real Estate Asia Fund 158,794,623 0.9 2.3 3.2 3.0 4.7 0.0 4.7 3.7 4.7 3.7 4Q16 13.7 1.1Jamestown Premier Property Fund 116,922,500 1.2 0.4 1.7 1.5 4.7 1.8 6.6 5.2 4.7 8.1 13.1 10.4 4.7 10.1 15.1 12.1 17.0 13.8 1Q12 12.8 1.7Lion Industrial Trust - 2007 129,855,104 1.4 2.2 3.6 3.1 5.5 9.7 15.6 13.4 5.7 9.9 16.0 13.7 5.8 9.7 16.0 13.6 16.0 13.6 3Q12 13.5 1.5M&G Real Estate Debt Fund II 8,517,884 2.8 2.7 5.5 5.1 11.6 3.1 14.9 13.2 11.1 -6.3 4.3 2.7 4.8 3.1 1Q14 2.7 1.1M&G Real Estate Debt Fund III 4,647,380 2.4 1.7 4.1 3.9 8.6 2.2 10.9 9.9 8.2 -6.2 1.7 0.6 0.6 -0.5 2Q14 0.4 1.0Perella Weinberg Real Estate Fund II LP 38,269,515 -0.1 3.2 3.1 4.5 -0.3 19.7 19.3 17.6 -0.8 20.7 19.9 15.9 12.2 0.0 1Q14 9.5 1.2Pramerica Real Estate Capital VI (PRECap VI) 23,721,901 1.5 4.6 6.1 5.9 3.7 2.2 6.0 4.9 6.4 4.0 3Q16 4.2 1.0PRISA LP 259,102,746 1.1 1.1 2.3 2.1 4.6 3.4 8.1 7.2 4.8 6.1 11.1 10.3 4.8 6.6 11.6 10.9 12.1 11.3 2Q11 11.1 1.4Rockpoint Real Estate Fund IV 24,360,120 4.0 -2.2 1.9 1.5 4.6 -0.3 4.4 3.0 2.9 11.6 14.9 13.3 22.0 18.2 1Q13 18.9 1.3UBS Trumbull Property Fund 184,367,852 1.1 0.3 1.5 1.3 4.6 0.8 5.4 4.4 4.8 4.0 9.0 7.9 9.4 8.5 4Q13 8.6 1.4USAA Eagle Real Estate Fund 139,502,603 0.9 0.6 1.4 1.3 4.1 3.8 8.0 7.4 4.2 9.3 13.8 12.7 15.5 14.3 3Q13 13.1 1.5New Portfolio 2011 Inception 1,848,325,963 1.1 1.7 2.8 2.4 4.4 6.3 10.9 8.9 4.8 9.8 14.9 12.4 4.7 10.9 16.0 13.2 15.7 13.2 2Q11 12.7 1.3

Total PortfolioNew Mexico State Investment Council 1,947,901,911 1.1 1.6 2.7 2.3 4.5 5.2 9.9 8.0 5.3 8.0 13.6 11.3 5.0 8.9 14.2 11.6 7.4 4.8 3Q04 5.7 1.2

IndicesNCREIF Fund Index – Open End Diversified Core Equity “NFI-ODCE Value Weight” 1.1 0.8 1.9 1.6 4.4 3.2 7.7 6.7 4.6 6.0 10.8 9.8 4.8 6.5 11.6 10.6 8.1 7.1 3Q04NCREIF Property Index "NPI" 1.1 0.6 1.7 4.7 2.2 6.9 4.9 4.8 9.8 5.1 5.0 10.3 8.9 3Q04FTSE EPRA/NAREIT Developed Index in USD 1.8 1.5 6.8 7.6 8.0 3Q04

Inception TWR CalculationInception

NetIRR

EquityMultiple

New Mexico State Investment Council Real Estate

Third Quarter 2017

Returns (%)Market Value

($)

Quarter 1 Year 3 Year 5 Year

Advisory Disclosures and Definitions

Disclosure Trade Secret and Confidential. Past performance is not indicative of future results. Investing involves risk, including the possible loss of principal. Returns are presented on a time weighted basis and shown both gross and net of underlying third party fees and expenses and may include income, appreciation and/or other earnings. In addi are reported. The Townsend Group, on behalf of its client base, collects quarterly limited partner/client level performance data based upon inputs from the underlying investment managers. Data collection performance as well as aggregating and reporting client level total portfolio performance. Quarterly limited partner/client level performance data is collected directly1 from the investment ma

1In select instances where underlying investment managers have ceased reporting limited partner/client level performance data directly to The Townsend Group via a secure data collection sit performance data on behalf of its client based upon the investment managers quarterly capital account statements which are supplied to The Townsend Group and the client alike. Benchmarks The potential universe of available real asset benchmarks are infinite. Any one benchmark, or combination thereof, may be utilized on a gross or net of fees basis with or without basis point pr a blended composition with varying weighting methodologies, including market weighted and static weighted approaches.