MINUTES Fox Drive Main Conference Room Champaign, IL 61820

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1 MINUTES Meeting of the Investment Committee of the Board of Trustees of the State Universities Retirement System Thursday, September 15, 2016, 12:00 p.m. State Universities Retirement System 1901 Fox Drive Main Conference Room Champaign, IL The following trustees were present: Mr. Craig McCrohon, Chair; Mr. Aaron Ammons, Mr. Tom Cross, Mr. Dennis Cullen, Dr. John Engstrom, Dr. Fred Giertz, Mr. Francis Idehen, Mr. Paul R. T. Johnson Jr., Ms. Dorinda Miller, Mr. Steven Rock and Mr. Antonio Vasquez. Others present: Mr. William Mabe, Interim Executive Director; Mr. Andrew Matthews, Chief Operating Officer; Ms. Phyllis Walker, Chief Financial Officer; Ms. Bianca Green, General Counsel; Mr. Douglas Wesley, Interim Chief Investment Officer; Mr. Steve Hayward, Director of Internal Audit; Mr. Joe Duncan, Senior and Ms. Kimberly Pollitt, Senior Investment Officer; Mr. Shane Willoughby, Mr. Brian Deloria and Mr. Alex Ramos, Investment Officers; Ms. Kristen Houch, Legislative Liaison; Ms. Whitney Jones, Ms. Lori Kern and Ms. Diane Bradford, Executive Assistants; Ms. Mary Pat Burns of Burke, Burns & Pinelli; Mr. Douglas Moseley and Ms. Kristin Finney-Cooke of NEPC; Mr. John Brecker and Mr. Michael Koenig of Hamilton Lane; and Ms. Linda Brookhart of SUAA.. Investment Committee roll call attendance was taken. Trustee Cross, present; Trustee Cullen, present; Trustee Giertz, absent; Trustee Idehen, present; Trustee Johnson, present; Trustee McCrohon, present; and Trustee Rock, present APPROVAL OF MINUTES Trustee Craig McCrohon presented the minutes from the Investment Committee meeting of June 19, Trustee Antonio Vasquez made the following motion: That the minutes from the June 19, 2016 Investment Committee meeting be approved as presented. Trustee Dennis Cullen seconded and the motion carried with all Trustees present voting in favor.

2 Copies of the staff memorandums titled Report from the June 9, 2016 Investment Committee Meeting and Investment Contracts Approved are incorporated as a part of these minutes as Exhibit 2a and Exhibit 2c. CHAIRPERSON S REPORT Trustee McCrohon did not have a report at this time. CHIEF INVESTMENT OFFICER REPORT Mr. Douglas Wesley, Interim CIO, did not have a formal report but invited committee members to raise issues they wanted to discuss. Trustee Ammons indicated that he would like to have further discussion on the personnel changes at Franklin Real Asset Advisors. After introductory comments, it was decided that the conversation should continue during the Diversity Goals discussion. PRIVATE EQUITY (EDUCATION TOPIC) Mr. John Brecker and Mr. Michael Koenig of Hamilton Lane gave an educational presentation on alternative methods to access the private equity markets. Key distinctions between structures were considered, including resource requirements and pros/cons for each. Discussion followed. The Private Equity education topic lasted 50 minutes. A copy of Hamilton Lane s presentation titled Accessing Private Markets is incorporated as a part of these minutes as Exhibit 5. DISCUSSION OF INVESTMENT PROCUREMENT PROCESS Ms. Mary Pat Burns of Burke, Burns & Pinelli discussed the history of the procurement requirements for investment services in Illinois and noted that SURS is very conservative in its procurement process. Ms. Burns also discussed other options to consider, including those employed by other public funds in Illinois, and noted that Illinois law provides for some flexibility in the procurement process. Discussion followed. DISCUSSION OF INVESTMENT POLICY AND DIVERSITY GOALS Trustee McCrohon remarked that in light of the discussion thus far, he believes it is appropriate to move out of the regular order of business and move up the discussion regarding the Investment Policy and Diversity Goals. The group concurred. Trustee Cullen provided a presentation summarizing his proposed changes to the SURS Defined Benefit Investment Policy. Trustee Cullen plans to circulate a draft of the revised Investment Policy to solicit feedback from other trustees, NEPC and staff. Trustee McCrohon remarked that the participation of others in the process is welcome. A revised draft will then be presented for consideration at a future Investment Committee meeting (likely either October or December). Discussion followed. Trustee J. Fred Giertz physically joined the meeting at 2:32 p.m during the Investment Policy and Diversity Goals discussion.

3 Copies of the staff memorandum entitled Review of Investment Policy and the red-lined drafts of the SURS Investment Policy and the SURS Self-Managed Plan Investment Policy are incorporated as a part of these minutes as Exhibit 9a, Exhibit 9b and Exhibit 9c. STATUS UPDATES OF PRIVATE EQUITY FUND-OF-FUND SEARCH Ms. Kim Pollitt provided a brief update on the status of the private equity fund-of-funds search. Eighteen responses to the Request for Proposal (RFP) were received by the deadline. Staff and NEPC are in the process of reviewing the responses and plan to narrow the list to a smaller group of semi finalists. Interviews with semi finalist firms are tentatively scheduled to be conducted on October at SURS office in Champaign. Ms. Pollitt welcomed trustee participation in the interviews and noted that the Quiet Period remains in effect. Additional discussion followed regarding the alternative methods of accessing the private equity markets. It was noted that the board s decision on which implementation method is utilized in the future will have implications on the negotiations for this current private equity search, as will the decision on magnitude and duration of the commitments. Dialogue continued on the various approaches to investing in private equity. Copies of the staff memorandum titled Global Private Equity Fund of Funds Search is incorporated as a part of these minutes as Exhibit 6. ASSET ALLOCATION UPDATE Doug Moseley of NEPC reviewed the implementation of the 2014 asset/liability study. Implementation is nearly complete, with the exception of the final 2 percent to be allocated to hedged strategies. Mr. Moseley introduced the possibility of deferring the second phase of the hedged equity search in favor of other priorities in the portfolio, potentially fixed income and non-u.s. equity structure. Trustee Johnson expressed a desire to continue with the hedged equity search. Discussion followed. A copy of NEPC s presentation titled Asset Allocation Implementation Priorities is incorporated as a part of these minutes as Exhibit 7. PRESENTATION OF FISCAL YEAR 2017 INVESTMENT PLAN Trustee Giertz physically left the meeting at 3:45 p.m. during the presentation of the Fiscal Year 2017 Investment Plan discussion. Mr. Douglas Wesley presented the SURS Fiscal Year 2017 Investment Plan noting that this was the sixth year for presenting such a plan to the board with the purpose of recapping the prior year s performance and establishing the work plan for the coming year. Mr. Wesley discussed the SURS investment performance for the fiscal year ending June 30, 2016, noting that SURS returned 0.2 percent compared to a return of 0.8 percent for the benchmark. Peer comparisons and the reasons for underperformance were also discussed, including structural tilts and headwinds in both the U.S Equity and Fixed Income areas the portfolio.

4 Mr. Wesley discussed the work plan for the coming year noting that he had met with Trustees McCrohon and Cullen over the summer where they discussed the projects that were ongoing including the private equity search as well as reallocating to real estate managers coming back to the market. Mr. Wesley reminded the board that the custodial contract with Northern Trust was due to expire in June of Mr. Wesley noted that Northern Trust is one of four major custodians in the United States, they were headquartered in Chicago, and Staff is happy with the service they provide. Mr. Wesley noted that there was no legal requirement for SURS to issue a request for proposal for custodial services at the expiration of the contract and that he would like to begin the process of negotiating the next contract. Trustee McCrohon suggested that SURS conduct a request for information to streamline the process and possibly help in getting concessions on contract negotiations. Mr. Wesley discussed the 2 percent hedged strategies search that the board approved last September and noted that it was appropriate to review the portfolio, given all the changes that have been made over the last year, and make sure that the portfolio is structured in the way the board wants it to be structured. Mr. Wesley asked that the search be rescinded at this time. Trustee Cullen noted that SURS was still committed to the hedged strategy space and that there were many attractive strategies in the marketplace and that pausing on the search would allow SURS time to articulate a clear direction for moving forward. Mr. Wesley discussed options available to the board to still reach the full 5 perecent allocation to hedged strategies, including fully funding the Gladius options strategy. Discussion ensued regarding Gladius and additional information was requested for discussion and action at the October Investment Committee meeting regarding implementation and funding of the strategy. Trustee Craig McCrohon made the following motion: That the SURS Fiscal Year 2017 Investment Plan be accepted as presented. Trustee Paul Johnson seconded and the motion carried with all trustees present voting in favor. Trustee Craig McCrohon made the following motion: That the following motion from the September 2015 Investment Committee and Board meeting that directed a search be conducted to identify qualified providers of hedged strategies consistent with the criteria expressed in the 2016 Investment Plan be rescinded. Trustee Antonio Vasquez seconded and the motion carried with a majority of the trustees present voting in favor except Trustee Johnson who opposed. A copy of staff memorandums titled SURS Fiscal Year 2017 Investment Plan and 2017 Investment Plan are incorporated as a part of these minutes as Exhibit 8a and Exhibit 8b.

5 DISCUSSION OF INVESTMENT POLICY AND DIVERSITY GOALS Trustee J. Fred Giertz physically joined the meeting at 2:32pm. A discussion that briefly began at the beginning of the Investment Committee meeting regarding the recent Franklin Real Asset Advisors ( FRAA ) MDP RE 2015 fund-of-one (the Fund ) key person event was deferred until later in the meeting. Staff, consistent with direction given by the Investment Committee at the June meeting, executed a consent at the completion of a 90-day trustee due diligence period allowing the Fund to maintain its commitment period as is. Trustee Ammons voiced concerns at the September Investment Committee meeting about additional personnel changes having occurred at FRAA and wished to reconsider the previously executed consent. Trustee Idehen furthered the discussion with concerns about AUM changes at the broader Franklin Templeton firm level and an investment decision related to one potential Fund commitment in a Chicago-based firm that was a part of the Fund s predecessor fund, Emerging Manager Real Estate Fund of Funds. Additional trustee discussion ensued and it was determined that the best course of action was for staff, upon review of the Fund s legal documents, to report back to the Investment Committee at the October meeting with potential options for consideration. RECAP OF THE SENATE COMMITTEE ON PENSION INVESTMENTS HEARINGS Mr. Doug Wesley reported on the Senate hearings that were held on August 11, 2016, recapping the main questions discussed. In addition, staff provided an update on SURS MFDB exposure as of June 30. The next hearings are expected to occur in February Copies of the staff memorandums titled Annual Review of Minority-, Female- and Persons with a Disability-Owned Broker/Dealer Usage by SURS Investment Managers, SURS Diversity Report and Senate Special Committee on Pension Investments are incorporated as part of these minutes as Exhibit 10a, Exhibit 10b and Exhibit 10c. REVIEW OF SURS INVESTMENT PERFORMANCE Ms. Kristin Finney-Cooke of NEPC presented an overview of financial markets, as of June 30, Total plan investment performance was also discussed. SURS achieved a total return of 0.2 percent, net of fees, for the year ending June 30, The return ranked the portfolio just above median in a peer universe of public funds over $1 billion. Discussion followed. A copy of NEPC s presentation titled Quarter Ending June 30, 2016 Investment Performance Analysis is incorporated as a part of these minutes as Exhibit 11.

6 INFORMATIONAL ITEMS NOT REQUIRING COMMITTEE ACTION The following items were provided for reference and are incorporated as a part of these minutes: 1. Exhibit 12b - SURS Projected Funding Status 2016 Fiscal Year-to-Date Results 2. Exhibit 12c and Exhibit 12d - SURS Executive Summary Risk Memo and Report 3. Exhibit 12e - SURS Summary of Investment Projects 4. Exhibit 12f - SURS FY Summary Work Plan Investment Committee Schedule 5. Exhibit 12g - SURS Schedule of Meeting Dates PUBLIC COMMENT There were no public comments presented to the Investment Committee. No further business was brought before the committee. Trustee McCrohon moved that the meeting be adjourned. The motion was seconded by Trustee Johnson and carried with all trustees present voting in favor. Respectfully submitted, WEM/wj Mr. William Mabe Secretary, Board of Trustees

7 Exhibit 2a To: Investment Committee From: Douglas C. Wesley, CFA Date: September 2, 2016 Subject: Report from the June 9, 2016 Investment Committee Meeting Enclosed are the Minutes of the June 9, 2016 Investment Committee Meeting. The purpose of this memorandum is to provide a status report on action items. Five motions were approved during the Investment Committee Meeting. These included the approval of both the open and closed session minutes from the April 21, 2016 Investment Committee Meeting. The three remaining motions were approved at the SURS Board of Trustees meeting conducted on June 10, One motion required further action by SURS staff. Open motions requiring further action by SURS Staff are listed below. Open Items 1. That SURS consent to the proposed amendment to maintain the Commitment Period for MDP RE 2015, subject to legal review and completion of due diligence by Trustees and not to tender that decision until on or about August 1, Legal review and document execution were completed on July 29, Open Items From Prior Meetings April 21, 2016 Investment Committee Meeting 1. That a commitment of up to 2% of the portfolio be allocated to equity index option strategies, to be managed as an overlay mandate, by Gladius Capital Management, contingent upon successful contract negotiations. Contract negotiations are currently in progress. 2. That a commitment of $150 million be authorized, contingent on successful contract negotiations, to the Adams Street 2016 Global Fund LP. Legal review and document execution were completed in July, 2016.

8 Exhibit 2a March 10, 2016 Investment Committee Meeting 1. That a commitment of $100 million be authorized, contingent on successful contract negotiations, to Muller and Monroe Asset Management and conditioned on further approval by the Board of Trustees. Legal review and document execution were completed in August, Please advise if you have any questions during or prior to the September 15, 2016 Investment Committee meeting.

9 Exhibit 2c To: William E. Mabe From: Douglas C. Wesley, CFA Date: September 2, 2016 Subject: Investment Contracts Approved Following are investment contract agreements approved by the Executive Director following the June 10, 2016 Investment Committee meeting. As stated in the Investment Policy, notice is provided to the Board of approved investment-related contract documents after execution. July 2016 Adams Street 2016 Global Fund As approved at the April 21, 2016 Board Meeting, contract documents were executed with Adams Street in July, MDP RE 2015, L.P. This consent document approves the continuation of the Commitment Period following a personnel departure at Franklin Resources, Inc. August 2016 CastleArk Management This amendment adds a lower cost tier to the fee schedule for the small-cap U.S. equity strategy, effective July 1, M2 SURS Emerging Private Equity Fund-of-Funds As approved at the March 10, 2016 Board Meeting, contract documents were executed with Muller & Monroe on August 24, Please advise if you have questions regarding these items.

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12 Infrastructure Mezzanine Distressed Debt Buyout Private Markets Real Estate Natural Resources Venture Capital Secondary Co-Investment

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15 Distressed Debt Mezzanine Infrastructure Secondary Venture Capital Co-Investment Real Estate Natural Resources Buyout Primaries Secondaries Co-Investment 85 Investment LeProfessionals gal Research

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18 Investor Consultant Private Equity Fund Private Equity Fund Private Equity Fund Portfolio Company Portfolio Company Portfolio Company Portfolio Company Portfolio Company Portfolio Company Investor Investor Other Investors Fund-of-Funds Other Investors Managed Solution Manager (With or Without Veto) Private Equity Fund Private Equity Fund Private Equity Fund Private Equity Fund Private Equity Fund Private Equity Fund Portfolio Company Portfolio Company Portfolio Company Portfolio Company Portfolio Company Portfolio Company Portfolio Company Portfolio Company Portfolio Company Portfolio Company Portfolio Company Portfolio Company

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26 Total Exposure (USD in Millions) $ $ $ $ Underlying Commitments 1 # of Commitments $1.9 $ # of Commitments Total Exposure (USD in Millions) $ $ Direct Commitments # of Commitments $ $ $ # of Commitments

27 2 Portfolio Diversi cation he ction Items 2 5 Portfolio Diversi cation Growth Equity 8% Direct 9% Large/Mega 10% Western Europe 21% Distressed Debt 3% SMID 18% ROW 12% Strategic 2 Mezzanine 3% Energy 1% Multi-Strategy (Warburg) 25% Venture Capital 23% Revised argets Strategy Portfolio arget Debt 10%-15% Secondaries 0%-10% Geography Energy 6% Venture Capital 6% Multi-Strategy (Warburg) 8% Large/Mega 12% Western Europe 11% Strategic 2 Secondary Direct Growth Equity 3% 6% ROW 10% 3% Turnaround 3% Distressed Debt 20% Focus on dding Buyout Partnerships Geographic 2 Geographic 2 dd European and ROW E posure Opportunistically SMID 33% North America 67% North America 79%

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34 Exhibit 6 To: Investment Committee From: Investment Staff Date: September 1, 2016 Re: Global Private Equity Fund of Funds Search Search Update At the April 21, 2016, Investment Committee meeting, the Board approved the recommendation to conduct a search for one or more qualified providers of global private equity fund-of-funds services. One or more firms will be considered to manage commitments of up to $300 million per year based on the current private equity pacing model. At the June 2014 Investment Committee meeting, the Board approved the adoption of a three-year private equity funding plan. The funding plan included annual allocations of: Calendar Year Commitment Amount 2015 $250 million 2016 $300 million 2017 $300 million Total $850 million SURS existing private equity providers are eligible to respond to the RFP. The Request for Proposal (RFP) was developed by NEPC and SURS Staff and advertised in the June 13, 2016, print edition, and on the website of Pensions & Investments, noticed, as required in the State newspaper, and posted to the SURS website. Timeline The anticipated timeline for the search process is as follows: Date April 21, 2016 June 13, 2016 June 24, 2016 July 8, 2016 July 29, 2016 August/September 2016 October 13-14, 2016 December 8, 2016 Proposed Search Timeline Item Quiet Period Begins Dissemination of RFP Deadline for questions to SURS Responses to questions submitted to SURS RFP responses due by 4:30 pm CT Identify firms for further consideration Interviews with selected firms in Champaign office Finalist presentations to SURS Board of Trustees

35 Exhibit 6 Update Staff and NEPC received 18 responses from global private equity fund of funds providers by the July 29 deadline. A list of the respondents is shown on the following page. Staff and NEPC are currently in the process of reviewing the responses and plan to narrow the list to a smaller group of semi-finalists. Interviews with semi-finalist firms are tentatively scheduled to be conducted on October at SURS office in Champaign. Trustees are invited to attend; if interested, please contact staff for additional details. Quiet Period Please note that the Quiet Period will remain in effect until a selection has been made by the Board and accepted by the service provider. A copy of the Quiet Period Policy Guidelines follows. Quiet Period Policy Guidelines The Quiet Period Policy is intended to establish guidelines by which Board Members and Staff will communicate with prospective service providers during the search process. The objectives of the policy are to ensure that prospective service providers competing to become employed by SURS have equal access to information regarding the search parameters; communications related to the selection are consistent and accurate; and the process of selecting service providers is efficient, diligent, and fair. The following guidelines will be instituted during a search process for a service provider: A quiet period will commence upon Committee action (or Board action if the selection is not initiated through a Committee) to authorize a search for a service provider and end once a selection has been made by the Board and accepted by the service provider; Initiation, continuation and conclusion of the quiet period shall be publicly communicated to prevent inadvertent violations; All Board members, and Staff not directly involved in the search process, shall refrain from communicating with service provider candidates regarding any product or service related to the search offered by the candidate throughout the quiet period and shall refrain from accepting meals, travel, hotel, or other value from the candidates; Throughout the quiet period, if any Board member is contacted by a candidate, the Board member shall refer the candidate to SURS Consultant or Staff directly involved in the search process; All authority related to the search process shall be exercised solely by the relevant Committee or Board as a whole, and not by individual Board Members; All information related to the search process shall be communicated by the SURS Consultant and Staff to the relevant Committee or Board as a whole, and not to individual Board Members; The quiet period does not prevent Board approved due diligence, client conference attendance or communications with an existing service provider that happens to be a candidate in the ordinary course of services provided by such service provider; however, discussions related to the pending selection shall be avoided during those activities; The provisions of this policy will apply to service provider candidates throughout the quiet period and shall be communicated to candidates in conjunction with any competitive proposal process; and A service provider may be disqualified from a search process for a knowing violation of this policy.

36 Exhibit 6 Respondents to SURS Private Equity Fund of Funds Search August 2016 Manager Name Location MFDB (Yes/No) 1 50 South Capital Advisors, LLC (wholly-owned subsidiary of Northern Trust Corporation) Chicago, IL No 2 Adams Street Partners, LLC Chicago, IL No 3 AlpInvest Partners / The Carlyle Group NY, NY No 4 Ardian US, LLC NY, NY No 5 BlackRock NY, NY No 6 Caspian Private Equity, LLC NY, NY No 7 Fort Washington Capital Partners Group Cincinnati, OH No 8 HarbourVest Partners, LLC Boston, MA No 9 J.P. Morgan Asset Management Private Equity Group NY, NY No 10 Makena Capital Management, LLC Menlo Park, CA No 11 Mesirow Financial Private Equity Advisors, Inc. Chicago, IL No 12 Morgan Stanley Investment Management AIP Private Markets Team West Conshohocken, PA No 13 Neuberger Berman Group, LLC NY, NY No 14 Pantheon NY, NY No 15 Partners Group NY, NY No 16 Pathway Capital Management, LP Irvine, CA No 17 PineBridge Investments, LLC NY, NY No 18 Portfolio Advisors, LLC Darien, CT No

37 Exhibit Fiscal Year Investment Plan Asset Allocation Implementation Priorities September 15, 2016 Doug Moseley, Partner Kristin Finney-Cooke, CAIA, Sr. Consultant Kevin Leonard, Partner DeAnna Jones, Senior Analyst

38 Exhibit 7 Agenda Executive Summary & Asset Allocation Hedge Fund Market Update Appendix: Fixed Income Market Update Appendix: NEPC Asset Class Assumptions 2

39 SURS Executive Summary Exhibit 7

40 Exhibit 7 Executive Summary & Recommendation Since completing formal Asset-liability study in 2014 Board and staff have spent considerable amount of time implementing the new Policy allocation Selection of new managers in EMD, Hedge Fund-of-Funds and Commodity categories Searches to fund existing portfolio allocations to private equity and real estate Searches requested by Board for beta overlay, option overlay & private equity fund-offunds Annual Asset class reviews, Policy updates & active vs. passive discussion As part of finalizing the 2017 Investment plan NEPC recommends that SURS adjust priorities for searches and implementation projects Defer second phase of hedge equity category search to fiscal year 2018 Re-evaluate targeted sub-categories (returns, market exposure vs. alpha, cost, transparency) Complete implementation of equity option overlay & discussion regarding private equity program structure Spend time on existing portfolio structure Seek opportunities for return enhancement Adjustments to existing benchmarks and mandates Allow time for private equity implementation discussion and 2017 non-core real estate portfolio commitments 4

41 Exhibit 7 Executive Summary & Recommendation (continued) Rationale for change of priorities driven by multiple factors Projected impact on Total Fund expected return & risk would not be significant Product offerings in the Hedged-equity space continue to evolve SURS Hedge Fund-of-funds mandates were recently funded and need time to be observed (by staff & Board) Custom equity option-overlay account needs to be funded and its impact on portfolio return & risk assessed Market environment has changed significantly since 2014 Market interest rates have continued to decline Central bank action & concern regarding global economic growth continue to impact pricing of all asset classes Institutional investors forced to pursue higher returns in alternative assets Creates negative implications for forward-looking returns Deferring 2 nd phase of hedge equity implementation will give Board time to evaluate performance of current Policy & structure (implementation) Board has expressed desire to spend additional time on fee structures and transparency Flexibility to revisit Policy targets before expanding manager roster further 5

42 Exhibit 7 SURS Current Policy Portfolio Comments on Current Target Current with Fixed Income Break Out Current Allocation Cash 0% 0% 0% Large Cap Equities 20% 20% 19% Small/Mid Cap Equities 5% 5% 4% Int'l Equities (Unhedged) 15% 15% 15% Emerging Int'l Equities 4% 4% 4% Global Equity 8% 8% 8% Total Equity 52% 52% 50% Core Bonds 19% 11% 11% EMD (External) 1.5% 1.5% 1.5% EMD (Local Currency) 1.5% 1.5% 1.5% TIPS 4% 4% 4% Diversified Fixed Income 0% 5% 5% Absolute Return Fixed Income 0% 3% 3% Total Fixed Income 26% 26% 26% Private Equity 6% 6% 6% Opportunistic / Private Real Assets 1% 1% 1% Private Real Estate 6% 6% 6% REITs 4% 4% 4% Hedge Funds 3% 3% 5% Total Alternatives 20% 20% 22% Commodities 2% 2% 2% Total Other 2% 2% 2% Long-Term Policy Expected Return (5-7 years) 6.3% 6.4% 6.4% Expected Return (30 years) 7.4% 7.5% 7.5% Standard Dev of Asset Return 12.4% 12.7% 12.5% Sharpe Ratio Equity Lower equity exposure but still most significant component of risk budget Good mix between domestic and int l Fixed Income Break out portfolio shows impact of assumptions for Diversified and Absolute Return fixed mandates EMD provides excess return and diversification Good diversification via Alternative Assets First portion of hedge fund mandate funded in March-April 2016 Commodity allocation to shift from passive overlay to fully funded actively managed account during 2q16 Small Differences in Expected Risk & Return between Current and Long-Term Policy targets 6

43 Exhibit 7 SURS 2014 Asset-Liability Study & Allocation Policy Discussion NEPC conducted Asset Allocation & formal Asset-Liability study after being retained in 2013 Given SURS funded status, primary observation was that reduction in public equity risk should be considered to reduce risk NEPC recommended SURS consider adding EMD, Hedge Funds & Commodity exposure to further diversify portfolio Desire to maintain expected return while reducing expected portfolio risk Increase inflation protection Policy increases to illiquid asset classes not recommended based on liquidity profile and funded status Existing private equity portfolio mature and generally cash flow positive Still building out real estate portfolio Funding Core mandates selected in 2013 Manager search needed to build non-core exposure Inconsistent funding from State in downturns considered high risk to liquidity in stress case 7

44 Exhibit 7 Asset Allocation Options Available to the Board Defer the implementation of the existing long-term Policy targets to Fiscal Year 2018 Revisiting sub-strategy targets of existing asset classes may have more impact Maintain slight over-weights to public equities or fixed income in the near term Could also allow private markets allocations to drift higher Consider revisions to Policy implementation plan Increase target to hedge fund-of-funds mandates from 3% to 5% instead of adding second sub-strategy category Fully fund the Gladius equity index option overlay strategy at 2% target Formally revisit asset allocation targets in early 2017 Re-evaluate Policy targets using NEPC update asset class assumptions Revisit sizing of total fixed income, equity & private markets allocations Consider reduction in total fixed income exposure as part of maintaining expected return Consider small increases to real estate or private equity Graduate infrastructure (private real assets) from Opportunistic category to stand alone 8

45 Hedge Fund Market Update Exhibit 7

46 Exhibit 7 Hedge Fund Market Overview Recent performance of broad hedge fund category has been disappointing vs. traditional markets that have delivered strong returns driven by central bank liquidity US equities out-performing non-us markets by 8-10%+ over recent trailing-periods Trailing fixed income returns reflect benefit of declining interest rates Benefit will not be realized to the same extent going forward Hedge funds have been negatively impacted by several key trends Central bank activity driving irrational or extreme pricing in some markets US dollar strength negatively impacting non-us equity and commodity market returns Sudden & brief market declines followed by extreme market rebounds Negative impact on trend following strategies Can also negatively impact cost and effectiveness of broad market hedges Impact of hedging interest rate risk as rates continue to decline Manager fees and transparency continue to evolve 10

47 Exhibit 7 Hedge Fund Risk-Return Comparison HFRI Composite S&P 500 MSCI World Barclays Agg 60/40 Stock/Bond Portfolio 3 year 5 year 20% 20% Compound ROR 15% 10% 5% Compound ROR 15% 10% 5% 0% 0% 5% 10% 15% 20% 0% 0% 5% 10% 15% 20% Standard Deviation Standard Deviation 7 year 10 year 20% 20% Compound ROR 15% 10% 5% Compound ROR 15% 10% 5% 0% 0% 5% 10% 15% 20% 0% 0% 5% 10% 15% 20% Standard Deviation Standard Deviation Source: Pertrac, HFR Database, Bloomberg, as of 12/31/ /40 Stock/Bond Portfolio represents 60% MSCI World and 40% Barclays Agg Past performance is no guarantee of future results 11 As of 6/30/2013

48 Exhibit 7 Hedge Fund Correlation and Portfolio Diversification Benefits Historical Correlation HFRI Fund Weighted Composite Index Credit Suisse Hedge Fund Index 6.65% 50/30/20 Risk/Return S&P MSCI World Barclays Agg Compound ROR 6.60% 6.55% 6.50% 6.45% 6.40% 55/35/10 BofA ML HY % HFRI Fund Weighted Composite Credit Suisse Hedge Fund Index % 60/ % 8.70% 8.80% 8.90% 9.00% 9.10% 9.20% 9.30% Standard Deviation Portfolio compositions reflect monthly-rebalanced allocations to MSCI World, Barclays Aggregate Bond Index and HFRI Fund Weighted Composite Index respectively (i.e. 60/40 is 60% MSCI World, 40% Barclays Aggregate) Over the long-term, hedge funds have demonstrated lower correlation to traditional asset classes Higher correlation to equities for HFRI Fund Weighted Composite (FWC) Index reflective of increased exposure to equity strategies Incorporating hedge funds into an investment portfolio has historically aided in reducing volatility while preserving and/or improving return Sources: evestment, HFR, Credit Suisse, data calculated from January 1994 through January 2016 Past performance is no guarantee of future results 12

49 Exhibit 7 Hedge Fund Risk-Return Comparison Hedge funds have preserved capital effectively during large drawdown periods 0% Largest peak-to-trough drawdown -10% -20% Decline (%) -30% -40% -50% -60% 3 Year 5 Year 7 Year 10 Year HFRI Composite S&P 500 MSCI World Barclays Agg 60/40 Stock Bond Portfolio Source: Pertrac, HFR, as of 12/31/ /40 Stock Bond Portfolio represents 60% MSCI World and 40% Barclays Agg Past performance is no guarantee of future results 13 As of 6/30/2013

50 Exhibit 7 Diversification Benefits and Downside Protection Correlations of hedge funds to equities have steadily increased over time Individual strategies may be able to provide lower correlations A focus on only correlation ignores the magnitude of returns Correlation to MSCI World 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Rolling 3-Year Correlation While hedge funds may be down at the same time equities are down, they outperform equities 90% of the time in down markets This protection is critical to preservation of capital Provide diversification when needed though it does not necessarily show up in correlation statistics Conversely, hedge funds have and are expected to underperform equities in rising markets Sources: evestment, HFR. Past performance no guarantee of future results. Periods of Outperformance (%) 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% HFRI FWC CS HF Index Hedge Funds vs. MSCI World All Markets Up Markets Down Markets Note: HFRI Fund Weighted Composite compared to MSCI World since inception of the HFRI index in Jan 1990 through Jan

51 Exhibit 7 Risk-Adjusted Return Considerations Annualized Rate of Return Annualized Standard Deviation 20% 15% 10% 5% 0% 18% 15% 12% 9% 6% HFRI FWC MSCI World S&P 500-5% -10% HFRI FWC MSCI World S&P 500 3% 0% Sharpe Ratio Compensation for Risk HFRI FWC MSCI World S&P 500 Over longer-term periods hedge funds generated equity-like returns while consistently exhibiting lower volatility than equity markets Pre-Global Financial Crisis, hedge funds generated stronger risk-adjusted returns relative to equity markets as measured by the Sharpe ratio Sources: evestment, HFR, Jan 1990 through Jan 2016; Sharpe ratio calculated with 3-month T-Bill as risk-free rate; Past performance is no guarantee of future results 15

52 Exhibit 7 Hedge Fund Industry Composition Hedge Fund Strategies Industry Size - $2.90 trillion* Equity Linked Credit Linked Event Driven Global Macro Multi-Strategy 28% 10% 27% 19% 16% Long/Short Equity Long/Short Credit Distressed Securities Discretionary Equity Arbitrage Fixed Income Arbitrage Merger Arbitrage Systematic Short Bias Emerging Market Debt Special Situations Volatility Strategies Emerging Market Equity Other Credit Multi-Strategy Event Driven Synthetic Strategies Source: HFR Industry Report as of 12/31/2015, using NEPC classifications 16

53 Exhibit 7 Hedge Fund Sub-Strategy Performance vs. Stocks & Bonds Source: HFR as of 12/31/2015, past performance is no guarantee of future results. 17

54 Exhibit 7 Long-Term Hedge Fund Performance Over a 25-year cycle, hedge funds have outperformed other traditional asset classes $14,000 $12,000 $10,000 Growth of $1000 $8,000 $6,000 $4,000 $2,000 $0 HFRI FWC MSCI World S&P 500 Barclays Agg BofA ML HY Sources: evestment, HFR, Jan 1990 through Jan Past performance is no guarantee of future results. 18

55 Exhibit 7 A More Recent Assessment Post-crisis, hedge funds have lagged many traditional asset classes leading to considerable scrutiny of the industry The S&P 500 overtook the HFRI Fund Weighted Composite in the third quarter of 2012 $2,000 $1,800 $1,600 Growth of $1000 $1,400 $1,200 $1,000 $800 $600 $400 HFRI FWC MSCI World S&P 500 Barclays Agg BofA ML HY Sources: evestment, HFR, Jan 1990 through Jan Past performance is no guarantee of future results. 19

56 Exhibit 7 What Broke? Hedge Funds or Capital Markets? Great Recession Post-2008, the global economy and capital markets remained fragile Volatility levels exceeded long-term average Unprecedented measures were taken by central banks of developed economies QE bond purchases Fed Funds Rate cut to zero Accommodative monetary policy efforts rallied markets Volatility levels compressed below long-term averages Fed policy seen as market backstop 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% Unprecedented Fed Funds Rate Fed Funds Rate Volatility Spike and Compression Risk Asset Rally VIX Level Average Growth of $1000 $2,900 $2,400 $1,900 $1,400 $900 MSCI World S&P 500 BofA ML HY $400 Sources: St. Louis FRED, evestment, HFR; Past performance is no guarantee of future results. 20

57 Exhibit 7 Hindsight is 20/20 In an effort to keep markets complacent, the Fed enacted multiple rounds of quantitative easing QE 1: November/December 2008 QE 2: November 2010 QE 3: September 2012; additionally affirming the zero-interest-rate policy will remain through mid-2015 Macroeconomic uncertainty in the interim is easy to overlook in retrospect European debt crisis Possible Greek default Domestic growth concerns With the continued market support, unless investors were in 100% U.S. equities they underperformed Hedge funds, by nature, don t generally have full risk-on exposure which has contributed to underperformance post-qe Post-crisis central bank policies have arguably distorted capital markets Provided cheap and easy financing for equity-friendly activity Established a backstop during market stress As monetary policies begin to shift gears we ve seen a re-emergence of market volatility in the last 18 months Unconstrained investment strategies may be able to capitalized on increased volatility Hedged risk profile may be able to provide capital preservation 21

58 Exhibit 7 Current Market Environment: Opportunities & Key Risk Considerations Market considerations driving hedge fund investment themes: Liquidity and Volatility Sporadic spikes in volatility may create market downturn Liquidity events at mutual funds may add to technical pressure on price Lack of market liquidity due to new regulations (reduced bank balance sheets) General risk-off sentiments in the market may create technical pressure Regulatory Changes Changes will impact the type of investor base, ultimately impacting yields or spreads Energy, Metals, and Mining Crisis in energy, metals and mining may spread to other sectors Geopolitical Events May add to market fear and instability Emerging markets growth trajectory Slowing GDP growth may impact various sectors and regions 22

59 Exhibit 7 Alternative Beta Compared to Hedge Funds Hedge funds can be thought of as packages of traditional beta, alternative beta and alpha You want to pay rock-bottom fees for traditional beta, high fees for alpha, and something in between for alternative beta Alternative beta captures unique risk and return sources associated with hedge funds within low cost, liquid vehicles, (i.e.) cheaper and more liquid than hedge funds Alpha Highest Cost 2 and 20 Lowest capacity Alternative Beta Moderate cost 1 and 10 Medium capacity Long/short strategies Traditional Beta Lowest cost basis points Highest capacity Long only Index Funds 23

60 Exhibit 7 Alternative Beta & Hedged Equity Products Alternative equity strategies continue to evolve New products entering marketplace Existing product changes following period of evaluating live performance Products generally fall into a group of four broad sub-categories Long/short stock selection focused on security selection with some market hedging Smart beta alternative portfolio construction (typically long-only) Hedge Fund replication strategies Beta attribution and replication finding cheaper ways to capture 80-90% of hedge fund performance Factor / passive hedge fund sub-strategy replication Option-based strategies that use derivatives to alter risk & return profile Strategies differentiated based on key attributes Risk & return profile vs. long-only equities Leverage & target market exposure Use of derivatives to gain market exposure, hedge risk Correlation to traditional markets like long-only equities & fixed income Fees & transparency Each of the sub-strategy categories has pros and cons Performance track records for most products are relatively short (less than 5 years) Relative results have been mixed 24

61 Exhibit 7 Appendix: Fixed Income Market Update

62 Exhibit 7 Global Bond Yields at Record Lows 2.5% 2.0% 10 Year Government Yields 12/31/2015 6/24/2016 Current 1.5% 1.0% 0.5% 0.0% 0.5% US Japan Germany UK Source: Bloomberg Results of Brexit vote announced on 06/24/ June 30, 2016

63 Exhibit 7 US Yield Curve Shift Over Last Two Years Source: Barclays Capital and Loomis Sayles 27

64 Exhibit 7 Forward-Looking Expectations of Fed Action 1.75% Fed Funds Expectations (Futures Market) 1.50% Fed Funds Dec 31 Fed Funds March % Fed Funds June % 0.75% 0.50% 0.25% Market is discounting only 2 Federal Reserve rate hikes over the next 3 years 0.00% Feb 16 Jun 16 Oct 16 Feb 17 Jun 17 Oct 17 Feb 18 Jun 18 Oct 18 Feb 19 Jun 19 Source: Bloomberg 28 June 30, 2016

65 Exhibit 7 Market Expectations Then and Now Yr Treasury Yields 3 6/30/ /31/ Spot 1 Yr Fwd 2 Yr Fwd 3 Yr Fwd 4 Yr Fwd 5 Yr Fwd Source: Bloomberg as of 06/30/16 29

66 Exhibit 7 Recent Fixed Income Market Performance by Quality US market Returns by Quality 2015 vs YTD Source: Barclays Capital and Loomis Sayles 30

67 Exhibit 7 Appendix: 2016 Asset Class Assumptions

68 Exhibit to-7 Year Return Forecasts Geometric Expected Return Asset Class Cash 1.75% 1.50% -0.25% Treasuries 1.75% 1.75% IG Corp Credit 3.25% 3.75% 0.50% MBS 2.00% 2.00% Core Bonds* 2.30% 2.46% 0.16% TIPS 2.25% 2.50% 0.25% High-Yield Bonds 4.00% 5.25% 1.25% Bank Loans 4.50% 5.50% 1.00% Global Bonds (Unhedged) 1.00% 1.00% Global Bonds (Hedged) 1.13% 1.09% -0.04% EMD External 4.50% 4.75% 0.25% EMD Local Currency 5.50% 6.50% 1.00% Large Cap Equities 6.00% 6.00% Small/Mid Cap Equities 6.00% 6.25% 0.25% Int'l Equities (Unhedged) 7.00% 7.25% 0.25% Int'l Equities (Hedged) 7.39% 7.57% 0.18% Emerging Int'l Equities 9.00% 9.75% 0.75% Private Equity 8.50% 8.50% Private Debt 7.50% 7.50% Private Real Assets 8.00% 8.25% 0.25% Real Estate 6.50% 6.50% Commodities 5.25% 4.50% -0.75% Hedge Funds 5.75% 5.75% * Core Bonds assumption based on market weighted blend of components of Aggregate Index (Treasuries, IG Corp Credit, and MBS). 32

69 Exhibit Year Return Forecasts Geometric Expected Return Asset Class Cash 3.25% 3.00% -0.25% Treasuries 3.50% 3.25% -0.25% IG Corp Credit 4.75% 5.00% 0.25% MBS 3.75% 3.50% -0.25% Core Bonds* 3.98% 3.89% -0.09% TIPS 4.00% 4.00% High-Yield Bonds 5.75% 5.75% Bank Loans 6.00% 6.00% Global Bonds (Unhedged) 2.25% 2.75% 0.50% Global Bonds (Hedged) 2.41% 2.87% 0.46% EMD External 6.00% 6.00% EMD Local Currency 6.75% 6.50% -0.25% Large Cap Equities 7.50% 7.50% Small/Mid Cap Equities 7.75% 7.75% Int'l Equities (Unhedged) 8.00% 8.00% Int'l Equities (Hedged) 8.47% 8.39% -0.08% Emerging Int'l Equities 9.25% 9.50% 0.25% Private Equity 9.50% 9.50% Private Debt 8.00% 8.00% Private Real Assets 7.75% 7.75% Real Estate 6.50% 6.50% Commodities 5.75% 5.50% -0.25% Hedge Funds 6.75% 6.50% -0.25% * Core Bonds assumption based on market weighted blend of components of Aggregate Index (Treasuries, IG Corp Credit, and MBS). 33

70 Exhibit Volatility Forecasts Volatility Asset Class Cash 1.00% 1.00% Treasuries 5.50% 5.50% IG Corp Credit 7.50% 7.50% MBS 7.00% 7.00% Core Bonds* 6.03% 6.03% TIPS 7.50% 6.50% -1.00% High-Yield Bonds 13.00% 13.00% Bank Loans 8.00% 9.00% 1.00% Global Bonds (Unhedged) 9.00% 8.50% -0.50% Global Bonds (Hedged) 5.00% 5.00% EMD External 12.00% 13.00% 1.00% EMD Local Currency 15.00% 15.00% Large Cap Equities 17.50% 17.50% Small/Mid Cap Equities 21.00% 21.00% Int'l Equities (Unhedged) 21.00% 21.00% Int'l Equities (Hedged) 17.50% 18.00% 0.50% Emerging Int'l Equities 26.00% 27.00% 1.00% Private Equity 27.00% 23.00% -4.00% Private Debt 17.00% 15.00% -2.00% Private Real Assets 23.00% 20.00% -3.00% Real Estate 15.00% 15.00% Commodities 18.00% 19.00% 1.00% Hedge Funds 9.00% 9.00% * Core Bonds assumption based on market weighted blend of components of Aggregate Index (Treasuries, IG Corp Credit, and MBS). 34

71 Exhibit 7 Relative Asset Class Attractiveness 35

72 Exhibit 7 Major Asset Class Review (Geometric) Long Term Avg NEPC 5-7 Year Assumptions Source: Bloomberg, Morningstar Direct, NEPC Cash 3.42% % 3.00% 2.00% 2.00% 1.25% 0.75% 1.50% 1.75% 1.50% Core Bonds 7.70% % 5.50% 3.75% 3.00% 2.88% 2.03% 2.53% 2.30% 2.43% Large Cap 10.05% % 9.25% 7.75% 7.00% 7.25% 6.75% 6.25% 6.00% 6.00% Int'l Developed 8.84% % 9.75% 8.00% 7.00% 7.75% 7.75% 7.25% 7.00% 7.25% 1. Reflects average annual return since Reflects average annual return since Reflects average annual return since

73 Exhibit 7 Comparison of International Equity and US Large Cap Equity Expectations Total return expectations for non-us equities are higher vs. last year Expectations for US equities are the same despite a relatively flat year Increased spread of 1.25% for developed non-us relative to US large cap Increased premium for emerging equity as valuations have become more attractive Meaningful downside risks remain in developed and emerging world While we expect investors to be compensated over 5-7 years with a higher relative return for holding non-us equities, it is appropriate to use active management to mitigate exposure to downside risks 37

74 Exhibit Correlations Asset Class Cash Treas Credit MBS TIPS HY Glob Bonds Glob (H) EMD (Ext) EMD (Loc) Large Cap Sm/ Mid Intl Eq Intl Eq (H) EM Eq Priv Eq Priv Debt Priv Real Real Hedge Cmdy Estate Funds Cash 1.00 Treasuries IG Corp Credit MBS TIPS High-Yield Bonds Global Bonds (Unhedged) Global Bonds (Hedged) EMD (External) EMD (Local Currency) Large Cap Equities Small/Mid Cap Equities Int'l Equities (Unhedged) Int'l Equities (Hedged) Emerging Int'l Equities Private Equity Private Debt Private Real Assets Real Estate (Core) Commodities Hedge Funds

75 Exhibit 7 Assumption Development Hedge Funds Hedge fund assumption constructed from building blocks of broad hedge fund categories Build up of 45% Equity, 45% Credit, and 10% Macro related strategies Based on analysis of historical return, risk and correlation for underlying strategies and total universe Use NEPC standard market betas as building blocks as well as an alpha component 2016 hedge fund assumption is unchanged Higher return premia from equity and credit markets offset slightly lower cash expectations relative to prior year Hedge Funds Equity Hedge Funds Credit Hedge Funds Macro Hedge Funds Beta Exposure Underlying Market Beta Blended beta from equity, credit, macro Global Equity Global Credit Relative Value (Rates, equity, Commodities) Total Return (5-7 yr) Volatility Expectation 5.75% 6.25% 5.25% 6.00% 9.00% 11.50% 8.00% 9.50% 39

76 Exhibit 7 Alternative Investment Disclosures It is important that investors understand the following characteristics of nontraditional investment strategies including hedge funds and private equity: 1. Performance can be volatile and investors could lose all or a substantial portion of their investment 2. Leverage and other speculative practices may increase the risk of loss 3. Past performance may be revised due to the revaluation of investments 4. These investments can be illiquid, and investors may be subject to lock-ups or lengthy redemption terms 5. A secondary market may not be available for all funds, and any sales that occur may take place at a discount to value 6. These funds are not subject to the same regulatory requirements as registered investment vehicles 7. Managers may not be required to provide periodic pricing or valuation information to investors 8. These funds may have complex tax structures and delays in distributing important tax information 9. These funds often charge high fees 10.Investment agreements often give the manager authority to trade in securities, markets or currencies that are not within the manager s realm of expertise or contemplated investment strategy 40

77 Exhibit 8a To: Investment Committee From: Investment Staff Date: September 1, 2016 Re: SURS Fiscal Year 2017 Investment Plan FY 2017 Investment Plan In order to formalize strategic plans for the investment portfolio for the coming year and provide transparency of the planning process, SURS staff has developed a formal investment plan for Fiscal Year The document, which follows this summary memorandum, marks the sixth year of the formal plan for the SURS investment program. The Investment Plan reviews the results of fiscal year 2016 and defines the strategy for fiscal year 2017 in accordance with the Board-approved asset/liability study and Investment Policy. The Investment Plan is organized into the following sections: Overview provides a review of FY 2016 performance and accomplishments and also summarizes the objectives for FY 2017 Asset Allocation / Risk Management Economic Outlook Investment Strategies Manager Diversity Program Self-Managed Plan This Plan is intended to be a living document. Since financial markets are dynamic, revisions to the plan may be required and will be communicated to the Board in a timely manner. In the event of changing circumstances or opportunities during the year, items will be discussed with the Board as necessary. Hedged Strategies Search The asset/liability study approved by the Board in June 2014 included a 5% allocation to hedged strategies. In October 2015, the Board retained two hedge fund-of-funds providers, PAAMCO and KKR Prisma, to manage 3% of the total portfolio. At the September 2015 meeting, the Board approved that a search be conducted to identify qualified providers of hedged strategies to complete the 5% allocation. Due to the multiple searches taking place over the past 18 months, this search remains outstanding.

78 Exhibit 8a The proposed Investment Plan envisions much of the investment activity taking place in FY 2017 to revolve around structure studies of each asset class. If the hedged strategies search is not likely to be completed during the coming fiscal year, staff and NEPC suggest the rescinding of the hedged strategies search authorized by the Board in September The search can be reinstated at a later date closer to the actual time of implementation, if desired. Rescinding the search would end the quiet period for this search. If the Board wishes to fully implement the hedged strategies allocation at this time, multiple options exist: 1. One option to consider is allocating the additional 2% of assets to the existing hedge fund-of-fund service providers. This action would result in moving the portfolio to its long term policy targets in the near term. Assets could be reallocated from the hedge fund-of-fund providers to other hedged strategies providers in the future, should the Board desire. 2. Another alternative would be to fully fund the Gladius equity index option overlay strategy (up to 2% of the Total Fund) and include the strategy in the hedged strategies asset class. Staff looks forward to discussing this issue with the Board at the upcoming meeting. Recommendation SURS staff recommends: That the SURS Fiscal Year 2017 Investment Plan be accepted and filed, as presented. That the following motion from the September 2015 investment committee meeting be rescinded: - That a search be conducted to identify qualified providers of hedged strategies consistent with the criteria expressed in the 2016 Investment Plan.

79 Exhibit 8b S U R S STATE UNIVERSITIES RETIREMENT SYSTEM SURS Fiscal Year 2017 Investment Plan September 2016

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81 Exhibit 8b September 1, 2016 Board of Trustees State Universities Retirement System 1901 Fox Drive Champaign, IL RE: Fiscal Year 2017 Investment Plan Dear Board of Trustees: The Investment Staff is pleased to provide the SURS Investment Plan for Fiscal Year This document was developed in order to formalize the strategic plans for the investment portfolio for the coming year and provide transparency of the planning process. The Investment Plan for Fiscal Year 2017 marks the sixth year of the formal plan for the SURS investment program. The Investment Plan reviews the results of Fiscal Year 2016 and defines the strategy for Fiscal Year 2017 in accordance with the Board-approved asset/liability study and Investment Policy. Since financial markets are dynamic, revisions to the plan may be required and will be communicated to the Board in a timely manner. The SURS portfolio returned 0.2% during Fiscal Year 2016, net of fees, trailing the policy portfolio return of 0.8%. Weak investment manager performance in the domestic equity and fixed income asset classes contributed to the relative underperformance for the period. From a long term perspective, the SURS portfolio has performed well, earning an 8.1% annualized rate of return over the past 25 years, well in excess of both the policy portfolio return and the 7.25% assumed rate of return. When compared to a universe of other large public funds, the SURS return ranks near median for the one-, three- and five-year periods ending June 30, The portfolio ranks near the top quartile in the peer universe over longer time periods. As of June 30, 2016, the defined benefit plan is valued at approximately $16.8 billion while the Self-Managed Plan (SMP) is valued at approximately $1.8 billion. Many of the projects completed during FY 2016 focused on continuing implementation of the asset allocation policy targets approved by the SURS Board in June The new policy targets focus on increased portfolio diversification, with a reduction in the equity allocation and new commitments to emerging market debt, commodities and hedged strategies. SURS completed searches in private equity (emerging manager mandate), hedged strategies, commodities, and portfolio index option overlay. In addition, SURS took steps to continue its

82 Exhibit 8b

83 Exhibit 8b FY 2017 Investment Plan Table of Contents Page I. Purpose...1 II. Overview 2 Background Fiscal Year 2016 Performance Review Fiscal Year 2016 Accomplishments Challenges Trustee Education Corporate Governanace Investment Management Fees Staffing Outreach III. IV. Asset Allocation / Risk Management 12 Economic Outlook..19 V. Fiscal Year 2017 Portfolio Strategies Total Fund Equity Fixed Income Real Estate Private Equity Hedged Strategies Opportunity Fund Commodities VI. VII. Manager Diversity Program 30 Self-Managed Plan....32

84 (This page intentionally left blank) Exhibit 8b

85 Exhibit 8b I. Purpose The Investment Plan reviews the results of Fiscal Year 2016 and defines the strategy for Fiscal Year 2017 in accordance with the Board-approved asset/liability study and Investment Policy 1. This Plan is intended to be a living document. Since financial markets are dynamic, revisions to the plan may be required during the year. In the event of changing circumstances or opportunities during the year, items will be discussed with the Board as necessary. 1 The SURS Investment Policies can be found at 1 FY2017 Investment Plan

86 Exhibit 8b II. Overview Background The State Universities Retirement System (SURS) is the administrator of a cost-sharing, multiple employer public employee retirement system. SURS membership includes employees of the public universities and other affiliated organizations. Currently, SURS membership totals more than 230,000 active, inactive and retired participants. SURS maintains both a defined benefit and a defined contribution plan, known as the Self-Managed Plan (SMP). As of June 30, 2016, the defined benefit plan is valued at approximately $16.8 billion while the SMP is valued at approximately $1.8 billion. The investment portfolio is broadly diversified across equities, fixed income, real estate, private equity, commodities and other opportunistic investments. Approximately 42% of the portfolio is currently managed in passive or structured active strategies while the remaining 58% is managed in active strategies. Fiscal Year 2016 Performance Review Global financial markets continued to experience heightened levels of volatility and provided mixed performance over the course of the fiscal year due to both economic and political uncertainty. Although the U.S. equity market spent much of FY 2016 in negative territory, markets rallied toward the end of the period to produce a small positive return. The Dow Jones U.S. Total Stock Market Index ended the fiscal year with a return of 2.0%. Equity markets outside the U.S. did not fare as well, however, returning -10.2%, as measured by the MSCI All Country World ex-u.s. Index. Interest rates in the U.S. continued to decline from already low levels, with the yield on the 30-year U.S. Treasury bond falling from 3.1% to 2.3% over the course of the fiscal year. Accordingly, core fixed income markets returned 6.0% while Treasury Inflation Protected Securities returned 4.4% during the fiscal year period. Direct real estate and real estate investment trust securities (REITS) provided the strongest absolute returns during the fiscal year, as evidenced by the +12.6% return of the NCREIF ODCE Index, an index of open end direct real estate funds and the +11.6% return of the FTSE EPRA/NAREIT Developed Index. The table below illustrates the performance of the overall SURS investment portfolio relative to the policy portfolio, as of June 30, The SURS portfolio returned 0.2% during Fiscal Year 2016, lagging the policy portfolio return by approximately 0.6%. Investment Performance* As of June 30, Year 3 Years 5 Years 10 Years 20 Years 25 Years SURS 0.2% 6.8% 6.6% 5.9% 7.3% 8.1% Policy Portfolio 0.8% 7.0% 6.9% 6.0% 7.2% 7.8% *Net of investment management fees. 2 FY2017 Investment Plan

87 Exhibit 8b On a relative basis, the domestic equity and fixed income portfolios were the biggest detractors to the overall portfolio s performance. The aggregate underperformance in the domestic equity portfolio can be attributed to a combination of structural factors (slight tilt toward small and mid cap stocks) and poor performance by the underlying active investment managers during FY The fixed income portfolio also lagged its benchmark due to a combination of factors. Approximately half of the underperformance in the fixed income portfolio can be attributed to structural factors (presence of an unconstrained mandate) while the other half can be attributed to underperformance by several active fixed income managers. Although the non-u.s. equity asset class provided weak absolute returns, the portfolio performed well compared to its benchmark due to strong relative performance by active managers. From a long term perspective, the SURS portfolio has performed well, earning an 8.1% annualized rate of return over the past 25 years, well in excess of both the policy portfolio return and the 7.25% assumed rate of return 2. When compared to a universe of other large public funds, the SURS return ranks near median for the one-, three- and five-year periods ending June 30, 2016, as illustrated in the chart that follows. The portfolio ranks near the top quartile in the peer universe over longer time periods. SURS Total Fund vs. Public Funds > $1 Billion Periods Ending 6/30/16 (1 = Best, 100 = Worst) 0 Universe Ranking th 46th 48th 38th 56th 47th 28th 23rd Year 3 Years 5 Years 10 Years TUCS Universe > $1B (GOF) InvestorForce Public DB > $1B 2 On June 13, 2014, the SURS Board of Trustees approved lowering the System s assumed rate of investment return to 7.25% from 7.75%. The rate was effective as of June 30, (July 2, 2015 was the effective date for the change in the Money Purchase Factors.) 3 F Y2017 Investment Plan

88 Exhibit 8b Fiscal Year 2016 Accomplishments The following projects were completed during Fiscal Year In total, asset reallocations and new commitments of approximately $1.7 billion took place or were approved during FY Self-Managed Plan (SMP) A Request for Proposal was released in May 2015 to identify two or more qualified SMP service providers. The process concluded in September 2015 with the retention of Fidelity Investments and TIAA-CREF as recordkeeping service providers. In addition, Fidelity was selected as the lead administrator for the SMP. Private Equity In June 2015, SURS initiated a search to identify a private equity emerging manager fund of funds provider. The mandate is designed to focus exclusively on private equity funds with greater than 51% ownership held by minorities, females, or persons with a disability, as defined by Illinois statute. This allocation will assist SURS in meeting its 20% diversity goal, as documented in the Investment Policy. The search concluded in March 2016 when the Board committed $100 million to Muller & Monroe. In addition, in June 2016, SURS committed $150 million to Adams Street Partners to continue SURS investment in global private equity. These commitments, made in accordance with the current private equity funding plan, allow for consistent funding by vintage year and further enhance the diversification of the private equity portfolio. Real Estate During FY 2015, a search was completed for qualified non-core real estate managers, resulting in the hiring of one fund-of-funds provider and three direct real estate investment managers. Commitments to the four managers totaled $195 million and are in accordance with the current real estate funding plan approved during Fiscal Year All four managers began calling capital during FY These new allocations enabled SURS to achieve the policy target allocation to real estate during the fiscal year. Hedged Strategies A search was initiated in December 2014 to identify diversified, multi-strategy Fund of Hedge Fund providers. This search represents phase I of the implementation of the 5% hedged strategies allocation approved at the June 2014 meeting. In October 2015, KKR Prisma and Pacific Alternative Asset Management Company (PAAMCO) were selected by the Board to manage a total of 3% of the portfolio in hedge fund-of-fund strategies. Initial funding took place late in FY Commodities In June 2015, the Board approved a search to identify qualified active commodities managers. The search concluded in December 2015 when PIMCO and Invesco were selected and allocated a total of 2% of the total portfolio, in accordance with the June 2014 asset/liability study. Initial funding took place late in FY Portfolio Index Option Overlay - At the September 2015 Investment Committee meeting, the Board approved a motion to conduct a search to identify qualified providers for portfolio overlay strategies. The strategy is designed to generate incremental income to the portfolio. The search concluded with the selection of Gladius Capital Management in April Contract negotiations on this strategy are currently underway. Gladius is a minority-owned firm. 4 FY2017 Investment Plan

89 Exhibit 8b Alternative Investments SURS made net contributions of $112 million to the alternative investments program during calendar 2015, as shown in the following table. In total, the combined alternative investments program made $204 million in contributions and received $316 million in distributions during calendar year Asset Class Alternative Investment Cash Flows Calendar Year 2015 Cash Distributions ($MM) Cash Contributions ($MM) Net Flows ($MM) Private Equity $ 259 $ (134) $ 125 Direct Real Estate 56 (63) (7) Infrastructure 1 (7) (6) Total Alternative Investments $ 316 $ (204) $ (112) *Totals may not add due to rounding. Commitment to Diversity SURS continues to be strongly committed to diversity throughout the investment program. In total, 19 firms owned by minorities, females, or persons with a disability (MFDB) directly manage a total of $4.2 billion, or 24.7% of the Total Fund, as of June 30, SURS employs a multi-strategy approach designed to maximize opportunities for qualified firms. The Manager Diversity Program (MDP) is a SURS-sponsored initiative designed to identify and provide opportunities to highly successful MFDB investment management firms. Managers in the MDP contract directly with SURS. As of June 30, the MDP totals $2.7 billion and includes 17 minorityor female-owned investment managers (19 strategies). Increase in MDP assets of approximately $110 million during fiscal year Second, SURS has retained Progress Investment Management (Progress), a minority-owned firm, to serve as a manager of emerging managers. This collaboration with Progress allows SURS to extend its reach into the minority manager universe. As of June 30, the Progress program includes 12 minority- or female-owned investment managers and has total assets of $383 million. The program includes investments in the non-u.s. equity, core fixed income, and emerging market debt asset classes. It is important to note that SURS commitment to diversity extends beyond the bounds of the MDP and the Manager of Emerging Managers Program. In addition to the firms previously mentioned, SURS contracts with one other MFDB firm, bringing the total number of MFDB firms in direct partnership with SURS to 19. As mentioned previously, assets managed for SURS by these 19 firms are approximately $4.2 billion, or 24.7% of the Total Fund, as of June 30, F Y2017 Investment Plan

90 Exhibit 8b Trustee Education Various educational topics were addressed during FY 2016, including asset allocation, hedge funds, commodities, and fee transparency, and a Trustee Educational Forum in February 2016, discussing Board governance, the Self-Managed Plan and diversity opportunities. Challenges The continuing challenge to SURS remains the funding status of the Plan. Despite strong long term returns, SURS remains substantially underfunded. SURS is approximately 41.1% funded, as of June 30, 2016 (using the market value of assets method and a 7.25% return assumption), a slight decrease from 44.2% funded, as of June 30, *Using market value of assets The unfunded liability is estimated to be approximately $24.1 billion. It is important to note, however, that since FY 2011, SURS has received the full annual statutory contribution from the State of Illinois. The FY 2016 contribution is $1.6 billion. The Plan s cash needs continue to increase. SURS expects to pay approximately $2.41 billion in benefit payments in Fiscal Year 2017, per the Fiscal Year 2015 actuarial valuation report prepared by SURS actuary, Gabriel Roeder Smith & Company. $2,500 $2,000 Total Benefit Expenditures & State Contributions (in $ Millions) $1,500 $1,000 $500 $0 6 FY2017 Investment Plan Total Benefit Expenditures State Contribution

91 Exhibit 8b Trustee & Staff Education SURS strives to provide high quality continuing education for the Board of Trustees and the staff. Educational topics are routinely included on Investment Committee agendas. In addition, longer, more in-depth educational sessions, often faciliated by guest speakers, are provided in periodic Investment Forums. These sessions provide both staff and Trustees the opportunity to expand their investment knowledge and keep current with new trends in the marketplace. Input is sought from Trustees on topics of interest for future educational sessions. A key focus is on identifying potential investment opportunities that could positively impact the investment portfolio. Potential educational topics being considered for the coming year include: Asset Allocation & Portfolio Strategy Benchmarking and Structure of Public Market Asset Classes Hedged Strategies Private Equity Real Estate Fixed Income Corporate Governance SURS continues to place a high priority on corporate governance. Proxy voting is one important component of the System s corporate governance responsibilities. SURS has retained an industry expert, Marco Consulting Group, to ensure that all domestic proxy ballots are voted in accordance with the proxy voting guidelines approved by the Board. Proxies of non-domestic shares are voted by SURS investment managers in the exclusive interests of System participants and beneficiaries. During fiscal year 2016, Marco Consulting Group provided an annual summary of the 2016 proxy season to the SURS Board. The Board also conducted an annual review and approval of the SURS Proxy Policy Statement. A search for a provider of proxy voting services is currently underway, with a recommendation to the Board tentatively scheduled for September Additional actions pertaining to corporate governance include membership in the Council for Institutional Investors (CII), a nonprofit organization of pension funds, foundations, and endowments with combined assets of over $3 trillion. CII s mission is to educate its members, policymakers and the public about corporate governance, shareowner rights and related investment issues, and to advocate on members behalf. In addition, SURS is a signatory to the United Nations-backed Principles for Responsible Investment (PRI) initiative. The PRI initiatives are voluntary principles that acknowledge the importance of environmental, social and corporate governance (ESG) issues to company performance. SURS strives to keep abreast of trends and issues in this area and continues to explore efforts that might safeguard the value of the investment portfolio. SURS seeks to raise awareness of PRI with others in the investment management industry. Currently, NEPC, SURS investment consultant, and 14 of SURS investment managers are signatories to PRI, representing over half of the SURS assets. 7 F Y2017 Investment Plan

92 Exhibit 8b Investment Management Fees SURS pays close attention to the level of investment management fees paid to its external investment managers. Fees are negotiated with investment managers prior to the commencement of the relationship with SURS and may be subsequently renegotiated, if appropriate, especially in instances where an investment manager receives an additional allocation(s). Fees vary significantly among investment managers, with the services of private markets managers, such as those in real estate, private equity, infrastructure, etc., being generally higher than those of public markets managers. During fiscal year 2016, staff negotiated more favorable fee arrangements with nine new and existing investment managers. In aggregate, these fee reductions are expected to result in approximately $1.1 million in fee savings. In total, SURS paid $58.4 million or approximately 35 basis points in investment management fees and administrative expenses for fiscal year Total investment management fees for fiscal year 2017 are projected to increase by approximately $1.3 million from fiscal year 2016 budgeted fees. Staffing The Investment Department is made up of seven investment professionals. The Senior Investment Accounting Officer also works in tandem with the Investment Department and is an integral part of overall investment operations. On August 1, 2016, Daniel Allen, Chief Investment Officer for the past 11 years, retired from the organization. SURS thanks Dan for his commitment, dedication and service to the SURS membership and staff and wishes him well in the future. A search to fill the resulting vacancy is currently in progress. Also, in the past year, SURS added one Investment Officer to fill a vacant position. SURS Investment Team members have an average of approximately 17 years investment experience. All investment team members have undergraduate degrees, with the majority also holding graduate degrees. Professional certifications among the team members include two Certified Public Accountants (CPA), four Chartered Financial Analysts (CFA), and one Chartered Alternative Investment Analyst (CAIA). During the past several years, SURS has been increasing the portfolio s allocation to alternative investments. While alternative assets offer the benefits of diversification and potential return enhancement, they also require more intensive staff resources for administration and monitoring. Accordingly, as allocations to private market investments have increased, the investment staff has grown modestly in response. These new hires will augment staff resources to monitor and administer the investment portfolio. Staffing needs will continue to be assessed going forward. The SURS Investment Department employed two interns for the summer of 2015 from Eastern Illinois University and one intern for the summer of 2016, also from Eastern Illinois University. One intern continues to be employed at SURS. The interns were placed with the assistance of the Toigo Foundation. SURS is committed to staff development and training to assist employees in realizing their maximum potential. In addition, SURS continues to strive to maintain competitive compensation and promote a positive workplace environment for all employees. 8 FY2017 Investment Plan

93 Exhibit 8b The table below lists the individuals on the SURS Investment Team and their tenure with SURS. Name Title Years with SURS Vacant Chief Investment Officer - Douglas C. Wesley, CPA, CFA Deputy Chief Investment Officer 19 Kimberly K. Pollitt, CFA Senior Investment Officer, Equities 13 Joseph M. Duncan Senior Investment Officer, Fixed Income 6 Shane P. Willoughby, CFA, CAIA Investment Officer, Real Assets 2 Alex Ramos Investment Officer 2 Brian DeLoriea, CFA Investment Officer 1 Lou Ann Fillingham, CPA Senior Investment Accounting Officer 11 Kelly Valle Graduate Investments Intern 1 An organizational chart of the Investment Department is shown on the following page. 9 F Y2017 Investment Plan

94 Exhibit 8b SURS Investment Department Organization Chart June 30, FY2017 Investment Plan

95 Exhibit 8b Outreach SURS believes active involvement in the investment community is beneficial at both the individual and organizational levels. Continuing education, networking opportunities and increased organizational visibility are a few of the many benefits. The list below highlights the various organizations of which SURS or SURS investment staff are members: American Institute of CPAs (AICPA) CFA Institute CFA Institute of Chicago Chartered Alternative Investment Analyst Association Council of Compliance Officers Council of Institutional Investors Institutional Limited Partners Association (ILPA) Institutional Society of Risk Professionals (ISRP) National Association of Securities Professionals (NASP) National Association of State Investment Officers (NASIO) National Association of State Investment Professionals (NASIP) New America Alliance Pension Real Estate Association Robert Toigo Foundation Board of Directors United Nations Principles for Responsible Investment (UNPRI) In addition, SURS staff attended and/or participated as panelists in several investment-related conferences throughout the fiscal year. SURS staff also attended a myriad of advisory council and annual meetings for SURS investment managers as part of annual due diligence efforts. 11 F Y2017 Investment Plan

96 Exhibit 8b III. Asset Allocation / Risk Management Asset Allocation The purpose of the asset allocation policy is to establish an Investment Policy framework for SURS with a high likelihood, in the Board s judgment, of realizing SURS investment objective. The most recent asset/liability study was completed in June 2014 with the assistance of NEPC. The purpose of the study was to review the projected financial status of the pension plan over the next several years and to assess the appropriateness of the current asset allocation relative to the expected progress of liabilities and cash flows. The asset mix ultimately selected by the Board is expected to improve the portfolio s risk/return profile by diversifying away from equities into relatively uncorrelated asset classes. A similar growth profile is expected while downside protection is enhanced. SURS plans to formally revisit asset allocation targets in early Liquidity Considerations Investment portfolios can benefit from a portion of assets in illiquid investments. However, illiquid investments add another dimension to liquidity management. Liquidity to pay benefits and respond to adverse funding or financial market downturns is critical. As part of the recent asset-liability study, NEPC conducted a liquidity analysis to determine how the SURS investment portfolio would respond to a stressed market scenario. The study projected sound liquidity of the portfolio in the base case environment but acknowledged that, in a stressed case, the Plan would consume a significant portion of liquidity sources over six years. Overall, NEPC determined the SURS portfolio would likely continue to benefit from maintaining diversified exposure to illiquid assets. Although it is reasonable to plan to receive the statutory contributions from the State, it is important to acknowledge there is a risk of receiving a level of contributions less than the required amount. SURS prospective funding experience will be critical in determining the future financial health of the System. The certified contribution for FY 2017 is approximately $1.7 billion. Capital Market Assumptions The projected return and risk assumptions used in the process were developed by NEPC. NEPC s most recent capital market projections, which are refreshed annually, are shown in the tables on the following pages and generally reflect moderately higher return expectations among global equity and credit assets compared to last year s 5-7 year return assumptions. Capital market expectations represent passive exposure (i.e., beta only). Return expectations are net of passive fees. 12 FY2017 Investment Plan

97 NEPC Capital Market Projections Projected Risk and Return Exhibit 8b 5-7 Year Return Assumptions 30 Year Return Assumptions Asset Class Cash 1.75% 1.50% -0.25% 3.25% 3.00% -0.25% Treasuries 1.75% 1.75% 3.50% 3.25% -0.25% IG Corp Credit 3.25% 3.75% 0.50% 4.75% 5.00% 0.25% MBS 2.00% 2.00% 3.75% 3.50% -0.25% Core Bonds* 2.30% 2.46% 0.16% 3.98% 3.89% -0.09% TIPS 2.25% 2.50% 0.25% 4.00% 4.00% High-Yield Bonds 4.00% 5.25% 1.25% 5.75% 5.75% Bank Loans 4.50% 5.50% 1.00% 6.00% 6.00% Global Bonds (Unhedged) 1.00% 1.00% 2.25% 2.75% 0.50% Global Bonds (Hedged) 1.13% 1.09% -0.04% 2.41% 2.87% 0.46% EMD External 4.50% 4.75% 0.25% 6.00% 6.00% EMD Local Currency 5.50% 6.50% 1.00% 6.75% 6.50% -0.25% Large Cap Equities 6.00% 6.00% 7.50% 7.50% Small/Mid Cap Equities 6.00% 6.25% 0.25% 7.75% 7.75% Int'l Equities (Unhedged) 7.00% 7.25% 0.25% 8.00% 8.00% Int'l Equities (Hedged) 7.39% 7.57% 0.18% 8.47% 8.39% -0.08% Emerging Int'l Equities 9.00% 9.75% 0.75% 9.25% 9.50% 0.25% Private Equity 8.50% 8.50% 9.50% 9.50% Private Debt 7.50% 7.50% 8.00% 8.00% Private Real Assets 8.00% 8.25% 0.25% 7.75% 7.75% Real Estate 6.50% 6.50% 6.50% 6.50% Commodities 5.25% 4.50% -0.75% 5.75% 5.50% -0.25% Hedge Funds 5.75% 5.75% 6.75% 6.50% -0.25% Return assumptions are geometric. *Core Bond assumptions are based on market weighted blend of components of Aggregate Index (Treasuries, IG Corporate Credit, and MBS). 13 F Y2017 Investment Plan

98 Exhibit 8b 2016 Volatility Forecasts Volatility Asset Class Cash 1.00% 1.00% Treasuries 5.50% 5.50% IG Corp Credit 7.50% 7.50% MBS 7.00% 7.00% Core Bonds* 6.03% 6.03% TIPS 7.50% 6.50% -1.00% High-Yield Bonds 13.00% 13.00% Bank Loans 8.00% 9.00% 1.00% Global Bonds (Unhedged) 9.00% 8.50% -0.50% Global Bonds (Hedged) 5.00% 5.00% EMD External 12.00% 13.00% 1.00% EMD Local Currency 15.00% 15.00% Large Cap Equities 17.50% 17.50% Small/Mid Cap Equities 21.00% 21.00% Int'l Equities (Unhedged) 21.00% 21.00% Int'l Equities (Hedged) 17.50% 18.00% 0.50% Emerging Int'l Equities 26.00% 27.00% 1.00% Private Equity 27.00% 23.00% -4.00% Private Debt 17.00% 15.00% -2.00% Private Real Assets 23.00% 20.00% -3.00% Real Estate 15.00% 15.00% Commodities 18.00% 19.00% 1.00% Hedge Funds 9.00% 9.00% Volatility defined as standard deviation of investment returns. *Core Bonds assumption based on market weighted blend of components of Aggregate Index (Treasuries, IG Corporate Credit, and MBS). 14 FY2017 Investment Plan

99 Exhibit 8b Strategic Policy Targets The strategic policy targets resulting from the most recent asset/liability study are shown in the following table. Using NEPC s 2016 risk and return projections, a passive portfolio composed in such a manner is projected to produce a geometric return of 6.4% over the five to seven year period, falling short of the 7.25% actuarial rate of investment return 3. (Note: SURS returns have significantly exceeded the actuarial rate of return over the long term, as evidenced by the 8.1% 25-year return). Over the long term, however, the projected return is 7.5%, higher than the return assumption. Also, it is important to note active management is projected to add additional value over and above passive implementation. SURS periodically reviews the actuarial return assumption for reasonableness. Asset/Liability Study Results Strategic Policy % (Approved June 2014) Asset Class U.S. Equity 23% Non-U.S. Equity 19% Global Equity 8% Total Public Equity 50% Core Fixed Income 19% Emerging Market Debt 3% TIPS 4% Total Fixed Income 26% Private Equity 6% Real Estate 6% REITs 4% Hedged Strategies 5% Opportunity Fund 1% Commodities 2% Total Alternatives 24% Total 100% 5-7 Yr. Expected Return 6.4% Standard Deviation 12.5% 30 Yr. Expected Return 7.5% Sharpe Ratio 0.39 Compared to the return projections using NEPC s 2015 capital market assumptions, the 2016 return projection is slightly higher (6.4% in 2016 vs. 6.2% in 2015). The modest increase in the return projection is a result of slightly higher return expectations among global equity and credit assets as shown in the Capital Market Projections table.. 3 On June 13, 2014, the SURS Board of Trustees approved lowering the System s assumed rate of investment return to 7.25% from 7.75%. The rate is effective as of June 30, F Y2017 Investment Plan

100 Exhibit 8b Risk Management Risk is monitored through various forms of analysis and reporting in an attempt to understand risks within the Fund, and to ensure adequate compensation for the level of risk assumed. Analysis will occur at various levels of detail, which include individual manager, asset class and total Fund. In addition to relative performance evaluation, an analysis of diversification, benchmark risk, active risk, total risk, value at risk, and other risk measures will be reported. Analysis will be conducted on an ex-post and ex-ante basis to identify and quantify both forward looking and backward looking risk metrics. Staff will review portfolios, asset classes, and total Fund information on an ongoing basis in order to maintain an understanding of potential risks within the portfolio. Individual manager portfolios or asset classes demonstrating higher than expected levels of risk will be examined in greater detail and any necessary adjustments will be made immediately, or a plan for doing so will be developed. Alternatively, justification for maintaining the exposure will be provided to the Investment Committee. Shown below and on the following pages is a sampling of risk analytics produced by NEPC and The Northern Trust Company, SURS custodian, to assist SURS in monitoring the risk profile of the Total Fund. Total Fund Risk and Return Source: NEPC 16 FY2017 Investment Plan

101 Exhibit 8b Total Fund vs. InvestorForce Public DB > $1B Gross 5 Years Ending 6/30/16 Source: NEPC 17 F Y2017 Investment Plan

102 Exhibit 8b Risk Trends and Overview 100% Contribution to Total Risk % 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Jun-16 Mar-16 Dec-15 Sep-15 Jun-15 Mar-15 Dec-14 Sep-14 Jun-14 Mar-14 Dec-13 Sep-13 Jun-13 Mar-13 Total Equity Total Fixed Real Estate Opportunity Fund Hedged Equity Commodities 14.00% Total Plan Risk (1 Year Forward Looking) 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% Jun-16 Mar-16 Dec-15 Sep-15 Jun-15 Mar-15 Dec-14 Sep-14 Jun-14 Mar-14 Dec-13 Sep-13 Jun-13 Mar-13 Total Risk Source: The Northern Trust Company 18 FY2017 Investment Plan

103 Exhibit 8b IV. Economic Outlook A variety of sources were used to develop this outlook for Fiscal Year Consideration was given to information from investment consultants, investment managers, discussions with peers and informational publications. Summary: The outlook for the U.S. economy remains healthy but debatable. According to the FOMC meeting forecast released on June 16 th, 2016, the U.S. GDP growth in 2016 will be 2%, slightly slower than in 2015, and it will remain at 2% in 2017 and The unemployment rate is forecasted to be 4.7% in 2016 and to slightly drop to 4.6% in 2017, lower than the 6.7% Fed target. Structural unemployment has increased as people have not been able to return to their pre-crisis high-paying jobs. Britain s vote to leave the European Union, Brexit, revealed growing dissatisfaction with globalization and the political elite. According to the IMF, Brexit has negatively affected the global economy by substantially increasing economic, political, and institutional uncertainty. Although Brexit could send the U.K. economy into a recession and slow down the economy of the euro-area, it is expected that policymakers will ensure a smooth and predictable transition, thus avoiding a euro crisis and greatly minimizing any negative impact on the global economy. The IMF estimates that the U.K. economy will expand 1.7% this year and it will slow down to 1.3% in Asia s economic growth forecasts remain positive. It is expected that the region will expand by 5.6% in 2016 and 5.7% in China is expected to meet the forecast growth of 5.6% in 2016 and 6.3% in India is expected to grow by 7.4% in 2016 and 7.8% in Central Asia has been affected by fiscal pressures from continued low oil prices, resulting in a downward adjustment to growth of 0.4% to 1.7% in 2016 but expected to rise in 2017, according to the Asian Development Bank. The Fed continues to monitor the timing of rate hikes as consumption growth increases but industry and investment spending have not shown signs of acceleration. Economic uncertainty in Europe has also played a role in the delay of rate-related decisions. In addition, the U.S. presidential election has exposed dissatisfaction with the status quo, translating into added economic uncertainty and negatively affecting corporate investment plans. Additional rate hikes are not expected until after the U.S. elections. Current Yield as of US Treasury Market June 30, 2015 June 30, 2016 % Change 3-Month Treasury Bill 0.01% 0.26% 0.25% 2-Year Treasury Note 0.64% 0.58% -0.06% 5-Year Treasury Note 1.65% 1.00% -0.65% 10-Year Treasury Bond 2.35% 1.47% -0.88% 30-Year Treasury Bond 3.12% 2.28% -0.84% 3-Month LIBOR 0.28% 0.65% 0.37% IL Gen Obl 7-Yr PU9 3.71% 2.96% -0.75% 5.0% US Treasury Yield Curve Yield to Maturity 4.0% 3.0% 2.0% 1.0% 19 F Y2017 Investment Plan 0.0% Month 2 Year 5 Year 10 Year 30 Year Years to Maturity 6/30/2015 6/30/2016

104 Exhibit 8b V. Fiscal Year 2017 Portfolio Strategies Financial Goal & Strategic Objectives The assets of the System will be invested solely for the benefit of participants and beneficiaries within the constraints of applicable Illinois Statutes and the guidelines contained in the SURS Investment Policy document and each manager s Investment Management Agreement. In addition, the following financial goal and strategic objectives for the SURS plan have been established: The SURS Financial Goal The financial goal as set forth in the SURS Strategic Plan is: To ensure the financial soundness of the System. The strategic objectives designed to achieve the SURS Financial Goal are as follows: Secure the annual required contribution Achieve long term, sustainable, above average, risk-adjusted returns Manage the risk and volatility of assets and liabilities to assist in maintaining sufficient funds to pay benefits and mitigate the cost of contributions Manage expense at an optimal level to achieve the greatest return on investment. Make modifications to benefit/plan design as required In addition, SURS has a goal of protecting assets through sound risk management and ethical practices. Strategic Policy Asset Allocation Targets Over time, the investment portfolio has undergone meaningful change as a result of the availability of new investment strategies and changes in capital market assumptions. The public equity portfolio has become increasingly global in nature. In addition, alternative asset classes, including private equity and real estate, have assumed a more prominent role in the investment program over the past decade. In June 2014, after concluding an asset/liability study, the Board approved new strategic policy targets. The asset mix approved at that time includes a reduction in public equity exposure by ten percentage points and the introduction of new investments in hedged strategies, emerging market debt and commodities. The reduced strategic policy allocation to public equities is a result of lower return expectations in these asset classes after periods of above trend returns. By allocating assets from public equities to other areas such as emerging market debt, hedged strategies and commodities, SURS is able to reduce the overall expected risk of the portfolio while maintaining the target level of expected return. The following table illustrates the portfolio s current asset allocation (as of June 30, 2016) relative to the new strategic policy targets and also illustrates the progress made implementing the new policy targets since June 30, FY2017 Investment Plan

105 Exhibit 8b Asset Class Strategic Policy % (Approved June 2014) 6/30/2015 Actual % 6/30/2016 Actual % 6/30/2016 Over / (Under) vs. Policy % U.S. Equity 23.0% 29.3% 25.5% +2.5% Non-U.S. Equity Global Equity Total Public Equity 50.0% 56.1% 52.4% +2.4% Core Fixed Income Emerging Market Debt TIPS Total Fixed Income 26.0% 27.1% 27.0% +1.0% Private Equity Real Estate REITs Hedged Strategies Opportunity Fund Commodities Total Alternatives 24.0% 16.8% 20.6% -3.4% Grand Total* 100.0% 100.0% 100.0% 100.0% *Totals may not add due to rounding. Implementation of the strategic policy targets is nearly complete, with the primary exception being the remaining 2% allocation to hedged strategies. Fiscal Year 2017 Total Fund Strategy The following actions are planned for the coming fiscal year. Private Equity At the June 2014 Investment Committee meeting, the Board approved the adoption of a three-year private equity funding plan designed to maintain SURS private equity allocation at 6%. The funding plan included annual allocations of: Available Commitment Amount 2015 $250 million $125 million 2016 $300 million $250 million Calendar Year 2017 $300 million -- Total $850 million Commitments Approved to Date The Board approved a private equity fund-of-funds search at their April 21, 2016 meeting. At the conclusion of the search, tentatively scheduled for December 2016, commitments will resume to the private equity asset class. In addition, a private equity funding plan for calendar years will be developed and presented to the Board in June Non-Core Real Estate In September 2014 the Board approved a real estate funding plan for calendar years designed to achieve and maintain SURS private real estate allocation at 6%. The three-year funding plan totaling $300 million included 21 F Y2017 Investment Plan

106 Exhibit 8b annual commitments of $100 million. To date, $195 million has been allocated, leaving the final $105 million to allocate in In addition, a real estate pacing model for will be developed and presented to the Board for consideration during Fiscal Year Hedged Strategies Staff and NEPC will continue to work with the Board to review the remaining 2% allocation to hedged strategies. Throughout the Fiscal Year Asset Class Structure Studies Staff will be working with the Investment Consultant, NEPC, to review each asset class in depth in an attempt to identify further efficiencies within the SURS Investment Portfolio. Results of the studies and recommendations for change, if applicable, will be presented to the Investment Committee for discussion and consideration. Ongoing Responsibilities Diversity Initiatives SURS will continue to review opportunities in the investment program to consider the utilization of minorities, females and persons with a disability. Investment managers of diversity are always encouraged to participate in the search process if an applicable strategy/mandate is identified. o As of June 30, 2016, the MDP is valued at approximately $2.7 billion and includes 17 MFDB investment management firms and 19 strategies. o Progress Investment Management (Progress), a minority-owned firm, serves as a manager of emerging managers for SURS. As of June 30, the Progress program includes 12 minority- or female-owned investment managers with 14 mandates and has total assets of $383 million. SURS commitment to diversity extends beyond the bounds of the MDP. In addition to the programs previously mentioned, SURS contracts with one other MFDB firm, bringing the total number of MFDB firms in direct partnership with SURS to 19. As mentioned previously, assets managed for SURS by these 19 firms are approaching $4.2 billion, or 24.7% of the Total Fund, as of June 30, SURS is currently in discussions to potentially host an outreach event with other Illinois public pension systems to provide opportunites for the sharing of information between the MFDB firms and the pension systems. Objectives of the event include to increase SURS knowledge of the minority investment management community, inform the firms of SURS procurement policies, provide contact points within the organization, and distribute information on upcoming opportunities within the portfolio. As SURS reviews the structure of each asset class during the coming fiscal year, a primary focus will be to search for opportunities to increase diversity in each segment of the portfolio. Investment Manager Oversight, Due Diligence and Risk Management A critical duty of the investment team and NEPC is to monitor the numerous investment managers under contract with SURS. Each manager plays a role in the success of the overall 22 FY2017 Investment Plan

107 Exhibit 8b program and extensive resources are utilized to ensure the strategies are functioning as desired. Risk management monitoring of the program continues to expand and evolve. Enhancements to Manager Performance Reporting Staff will continue to work with the Board to fine-tune the performance reports to provide an optimal mix of risk and return measures to better aid in decisionmaking. Fees and Compliance Oversight SURS continuously strives to obtain the most favorable fee terms from investment providers. Negotiations during FY 2016 resulted in annual savings of over $600,00, as well as one-time savings of approximately $480,000. Compliance monitoring efforts includes continuous interaction with NEPC as well as the custodian, Northern Trust. Investment Policy Throughout the year, staff reviews the existing Investment Policy and makes note of any revisions to further improve the document. Annually at the September meeting, staff presents an updated Investment Policy to the Board for review and consideration. Trustee input into the Policy is appreciated. Trustee and staff education will continue to be a priority during Fiscal Year Fiscal Year 2017 Public Equity Strategy The primary focus in fiscal year 2017 will be working with NEPC to conduct a structure analysis for the asset class to determine the most efficient means of positioning the public equity portfolio. In the aggregate, the public equity portfolio (U.S., non-u.s. and global equity) is 2.4% overweight relative to the new strategic policy target. US Equity 23% Non-US Equity 19% Global Equity 8% Continued emphasis will be on monitoring the portfolio and underlying investment managers for performance that meets or exceeds expectations and for compliance with the Investment Policy and investment manager guidelines. NEPC, the general investment consultant for SURS, will assist in the monitoring and strategy efforts. Fiscal Year 2017 Fixed Income Strategy A key focus during Fiscal Year 2017 will be a review and assessment of the core fixed income portfolio to determine the optimal structure in what is likely to be a rising interest rate environment going forward. Additional fixed income mandates may be considered in order to provide further diversification and enhance returns. The portfolio will continue to be monitored to ensure that the underlying investment managers meet or exceed expectations for performance as well as compliance with the Investment Policy and investment manager guidelines. NEPC will assist in the monitoring and strategy efforts. Emerging TIPS Market Debt 4% 3% 23 F Y2017 Investment Plan Core Fixed Income 19%

108 Exhibit 8b Alternative Strategies Fiscal Year 2017 Real Estate Strategy As of June 30, 2016, investments in real estate investment trust securities (REITs) comprise 4.1% of the total portfolio, and investments in private real estate investments total 5.9% of the portfolio. The long-term strategic policy target mix allocates 4% to REITs and 6% to private real estate. Commitments to non-core real estate managers during FY 2016 have eliminated the previous 1.0% underweight to private real estate. In September 2014, the Board approved a three year pacing model totaling $300 million for calendar years Thus far, $195 million in commitments have been approved. The remaining $105 million will be committed over the course of calendar years to stay on course with the real estate pacing analysis and will continue to focus on the non-core segment of the real estate market. A real estate pacing model for will be developed and is scheduled to be presented to the Board for consideration during Fiscal Year The chart that follows illustrates the diversification of the real estate portfolio by type, as of June 30, SURS Real Estate Portfolio Diversification by Type Non-Core Real Estate 15% REITS 41% Real Estate 10% Core Real Estate 43% *Based on current market values Fiscal Year 2017 Private Equity Strategy As of June 30, 2016, the private equity portfolio comprises 5.4% of the total portfolio, slightly under the strategic policy target of 6.0%. The private equity portfolio is broadly diversified by vintage year, subclass and geography. Private Equity 6% 24 FY2017 Investment Plan

109 Exhibit 8b In June 2014, the Board approved a three-year private equity funding plan for calendar years , totaling $850 million. The plan allows for consistent funding by vintage year to continue the System s quality private equity program. The Board approved a private equity fund-of-funds search at their April 21, 2016 meeting. At the conclusion of the search, tentatively scheduled for December 2016, commitments will resume to the private equity asset class. In addition, a private equity funding plan for calendar years will be developed and presented to the Board during FY Fiscal Year 2017 Hedged Portfolio Strategy A 5% strategic policy allocation to hedged strategies was included as a part of the strategic policy mix approved by the Board in June Implementation of phase I of the hedged strategies portfolio has been completed with 3% of the portfolio allocated to two hedge fund-offunds providers. The Board is currently reviewing the remaining 2% allocation to hedged strategies. Hedged Strategies 5% Fiscal Year 2017 Opportunity Fund Strategy Currently, infrastructure investments are the sole component of the Opportunity Fund. In April 2016, the Board retained an equity index option overlay strategy. The income producing strategy will be initiated during FY2017. Additional opportunities arising during Fiscal Year 2017 may be brought to the Board s attention, if appropriate. Opportunity Fund 1% Fiscal Year 2017 Commodities Strategy The strategic policy mix approved by the Board in June 2014 includes a 2.0% strategic policy allocation to commodities. This allocation is one element of the plan to reduce SURS public equity exposure and increase the portfolio s diversification. Initial passive commodities exposure was gained synthetically via the cash overlay manager. A search for qualified active commodities investment managers concluded in FY 2016, with the selection of two active managers to provide commodities exposure to the portfolio. Commodities 2% Fiscal Year 2017 Cash Overlay Strategy A cash overlay program was implemented in September The program is designed to assist the Plan in remaining fully invested consistent with policy targets and to efficiently manage exposure to cash flows. The overlay program also allows efficient implementation of rebalancing and changes to asset allocation targets. 25 F Y2017 Investment Plan

110 Exhibit 8b Projected Timeline A chart illustrating a projected timeline of the major investment projects slated for Fiscal Year 2017 is shown on the following pages. It should be noted that other projects may arise during the fiscal year, including, but not limited to, potential manager terminations or other ad hoc projects. 26 FY2017 Investment Plan

111 Exhibit 8b (This Page Intentionally Left Blank) 27 F Y2017 Investment Plan

112 Exhibit 8b SURS FY 2017 Investment Timetable Topic Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Global Private Equity Fund-of-Funds Contract negotiations Search (start April-16) Consideration of FY 2017 Investment Plan Annual Review of Investment Policy Annual Review of Diversity Goals Education - Topics TBD Review of Non-US and Global Equity Asset Classes Annual Review of Investment Policy (cont'd) Annual Broker/Dealer Review Education - Topics TBD Annual Review of Passive Portfolio Annual Review of Real Estate Asset Class Receipt of Annual Report to the Governor on Utilization of Emerging Firms Education - Topics TBD Annual Review of Fixed Income and Emerging Market Debt Asset Classes Trustee Educational Forum Annual Review of Commodities Asset Class Annual Review of Hedged Strategies Asset Class Education - Topics TBD 28 FY2017 Investment Plan

113 Exhibit 8b Topic Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Annual Review of U.S. Equity Asset Class Annual Investment Review of SMP Education - Topics TBD Annual Review of Private Equity Asset Class Annual Review of Opportunity Fund Asset Class SURS FY 2018 Budget Education - Topics TBD SURS FY 2017 Investment Timetable 29 F Y2017 Investment Plan

114 Exhibit 8b VI. Manager Diversity Program Overview The Manager Diversity Program (MDP) is a SURS-sponsored initiative designed to identify and provide opportunities to highly successful investment management firms owned by minorities, females, and persons with a disability. Key items of note: Developed in 2004 to identify and retain MFDB firms Managers contract directly with SURS Market Value of $2.678 billion, as of June 30, components: Number of MFDB Firms Commitment Amount (Private Equity & Real Estate Only) Market Value* Asset Class as of June 30, 2016 U.S. Equity 5 $929 million N/A Core Fixed Income 4 $587 million N/A TIPS 2 $342 million N/A Non-U.S. Equity 3 $733 million N/A Private Equity 2 $36 million $150 million** Real Estate 1 $52 million $165 million Total 17*** $2,678 million *Totals may not add due to rounding **An additional commitment of $100 million to Muller & Monroe was approved in March Contract negotiations were completed in August ***17 firms and 19 strategies due to two strategies with one private equity investment manager and two strategies with one real estate manager. Performance Objectives The performance objective of the MDP is to seek annualized investment returns, net of investment management fees, in excess of the market goal for 1, 3, 5, and 10 year periods. While individual investment managers may underperform in any given year, the diversification within the program should limit the underperformance at the program level. Fiscal Year 2016 Performance Review The MDP exceeded its benchmark during Fiscal Year 2016 primarily due to manager outperformance relative to the benchmark in the Non-U.S. equity portfolios led by Ativo Capital, Strategic Global Advisors, and GlobeFlex Capital. In terms of best absolute performance, the Franklin Templeton EMREFF Real Estate portfolio returned 10.0% versus 7.8% for the benchmark. In addition, all of the Fixed Income managers outperformed the benchmark which returned 6.0% over the fiscal year. As a result, the MDP pulled ahead of the benchmark for the one-year, three-year, five-year, and since inception time periods. 30 FY2017 Investment Plan

115 Exhibit 8b Investment Performance* As of June 30, Year 3 Years 5 Years Since Inception SURS MDP -0.3% 5.6% 6.0% 5.6% Benchmark -0.8% 5.1% 5.8% 5.4% *Net of investment management fees Fiscal Year 2016 MDP Accomplishments As of June 30, 2016, the MDP is valued at approximately $2.7 billion. A summary of MDP activities follows. The Board approved raising the goal of new commitments to alternative investments with firms of diversity from 10% to 20%. The Private Equity Emerging Manager Providers continue to make commitments to qualified private equity funds. SURS also committed $100 million to Muller & Monroe for a new MFDB mandate. This Board-approved allocation will assist SURS in meeting its goal that 20% of new commitments in alternative investments be awarded to qualified firms owned by minorities, females and persons with a disability, as documented in the Investment Policy. The mandate will focus exclusively on private equity funds with greater than 51% ownership held by minorities, females, or persons with a disability, as defined by statute. SURS commitment to diversity extends beyond the bounds of the MDP. In addition to the 17 firms utilized in the MDP, SURS contracts with two additional MFDB firms, bringing the total number of MFDB firms in partnership with SURS to 19. Assets managed for SURS by these 19 firms are approaching $4.2 billion, or 24.7% of the Total Fund, as of June 30, In addition, in April 2016, SURS committed up to 2% of the portfolio to be allocated to equity index option strategies, to be managed as an overlay mandate, by Gladius Capital Management, a minority-owned firm, contingent upon successful contract negotiations. Also, SURS hedge fund of funds providers are required to allocate at least 20% of each portfolio to MFDB firms. Fiscal Year 2017 MDP Strategy Plans for the MDP in FY 2017 include the following: Expand industry outreach efforts Continue diligent monitoring of the overall program, manager structure, and risk parameters within the program Provide a thorough review of the MDP to the Board at the March 2017 Board meeting Identify potential opportunities to increase funding for existing qualified investment managers Continued interaction with system consultant, NEPC, via more frequent discussions regarding MFDB investment managers 31 F Y2017 Investment Plan

116 Exhibit 8b VII. Self-Managed Plan Overview The Self-Managed Plan (SMP) is a defined contribution option available to SURS members. The SMP has grown steadily since the plan s inception in April To date, over 30,700 members have participated in the plan. Highlights of the plan include: More than $1.82 billion in assets as of June 30, 2016 (including the SMP forfeiture and disability reserves of more than $98 million) One Lead Administrator o Fidelity Investments Two Service Providers Fidelity Investments ($1.0 billion in assets) TIAA ($702 million in assets) 27 investment options as of June 30, 2016 Includes series of lifecycle funds in both TIAA and Fidelity lineups Over 20,100 Participants currently invested Fiscal Year 2016 SMP Accomplishments During fiscal year 2016, an enhanced communications program was developed and implemented in conjunction with the SMP providers. In continuing efforts to improve the cost effectiveness of the SMP, the fixed dollar pricing structure in effect with each provider was reduced, and a revenue credit account to be used for the exclusive benefit of participants was retained. SURS and the providers worked collaboratively to implement the Choice Election Process, an electronic process allowing members who select the SMP to choose their investment option allocations via the providers, and the SPARK standard layout for electronic submission of information between SURS and each provider. A search for SMP providers of recordkeeping services approved by the Board in September 2014 was initiated during May 2015 and concluded in September A lead administrator arrangement was approved as a component of the recordkeeping services search and implemented in April The investment option menu was reviewed in coordination with the recordkeeping services search and approved revisions were implemented in April Fiscal Year 2017 SMP Strategy Statute requires SURS utilize between two and seven service providers in the SMP. The diversity and number of investment options in the menu of SMP offerings is routinely monitored and was reviewed as a component of the SMP recordkeeping provider search conducted in Fiscal Year There are no plans to expand the offerings; however, changes may be recommended in order to eliminate duplication of similar offerings, omit weak performing options and adjust the allocation between active and passive strategies. Also, SURS takes into consideration that the SMP is a primary retirement plan, as well as participant inquiries and requests, when determining what funds to potentially include in the lineup. 32 FY2017 Investment Plan

117 Exhibit 8b Plans for the SMP in FY 2017 include the following: Continue diligent monitoring of the overall program, providers and investment options Provide a thorough review of the providers, investment options and fees at the April 2017 Board meeting Continue interaction with investment consultant NEPC via frequent discussions regarding the SMP 33 F Y2017 Investment Plan

118 Exhibit 9a To: Investment Committee From: SURS Staff Date: September 1, 2016 Re: Review of Investment Policy Introduction The Investment Policy is reviewed annually, typically at the September Investment Committee meeting. Trustees McCrohon and Cullen are currently in the process of a thorough review and significant revision of the defined benefit Investment Policy. The revised policy will be discussed at a future Investment Committee meeting. At this time, staff is seeking approval for proposed revisions limited to Section XIV of the Investment Policy (Emerging Investment Managers and Broker-Dealers). For your review, a red-line version of the current Policy follows this memo. Summary of Key Revisions Section XIV Emerging Investment Managers and Broker-Dealers As required by statute, the goals for utilization of firms owned by minorities, females, and person with a disability (MFDB) have been reviewed as part of this annual Investment Policy review. Staff is recommending the following changes to this section: An increase from 10.0% to 15.0% in the MFDB brokerage goal for structured active U.S. equity separate accounts. An increase from 10.0% to 15.0% in the MFDB brokerage goal for structured active non- U.S. equity separate accounts. An increase from 10.0% to 15.0% in the MFDB brokerage goal for active REITS separate accounts. Additional proposed revisions include language to reflect new statutory requirements for aspirational goals for assets under management with firms of diversity as well as other minor edits to eliminate redundancy with other sections of the Investment Policy. The following tables illustrate SURS current investment management goals and actual utilization rates, as of June 30, Various Emerging Manager Actual Utilization Levels and Goals Actual Goal % of Fund Managed by Minority, Female and Person with a Disability-Owned Firms 24.7% % of Fund Managed by Emerging Investment Manager Firms per P.A % 20.0% % of Actively-Managed Assets with Emerging Firms per P.A % 25.0%

119 Exhibit 9a Asset Class Minorities Women Persons with a Disability Overall Active Actual and Goal Actual Active Equities 24.3% 12.5% 0.0% 36.8% Target Active Equities 20.0% 10.0% 0-2% 30.0% Actual Active Fixed Income 18.3% 8.9% 0.0% 27.2% Target Active Fixed Income 12.0% 8.0% 0-1% 20.0% Actual Alternative Investments 10.8% 1.2% 1.1% 13.1% Target Alternative Investments 0-20% of new allocations 0-20% of new allocations 0-20% of new allocations 20% of new allocations Actual Active Total Fund 17.1% 8.1% 0.1% 25.3% Target Active Total Fund 16.0% 8.0% 1.0% 25.0% Appendix A and B contain comparative information on the investment management and brokerage goals of other Illinois pension plans. Self-Managed (SMP) Plan Investment Policy Staff has reviewed the SMP Investment Policy and is proposing the following significant revisions, which are highlighted in the red-lined version of the Policy following this memo. Section III Specification of Responsibilities Responsibilities are being added for Lead Administrator and External Counsel and are being further defined for Internal Investment Staff. Section V Investment Option and Provider Selection Language is being added to the SMP Investment Policy for consistency with investment manager selection guidelines in the Defined Benefit Investment Policy. Section VII Investment Option and Provider Monitoring Language is being added to the SMP Investment Policy for consistency with investment manager evaluation guidelines in the Defined Benefit Investment Policy. Section VIII Investment Option/Provider Termination Language is being added to the SMP Investment Policy for consistency with investment manager termination guidelines in the Defined Benefit Investment Policy. Conclusion and Recommendation Staff recommends: That the revised Investment Policy document for the defined benefit plan be approved, as presented. That the revised Investment Policy document for the Self-Managed Plan (SMP) be approved, as presented.

120 Appendix A Goals for Utilization of Investment Management Firms Owned by Minorities, Females, and Persons with a Disability Exhibit 9a Teachers Retirement System of Illinois (TRS) Total Fund 15% Minority Owned Business 12% Female Owned Business 2.5% Businesses Owned by a Person with a Disability 0.5% Equities 15% Fixed-Income 10% Alternatives 10% Illinois Municipal Retirement Fund (IMRF) Minority Owned Business 13% Female Owned Business 6% Businesses Owned by a Person with a Disability 1% Domestic Equity 8% International Equity 15% Fixed-Income 20% Hedge Fund 15% Real Estate 4% Private Equity 10% Timberland Best Efforts Agriculture Best Efforts State Universities Retirement System (SURS) Total Fund - Total 20% Total Fund - Actively Managed 25% Minority Owned Business 16% Female Owned Business 8% Businesses Owned by a Person with a Disability 1% Equities 30% Minority Owned Business 20% Female Owned Business 10% Businesses Owned by a Person with a Disability 0-2% Fixed Income 20% Minority Owned Business 12% Female Owned Business 8% Businesses Owned by a Person with a Disability 0-1% Alternatives 20% Minority Owned Business 0-20% Female Owned Business 0-20% Businesses Owned by a Person with a Disability 0-20%

121 Appendix A Goals for Utilization of Investment Management Firms Owned by Minorities, Females, and Persons with a Disability Exhibit 9a Illinois State Board of Investment (ISBI) Minority Owned Business 5-7% Female Owned Business 3-5% Businesses Owned by a Person with a Disability 0-1% Equities 8-10% Fixed-Income 10-12% Alternatives 1-5% Public School Teachers' Pension & Retirement Fund of Chicago (CTPF) Total Fund 20% Active Assets 25% Equities 30% Minority Owned Business 25% Female Owned Business 5% Businesses Owned by a Person with a Disability Best Efforts Fixed Income 15% Minority Owned Business 12% Female Owned Business 3% Businesses Owned by a Person with a Disability Best Efforts Alternatives 10% Minority Owned Business 10% Female Owned Business Best Efforts Businesses Owned by a Person with a Disability Best Efforts County Employees' Annuity & Benefit Fund of Cook County Minority Owned Business 10-15% Female Owned Business 2.5-5% Businesses Owned by a Person with a Disability 0-1% Domestic Equity 17-20% International Equity 10-15% Fixed-Income 27-30% Alternatives 10-15% Municipal Employees' Annuity and Benefit Fund of Chicago Minority Owned Business 14-20% Female Owned Business 3-7% Businesses Owned by a Person with a Disability 1-2% Equity 15-25% Fixed-Income 15-25% Alternatives 10-20%

122 Appendix B Minority-, Female- and Persons with a Disability- Owned Broker/Dealer Usage Expectation Levels September 2016 Exhibit 9a Teachers Retirement System of Illinois (TRS) Domestic Equity 19.0% International Equity 12.5% Fixed Income (based on volume) 15.0% Illinois Municipal Retirement Fund (IMRF) (All trade levels must be directly executed) U.S. Equities 25% U.S. Large-Cap Equities 30% International Equities 20% Fixed Income 22% High-Yield Bonds 5% U.S. Micro-Cap Equities 7% International Small-Cap Equities 5% Emerging Market Equities 5% Emerging Market Debt Best Efforts Bank Loans Best Efforts Opportunistic Strategies Best Efforts Hedge Funds Best Efforts State Universities Retirement System (SURS) (All trade levels must be directly executed) Active U.S. Equity 30% Passive U.S. Equity 35% Structured Active Domestic Equity 10% Non-U.S. Equity 15% Structured Active Non-U.S. Equity 10% Global Equity 20% Real Estate Investment Trusts (REITS) 10% Fixed Income 20% Treasury Inflation-Protected Securities (TIPS) 10% Illinois State Board of Investment (ISBI) Domestic Equity 30% International Equity 20% Fixed Income 20% International Fixed Income and Emerging Market Small Cap Equity 0-5% Hedged Equity 0-5% Public School Teachers' Pension & Retirement Fund of Chicago (CTPF) (All trade levels must be directly executed unless otherwise noted) Active Domestic Managers and Manager-of-Managers All Cap, Large Cap Equity 50% Active Domestic Small Cap Equity and Passive Domestic Equity 35% Active International Managers and Manager-of-Managers All Cap, Large Cap Equity and Passive International Equity 25% Active International Small Cap Equity 5% Active and Passive fixed income managers (goal is based on volume traded) 25% Active REIT managers 10% County Employees' Annuity & Benefit Fund of Cook County Domestic Equity 35% International Equity 10% International Small Cap and Emerging Market Equity 3% Fixed Income (based on volume) 10% Transition Mgmt. 40% Municipal Employees' Annuity and Benefit Fund of Chicago Domestic Equity 40% International Equity - Developed 20% International Equity - Emerging 10% Fixed Income (based on volume) 25%

123 Exhibit 9b STATE UNIVERSITIES RETIREMENT SYSTEM OF ILLINOIS INVESTMENT POLICY Adopted by the Board of Trustees September 11, 2015September 16, 2016

124 Investment Policy September Exhibit 9b INVESTMENT POLICY Table of Contents Section / Page No. Description I / 3 Mission Statement II / 4 Statement of Purpose of Investment Policy III / 6 Financial Goal & Strategic Objectives IV / 7 Role Definitions Board of Trustees Investment Committee Executive Director Internal Investment Staff External Investment Consultant(s) External Investment Managers Custodian General Counsel s Office V / 13 Asset Allocation and Rebalancing Strategy VI / 16 Investment Risk Management Policy VII / 17 Investment Manager Structure Public Equity Fixed Income Private Equity Real Estate Opportunity Fund Hedged Strategies Commodities VIII / 24 Selection and Retention Consultant Selection and Retention Investment Manager Selection Quiet Period Policy Investment Manager and Fund Monitoring IX / 30 Investment Manager Termination Guidelines X / 32 Performance Measurement and Reporting XI / 34 Safeguard of Assets XII / 36 General Investment Restrictions and/or Guidelines XIII / 38 Corporate Governance Proxy Voting Policy Securities Litigation Policy XIV / 42 Emerging Investment Managers and Broker/Dealers Goals for Utilization of Minority-Owned and Women-Owned Investment Management Firms Minority-Owned and Women-Owned Brokerage Usage Policy Manager Diversity Program Page 2

125 Investment Policy September Exhibit 9b I. Mission Statement The Board of Trustees ( Board ) of the State Universities Retirement System ( SURS, System ) has a fiduciary responsibility to the Members and Beneficiaries of the System. In recognition of this responsibility, the Board has adopted the following Mission Statement: The SURS Mission The mission of the State Universities Retirement System (SURS) is: To secure and deliver the retirement benefits promised to our members. The purpose of this Mission Statement is to provide broad operational direction to the Board, Staff, and contractors of SURS. Page 3

126 Investment Policy September Exhibit 9b II. Statement of Purpose of Investment Policy This document specifically outlines the investment philosophy and practices of SURS and has been developed to serve as a reference point for the management of System assets. In order to assist System participants in achieving their financial security objectives, the Board shall adopt a long-term plan by which the assets of the System will be maintained and enhanced through prudent investments. The Board of Trustees shall at all times have a written Investment Policy that reflects and is consistent with the statutory constraints. In addition, these guidelines shall, among other things, include specification of the investment objectives of the System, the target asset allocations, and the appropriate benchmarks to be used for evaluating the performance of the funds and the asset classes within the funds. In developing this Investment Policy, the Board and Staff understand and accept their fiduciary obligations to the Members of the System. These obligations are legal in nature, and are outlined in the Illinois Pension Code [40 ILCS 5]. Investments shall satisfy the conditions of the Illinois Compiled Statutes, and in particular, the prudent person standard of 40 ILCS 5/ In summary form, the provisions specifically referring to the definitions, duties, and responsibilities of a fiduciary are these: a fiduciary is anyone who has discretion in managing retirement system assets or in administering the retirement system, or who renders investment advice for direct or indirect compensation. [40 ILCS 5/ ] a fiduciary must discharge its duties to the retirement system for the exclusive purposes of providing benefits to participants and beneficiaries, and defraying administrative expenses of the retirement system. [40 ILCS 5/1-109(a).] a fiduciary must discharge its duties to the retirement system with the same care, skill, prudence and diligence that a prudent person would use in a similar enterprise. [40 ILCS 5/1-109(b).] a fiduciary must discharge its duties to the retirement system by diversifying the investments to minimize the risk of large losses, unless prudence dictates otherwise. [40 ILCS 5/1-109(c).] a fiduciary must discharge its duties to the retirement system in accordance with Articles 1 and 15 of the Illinois Pension Code. [40 ILCS 5/1-109(d).] a fiduciary must not cause the retirement system to engage in prohibited transactions (40 ILCS 5/1-110(a)). A fiduciary must not deal with the retirement system s assets for its own interest, or act in any transaction on behalf of any party whose interests are adverse to the retirement system or its participants or beneficiaries, or receive any consideration for its own personal account from any party dealing with the retirement system in connection with a transaction involving the assets of the retirement system. [40ILCS 5/1-110(b)]. Page 4

127 Investment Policy September Exhibit 9b These statutes are the foundation for development of SURS Investment Policy. For brevity and clarity, the Board adopts the following interpretation of the statute as its "Guiding Principles": Principles Guiding SURS Investment Activity 1. Preserve the long-term principal of the Trust fund. 2. Maximize total return within prudent risk parameters. 3. Act in the exclusive interest of the Members of the System. These principles, combined with the applicable sections of the Illinois Pension Code [40 ILCS 5], serve as the basic guideline for this Investment Policy. Page 5

128 Investment Policy September Exhibit 9b III. Financial Goal & Strategic Objectives The assets of the System will be invested solely for the benefit of participants and beneficiaries within the constraints of applicable Illinois Statutes and the guidelines contained in this document. In addition, the following financial goal and strategic objectives for the SURS plan have been established: The SURS Financial Goal The financial goal as set forth in the SURS Strategic Plan is: To assure the financial soundness of the System. The strategic objectives designed to achieve the SURS Financial Goal are as follows: Secure the annual required contribution (ARC) Achieve long term, sustainable, above average, risk-adjusted returns Manage the risk and volatility of assets Manage expense to achieve an optimal rate of return Manage operational expense at a prudent level In addition, SURS has a goal of protecting assets through sound risk management and ethical practices. Page 6

129 Investment Policy September Exhibit 9b IV. Role Definitions SURS is one of the larger public pension funds in the United States; as such its operational requirements are complex. The Board relies heavily on both Internal Staff and external contractors in order to properly administer the System and implement its investment strategies. Because of the number of parties involved, their roles as fiduciaries must be clearly identified to increase operational efficiency, to ensure clear lines of responsibility, and to reduce or eliminate duplication of effort. Board of Trustees The Board has the responsibility of establishing and maintaining broad policies and objectives for all aspects of the System s operation. The Board is responsible for prudent investment and expenditure of the System s funds and assets. Specifically with regard to investments, the Board takes action upon recommendations that come from its Investment Committee. The Board also approves actuarial assumptions, certifies contribution rates and determines policies pertaining to the administration of the plans and benefits under its jurisdiction and responsibility. Trustees shall carry out their functions solely in the interest of the members and benefit recipients and for the exclusive purpose of providing benefits and defraying reasonable expenses incurred in performing such duties, as required by law. The Trustees shall act in accordance with the provisions of State Statute and with the care, skill, prudence and diligence in light of the circumstances then prevailing that a prudent person acting in a like capacity and familiar with such matters would use in the conduct of an enterprise of a like character and with like aims by diversifying the investments of the System so as to minimize the risk of large losses, unless in light of such circumstances it is clearly prudent not to do so. All members of the Board of Trustees shall be indemnified and held harmless by the System for any reasonable cost or expenses incurred as a result of any actual or threatened litigation or administrative proceeding arising out of the performance of the Board member s duties in accordance with 40 ILCS 5/ No member of the Board of Trustees may participate in deliberations or vote on any matter before the Board which will, or is likely to, result in direct, measurable gain to the Board member, to the Board member s immediate family members, or to that Board member's employer. Formal Review Schedule The Board recognizes that even though the System s investments are subject to short-term volatility, it shall maintain a long-term investment focus. This prevents ad-hoc revisions to the philosophy and policies in reaction to either speculation or short-term market fluctuations. In order to preserve this long-term view, the Board has adopted the following formal review schedule: Page 7

130 Investment Policy September Exhibit 9b Formal Review Agenda Item Total Fund Performance Asset Allocation Policy Investment Policy Formal Review Schedule At least quarterly At least every three to five years At least annually Investment Committee The Board establishes an investment committee (the Committee ) that reviews and makes recommendations to the Board on investment actions including, but not limited to, the following investment-related activities: 1. Approval of policies related to the Investment Program and oversight of compliance with the investment policy and the laws of Illinois; 2. Approval of asset allocation policy targets, benchmarks and investment manager structure; 3. Selection and termination of the master trustee/custodian ( Custodian ); 4. Selection, termination and funding of external investment managers; 5. Selection and termination of investment consulting relationship(s) and other third party service providers; 6. Review of performance, asset allocation, and risk reports over various time periods. Executive Director The Executive Director is appointed by and serves at the pleasure of the Board. Responsibilities delegated by the Board to the Executive Director include, but are not limited to, the following: 1. Planning, organizing, and administering the operations of the System under broad policy guidance and direction from the Board. Examples of such duties include: a. Execution of investment management agreements or other contracts with Board-approved investment service providers, with a report provided to the Committee at the next regularly scheduled meeting. b. Execution of contract amendments with existing Board-approved investment service providers, with a report provided to the Committee at the next regularly scheduled meeting. 2. Monitoring of the performance of the investment portfolio; 3. Ensuring that funds are invested in accordance with Board policies; 4. Communicating with the Board, its Officers and Committee Chairs; 5. Studying, recommending, and implementing policy and operational procedures that will enhance the investment program of SURS; and 6. Ensuring that proper internal controls are developed to safeguard the assets of the System. Employees of the System shall be indemnified and held harmless by the System for actions within the scope of their employment, pursuant to 40 ILCS 5/1-107 and 108. This indemnification extends to former employees for actions within the scope of their employment at time of employment. In fulfilling these investment responsibilities, the Executive Director relies heavily on the internal investment staff and Consultant(s). Page 8

131 Investment Policy September Exhibit 9b Internal Investment Staff The internal investment staff reports directly to the Chief Investment Officer ( CIO ) who in turn reports to the Executive Director. The internal investment staff provides internal investment management and/or consulting services to the Board and Executive Director. In the course of the CIO s normal functions, the CIO will work directly with the Board, Investment Committee and its Chair(s). The frequency and content of reports to the Board are based on the requirements of the Investment Policy Statement as well as directives from the Board and/or its Investment Committee. The primary functions delegated by the Board to internal investment staff may include, but are not limited to: 1. Reviewing and drafting recommendations to the Investment Policy annually; 2. Analyzing and rebalancing the overall asset allocation of the System and its portfolio structure; 3. Managing cashflow and liquidating assets, as necessary, to pay monthly benefits; 4. Conducting due diligence and providing recommendations in the selection and termination of external investment managers and external investment consultant(s); 5. Implementing the decisions of the Board regarding funding modifications, hiring, and termination of external investment managers; 6. Monitoring compliance with Board-approved policies and guidelines for all investment-related activities and third party service providers; 7. Oversight and monitoring of external investment managers, including, but not limited to, performance evaluation; 8. Approving revisions to investment manager guidelines, with agreement from the external investment consultant and General Counsel required; 9. Preparing performance, asset allocation, and risk reports for the Investment Committee; 10. Managing and monitoring the custodial bank relationship; 11. Consulting with legal counsel regarding investment matters; 12. Serving on advisory boards for fund investments when appropriate and voting on issues as necessary to promote the best interests of the System in a fiduciary manner; 13. Responding to inquiries from various parties concerning the investments of the Fund in accordance with SURS communication policies; 14. Monitoring and reporting to the Investment Committee, as applicable, on programs related to the diversity of the Fund s investment managers and brokers; 15. Completing other administrative duties related to the operation of the investment program, and 16. Serving as a liaison to the investment community. The SURS Staff has the responsibility to implement the Board decisions through negotiation, execution and enforcement of the investment management agreement and guidelines. All investment management agreements and amendments thereto, with the exception of revisions to investment manager guidelines, must be executed by the Executive Director. In the event that termination of an investment manager is warranted Page 9

132 Investment Policy September Exhibit 9b under the Investment Manager Termination Guidelines, and prompt termination of the investment manager is necessary to protect and preserve System assets, SURS Staff may, with the prior approval of the Executive Director, terminate the investment manager prior to Board action. The Board shall be promptly notified of the decision to terminate the investment manager, and the decision shall be presented to the Investment Committee for ratification at its next meeting. The internal investment staff also works closely with the external investment consultant(s). Recommendations to the Investment Committee will generally be developed jointly by the Staff and Consultant with advice to the Chair. Once an item is identified as a potential agenda item, Staff and Consultant begin working together on the issue. If one group has more expertise in the particular area than the other, that party may take the lead in facilitating work outputs. In most if not all cases, however, any analysis or recommendation that is made to the Committee will be developed jointly and agreed to or approved by both parties. External Investment Consultant(s) The Board shall generally have under contract an investment advisor who is a paid, professional consultant ( Consultant ) and who is qualified to provide the Board with investment advice by academic and professional training and experience and is considered an expert in the field of investment and finance. The Consultant's relationship with the Board shall be that of a fiduciary under 40 ILCS 5/ (2). The Consultant is hired by and reports directly to the Board of Trustees. The Consultant's duty is to work with the Board, Investment Committee and its Chair(s), and Staff in the management of the investment process. This includes regular meetings with the Board to provide an independent perspective on the Fund's goals, structure, performance and investment managers. In the course of the Consultant s normal functions, the Consultant will work directly with the Staff to formulate and review investment goals, objectives, and policies; review performance of the total fund, asset classes and investment managers; and make recommendations to the Board as appropriate. The Consultant will assist Staff and the Committee with external investment manager selection and will promptly inform the System and discuss the impact of material changes taking place within any current investment manager's organization or investment process. The Consultant may also provide fiduciary education to inform the Board and Staff regarding significant trends in institutional investments and new investment opportunities. In addition, the Consultant will conduct an independent annual review of the Manager Diversity Program. The Board may elect to retain one or more Consultants that specialize in specific areas of asset consulting. An annual review of the Consultant will be conducted by Staff with any performance concerns communicated to the Board, if necessary. External Investment Managers The external investment managers ( investment managers ) are selected by, and serve at the pleasure of, the Board. The Staff and Consultant will provide the investment managers with explicit written directions detailing their particular Board-approved assignments. Duties of investment managers include, but may not be limited to, the following: Page 10

133 Investment Policy September Exhibit 9b 1. The investment managers will select, buy, and sell specific securities or investments within the parameters specified by Staff and Consultant and in adherence to this Investment Policy or to other policies set forth by the Board. 2. The investment managers will construct and manage investment portfolios that are consistent with the investment philosophy and disciplines for which the Board hired them. Discretion is delegated to the investment managers to carry out these investment actions. 3. Investment managers will provide performance reporting to the Staff at intervals specified by Staff. 4. Investment managers will also, on an annual basis, provide to SURS proof of insurance coverage in an amount and type specified in the investment manager s investment management agreement. 5. Investment managers will, on an annual basis, certify in writing that they remain a fiduciary to the System and that they have been in compliance with the investment guidelines during the past year. 6. The Investment Manager shall utilize investment strategies designed to ensure that all securities transactions are executed in such a manner that the total explicit and implicit costs and total proceeds in every transaction are the most favorable under the circumstances. 7. The investment manager shall comply with all applicable laws and regulations, including those of the State of Illinois and the United States of America, including without limitation, the provisions of Rule 206(4)5 under the Investment Advisers Act of 1940, as amended. Specific operational information for each investment manager will be addressed at length in the individual investment manager guidelines. Master Trustee / Custodian The Master Trustee/Custodian ( Custodian ) is selected by, and serves at the pleasure of, the Board. The Custodian(s) will, among other duties, collect income and safekeep all cash and securities, and will regularly summarize these holdings, along with both their individual and collective performance, for Staff s review. The Custodian will provide data and performance reports to the Staff and Consultant at intervals specified by the System s written policy or contract. In addition, a bank or trust depository arrangement will be utilized to accept and hold cash flow prior to allocating it to the investment managers, and to invest such cash in liquid, short-term securities in accordance with investment guidelines. The Board shall determine asset allocation guidelines; in order to maintain these targets, Staff will direct the Custodian to allocate cash and/or securities to the System s investment managers as necessary. The Custodian may also, at the direction of the Board, engage in a Securities Lending program. Alternatively, the Board may choose to retain a third party firm to provide Securities Lending services to SURS. General Counsel s Office The role of the General Counsel s office is to oversee all legal services provided in connection with System matters, to perform draft document review and provide legal advice on issues, as necessary, to protect the interests of the System. The General Counsel s Office does not review or approve investment decisions. The General Counsel s Office reviews business terms for proper form and legality. However, General Counsel review does not extend to aspects of business terms that require investment or financial Page 11

134 Investment Policy September Exhibit 9b expertise. The following documents and issues will be brought to the attention of the General Counsel s Office: 1. Any document that the Executive Director is requested to sign. 2. New investment management agreements. 3. Contracts with investment service providers. 4. Letter agreements and side letters with any investment manager or investment service provider. 5. Amendments to investment management agreements, including revisions to investment manager guidelines. 6. Amendments to contracts with investment service providers. 7. Amendments to letter agreements and side letters. 8. Any matter that Investment Staff wishes to assign to outside counsel excluding routine matters for which the CIO or other Investment Staff may directly interact with outside counsel. 9. Correspondence to or from any investment manager or investment service provider concerning actual or potential litigation or legal issue. 10. Any material violation by an investment manager or investment service provider of any terms or obligations in a contract with the System that comes to the attention of Investment Staff. Page 12

135 Investment Policy September Exhibit 9b V. Asset Allocation and Rebalancing Strategy A. Purpose The purpose of the asset allocation policy is to establish an Investment Policy framework for SURS that has a high likelihood, in the judgment of the Board, of realizing SURS investment objective. B. Targets and Ranges The principal components of the Investment Policy are target allocation percentages for various areas of investment, known as asset classes, and minimum and maximum percentages for each asset class. The table below contains SURS current strategic policy target and interim policy target percentages. STRATEGIC POLICY TARGET 1 INTERIM POLICY TARGET ASSET ALLOCATION POLICY MIX (as of 7/01/2015) U.S. Equity 23.0% 29.0% Non-U.S. Equity 19.0% 19.0% Global Equity 8.0% 8.0% Total Public Equity 50.0% 56.0% Core Fixed Income 19.0% 19.0% Emerging Market Debt 3.0% 3.0% Treasury Inflation-Protected Securities (TIPS) 4.0% 4.0% Total Fixed Income 26.0% 26.0% Private Equity 6.0% 6.0% Real Estate REITS 10.0% 4.0% 6.0% 9.0% 4.0% 5.0% Direct Real Estate Hedged Strategies 5.0% 0.0% Opportunity Fund 2 1.0% 1.0% Commodities 2.0% 2.0% Total Alternatives 24.0% 18.0% Grand Total 100.0% 100.0% The interim policy target may change over time and reflects the necessity of a gradual shift of assets to the strategic policy target due to practical implementation considerations and liquidity constraints. Staff has discretion to gradually adjust the interim policy targets toward the strategic policy targets in coordination with the actual transition of assets. C. Rebalancing The Investment Policy of the State Universities Retirement System (SURS) provides an efficient allocation of assets to achieve overall risk and return objectives. Proper implementation of this guideline requires that a periodic adjustment, or rebalancing, of 1 Policy targets approved at June 13, 2014 Board meeting. 2 The Opportunity Fund shall be no more than 5% of SURS total market value. Page 13

136 Investment Policy September Exhibit 9b assets be made to ensure conformance with asset allocation targets. Such rebalancing is necessary to reflect sizable cash flows and performance differentials among asset classes and investment managers. Rebalancing shall automatically occur whenever an asset class is three percentage points greater or lesser than the strategic policy target level or when the overall equity and/or fixed income allocation deviates from the aggregate equity and/or fixed income targets by more than five percentage points. Rebalancing may also occur in the event of a change in the strategic policy target mix by the Trustees. Rebalancing, when required, shall occur as soon as practical and may be facilitated by the use of an investment manager providing cash overlay services, provided the Board has formally approved the retention of such a manager. In conducting rebalancing activities, the Board expects the Staff to operate under these guidelines: 1. Whenever asset class allocation percentages fall outside the indicated range for that asset class, the Staff shall initiate rebalancing transactions to bring all percentages to values that do not exceed the range limits At any time and in its discretion, the Staff may bring the actual allocation to, or nearer to, the target percentages. 3. At a minimum, the Staff will ensure that as a result of a rebalancing review, no asset class allocation is outside the allowable range. 4. To the extent that it is possible to bring the actual allocation nearer to the target percentages without incurring transactions costs, or while incurring transaction costs, which in the judgment of the Staff are unusually low, the Staff shall do so. 5. In the event of extraordinary market events that result in (a) the actual allocation being outside the acceptable ranges and (b) market conditions preventing the implementation of rebalancing activities, Staff may request from the Board temporary exceptions to this policy. Rebalancing activity will occur as soon as is prudently feasible. The spirit of this policy is to ensure compliance with the target asset allocation percentages at a reasonable cost, recognizing that overly precise administration of policy targets can result in transaction costs that are not economically justified. Recognizing the complexity of achieving this result with a portfolio the size and complexity of SURS, as well as the vagaries of transacting in investment markets, the Board accords the Staff discretion to take those actions, which in the judgment of the Staff are within the spirit of these guidelines and in the best interest of SURS. Staff will report the results of rebalancing activity to the Investment Committee at the next regular Investment Committee meeting. 3 When any one of the public market asset classes hits a trigger point, the entire fund may be rebalanced back to asset class target allocations, with the understanding that it may be impractical to return the real estate and private equity asset classes precisely to target in the short term. Accordingly, qualitative considerations (e.g., transaction costs, liquidity needs, investment time horizons, etc.) will be considered in determining the potential timing and extent of rebalancing real estate and private equity portfolios. Page 14

137 Investment Policy September Exhibit 9b D. Periodic Review The Board establishes the asset allocation targets and ranges and reviews them periodically. The target allocation will be reviewed annually for reasonableness relative to significant economic and market changes or to changes in the System s long-term goals and objectives. Typically, every three to five years the Board will undertake a comprehensive review of the asset allocation policy designed to assess the continuing appropriateness of Investment Policy. This ordinarily involves an asset-liability study that places the development of Investment Policy into the context of future benefit payments, liabilities, required funding and the prospective funded status of liabilities. Page 15

138 Investment Policy September Exhibit 9b VI. Investment Risk Management Policy Note: This policy is one component of the broader SURS risk management function. Risk Oversight The SURS Mission Statement is to secure and deliver the retirement benefits promised to our members. In an attempt to deliver the desired long-term risk-adjusted investment returns with reasonable volatility levels, an assumption of risk tolerance within the investment portfolio is necessary to assist in meeting stated objectives. The risk monitoring and reporting processes are anticipated to serve as a tool in providing prudent oversight of the Investment Program. Risk levels within the portfolio will evolve over time for various reasons, including (but not limited to) changes in asset allocation, investment return assumption revisions, correlation between asset classes, and changes in funding levels, and should be reviewed periodically. Risk Monitoring Risk will be monitored through various forms of analysis and reporting in an attempt to understand risks within the Fund, and to ensure adequate compensation for the level of risk assumed. Analysis will occur at various levels of detail which include individual manager, asset class and total Fund level analysis. In addition to relative performance evaluation, an analysis of diversification, benchmark risk, active risk, total risk, value at risk, and other risk measures will be reported. Analysis will be conducted on an ex-post and ex-ante basis to identify and quantify both forward looking and backward looking risk metrics. Staff will review portfolios, asset classes, and total Fund information on an ongoing basis in order to maintain an understanding of potential risks within the portfolio. Individual manager portfolios or asset classes demonstrating higher than expected levels of risk will be examined in greater detail and any necessary adjustments will be made immediately, or a plan for doing so will be developed. Alternatively, justification for maintaining the exposure will be provided to the Investment Committee. Reporting Reports will be assembled and evaluated on a quarterly basis, and provided to the Chief Investment Officer. Summary reports will be assembled and presented to the SURS Investment Committee and the Board of Trustees on a quarterly basis. Page 16

139 Investment Policy September Exhibit 9b VII. Investment Manager Structure The Board has adopted target asset allocations and ranges to control and limit the strategic and tactical risks in the portfolio.. To control the active manager style, sector, index and benchmark risks, a structure and specific benchmarks are established for each asset class. In order to implement these strategies, it is necessary that the Board retain external investment managers. Investment managers will be given specific tactical roles within the overall strategic investment plan. These roles are specifically set forth for each firm as investment manager guidelines, established at the beginning of the relationship with SURS as part of the contract negotiation process. The guidelines provide specific instructions with regard to permissible investments relevant to their role in the SURS portfolio. Staff and Consultant will be responsible for implementation of these strategies, supervision of the investment managers, performance monitoring and reporting. Updates will be provided to the Board (i) as requested by the Board, its Investment Committee or its Chair, and (ii) as deemed necessary by Staff and Consultant. Public Equity Structure A. Role The public equity portfolio is expected to generate attractive absolute returns in a relatively low cost manner and also expected to generate competitive returns relative to an appropriate performance benchmark. The public equity portfolio may also serve as a source of liquidity. B. Investment Structure 1. The public equity allocation consists of a highly diversified mix of publicly traded global equities. Common stocks, preferred stocks, or other equity securities are typically utilized. 2. The public equity portfolio is composed of U.S., non-u.s. and global equity segments. o U.S. equities Investment managers invest primarily in publicly traded equity securities of U.S. companies. o Non-U.S. equities Investment managers invest primarily in publicly traded equity securities of non-u.s. companies, in both developed and emerging markets. o Global Equities Investment managers make the allocation decisions between U.S. and non-u.s. companies, in both developed and emerging markets. 3. Diversification o The policy targets for the subcomponents of the portfolio are as follows, although actual allocations may vary as a result of relative market performance: Page 17

140 Investment Policy September Exhibit 9b Subcomponent Policy Target U.S. Equity 46% Non-U.S. Equity 38% Global Equity 16% Total Equity 100% o The portfolio is diversified by manager, sector, style, capitalization, and geography. o Such diversification serves to enhance returns, control risk, and reduce volatility. 4. Assets may be held in commingled funds or privately managed separate accounts. 5. Leverage is not typically allowed in the public equity portfolio, with assets invested in long-only mandates. Use of leverage will be controlled as appropriate in the investment manager s investment guidelines. 6. Manager and fund level concentration limits may be considered on an individual manager basis and will reflect such issues as type of mandate, strength and stability of organization, risk characteristics, etc. 7. Implementation of the public equity portfolio is via a combination of active and passive management. Passive management is generally most prevalent in the U.S. equity portfolio, which is highly efficient, particularly in the large cap segment, but is also employed significantly in the non-u.s. equity portfolio. The global equity portfolio is implemented entirely via active management. C. Benchmarks Subcomponent U.S. Equity Non-U.S. Equity Global Equity Benchmark Dow Jones U. S. Total Stock Market Index Morgan Stanley Capital International All Country World Ex- US (net dividends) Index (MSCI ACW Ex-US) Morgan Stanley Capital International All Country World (net dividends) Index (MSCI All Country World) Fixed Income Structure A. Role The fixed income portfolio is expected to provide significant diversification to the Total Fund due to differences in correlation with other asset types. In addition, the fixed income portfolio is expected to provide capital preservation, a source of liquidity, and competitive returns relative to an appropriate benchmark. B. Investment Structure 1. The fixed income allocation consists of a highly diversified mix of publicly traded fixed income securities, invested across multiple asset types, including Treasury, agency, corporate and mortgage securities, among others. o Quality standards will be specifically set forth in the investment manager s guidelines, if applicable. In the event an issue is downgraded below the minimum credit quality after purchase, the investment manager may continue to hold the security if it believes doing so is in the Page 18

141 Investment Policy September Exhibit 9b best interest of SURS. The investment manager shall provide written justification of the action to SURS as soon as practicable. 2. The fixed income portfolio is composed of Core, Treasury Inflation-Protected Securities (TIPS) and Emerging Market Debt (EMD) segments. o Core Fixed Income This segment is further broken down as follows: Core managers invest primarily in investment grade fixed income issues with sector allocations and risk profiles similar to those of the benchmark index. Core Plus managers are given additional flexibility to add instruments with greater risk and greater potential return, such as high yield, global and emerging market debt, for example, to core investment grade portfolios. Unconstrained managers are less restricted in their ability to allocate between sectors and are not anchored to a traditional fixed income benchmark. o TIPS Investment managers invest primarily in inflation-linked fixed income securities in an effort to provide a hedge against unanticipated inflation. o EMD Investment managers invest in debt securities of emerging market countries, in both US dollar and local currency terms, providing additional diversification and opportunities for higher yield. 3. Diversification o The policy targets for the subcomponents of the portfolio are as follows, although actual allocations may vary as a result of relative market performance: Subcomponent Policy Target Core Fixed Income 73% TIPS 15% EMD 12% Total Fixed Income 100% o The portfolio is diversified by manager, sector, and geography. o Such diversification serves to enhance returns, control risk, and reduce volatility. 4. Assets may be held in commingled funds or privately managed separate accounts. 5. Leverage is not typically allowed in the fixed income portfolio, with assets invested in long-only mandates. However, short sales are permitted in certain mandates. Use of leverage will be controlled as appropriate in the investment manager s investment guidelines. 6. Manager and fund level concentration limits may be considered on an individual manager basis and will reflect such issues as type of mandate, strength and stability of organization, risk characteristics, etc. 7. Implementation of the fixed income portfolio is primarily via active management although passive management is utilized to a modest extent in the core segment for liquidity purposes. The TIPS and EMD segments are implemented entirely via active management. Page 19

142 Investment Policy September Exhibit 9b C. Benchmarks Subcomponent Benchmark Core Fixed Income Barclays Capital Aggregate Index TIPS Barclays Capital U.S. TIPS Index A blend of the following: 50% - JP Morgan Government Bond Index Emerging Markets Global Diversified EMD 25% - JP Morgan Emerging Markets Bond Index - Global Diversified 25% - JP Morgan Corporate Emerging Markets Bond Index Broad Private Equity Structure A. Role The private equity portfolio is expected to earn risk-adjusted returns in excess of the public equity markets. The private equity portfolio is also expected to decrease the volatility of the System s assets through the diversification benefits of having lower correlations with other asset classes. B. Investment Structure 1. The private equity allocation generally consists of investments into private companies, either directly or through buyouts of public companies that result in a delisting of public equity. 2. The private equity portfolio is composed of three major subcomponents. o Venture Capital/Growth Venture capital partnerships primarily invest in businesses still in the conceptual stage (start-up or seed) or where products may not be fully developed, and where revenues and/or profits may be several years away. Growth/later-stage venture capital partnerships typically invest in more mature companies in need of growth or expansion capital. o Buyout These partnerships provide the equity capital for acquisition transactions either from a private seller or the public, which may represent the purchase of an entire company, or a refinancing or recapitalization transaction where equity is purchased. o Other Mezzanine/subordinated debt partnerships provide the intermediate capital between equity and senior debt in a buyout or refinancing transaction. Restructuring/distressed debt partnerships typically make new investments in financially or operationally troubled companies, often for a control position, with a view to improving the balance sheet and operations for a subsequent sale. Special situations partnerships include organizations with a specific industry focus or transaction type not covered by the other subclasses mentioned above, or unique opportunities that fall outside such subclasses. Page 20

143 Investment Policy September Exhibit 9b 3. Diversification o The private equity portfolio shall be diversified by time, subclass, and geography. o Such diversification serves to enhance returns, control risk, and reduce volatility. 4. Within the portfolio, the account structure is typically in funds. SURS commonly participates through fund of funds structures, which provide further manager diversification and the opportunity for co-investment and secondary fund opportunities. 5. Leverage may be present in private equity investments, most commonly in buyout partnerships. Levels are generally determined on a fund-level basis. 6. Manager and fund level concentration limits may be considered on an individual manager basis and will reflect such issues as type of mandate, strength and stability of organization, risk characteristics, etc. 7. Implementation of the private equity portfolio is via active management. C. Benchmarks Private Equity Benchmark Dow Jones U.S. Total Stock Market Index plus 3%. Other performance comparisons may be used as secondary benchmarks such as peer group comparison, return multiple or public market equivalent comparisons. Real Estate Structure A. Role The real estate portfolio is expected to generate attractive risk-adjusted returns through stable income and the opportunity for strong appreciation while providing diversification to the overall fund. B. Investment Structure 1. The real estate allocation consists of highly liquid, publicly traded real estate investment trust securities (REITS) and direct real estate. 2. The direct real estate portfolio is composed of Core and Non-Core segments. o Core Real Estate Core managers typically invest in properties that are well located and well leased with strong quality tenants. Core investments provide stable income with lower volatility. o Non-Core Real Estate Non-core managers provide opportunities for higher returns by investing in assets in need of re-tenanting, re-development, or renovation, or are otherwise in some form of distress. 3. Diversification o The non-core direct real estate portfolio is in the process of being funded. The policy targets for the subcomponents of the portfolio are as follows, although actual allocations may vary until full funding takes place and as a result of relative market performance: Page 21

144 Investment Policy September Exhibit 9b Subcomponent Policy Target REITS 40% Core Real Estate 36% Non-Core Real Estate 24% Total Real Estate 100% o Such diversification serves to enhance returns, control risk, and reduce volatility. 4. The REIT portfolios may be held in commingled funds or privately managed separate accounts. The account structure for direct real estate is typically either open-end or closed-end funds. SURS may also participate through fund of funds structures, which provide further manager diversification and the opportunity for co-investment and secondary fund opportunities. 5. Leverage is an inherent component of real estate investing and levels are generally determined on a fund-level basis. 6. Manager and fund level concentration limits may be considered on an individual manager basis and will reflect such issues as type of mandate, strength and stability of organization, risk characteristics, etc. 7. Implementation of the REIT portfolio is via a combination of active and passive management. The direct real estate portfolio is implemented via active management. C. Benchmarks Subcomponent Benchmark U.S. REITS Dow Jones U. S. Select Real Estate Securities Index Global REITS FTSE EPRA/NAREIT Developed Index Core Real Estate NCREIF ODCE Index Non-Core Real Estate NCREIF ODCE Index + 1.5% Opportunity Fund A. Role The opportunity fund portfolio is designed to allow flexibility for opportunistic investment in market segments not historically utilized by SURS. Investments in the Opportunity Fund may be a one-time occurrence, such as investments capitalizing on a market dislocation, or successful investments may ultimately be transitioned into the larger SURS portfolio as a permanent allocation. B. Investment Structure The structure of the Opportunity Fund is not fixed and may vary considerably over time. The Opportunity Fund shall be no more than 5% of the Total Fund value. C. Benchmark Subcomponent Opportunity Fund Benchmark Weighted Average of the Underlying Investment Benchmarks Page 22

145 Investment Policy September Exhibit 9b Hedged Strategies A. Role The hedged strategies portfolio is expected to provide downside protection and risk mitigation to the overall SURS portfolio through the diversification benefits of having lower correlations with other asset classes. B. Investment Structure A 5% policy allocation to hedged strategies has been approved. SURS is currently in the early stages of initial implementation, with development of the portfolio structure for the hedged strategies allocation currently underway. C. Benchmark Subcomponent Hedged Strategies Benchmark To Be Determined Commodities A. Role The commodities portfolio is expected to provide some degree of protection against the risks associated with inflation. In addition, the commodities portfolio is expected to enhance the diversification of the total investment portfolio and provide a source of liquidity to the Fund when other asset class portfolios are experiencing lower returns due to unanticipated inflation. B. Investment Structure A 2% policy allocation to commodities has been approved. Commodities exposure is currently being implemented passively via the cash overlay program. A search for active commodities managers and the development of the portfolio structure for the commodities allocation are currently underway. C. Benchmark Subcomponent Commodities Benchmark Bloomberg Commodity Index Page 23

146 Investment Policy September Exhibit 9b VIII. Selection and Retention Introduction The Trustees of the State Universities Retirement System ( SURS ) have established the following guidelines for hiring consultants and investment managers. In establishing these guidelines, it is the Board s intention to assure all interested parties that decisions made in carrying out these actions occur in a full disclosure environment characterized by competitive selection, objective evaluation, and proper documentation. The overriding consideration with respect to all decisions is that they shall be made solely in the best interest of plan participants and beneficiaries. A. Consultant Selection and Retention A Consultant is any person or entity retained or employed by the SURS Board to make recommendations in developing an investment strategy, assist with finding appropriate investment managers, or monitor SURS investments. A Consultant, as defined in this section, does not include non-investment related professionals or professionals offering services that are not directly related to the investment of assets, such as legal counsel, actuary, proxy voting services, services used to track compliance with legal standards, and investment fund of funds where the Board has no direct contractual relationship with the investment managers or partnerships. The search process for a Consultant shall be a competitive proposal process and shall generally follow the guidelines listed below: Advertisements for the search process shall be placed in the State newspaper and in one or more industry periodicals at least 14 days before the response to the offer is due. Uniform documents shall be used for the solicitation, review, and acceptance of investment services and will be posted on the SURS web site. Documents may differ based on the specific search mandate. All interested respondents shall return their responses to SURS investment staff, which shall open and record them, providing a list of all respondents to the Investment Committee. Following review and evaluation of the responses from interested firms, the field of candidates is narrowed to a smaller list of the most highly qualified firms. At this point, representatives from SURS meet with representatives of each firm to obtain an independent assessment of the firm's capabilities. Following the interview with the selected firm(s), SURS Staff recommends to the Board one or more Consultants for engagement. Generally, the finalists appear before the Board to present their firms qualifications. In accordance with 40 ILCS 5/ , candidates are required to make certain disclosures regarding the diversity of their staff and vendors of investment, consulting, and professional and artistic services. These disclosures shall be considered, within the bounds of financial and fiduciary prudence, prior to the awarding of a contract, Page 24

147 Investment Policy September Exhibit 9b oral or written, for investment services, consulting services, or commitment to a private market fund. The Board accepts or modifies the recommendation and makes the final decision with respect to the engagement, if satisfied with the firm s capabilities. Contracts are then completed with the selected firm(s). SURS shall not enter into a contract with a Consultant that exceeds 5 years in duration. No contract to provide consulting services may be renewed or extended. At the end of the term of a contract, however, the Consultant is eligible to compete for a new contract as provided in this section. SURS shall post the name(s) of the successful respondent(s) on the SURS web site, along with a disclosure including the total amount applicable to the contract, the total fees paid or to be paid, and a description of the factors that contributed to the selection of the Consultant. Exceptions to this competitive proposal process are allowed for (i) sole source procurements, (ii) emergency procurements, and (iii) at the discretion of the SURS Board, contracts that are nonrenewable and one year or less in duration, so long as the contract has a value of less than $20,000. All exceptions granted under this section must be published on the SURS web site, shall name the person authorizing the procurement, and shall include a brief explanation of the reason for the exception. B. Investment Manager Selection Investment managers will be selected pursuant to the search process discussed below to fill investment needs when such needs are identified by the Staff, Consultant, or Board of Trustees. Generally, for each investment manager search, a written recommendation to initiate a search process shall be prepared by Staff, reviewed by the Consultant, and approved by the Board of Trustees prior to its commencement. For searches affiliated with the SURS Manager Diversity Program (MDP), the investment Staff conducts the search process with the Consultant providing an independent evaluation of the program annually. The criteria used to determine the minimum qualifications of firms to be selected for an assignment are shown below: Selection Criteria 1. Registration with the Securities and Exchange Commission (SEC) under the Investment Advisers Act of 1940, or otherwise qualified under the Illinois Pension Code. 2. Experience of the firm in the management of institutional portfolios operated under prudent person standards, as well as related investment management experience. 3. Qualifications and/or depth of the professional Staff. Page 25

148 Investment Policy September Exhibit 9b 4. Soundness of the firm s investment philosophy and process. 5. The investment record of the firm and/or the firm s principals in former associations where that record is verifiable. 6. The adequacy of the firm s trading, back office, accounting and reporting, and client servicing capabilities. 7. Fees. Using the above criteria established by the Board of Trustees, the top firms are selected using a competitive proposal process based upon the experience and qualifications of the firm s principals, the soundness of the firm s investment philosophy and process, as well as the strength of the investment record and organization. For investment managers covered by 40 ILCS 5/113.14(b), the search process for investment manager(s) shall be conducted in a substantially similar manner to that of the Consultant search process, discussed in Section VIII(A), entitled Consultant Selection and Retention, except that the Consultant may assist SURS staff in the search process. It is important to note that SURS does not use any criteria that would be considered a barrier to an emerging investment manager such as a minimum number of years in business or a minimum asset level under management. As a part of the selection process, SURS utilizes databases to ensure that qualified emerging investment managers are included in the pool of eligible candidates. If an emerging investment manager meets the criteria established for a specific search, then that emerging investment manager shall receive an invitation by the Board or Investment Committee to present his or her firm for final consideration of a contract. In the case where multiple emerging investment managers meet the criteria of the search, the internal investment staff may choose the most qualified firm(s) to present to the Board or Investment Committee. However, 40 ILCS 5/113 specifically excludes from the search process requirements qualified fund of funds management services 4 and investments by SURS in follow on funds to closed-end funds in which SURS has invested. Additional funding can be awarded to existing investment managers with the approval of the Board. In accordance with 40 ILCS 5/ , candidates are required to make certain disclosures regarding the diversity of their staff and vendors of investment, consulting, and professional and artistic services. The disclosures shall be considered, within the bounds of financial and fiduciary prudence, prior to the awarding of a contract, oral or written, for investment services, consulting services, or commitment to a private market fund. Upon approval by the Board for the hiring of an investment manager, an investment management agreement and other related documents shall be executed prior to funding the account. All investment management agreements will be in compliance with the relevant section(s) of the Illinois Compiled Statutes, and the five year limitation on the duration of a contract does not apply. 4 Per 40 ILCS 5/113.15, qualified fund-of-fund management services means either (i) the services of an investment adviser acting in its capacity as an investment manager of a fund-of-funds or (ii) an investment adviser acting in its capacity as an investment manager of a separate account that is invested on a side-by-side basis in a substantially identical manner to a fund-of-funds, in each case pursuant to qualified written agreements. Page 26

149 Investment Policy September Exhibit 9b C. Quiet Period Policy Purpose The Quiet Period Policy is intended to establish guidelines by which Board Members and Staff will communicate with prospective service providers during the search process. Policy Objectives The objectives of the policy are to ensure that: Prospective service providers competing to become employed by SURS have equal access to information regarding the search parameters; Communications related to the selection are consistent and accurate; and The process of selecting service providers is efficient, diligent, and fair. Policy Guidelines The following guidelines will be instituted during a search process for a service provider: A quiet period will commence upon Committee action (or Board action if the selection is not initiated through a Committee) to authorize a search for a service provider and end once a selection has been made by the Board and accepted by the service provider; Initiation, continuation and conclusion of the quiet period shall be publicly communicated to prevent inadvertent violations; All Board members, and Staff not directly involved in the search process, shall refrain from communicating with potential service providers regarding any product or service related to the search offered by the provider throughout the quiet period and shall refrain from accepting meals, travel, hotel, or other value from the providers; Throughout the quiet period, if any Board member is contacted by a potential service provider, the Board member shall refer the provider to the SURS Staff directly involved in the search process; All authority related to the search process shall be exercised solely by the relevant Committee or Board as a whole, and not by individual Board Members; All information related to the search process shall be communicated by the SURS Consultant and Staff to the relevant Committee or Board as a whole, and not to individual Board Members; The quiet period does not prevent Board approved due diligence, client conference attendance or communications with an existing service provider that happens to be a provider in the ordinary course of services provided by such service provider; however, discussions related to the pending selection shall be avoided during those activities; The provisions of this policy will apply to potential service providers throughout the quiet period and shall be communicated to providers in conjunction with any competitive proposal process; and A potential service provider may be disqualified from a search process for a violation of this policy. Page 27

150 Investment Policy September Exhibit 9b D. Investment Manager and Fund Monitoring Investment Manager Evaluation An evaluation of each investment manager shall be conducted annually. The evaluation will include input from both the Consultant and Staff and will take into consideration, at a minimum, the firm s organization and performance relative to an agreed upon benchmark as indicated in the individual investment manager s guidelines. If the Staff or Consultant have significant concerns about an investment manager, the Staff or Consultant will communicate to the Investment Committee, and the investment manager may be, in extreme cases, recommended for immediate termination. Recommendations for changes in funding for an investment manager, outside the rebalancing process, may be brought to the Board for consideration, if appropriate. Generally, reasons for termination may include: changes in investment style and discipline, changes in the firm (personnel, structure, or organizational form) which may detract from future performance, changes in the total fund s investment guidelines that eliminate the need for the investment manager, repeated violations of established investment guidelines, or a loss of confidence that the firm will add value or as evidenced by failure to perform historically above their relative benchmark over a period of 3 to 5 years or a complete market cycle. A complete discussion of the termination process is found in Section X (Investment Manager Termination Guidelines). After an investment manager is selected, the Staff and Consultant will regularly monitor the investment manager s results versus expectations. The System s Staff and Consultant will conduct periodic due diligence meetings with the outside organizations and will incorporate pertinent information from such meetings into the periodic assessment of each firm. The Staff and Consultant will provide the Investment Committee with reports summarizing the assessments made. In addition, the Staff and Consultant are responsible for reporting to the Investment Committee on any material events regarding an investment manager, along with any recommendation for action to be taken. Fund Evaluation Limited partnership interests in closed end private funds and investments in private markets separate accounts (i.e., private equity, real estate, infrastructure, etc.) will be reviewed by Staff annually. If SURS has significant concerns about a fund or account, a complete legal review of the exit options will be conducted. Recommendations for follow on investments or investments in subsequent funds may be brought to the Board for consideration, if appropriate. Performance Analysis Regarding performance, the primary measurement will be the investment manager's returns (net of fees) versus the relevant and agreed upon benchmark. Failure of an investment manager to generate excess returns in a short period of time does not require that the contract with the firm be terminated. However, Page 28

151 Investment Policy September Exhibit 9b the firm's returns must be within an acceptable range. A secondary performance measure is the investment manager's return versus the return of a universe of investment manager returns whose styles are similar. Again, the investment manager's returns must be within an acceptable range. Style Analysis Regarding conformance to style, the quarterly performance measurement will analyze the portfolios of the active U.S. equity investment managers as well as the aggregate U.S. equity portfolio and identify any significant deviations from the individual investment managers' style benchmarks and the Dow Jones U.S. Total Stock Market Index in the case of the aggregate. Significant deviations may lead to the adjustments in asset allocations or to the replacement of an investment manager whose portfolio deviates significantly from the benchmark. Investment Manager Transitions In the event of the need to transfer the management of the assets from one investment firm to another, Staff will effect the change in as efficient and prudent a manner as possible. The use of transition manager(s), which could include the use of a cash overlay manager, is permitted when deemed in the best interests of the System. Transition plans may include, but are not limited to, the following: a transfer of securities to an appropriate index fund, crossing securities with other institutional investors, or a transfer of securities to another approved investment manager. Contingent and Placement Fees Contingent and placement fees are prohibited per statute. Page 29

152 Investment Policy September Exhibit 9b IX. Investment Manager Termination Guidelines Introduction From time to time it will be necessary for the System to terminate a contractual relationship with an investment manager and these actions must be viewed in the context of a fiduciary decision. Due to the sensitivity of this issue, the Board has established the following guidelines to assist in making these termination decisions. In establishing these guidelines, it is the Board s intention to assure all interested parties that decisions made in carrying out these actions occur in a full disclosure environment characterized by objective evaluation and proper documentation. The overriding consideration with respect to all decisions is that they shall be made solely in the best interest of plan participants and beneficiaries and consistent with other legal requirements. Clearly Defined Objectives Any action to terminate an investment manager should be based on one or more of the following primary criteria: significant changes in firm ownership and/or structure, loss of one or more key personnel and/or insufficient staffing, significant loss of clients and/or assets under management for the firm or specific strategy in which SURS is invested, failure to grow assets in the strategy, shifts in the firm s philosophy or process, significant and persistent lack of responsiveness to client requests, changes in SURS investment strategy eliminating the need for a particular style or strategy, chronic violations of SURS Investment Policy or Parameters, unsatisfactory investment performance, identification of a new asset class or approach which has been approved in advance by the Board, a need for diversification of styles within an existing asset class, or failure to satisfy legal requirements. Prior to the termination decision, the primary and other relevant considerations shall be identified and described. An evaluation covering the quantitative and qualitative issues to be considered will be developed for each case and the relative importance of each evaluation area will be determined. Documentation regarding any such action should include, but is not limited to, the following items: a full description of the reason for the action, including the specific elements serving as the basis for the evaluation and identification of the relevant issues from the System s perspective, the assumptions made in the evaluation, if any, and the results considered and/or qualitative issues upon which the action was based. Page 30

153 Investment Policy September Exhibit 9b Consideration will also be given to the risks, costs, and expected benefits if appropriate to the subject matter. Proper Documentation and Full Disclosure When reviewing the documentation regarding the termination of an external investment service provider, the primary focus of the Investment Committee shall be on ensuring that the Board will be able to satisfy any interested party that decisions were well reasoned, thoroughly considered, and prudent. Toward this end, the Chair and Committee members will review the written supporting documentation to ensure disclosure of all relevant issues. In evaluating a termination decision, Staff, Consultant and the Committee should review documentation to ensure that the evaluation process was fair and consistently applied. Candidates for termination may, at the pleasure of the Committee or upon the recommendation of Staff and Consultant, be asked to make a formal presentation to the Staff and/or Committee prior to a termination decision, but any such meeting shall not be permitted to delay any action the Board deems appropriate. Page 31

154 Investment Policy September Exhibit 9b X. Performance Measurement and Reporting Performance Measurement Marketable Equity, Fixed Income and Real Estate Portfolios Time weighted returns, on a net-of-fees basis, will be calculated monthly by the Custodian to measure the performance of the fund and investment managers in comparison with the fund objectives, appropriate peer groups of investment managers, and performance benchmarks. The results of the total fund, individual asset classes and investment managers are reported to the Board members on a monthly basis. Private Markets Portfolios For private equity, direct real estate, and infrastructure portfolios, internal rates of return will be calculated quarterly by the Custodian. These returns will be used to measure performance of the portfolios in comparison with the objectives of the fund and appropriate peer groups. Returns are reported quarterly in arrears. Performance Reporting Monthly, the total fund return shall be compared with the market goal and public fund universe for the current month; quarter; fiscal year; and rolling 1, 3, 5 and 10-year periods. The Market Goal is a passive representation of the specific asset allocation strategy pursued (as defined by the interim policy target) and is the most objective performance evaluation metric to evaluate the performance of the SURS Total Fund. The return of the Market Goal is a weighted average calculation, multiplying each asset class interim policy target weighting times the return of the asset class benchmark, as defined in Section VII (Investment Manager Structure). Each individual asset class and investment manager shall have their returns compared to relevant benchmark returns for the current month; quarter; fiscal year; and rolling 1, 3, 5 and 10-year periods. Quarterly, a detailed performance report will be prepared by the Consultant retained by the Board. The report will include information on the total fund, individual asset classes and investment managers. The report will be distributed to the Board of Trustees. Annually, SURS Investment Staff in conjunction with the Consultant will prepare and present a comprehensive review of the fiscal year results at the September Investment Committee Meeting. Page 32

155 Investment Policy September Exhibit 9b Market Values All investment values shall be revised not less frequently than quarterly to reflect the values at which they could be sold. The fact that they may not be up for sale currently does not affect the continuing need for market value revisions. A description follows of the process for accomplishing this for each category of investments. Marketable Securities (Publicly traded) These constitute stocks, bonds, warrants, futures, options, etc. traded on the public exchanges. The SURS custodial bank, which has access to prices for these securities, establishes their market value. Non-Marketable Traded Securities (Private Markets, Infrastructure and Real Estate) The investment manager has the responsibility for estimating and publishing the market value of these investments. The valuation and appraisal methods used should be consistent with current CFA Institute and industry standards. Page 33

156 Investment Policy September Exhibit 9b XI. Safeguard of Assets Qualification of Service Providers Any firm which SURS retains to manage, control or have custody of assets shall be qualified by thorough due diligence. Appropriate agreements with the firms and trust agreements shall minimize any risk of loss of assets or income. Asset Limits There are cost and service advantages in firms managing or having custody of large pools of assets so that in the absence of any statutory provision(s) to the contrary, there shall be no specific limit on the size of assets controlled or held in custody by any one firm within the asset allocation guidelines. However, limits may be considered on an individual manager basis and will reflect such issues as type of mandate, strength and stability of organization, risk characteristics, etc. Monitoring of Service Providers There shall be continuous monitoring of firms which manage or have custody of assets to assure the firms continue to be stable and financially secure. Instability of any firm or financial weakness shall be reason to transfer custody and/or management of assets from the firm. Authorization to Transfer Funds Transfer of funds between accounts must be evidenced in writing or conducted electronically by an authorized Staff Member and be in compliance with the Custodial bank s procedures. The following positions have been designated by the Board to have the authority to give direction to the Custodian on any and all actions with respect to the Master Trustee relationship between the Board and the Custodian: Executive Director, Chief Investment Officer, and Deputy Chief Investment Officer. The Senior Investment Officers have been designated by the Board to have the limited authority to only approve payments initiated through the Trade Order Entry system related to initial or subsequent investments in limited partnerships, real estate, infrastructure, or other investments approved by the Board. Insurance Requirements All investment managers shall be required to secure and maintain throughout the term of the investment management relationship with SURS insurance that satisfies the requirements set forth below and that is provided by insurer(s) rated A- or better by A.M. Best & Company. Specific insurance requirements are set forth in each manager s Investment Management Agreement. Each investment manager shall be required to provide to the Board: (i) evidence of the requisite insurance policies upon initiation of the contract, (ii) an annual certification that the insurance requirements continue to be satisfied, and (iii) evidence of continued satisfaction of Page 34

157 Investment Policy September Exhibit 9b the insurance requirements upon request. With the exception of the Manager Diversity Program, the minimum insurance required for each investment manager shall include: (i) a bond protecting SURS assets that meets the requirements of and that is in the amount specified under ERISA and the regulations thereunder; and (ii) errors and omissions coverage in an amount equal to the greater of: a) $5 million or, b) 5% of the SURS assets under management, up to a maximum as established in the investment management agreement, but not to exceed $50 million. For investment managers in the Manager Diversity Program, the minimum insurance required for each investment manager shall include: (i) a bond protecting SURS assets that meets the requirements of and that is in the amount specified under ERISA and the regulations thereunder; and (ii) errors and omissions coverage in an amount not less than $1 million of coverage. The insurance shall protect SURS against losses from the negligent acts, errors or omissions of the investment manager. Custodial Credit Risk Pursuant to the 40 ILCS 5/15-166, the Board of Trustees has statutory authority to be the custodian of all cash and securities belonging to the System created under Article 15 of the Pension Code. Pursuant to 40 ILCS 5/15-167, the Board may deposit SURS trust funds with one or more banks, savings and loan associations, or trust companies. This policy addresses how SURS will handle custodial credit risk. Credit risk is the risk that an issuer or other counter-party to an investment transaction will not fulfill its obligations. Custodial credit risk is the risk that, in the event of the failure of a financial institution or counter-party to a transaction, SURS would not be able to recover the value of deposits or investments in the possession of an outside party. To minimize this risk, SURS takes the following measures: 1. Performs due diligence for custody financial institutions and advisors with which SURS will do business and appropriately documents business relationships with these service providers. 2. Provides investment parameters for the investment vehicles detailed in the specific investment management agreements. 3. Monitors the financial condition of the custodian. If there is cause for concern, the Board of Trustees will determine appropriate action. 4. Endeavors to have all investments held in custodial accounts through an agent, in the name of custodian s nominee 5, or in a corporate depository or federal book-entry system. For those deposits or investment assets held outside of the custodian, SURS will follow applicable regulatory rules. 5. Requires the custodian to meet the following requirements: The custodian or its subcustodians will provide safekeeping of all SURS securities in segregated accounts that reflect the holdings of SURS; the custodian will not commingle SURS securities with the custodian s own securities. Monthly reports will be provided/made available by the custodian. 5 Registered owner of a stock or bond if different from the beneficial owner, who acts as holder of record for securities and other assets. Nominee ownership simplifies the registration and transfer of securities. Page 35

158 Investment Policy September Exhibit 9b XII. General Investment Restrictions and/or Guidelines Investment Authorization No investment or action pursuant to an investment may be taken unless permitted by this Policy or the investment manager s guidelines. Exceptions may be made subject to prior review by and express written authorization from the Investment Staff and Consultant. In the event that any material exception is discovered which has not been specifically authorized, the Staff will immediately provide to the Board a detailed explanation of the exception and action being taken to remedy the situation. Mini-Tenders This guideline applies to all investment managers of SURS. It should be considered as an integral part of the investment guidelines applicable to the investment manager. This guideline applies to tender offers that are exempt from registration requirements imposed by the U.S. Securities and Exchange Commission (such tender offers are generally known as mini-tenders ; currently where the total amount of the tender offer is limited to five percent (5%) or less of the outstanding shares of the issuer). Investment managers may tender shares owned by SURS only upon the following terms and conditions: 1. Either the securities involved in the tender are publicly traded, and the issuer of the shares and the entity making the tender offer are the same, OR 2. The investment manager provides three (3) days advance written notice to SURS that it is going to tender shares pursuant to a mini-tender offer Each notice must be in writing and must include the following information: a. The identity of the offeror and what due diligence has been performed by the investment manager to satisfy itself as to the creditworthiness of the offeror. 6 The sole purpose of the notice requirement is for the investment manager to confirm that it has conducted due diligence adequate to protect the SURS assets involved in the mini-tender, and SURS does not assume responsibility for such due diligence or for the investment decision. The investment manager shall retain full fiduciary responsibility for the investment decision, including a determination that a decision to tender SURS securities under the terms and circumstances involved in the mini-tender is prudent, is protective of SURS assets, and is otherwise in accordance with the investment manager s fiduciary duties to SURS, which determinations may involve due diligence and consideration of factors beyond those outlined in this section 3, in the investment manager s sole discretion. Page 36

159 Investment Policy September Exhibit 9b b. The identity of the transfer or receiving agent, whether or not the transfer or receiving agent is affiliated with the offeror, and what due diligence has been performed by the investment manager to satisfy itself as to the creditworthiness of the transfer agent. c. The expiration date of the offer, the deadline for settlement of the tender, and whether the terms of the tender offer permit the offeree to revoke the tender if payment is not received by the settlement deadline. d. Whether securities tendered on behalf of SURS will be maintained in trust or escrow pending receipt of payment for the securities, or the other protections that will be in place to ensure the safekeeping of SURS securities pending receipt of payment. Page 37

160 Investment Policy September Exhibit 9b XIII. Corporate Governance A. Proxy Voting Guidelines 1) Domestic Shares A proxy voting service, pursuant to a contract with SURS, will vote the proxies of domestic shares according to the proxy voting service s proxy voting guidelines, as customized for SURS and approved by the SURS Board. All proxy votes not specifically addressed by the proxy voting service s approved proxy voting guidelines will be voted consistently with the Council of Institutional Investors Corporate Governance Policy. Proxy votes not addressed by either of the above standards will be voted for the exclusive benefit of System participants and beneficiaries, generally in favor of enhancing shareholders long-term value. The proxy voting service shall provide to SURS regular reports of proxy voting activity, pursuant to the terms of a contract with SURS. 2) Non-Domestic Shares Investment managers shall vote the proxies of non-domestic shares under their discretion and report the results of those votes not less than annually. Proxies shall be voted for the exclusive benefit of System participants and beneficiaries. In general, proxies should be voted in favor of enhancing shareholders long-term value. As a general rule, votes that fall within the context of Routine and Non- Routine Matters should be made in accordance with the following guidelines: Routine Matters: Routine proxy proposals may be voted in support of company proposals unless doing so would be contrary to the interests of the shareholders. Routine matters include the following, unless a proxy contest is being waged with respect to such matter, in which case it becomes Non-Routine: o Election of directors; o Selection of auditors; o Corporate name change; o Amendment of Articles of Incorporation that are required to comply with federal or state regulation; and o Change in the date, time or location of annual meeting. Non-Routine Matters: Non-Routine proposals should be carefully analyzed and considered on a case-by-case basis. Non- Routine proposals that do not eliminate the rights of shareholders, unreasonably dilute or impair the status of securities held, or impair ownership status of the securities may be voted with management. Non-Routine proposals that would or might impair Page 38

161 Investment Policy September Exhibit 9b the economic interests of shareholders should be voted against management. Reporting: Investment managers shall report the results of their votes at least annually. The report shall contain at a minimum the name of the corporation, a brief description of the proposal, the vote cast, and whether the vote cast was with or against management. B. Securities Litigation Policy 1) Identification Of Potential Claims a) In order to weigh the costs and benefits of the various alternatives as specified below, SURS Staff will identify potential claims by determining if it bought or sold the securities of a company during applicable periods. b) SURS Staff will regularly match the SURS portfolios against reports of securities litigation cases obtained from Consultants, law firms engaged for securities litigation, and from other sources deemed reliable by Staff. c) If SURS did not buy or sell securities of a company during the applicable period, the inquiry will end. If SURS had purchases or sales during the period, evaluation of the potential claim will proceed as specified below. 2) Evaluation Of Potential Claims a) If SURS bought or sold securities during an applicable period, evaluation of the alternatives available will begin with an initial assessment of the size of the potential claim. b) When potential losses are deemed insignificant, further action will ordinarily be limited to monitoring as specified in Part 3 below to ensure that class member claims are filed if and when there is a right to do so, unless there are extenuating circumstances that warrant further consideration by Staff and the Board. c) When potential losses are deemed significant, the alternative courses of action available shall be identified by the Staff. Alternatives will likely include several different courses of action, such as: i) Monitoring the course of a class action suit and filing a claim at the end to participate in a class payment. ii) After consultation with the Illinois Attorney General s office, monitoring the course of a class action suit, but objecting to a proposed settlement if there are reasons to object. iii) After consultation with the Illinois Attorney General s office, seeking to control a class action by seeking designation as lead plaintiff, either singly or with others. Page 39

162 Investment Policy September Exhibit 9b iv) After consultation with the Illinois Attorney General s office, opting out of a class action suit and filing a separate suit, either singly or with others. d) The relative merits of each alternative will be weighed and considered by Staff, as well as by the Illinois Attorney General s Office. e) Staff and the Illinois Attorney General s office will make a recommendation to the Executive Committee of any course of action beyond participating in the litigation as a passive member of the class. The Executive Committee will have the authority to approve any course of action beyond monitoring the case. If the Executive Committee approves active participation in the litigation, additional authorization is not necessary to align with other potential plaintiffs in application for named plaintiff status if such an action is agreed appropriate by the SURS General Counsel and the SURS Executive Director. In such instances, the Attorney General will be asked to represent SURS in such action. 3) Monitoring a) The Staff will utilize the services of the system s custodian, as well as the services of any consultants, including Securities Litigation counsel, with expertise in this area chosen by Staff, to monitor pending cases which involve securities that SURS bought and sold during the relevant periods to evaluate any settlements proposed and to file claims as necessary for SURS to participate in distributions of funds. To the extent that Staff finds a proposed settlement inadequate to protect the interests of the System, the Executive Committee may authorize action to file legal objections. Authorization is not necessary for staff to file an objection to attorneys fees or expenses if an objection is agreed appropriate by the SURS General Counsel and the SURS Executive Director after consultation with the Illinois Attorney General. 4) Legal Action a) Where the Executive Committee has determined under Part 2 that the interests of the System will be best served by seeking designation as lead plaintiff or by opting out of a class action, the Illinois Attorney General, acting as legal counsel to the System, will choose appropriate counsel and will negotiate a fee agreement, if necessary. If the Executive Committee determines that appropriate counsel is a firm not on the approved list, the recommendation of such firm shall be made to, and approved by, the Executive Committee. b) Where the Executive Committee and the Attorney General disagree as to the desirability of seeking designation as lead plaintiff or opting out of a class action, the Executive Committee shall act in accordance with its fiduciary obligations in making a final determination. c) Any legal action authorized or taken shall be reported to the Board of Trustees, who shall also be provided periodic updates on the status of such actions. Page 40

163 Investment Policy September Exhibit 9b 5) Approved Law Firms a) SURS Staff will interview and select, through a competitive proposal process, a roster of no more than three qualified securities litigation firms. This roster will constitute SURS approved list. b) In cases where the initiation of litigation is a formality designed to provide support for another institutional investor, SURS Staff may recommend that the most sensible and cost-effective source of legal representation will be the SURS General Counsel or the legal counsel representing the institutional investor that SURS wishes to support. Page 41

164 Investment Policy September Exhibit 9b XIV. Emerging Investment Managers and Broker/Dealers The State Universities Retirement System of Illinois (SURS) is committed to providing opportunities for emerging investment managers and broker/dealers. SURS has taken and is continuing to take important and appropriate actions to provide increased opportunities for emerging investment managers, as well as minority-, female-, and persons with a disability-owned (MFDB) investment managers that have advanced beyond the statutory definition of emerging investment managers. 7 This program has been and will continue to be important to the SURS Board of Trustees and has received the highest priority. In determining the status of a business enterprise, SURS will use the definitions found in the Business Enterprise for Minorities, Females, and Persons with Disabilities Act, 30 ILCS 575/2(A), (B). The Illinois Pension Code, in 40 ILCS 5/ , encourages the trustees of the System to use emerging investment managers in managing the System's assets to the greatest extent feasible within the bounds of financial and fiduciary prudence, and to take affirmative steps to remove any barriers to the full participation of emerging investment managers in investment opportunities afforded by the System. Furthermore, in accordance with the Illinois Pension Code, SURS encourages its investment managers to use emerging investment managers as subcontractors when the opportunity arises. A. Goals for Utilization of Minority-, Female-, and Persons with a Disability- Owned (MFDB) Investment Management Firms Beginning January 1, 2016, The Illinois Pension Code, in 40 ILCS 5/ , establishes an aspirational goal for a retirement system, pension fund, or investment board to use emerging investment managers for not less than 20% of the total funds under management. Furthermore, it shall be the aspirational goal that not less than 20% of investment advisors be minorities, females, and persons with disabilities as those terms are defined in the Business Enterprise for Minorities, Females, and Persons with Disabilities Act. It is important to note that since late 2014, it has been the goal of the Board that, subject to its fiduciary responsibility, 20% of total assets be managed by emerging investment managers and MFDB investment managers. Further, an additional goal, subject to fiduciary responsibility, is that 25% of total actively managed investment assets be managed by emerging investment managers and MFDB investment managers. This goal shall be reviewed annually. SURS strives, on an ongoing basis, to improve and increase its relationships with and use of MFDB managers and broker/dealers. 7 The phrase "emerging investment manager" is used throughout the text of this document. 40 ILCS 5/ (4) defines emerging investment manager to mean "a qualified investment adviser that manages an investment portfolio of at least $10,000,000 but less than $10,000,000,000 and is a minority owned business, female owned business or business owned by a person with a disability as those terms are defined in the Business Enterprise for Minorities, Females, and Persons with Disabilities Act. Page 42

165 Investment Policy September Exhibit 9b It is also the goal of the Board that, subject to its fiduciary responsibility, the use of MFDB investment managers be significant in each of the broad asset classes in which SURS is invested and not concentrated in any particular asset class. In accordance with 40 ILCS 5/ , SURS has established the following goals for the management of assets in specific asset classes by emerging investment managers. 8 The table that follows identifies utilization goals for actively managed assets in each of the major asset classes. While these objectives may not be immediately achieved, the desire is to show meaningful progress toward these goals over time. These goals shall be reviewed annually. Goal for Goal for Goal for Persons Overall Active Asset Class Minorities Females with a Disability Goal Equities 20% 10% 0-2% 30% Fixed Income 12% 8% 0-1% 20% (includestips) Alternative Investments 0-20% of new allocations 0-20% of new allocations 0-20% of new allocations 20% of new allocations Total Fund 16% 8% 1% 25% B. Minority-Owned Broker/Dealer Usage Policy The Board of Trustees of the State Universities Retirement System has an established policy that seeks increased participation of investment management firms owned by minorities, females, and persons with a disability. As part of this policy, the Board also adopts minimum expectations for the use of minority-owned broker/dealers 9 by the System s investment managers. Only trades executed directly with minority-owned broker/dealers will be considered in the achievement of these goals. Summary goals for the utilization of minority-owned broker/dealers have been established for the aggregate U.S. equity, non-u.s. equity and fixed income asset classes as shown in the table below. SURS seeks to consistently exceed these high level goals while achieving best execution ILCS 5/ requires the establishment of 3 separate goals for (i) emerging investment managers that are minority owned businesses; (ii) emerging investment managers that are female owned businesses; and (iii) emerging investment managers that are businesses owned by a person with a disability. Beginning January 1, 2016, per 40 ILCS 5/ (10), it shall be the aspirational goal for SURS to use emerging investment managers for not less than 20% of the total funds under management, and that not less than 20% of investment advisors be minorities, females, and persons with disabilities as those terms are defined in the Business Enterprise for Minorities, Femals, and Persons with Disabilities Act. 9 For purposes of this section and in accordance with 40 ILCS 5/ , minority-owned broker dealer means a qualified broker-dealer who meets the definition of minority owned business, female owned business, or business owned by a person with a disability, as those terms are defined in the Business Enterprise for Minorities Females, and Persons with Disabilities Act. Page 43

166 Investment Policy September Exhibit 9b Asset Class Goal U.S. Equity 30.0% Non-U.S. Equity 15.0% Fixed Income 20.0% In order to achieve the goals at the asset class level, minimum expectations have been established for individual investment managers. These levels are based on the asset class in which the investment manager invests. SURS encourages its investment managers to strive to exceed the minimum expectations shown in the table that follows. Asset Class Minimum Expectation EQUITY Active U.S. Equity 30.0% Passive U.S. Equity 35.0% Structured Active U.S. Equity % Non-U.S. Equity 15.0% Structured Active Non-U.S. Equity % Global Equity 20.0% Real Estate Investment Trusts (REITS) % FIXED INCOME Fixed Income 20.0% Treasury Inflation-Protected Securities (TIPS) 10.0% U.S. Equity Separate Accounts Subject to best execution, active U.S. equity investment managers for SURS are required to direct 30% of the total eligible commission dollars to minority-owned broker/dealers. Trades executed using electronic trading platforms are excluded from this requirement. Subject to best execution, passive U.S. equity investment managers for SURS are required to direct 35% of the total eligible commission dollars to minority-owned broker/dealers. Trades executed using electronic trading platforms are excluded from this requirement. Structured Active U.S. Equity Separate Accounts Effective January 1, 2017, and Ssubject to best execution, structured active U.S. equity investment managers for SURS are required to direct 1015% of the total eligible commission dollars or eligible trading volume to minority-owned broker/dealers. Trades executed using electronic trading platforms are excluded from the 1015% requirement. Non-U. S. Equity Separate Accounts Subject to best execution, active non-u.s. equity investment managers for SURS are required to direct 15.0% of the total eligible commission dollars to minority-owned broker/dealers. Trades executed in emerging market countries 10 or using electronic 10 As defined by Morgan Stanley Capital International Page 44

167 Investment Policy September Exhibit 9b trading platforms are excluded from this requirement. Structured Active Non-U.S. Equity Separate Accounts Effective January 1, 2017, and ssubject to best execution, structured active non-u.s. equity investment managers for SURS are required to direct 1015% of the total eligible commission dollars or eligible trading volume to minority-owned broker/dealers. Trades executed in emerging market countries or using electronic trading platforms are excluded from the 1015% requirement. Global Equity Separate Accounts Subject to best execution, active global equity investment managers for SURS are required to direct 20.0% of the total eligible commission dollars to minority-owned broker/dealers, effective January 1, Trades executed in emerging market countries or using electronic trading platforms are excluded from the 20.0% requirement. Fixed Income Separate Accounts Subject to best execution, fixed income investment managers for SURS are required to direct 20% of eligible fixed income trading volume to minority-owned broker/dealers. Trades executed in emerging market countries or using electronic trading platforms are excluded from the minimum trading requirements. Treasury Inflation-Protected Securities (TIPS) Separate Accounts Subject to best execution, active TIPS investment managers for SURS are required to direct 10% of eligible TIPS trading volume to minority-owned broker/dealers. Trades executed in emerging market countries or using electronic trading platforms are excluded from the minimum trading requirements. Real Estate Investment Trust Securities (REITS) Separate Accounts Effective January 1, 2017, and ssubject to best execution, active REITS investment managers for SURS are required to direct 1015% of the total eligible commission dollars to minority-owned broker/dealers. Trades executed in emerging market countries or using electronic trading platforms are excluded from this requirement. Reporting Guidelines Each investment manager will submit a compliance report within 30 days after March 31, June 30, September 30 and December 31 of each year. Reporting will be monitored over a rolling twelve-month period. Consequences of Non-Compliance SURS continuously monitors investment managers compliance with this policy and has established a series of consequences for those investment managers who continually fail to meet expectations. The investment managers are expected to achieve the desired levels over rolling twelve-month periods. The following steps 11 The minimum expectation for global equity investment managers increases from 17.5% to 20.0%, effective January 1, Page 45

168 Investment Policy September Exhibit 9b will occur if the investment manager continues to fall short of expectations: 1) A follow-up letter will be distributed to the investment manager not achieving the minimum level of minority-owned broker/dealer usage. The investment manager will be reminded of the usage expected by SURS. Currently, as stated in the Annual Report to the Governor and General Assembly on the Use of Emerging Investment Managers, prepared as required in Public Act , a letter is distributed to all of the investment managers on an annual basis listing the level of expectations. 2) Not achieving the desired level of minority-owned broker/dealer usage will be noted in the annual investment manager review presented to the SURS Board of Trustees. This could impact the evaluation of the firm. 3) SURS Staff will conduct a meeting with the investment manager to discuss the reasons for not achieving the desired level of trading. 4) Investment managers not achieving the expected levels of broker/dealer usage may be subject to a moratorium on additional funding. 5) If an investment manager fails to comply with the request, they may be invited to appear before the SURS Board of Trustees to explain why they are unable to achieve the desired level of trading. C. Manager Diversity Program Objectives and Goals The State Universities Retirement System (SURS) has implemented the Manager Diversity Program (MDP), formerly known as the Manager Development Program, in its proactive efforts to assist in the development of emerging investment management firms. The Manager Diversity Program is a manager of managers program that is overseen by SURS Staff. The primary goal of the MDP is identifying highly successful minority-, female-, and persons with a disability-owned (MFDB) investment managers that can then be awarded meaningful allocations in the actively managed portfolio. The performance objective of the MDP is to seek annualized investment returns, net of investment management fees, in excess of the market goal for 1, 3, 5, and 10-year periods. While individual investment managers may underperform in any given year, the diversification within the program should limit the underperformance at the program level. Benchmarks The Manager Diversity Program consists of five broad components, each of which is measured by a relevant benchmark. The table below identifies the benchmark for each program component. Individual investment manager benchmarks are identified in the investment guidelines for each investment manager. Page 46

169 Investment Policy September Exhibit 9b MDP Component Benchmark Overall Program Custom - based on the benchmarks of the underlying MDP components U.S. Equity Custom - based on the benchmarks of the underlying investment managers Fixed Income (includes TIPS) Custom based on the benchmarks of the underlying investment managers Non-U.S. Equity Custom based on the benchmarks of the underlying investment managers Private Equity Dow Jones U.S. Total Stock Market Index + 3% Real Estate NCREIF Fund Index - Open End Diversified Core Equity (NFI-ODCE) + 1.5% Search and Selection Process For searches affiliated with the SURS Manager Diversity Program (MDP), the Investment Staff conducts the search process with the Consultant providing an independent evaluation of the program annually. The criteria used to determine the minimum qualifications of firms to be selected for an assignment are the same as the criteria generally applicable to investment manager selection, discussed in Section VIII(B), entitled Investment Manager Selection. Using the criteria established by the Board of Trustees, the top firms are selected using a competitive proposal process based upon the experience and qualifications of the firm s principals, the soundness of the firm s investment philosophy and process, as well as the strength of the investment record and organization. The search process for investment manager(s) shall be conducted in a substantially similar manner to that of the Consultant search process, discussed in Section VIII(A), entitled Consultant Selection and Retention, except that the Consultant may assist SURS staff in the search process. It is important to note that SURS does not use any criteria that would be considered a barrier to an emerging investment manager such as a minimum number of years in business or a minimum asset level under management. As a part of the selection process, SURS utilizes databases to ensure that qualified emerging investment managers are included in the pool of eligible candidates. Investment Manager Evaluation Investment managers in the MDP will be evaluated in the same manner as that set forth in Section VIII (Selection and Retention). Termination decisions will follow the guidelines set forth in Section X (Investment Manager Termination Guidelines). An evaluation of each investment manager shall be conducted annually. Authority to Hire/Retain/Terminate Investment Managers The MDP is a manager of managers program overseen by SURS staff. As such, SURS Staff has the responsibility to identify, recruit, and monitor MDP investment managers. SURS Staff will make recommendations on the selection, retention and termination of MDP investment managers, but the Board (acting through its Investment Committee) reserves the ultimate authority with respect to all investment Page 47

170 Investment Policy September Exhibit 9b manager hiring, retention and termination decisions. The SURS Staff has the responsibility to implement the Board decisions through negotiation, execution and enforcement of the investment management agreement and guidelines. All investment management agreements and amendments thereto must be executed by the Executive Director. In the event that termination of an investment manager is warranted under the Investment Manager Termination Guidelines, and prompt termination of the investment manager is necessary to protect and preserve System assets, SURS Staff may, with the prior approval of the Executive Director, terminate the investment manager prior to Board action. The Board shall be promptly notified of the decision to terminate the investment manager, and the decision shall be presented to the Investment Committee for ratification at its next meeting. Retention and termination decisions will be fully documented and will include a full description of the reason for the action, including the specific elements serving as the basis for the evaluation and identification of the relevant issues from the System s perspective. SURS Staff has the authority to rebalance between MDP investment managers in order to maintain target allocations and style neutrality in each component of the MDP. Staff will report the results of rebalancing activity to the Investment Committee at the next regular Investment Committee meeting. AdvancementGrowth Opportunities The following factors are considered in determining when an investment manager should be advanced into the largerconsidered for a larger allocation in the SURS portfolio: Stability in Organization Growth in Assets under Management Confidence in Investment Process Strong Investment Performance Product Fit In addition to the factors mentioned above, the needs of the overall SURS investment program will be considered. Page 48

171 Investment Policy September Exhibit 9b Initially adopted December 8, 2006; Revised April 26, 2007; September 21, 2007; September 12, 2008; April 23, 2009; September 11, 2009; December 2, 2009; September 3, 2010; September 16, 2011; October 25, 2012; September 13, 2013, September 19, 2014; September 11, 2015, September 16, Page 49

172 Exhibit 9c STATE UNIVERSITIES RETIREMENT SYSTEM OF ILLINOIS SELF-MANAGED PLAN INVESTMENT POLICY Adopted by the Board of Trustees September 11, , 2016

173 SMP Investment Policy September Exhibit 9c SELF-MANAGED PLAN INVESTMENT POLICY Table of Contents Section / Page No. Description I / 3 Statement of Purpose of the Self-Managed Plan II / 3 Statement of Purpose of Investment Policy III / 3 Specification of Responsibilities Board of Trustees Investment Committee Executive Director SMP Manager Internal Investment Staff External Investment Consultant(s) Provider Lead Administrator Participants General Counsel s Office External Counsel IV / 6 Investment Objectives V / 7 Investment Option and Provider Selection VI / 8 Quiet Period Policy VII / 9 Investment Option and Provider Monitoring VIII / 9 Investment Option/Provider Termination IX / 10 Participant Education and Communication X / 10 Coordination with the Plan Document 2

174 SMP Investment Policy September Exhibit 9c I. Statement of Purpose of the Self-Managed Plan The purpose of the State Universities Retirement System of Illinois (SURS) Self-Managed Plan (SMP) is to provide eligible employees with long-term accumulation of retirement savings in individual participant accounts through employee contributions and employer contributions as well as earnings. II. Statement of Purpose of Investment Policy The purpose of this statement is to establish the investment policy for the management of the assets of the SMP. SURS Board of Trustees may modify this statement, in whole or in part, at any time. The Board may provide supplemental guidelines for each investment option included in the plan. It is the intention of the Board of Trustees that assets of the SMP shall be maintained in compliance with all applicable state and federal laws. Practices in this regard include, but are not limited to, the following: Investment alternatives shall be selected with the care, skill and diligence that would be applied by a prudent professional investor, acting in a like capacity and knowledgeable in the investment of retirement funds (Prudent Person Standard), All transactions undertaken on behalf of the SMP shall be for the sole interest of SMP participants and beneficiaries (Exclusive Benefit), and Participants will be provided the opportunity to obtain sufficient information to make informed decisions with regard to the investment alternatives available under the SMP. III. Specification of Responsibilities Board of Trustees The Board of Trustees is responsible for the selection, retention, and monitoring, and termination of the investment options, including the default investment option(s), and providers of the SMP and for establishing and maintaining the Self-Managed Plan Investment Policy. The Board takes action upon recommendations from its Investment Committee. Trustees shall carry out their functions solely in the interest of the members and benefit recipients and for the exclusive purpose of providing benefits and defraying reasonable expenses incurred in performing such duties, as required by law. The Trustees shall act in accordance with the provisions of State Statute and with the care, skill, prudence and diligence in light of the circumstances then prevailing that a prudent person acting in a like capacity and familiar with such matters would use in the conduct of an enterprise of a like character and with like aims by diversifying the available SMP investment options of the System so as to minimize the risk of participant large losses, unless in light of such circumstances it is clearly prudent not to do so. All members of the Board of Trustees shall be indemnified and held harmless by the System for any reasonable cost or expenses incurred as a result of any actual or threatened litigation or 3

175 SMP Investment Policy September Exhibit 9c administrative proceeding arising out of the performance of the Board member s duties in accordance with 40 ILCS 5/ No member of the Board of Trustees may participate in deliberations or vote on any matter before the Board which will, or is likely to, result in direct, measurable gain to the Board member, to the Board member s immediate family members, or to that Board member's employer. Investment Committee The Board establishes an investment committee (the Committee ) that reviews and makes recommendations to the Board on investment actions including, but not limited to, the following SMP topics: the selection, retention, and monitoring, and termination of the investment options, the selection, retention, and monitoring, and termination of the providers, and the establishment and maintenance of the Self-Managed Plan Investment Policy. Executive Director The Executive Director is appointed by and serves at the pleasure of the Board. Responsibilities delegated by the Board to the Executive Director include, but are not limited to, the following SMP topics: execution of agreements, amendments or other contracts with Board-approved providers, with a report provided to the Committee at the next regularly scheduled meeting, monitoring of the performance of approved investment options, communicating with the Board, its Officers and Committee Chairs. studying, recommending and implementing policy and operational procedures that will enhance the SMP program. Employees of the System shall be indemnified and held harmless by the System for actions within the scope of their employment, pursuant to 40 ILCS 5/1-107 and 108. This indemnification extends to former employees for actions within the scope of their employment at the time of employment. In fulfilling these investment responsibilities, the Executive Director relies heavily on the internal investment staff and Consultant(s). SMP Manager The SMP Manager reports directly to the Director of Outreach who in turn reports to the Chief Operating Officer. Responsibilities delegated to the SMP Manager include, but are not limited to, the following SMP topics: oversight of the SMP, recommending revisions to provider agreements, and completing administrative duties related to the SMP. Internal Investment Staff The internal investment staff reports directly to the Chief Investment Officer ( CIO ) who in turn reports to the Executive Director. The internal investment staff provides internal investment management and/or consulting services to the Board and Executive Director. In the course of the 4

176 SMP Investment Policy September Exhibit 9c CIO s normal functions, the CIO will work directly with the Board, Investment Committee and its Chair(s). The frequency and content of reports to the Board are based on the requirements of the SMP Investment Policy Statement as well as the directives from the Board and/or its Investment Committee. The primary functions delegated by the Board to internal investment staff may include, but are not limited to: implementing the decisions of the Board regarding hiring and termination of providers and investment options, oversight of the SMP investment program, including conducting due diligence and providing recommendations in the selection and termination ofsearch, selection and monitoring of providers and investment options, providing technical advice in the selection and monitoring of the providers and investment options, recommending revisions to provider agreements with concurrence from the General Counsel required, reviewing and drafting recommendations to the SMP Investment Policy annually, monitoring compliance with Board-approved policies for all providers and investment options, preparing performance and asset allocation reports, responding to inquiries from various parties concerning the SMP investment options in accordance with SURS communication policies, completing other administrative duties related to the SMP investment program, and serving as a liaison to the investment community. The SURS Staff has the responsibility to implement the Board decisions through negotiation, execution and enforcement of the provider agreement. All provider agreements and amendments thereto must be executed by the Executive Director. The internal investment staff also works closely with the external investment consultant(s). Recommendations to the Investment Committee will generally be developed jointly by the Staff and Consultant(s) with advice to the Chair. Once an item is identified as a potential agenda item, Staff and Consultant begin working together on the issue. If one group has more expertise in the particular area than the other, that party may take the lead in facilitating work outputs. In most if not all cases, however, any analysis or recommendation that is made to the Committee will be developed jointly and agreed to or approved by both parties. However, where views diverge, the Committee will ensure that each party s perspective is adequately presented. External Investment Consultant(s) The Board shall generally have under contract an investment advisor who is a paid, professional consultant ( Consultant ) and who is qualified to provide the Board with investment advice by academic and professional training and experience and is considered an expert in the field of investment and finance. The Consultant s relationship with the Board shall be that of a fiduciary under 40 ILCS 5/

177 SMP Investment Policy September Exhibit 9c The Consultant is hired by and reports directly to the Board of Trustees. The Consultant s duty is to work with the Board, Investment Committee and its Chair(s), and Staff in the management of the SMP investment process. This includes regular meetings with the Board to provide an independent perspective on the SMP s goals, structure, performance and providers. In the course of the Consultant s normal functions, the Consultant will work directly with the Staff to review performance and make recommendations to the Board as appropriate. The Consultant will assist Staff and the Committee with provider and investment option selection and discuss the impact of material changes taking place within any current provider s organization or investment process. The Consultant may also provide fiduciary education to inform the Board and Staff regarding significant trends in the defined contribution industry. Provider The provider responsibilities include, but are not limited to: maintaining and updating individual account balances as well as information regarding plan contributions, withdrawals and distributions, safekeeping of securities, settlement of trades, collection of income, reporting of investment results on a regular basis, administrative reporting, providing information to participants regarding SMP investment options offered by the provider, and immediately communicating any material changes in the process, philosophy, or management of the underlying investment options. Lead Administrator A provider hired as lead administrator is responsible for interfacing with SURS and other SMP provider(s) to facilitate administrative functions, in addition to fulfilling responsibilities as a provider. Participants Participants are responsible for the allocation of their assets among the investment options of the SMP and for the voting of proxies for mutual fund shares in which the participants are invested. Participants and beneficiaries alone bear the risks and reap the rewards of investment results from the options and asset allocations that they select. General Counsel s Office The role of the General Counsel s Office is to oversee all legal services provided in connection with SMP matters, to perform draft document review and provide legal advice on SMP issues, as necessary. The General Counsel s Office does not review or approve investment decisions. The General Counsel s Office reviews business terms for proper form and legality. However, General Counsel review does not extend to aspects of business terms that require investment or financial expertise. The following SMP documents and issues will be brought to the attention of the General Counsel s Office: 6

178 SMP Investment Policy September Exhibit 9c Any document that the Executive Director is requested to sign, New provider agreements, Amendments to provider agreements, Any matter that Investment Staff wishes to assign to outside counsel excluding routine matters for which the CIO may directly interact with outside counsel, Correspondence to or from any provider concerning actual or potential litigation or legal issue, and Any material violation by a provider of any terms or obligations in a contract with the System that comes to the attention of Investment Staff. External Counsel External counsel may be retained to provide legal services in connection with the review and negotiation of agreements, where specialized experience is required or where General Counsel resources are unavailable. IV. Investment Objectives The objective of the Board of Trustees is to offer a sufficient range of investment options to allow participants to diversify their assets in the SMP and construct portfolios that reasonably span the risk/return spectrum. The SMP investment options will be selected to: Maximize return within reasonable and prudent levels of risk, Provide returns comparable to those of similar investment options, Provide exposure to a diversified range of investment opportunities in various asset classes, Provide cost-efficient investment options, and Control administrative and management costs. V. Investment Option and Provider Selection The SMP investment options will allow participants to construct portfolios consistent with their unique individual circumstances, goals, time horizons and tolerance for risk. In that regard, the SMP program shall offer investment options in each of the following categories: Fixed Rate (stable value) Bonds (fixed income) Lifecycle U.S. Equities International Equities Global Equities Real Estate Within these categories, the types of options may include active or passive investment options, low- to high-risk options and specialized styles of investment management. 7

179 SMP Investment Policy September Exhibit 9c The particular investment option under consideration should meet the following standards for selection: Performance should be equal to or greater than the median return for an appropriate, style-specific benchmark and peer group over a specified time period, It should demonstrate adherence to the stated investment objective, and Fees should be competitive compared to similar investments. A provider will be selected to offer investment options identified by the Staff, Consultant, or Board of Trustees to fulfill the investment objectives of the SMP. It is the Board s intention to assure all interested parties that decisions made in carrying out these actions occur in a full disclosure environment characterized by competitive selection, objective evaluation, and proper documentation. The overriding consideration with respect to all decisions is that they shall be made solely in the best interest of SMP participants and beneficiaries. SURS prohibits any form of payment from any provider or provider of investment products in consideration of its inclusion in the SMP. Additionally, the Board of Trustees shall engage at least two, but no more than seven, providers to offer the investment options previously noted. These providers will be retained after satisfactory review consisting of factors such as experience, investment expertise, investment record, and cost. Each provider must meet the following minimum criteria: It should be a bank, insurance company or investment management company or an investment adviser registered under the Investment Advisers Act of 1940; It should be operating in good standing with regulators and clients; It should provide detailed additional information on the history of the firm, its investment philosophy and approach, and its principals, clients, locations, fee schedules and other relevant information; and It should provide all performance, holdings, and other relevant information in a timely fashion, with specified frequency. 8

180 SMP Investment Policy September Exhibit 9c VI. Quiet Period Policy The Quiet Period Policy is intended to establish guidelines by which all members of the Board of Trustees and SURS Staff will communicate with prospective providers during the search process. The objectives of the policy are to ensure that: Prospective providers competing to become employed by SURS have equal access to information regarding the search parameters; Communications related to the selection are consistent and accurate; and The process of selecting providers is efficient, diligent and fair. The following guidelines will be instituted during a search process for a provider: A quiet period will commence upon Committee action (or Board action if the selection is not initiated through a Committee) to authorize a search for a provider and end once a selection has been made by the Board and accepted by the provider; Initiation, continuation and conclusion of the quiet period shall be publicly communicated to prevent inadvertent violations; All Board members, and SURS Staff not directly involved in the search process, shall refrain from communicating with potential providers regarding any product or service related to the search offered by the provider throughout the quiet period and shall refrain from accepting meals, travel, hotel or other value from the providers; Throughout the quiet period, if any Board member is contacted by a potential provider, the Board member shall refer the provider to the SURS Staff directly involved in the search process; All authority related to the search process shall be exercised solely by the relevant Committee or Board as a whole, and not by individual Board members; All information related to the search process shall be communicated by the SURS Consultant and Staff to the relevant Committee or Board as a whole, and not to individual Board members; The quiet period does not prevent Board approved due diligence, client conference attendance or communications with an existing provider that happens to be a provider in the ordinary course of services provided by such providers; however, discussions related to the pending selection shall be avoided during those activities; The provisions of this policy will apply to potential providers throughout the quiet period and shall be communicated to providers in conjunction with any competitive proposal process; and A potential provider may be disqualified from a search process for a violation of this policy. 9

181 SMP Investment Policy September Exhibit 9c VII. Investment Option and Provider Monitoring The investment options will be reviewed, net of all fees, and compared to reasonable benchmarks on a quarterly basis. A comprehensive evaluation will be conducted annually for each of the investment options and a determination will be made by the Board of Trustees to retain or replace any of the investment options. While frequent change is neither expected nor desirable, the process of monitoring investment performance relative to specified guidelines is necessary and on-going. If overall satisfaction with the investment option is acceptable, no action is required. If areas of dissatisfaction exist, the provider and the Board of Trustees must take steps to remedy the deficiency. If over a reasonable period the provider is unable to resolve the issue, termination may result. Investment option fees will be reviewed on an annual basis. The review will assess the reasonableness of the fees relative to peer investment options and confirm that participants are receiving a fair value in exchange for the fees rendered. The providers will A review of each provider shall be reviewed conducted annually. The review will include input from both the Consultant and Staff and will take into consideration, at a minimum, the provider s organization, performance and cost of SMP investment options offered by the provider, and an overview of each SMP investment option offered by the provider. If the Staff or Consultant have significant concerns about a provider, the Staff or Consultant will communicate to the Investment Committee and a course of action may be determined and initiated. Unusual, notable or extraordinary events should be communicated by the provider immediately to the Staff, Consultant and representatives of the Board of Trustees. Examples of such events include portfolio manager or team departure, violation of investment guidelines, material litigation against the firm, or material changes in firm ownership structure, or announcements thereof. VIII. Investment Option/Provider Termination An investment option/provider should be considered for termination when the Board of Trustees has lost confidence in the investment option s/provider s ability to: Achieve performance and risk objectives, Comply with investment guidelines, Comply with reporting requirements, or Maintain a stable organization and retain key relevant investment professionals. If the investment option/provider has consistently failed to adhere to one or more of the above conditions, it is reasonable to presume a lack of adherence going forward. Failure to remedy the 10

182 SMP Investment Policy September Exhibit 9c circumstances of unsatisfactory performance by the investment option/provider, within a reasonable time, shall be grounds for termination. Any recommendation action to terminate an investment option/provider will be treated on an individual basis, and will not be made solely based on quantitative data. In addition to those above, other factors may include professional or client turnover, or material change to investment philosophy or processes. Considerable judgment must be exercised in the termination decision process. It is the Board s intention to assure all interested parties that decisions made in carrying out these actions occur in a full disclosure environment characterized by objective evaluation and proper documentation. The overriding consideration with respect to all decisions is that they shall be made solely in the best interest of SMP participants and beneficiaries and consistent with other legal requirements. Prior to the termination decision, the primary and other relevant considerations shall be identified and described. An evaluation covering the quantitative and qualitative issues to be considered will be developed for each case and the relative importance of each evaluation area will be determined. Documentation regarding any such action should include, but is not limited to, the following items: A full description of the reason for the action, including the specific elements, serving as the basis for the evaluation and identification of the relevant issues from the System s perspective, The assumptions made in the evaluation, if any, and The results considered and/or qualitative issues upon which the action was based. When reviewing the documentation regarding the termination of an investment option or a provider, the primary focus of the Investment Committee shall be on ensuring that the Board will be able to satisfy any interested party that decisions were well reasoned, thoroughly considered, and prudent. Toward this end, the Chair and Committee members will review the written supporting documentation to ensure disclosure of all relevant issues. In evaluating a termination decision, Staff, Consultant and the Committee should review documentation to ensure that the evaluation process was fair and consistently applied. Candidates for termination may, at the pleasure of the Committee or upon the recommendation of Staff and Consultant, be asked to make a formal presentation to the Staff and/or Committee prior to a termination decision, but any such meeting shall not be permitted to delay any action the Board deems appropriate. An investment option/provider to be terminated shall be removed using one of the following approaches: 1. Remove and replace (map assets) with an alternative investment option/provider. 2. Freeze the assets managed by the terminated investment option/provider and direct new assets to a replacement investment option/provider. 3. Phase out the investment option/provider over a specific time period. 4. Continue the investment option/provider but add a competing investment option/provider. 11

183 SMP Investment Policy September Exhibit 9c 5. Remove the investment option/provider and do not provide a replacement investment option/provider. Any change to the investment options or provider lineup will be communicated to SMP participants as soon as practical upon approval by the Board of Trustees. IX. Participant Education and Communication SURS will communicate to SMP participants that they control their own investments; permit investment changes; and, provide educational materials allowing participants to make informed decisions. X. Coordination with the Plan Document Notwithstanding the foregoing, if any term or condition of this investment policy conflicts with any term or condition in the plan document, the terms and conditions of the plan document shall control. Initially adopted September 12, 2008; Revised April 23, 2009; September 11, 2009; September 3, 2010; September 16, 2011; October 25, 2012; September 13, 2013; September 19, 2014; September 11, 2015; September 16,

184 To: Investment Committee From: Investment Staff Date: September 1, 2016 Re: SURS Report on Usage of Minority-, Female-, and Disability-Owned Managers August 2016 Illinois Senate Hearings The Illinois Senate Special Committee on Pension Investments conducted hearings on August 11 and 12, 2016 to monitor the use of minority- and female-owned asset management and brokerage firms by public pension systems. SURS was asked to testify and submit our 2015 emerging money managers report along with written responses to a questionnaire. The SURS response and presentation is provided. The following are some of the main themes from questions and discussions during the hearings. Goal-setting by percentage of fees paid to the managers Asking majority-owned firms in regards to their diversity of leadership and commitment to diversity Diversity as a good value proposition/diversity without compromising fiduciary duty How are consultants involved in encouraging diversity in their firm and MFDB utilization across all clients All things equal, keep tax dollars in Illinois (use Illinois-based investment managers) Provide detailed breakdown of overall MFDB numbers to the Committee The next Committee hearing is planned for February 2017 SURS MFDB Numbers as of June 30, 2016 SURS has approximately $4.2 billion allocated to MFDB firms. Various Emerging Manager Actual Utilization Levels and Goals Actual Goal % of Fund Managed by MFDB Owned Firms 24.7% % of Fund Managed by Emerging Investment Manager Firms per P.A % 20.0% % of Actively-Managed Assets with Emerging Firms per P.A % 25.0% Measurement Levels of Actively-Managed Assets per P.A Actual Goal % of Actively-Managed Assets with Minority-Owned Firms per P.A % 16.0% % of Actively-Managed Assets with Female-Owned Firms per P.A % 8.0% % of Actively-Managed Assets with Person with a Disability-Owned Firms per P.A % 1.0%

185 SURS MFDB Broker Utilization SURS Summary Goals Utilization of Minority-, Female- and Persons with a Disability- Owned Broker/Dealer Firms Asset Class Goal U.S. Equity 30.0% Non-U.S. Equity 15.0% Fixed Income 20.0% The SURS Board of Trustees has adopted minimum expectations for the use of minority- and female-owned broker dealers. These expectations are communicated to SURS investment managers at the beginning of the relationship and at least annually thereafter. In aggregate, all asset classes exceeded the brokerage goals set forth in the Investment Policy for trading with minority-, female- and persons with a disability- owned firms. The following table lists the investment managers that have not met minimum expectations with regard to minority brokerage for the rolling four quarters ending June 30, In July, SURS staff sent a letter to T. Rowe Price documenting their failure to comply with our brokerage goals. Following receipt of the letter, staff held a conference call with T. Rowe Price representatives to communicate our expectations and the consequences of not meeting our requirements. In a subsequent meeting in late August, T. Rowe Price s head of trading discussed steps that the firm has already taken to address the issue. Staff expects to see marked improvement in the brokerage utilization in the coming quarter. Recent Activities Manager Name Minimum Expectation% Actual % T. Rowe Price Global Equity 20.00% 5.73% T. Rowe Price U. S. Equity 10.00% 6.12% On September 10, 2015, the Board of Trustees increased the diversity goal for new allocations to Alternative Investments from 10% to 20%. In October 2015, the SURS Board retained two hedge fund-of-funds providers. Each provider has a goal that at least 20% of the SURS assets to be allocated to funds owned by persons of diversity. In March 2016, SURS committed $100 million to Muller and Monroe Asset Management for investment in a portfolio of private equity funds managed by general partners owned by minorities, females and persons with a disability. This allocation builds on the existing program in this area managed on behalf of SURS by Fairview Capital Partners and Muller and Monroe Asset Management. In April 2016, SURS committed up to 2% of the portfolio to be allocated to equity index option strategies, to be managed as an overlay mandate, by Gladius Capital Management, contingent upon successful contract negotiations.

186 Exhibit 10b SURS Diversity Report Senate Special Committee on Pension Investments August 11-12, 2016

187 Overview Exhibit 10b Board Composition 9% 18% 64% 9% Female African- American Latino Other Board Member Composition 4 of 11 Trustees are either minorities or females (36%) 1 of 11 Trustees is Female (9%) 2 of 11 Trustees are African-American (18%) 1 of 11 Trustees is Latino (9%) SURS Assets as of 3/31/16 SURS DB Assets = $16.5 Billion SURS Self-Managed Plan = $1.8 Billion 1 Year Return (as of 3/31) = -1.1% Net of Fees Exceeds Policy Bench return of -1.2% SURS paid $2.1 billion in DB plan benefits during FY ,113 total members and beneficiaries 83,330 active members 84,843 inactive members 61,940 benefit recipients 127 employees as of 3/31/16 Represent 61 different employers 9 state universities 39 community colleges 13 affiliated agencies 2

188 Board of Trustees Exhibit 10b Tom Cross, Chairperson (Appointed) Dorinda Miller, Vice Chairperson (Elected) John Engstrom, Treasurer (Elected) Aaron Ammons (Elected) Dennis Cullen (Appointed) J. Fred Giertz (Elected) Francis Idehen Jr. (Appointed) Paul R.T. Johnson, Jr. (Appointed) Craig McCrohon (Appointed) Steven Rock (Elected) Antonio Vasquez (Elected) 3

189 Organizational Diversity Exhibit 10b 50% 40% 30% 20% 10% SURS Board of Trustees 9% 18% 9% Female African- American Latino 80% 60% 40% 20% SURS Employees 69% Female African American Asian 0% As of June 30, % SURS Vendors (Non-Investment) 0% 9% 5% 4% As of March 31, 2016 Latino 40% 30% Female 20% 10% 0% 13.6% 3.8% 0.1% Based on FY 2016 Percentage of Purchases Minority Persons with a Disability 4

190 Holistic Approach to Diversity Pursuing diversity strategies in several areas Investments Expand industry outreach efforts Seek to identify qualified MFDB firms for participation in upcoming searches More frequent discussions with investment consultant on MFDB managers Reiterate importance of achieving MFDB brokerage goals to SURS investment managers Human Resources Develop outreach programs to recruit from a diverse spectrum of potential applicants Develop partnerships with a broad range of organizations across the State of Illinois Involve managers and supervisors in recruiting and take appropriate action to ensure that outreach efforts are effective in addressing barriers Develop student internship program to build a diverse pipeline of candidates Vendors Develop and implement a Supplier Diversity Policy Conduct outreach events to communicate and increase SURS profile with the MFDB community; attract and encourage participation in contracting opportunities Develop and maintain a vendor list for each vendor solicitation to ensure a balanced and welldiversified list of invited vendors Maintain procedures that enable SURS to consistently capture and report vendor data Exhibit 10b 5

191 Exhibit 10b Current Investment Diversity Program March 31, 2016: Current Program SURS Total Portfolio $4.4 billion invested with 19 MFDB* managers This includes: Manager Diversity Program (MDP)» $2.6 billion invested with 18 managers (20 mandates) Manager of Emerging Managers Program» Progress Investment Management» Approximately $724 million invested with 19 managers (22 mandates)» New diversity mandate funded in Emerging Market Debt area Other MFDB Managers in SURS portfolio» $971 million invested in passive strategies» $119 million allocated to MFDB firms within hedge fund-of-funds portfolios *MFDB = Firms owned by minorities, females, and persons with a disability 6

192 Exhibit 10b How Have SURS Goals Changed Since Passage of Public Act ? Prior to the passage of PA in April 2009, SURS had adopted a goal that 15% of total assets be managed by MFDB firms Post-PA , SURS further enhanced the goals Date Description Goal September 2009 MFDB Asset Utilization 15% of active assets September 2011 MFDB Asset Utilization 17% of active assets October 2012 MFDB Asset Utilization 25% of active assets September 2014 MFDB Asset Utilization 25% of active assets and 20% of total assets SURS reviews these goals annually 7

193 Exhibit 10b Goal Setting Process Review universe composition Consider SURS asset allocation Different asset classes have varying availability of diverse firms Review best practices What are other Illinois plans doing? What are other plans doing nationally? Establish goal that is both challenging and realistic Revisit goals annually as above factors change 8

194 Minority and Women Owned Manager Representation as a Percentage of the Universe Exhibit 10b Progress Proprietary Emerging Manager Database LONG ONLY: Total Count (2,353) By Ownership Total Investable Investment Manager Universe Long Only & Hedge (Progress Database + evestment + MMD) By Ownership 29% 8% 71% % Emerging % MWBE % MWBE % Non-Minority HEDGE FUNDS: Total Count (1,579) By Ownership 92% Key Points: 24% 76% % Emerging % MWBE MWBE firms make up approximately 8% of the total long only & hedge fund investable investment manager universe. MWBE firms manage 26.6% of the total SURS investment portfolio, as of March 31, Emerging Long-Only Specifications: AUM less than $10 Billion Woman- and minority-owned At least 51% independently-owned Registered Investment Advisors As of June 30, 2016 Emerging Hedge Funds Specifications: Generally less than $700 million in AUM, or less than 3-Year track record. Woman- and minority-owned At least 51% independently-owned 9

195 % of Total Fund 30% 25% 20% 15% 10% 5% 0% Exhibit 10b Assets with MFDB Managers 25%25% 26%27% 23% 19% 17% 13% 14% 13% 14% 11% 2% 2% 2% 2% 2% 3% 4% 4% 5% 6% 1% As of March 31, 2016, 26.6%, or $4.4 billion, of the total SURS portfolio was managed by firms of diversity 19 of 50 investment managers are owned by minorities and/or women *MFDB = Firms owned by minorities, females, and persons with a disability 10

196 Exhibit 10b Manager Diversity Breakdown As of March 31, 2016 Female 50% African American 26% Asian American 5% Latino 19% March 31, 2016 Assets in $MM* % of MFDB Total % of Total Fund Latino $840 19% 5.1% African American 1,142 26% 6.9% Asian American 217 5% 1.3% Female 2,183 50% 13.2% Disabled Veteran 24 <1% <0.1% $4, % 26.6% *Manager of manager assets categorized according to ethnicity of sub-managers Includes RhumbLine Advisers and EARNEST Partners, whose AUM exceeds the $10B limit set forth in IL statute Totals may not add due to rounding 11

197 Exhibit 10b SURS Total Assets with MFDB* Firms SURS goal is that 25% of active assets are managed by MFDB firms As of March 31, 2016, MFDB firms manage 28.2% of SURS active assets SURS also has a goal that 20% of total assets are managed by MFDB firms As of March 31, 2016, MFDB firms manage 20.1% of total assets Consistent with 20% aspirational goal set forth in P.A % 25% 20% 15% 10% 5% Percentage of Active Assets Managed by MFDB Firms 28.2% 17.7% 10.3% 25.0% 0-1% 16.0% 8.0% Persons with a Disability Minority Female SURS continues to work to improve results 0% Actual Goal *Minority-, female-, or persons with a disability-owned 12

198 Exhibit 10b SURS Equity Assets with MFDB* Firms SURS goal is that 30% of active equity assets are managed by MFDB firms As of March 31, 2016, MFDB firms manage 40.3% of SURS active equity assets 45.0% 40.0% 35.0% Active Equity Assets Managed by MFDB Firms 40.3% 30.0% 30.0% 25.0% 23.7% 20.0% Actual 20.0% 16.6% Goal 15.0% 10.0% 10.0% 5.0% 0.0% Total Active Equity Assets Minority-Owned Female-Owned *Minority-, female-, or persons with a disability-owned 13

199 Exhibit 10b SURS Fixed Income Assets with MFDB* Firms SURS goal is that 20% of active fixed income assets are managed by MFDB firms As of March 31, 2016, MFDB firms manage 28.1% of SURS active fixed income assets 30.0% 25.0% 20.0% Active Fixed Income Assets Managed by MFDB Firms 28.1% 20.0% 18.9% 15.0% 10.0% 12.0% 9.2% 8.0% Actual Goal 5.0% 0.0% Total Active Fixed Income Assets Minority-Owned Female-Owned *Minority-, female-, or persons with a disability-owned 14

200 Exhibit 10b SURS Alternative Assets with MFDB* Firms SURS goal is that 20% of new alternative allocations be managed by MFDB firms SURS Board increased the goal from 10% to 20% of new allocations in September 2015 Since January 1, 2014, 19.2% of new alternative commitments were allocated to MFDB firms or strategies $384 million in new alternative commitments to firms of diversity As of March 31, 2016, MFDB firms manage 13.9% of SURS alternative investment assets 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% Alternative Assets Managed by MFDB Firms 20% 0-20% 0-20% 0-20% 13.9% 10.9% 1.4% 1.6% Actual Goal *Minority-, female-, or persons with a disability-owned 15

201 Exhibit 10b History of SURS MFDB Broker Utilization SURS first established equity brokerage goals in FY 2004 Significant progress since that time Asset Class FY 2005 FYTD FY2016 (through 3/31/16) U.S. Equities 24% 44% Non-U.S. Equities 6% 38% SURS first established fixed income brokerage goals in FY 2006 Significant progress since that time Asset Class FY 2007 FYTD FY 2016 (through 3/31/16) Fixed Income 14% 32% 16

202 Exhibit 10b Minority Brokerage Results Fiscal Year-to-Date Ending March 31, % 40% 44% 38% From July 1, 2015 through March 31, 2016, nearly $1.2 million in equity commissions was directed to MFDB firms, representing 33.5% of total equity commissions Two of SURS top ten equity brokers are MFDB firms (#1, and #2 by commissions) 30% 20% 30% 15% 24% 32% 20% 20% Actual Goal During the FYTD period, over $2.5 billion in fixed income trading volume was directed to MFDB firms, representing 32.3% of total trading volume SURS #1 and #8 fixed income brokers (by trading volume) are MFDB firms 10% In the aggregate, all asset classes exceeded the brokerage goals 0% U.S. Equity Non-U.S. Equity Global Equity Fixed Income Managers not meeting expectations face consequences up to and including termination 17

203 Exhibit 10b New Diversity Initiatives Diversity & Inclusion Strategic Plan accepted by Board in March 2015 Employed two summer interns during Summer 2015 with assistance from Toigo Foundation One of the interns continues employment at SURS New asset allocation study approved in June 2014 is providing additional opportunities for emerging firms Reduction in equities to fund new investments in emerging markets debt, hedged strategies and commodities New allocations provide opportunity for emerging firms $65 million allocated to MFDB firms in emerging market debt strategies $90 million allocated for investment in non-core real estate strategies managed by MFDB firms Recent approval of hedged strategies allocation will target 20% to underlying MFDB firms $100 million committed to private equity emerging manager fund-of-funds manager 18

204 New Diversity Initiatives (Continued) Exhibit 10b Continued Implementation of Public Act Expands communication and dialogue with external investment managers New RFPs require additional disclosures regarding diversity practices from firms seeking to do business with SURS 19

205 Exhibit 10b Summary SURS is committed to providing opportunities to firms of diversity $4.4 billion invested with 19 MFDB firms SURS has a history of increasing its utilization of MFDB firms MFDB assets increased from 10.5% of total assets, as of June 30, 2005, to 26.6% of total assets, as of March 31, 2016 Assets with emerging firms increased from $1.4 billion to $4.4 billion over the same time period, an increase of approximately $3.0 billion SURS is taking definitive steps to improve its outreach, identification and utilization of firms of diversity 20

206 Exhibit 10c Senate Special Committee on Pension Investments August 2016

207 Exhibit 10c

208 Exhibit 10c

209 Exhibit 10c

210 Exhibit 10c Following are SURS responses to the questions posed in your questionnaire. Minority and Female Investment Hearing Questionnaire Senate Pensions & Investments Committee 1. What is the percentage of minority and women representation on the Board of Trustees of your fund ( the Fund )? Please identify the minority and women members of the Board of Trustees by name, specifying which members are African American, Asian American, and Latino. As of March 31, 2016, 36% of the individuals serving on the SURS Board of Trustees are minorities and/or females. The SURS Board consists of eleven Trustees as shown in the table below. As of March 31, 2016, four are minorities and/or females. State Universities Retirement System Board of Trustees Trustee Name Appointed or Elected Male or Female Minority Status Tom Cross Chair of Higher Education Male N/A Aaron Ammons Elected Male African American Dennis Cullen Appointed Male N/A John Engstrom Elected Male N/A J. Fred Giertz Elected Male N/A Francis Idehen, Jr. Appointed Male African American Paul R. T. Johnson, Jr. Appointed Male N/A Craig McCrohon Appointed Male N/A Dorinda Miller Elected Female N/A Steven Rock Elected Male N/A Antonio Vasquez Elected Male Latino 2. What is the percentage of minority and women representation on the Fund s investment staff (excluding support staff)? Please specify the percentage of African Americans, Asian Americans, Latinos, and women. As of August 1, 2016, SURS has seven full time investment professionals on staff. (The SURS CIO recently retired on July 31, 2016.) Additionally, SURS has a senior investment accounting officer that works closely with the investment department. Four of the eight professional staff members (50%) are females and/or minorities. Two non-minority females, one Latina and one Latino are included on the investment staff. 3. What is the percentage of minority and women representation on the Fund s consulting staff that is specifically assigned to the Fund (excluding support staff)? Please specify the percentage of African Americans, Asian Americans, Latinos, and women.

211 Exhibit 10c Six individuals are assigned to the Illinois SURS account; three of these individuals are African American and 2 are women. In total, African Americans make up 50% of the Fund s assigned team and 33% of the assigned team are women (both of which are African American). Name Title Ethnicity Gender Doug Moseley Partner, Senior Consultant White Male Kristin Finney Cooke Senior Consultant African American Female Kevin Leonard Partner, Senior Consultant White Male Will Forde Consultant African American Male DeAnna Ingram Senior Analyst African American Female Mark Bruno Performance Analyst White Male 4. What is the percentage of minority and women representation at the Fund s hired consulting firm (excluding support staff)? Please specify the percentage of African Americans, Asian Americans, Latinos, and women. NEPC has a total of 208 employees (excluding support staff), 5% (or 11 employees) of employees are African American, 9% (or 18 employees) are Asian American and 3% (7 employees) are Latino American and 21% (or 44 employees) are non-minority women. Total Staff Non- Minority Men Non- Minority African Asian Latino Women American American American Number Percentage 100% 62% 21% 5% 9% 3% 5. What is the percentage of minority and women representation at the Fund s majority owned asset managers who are specifically assigned to the Fund s accounts (excluding support staff)? Please specify the percentage of African Americans, Asian Americans, Latinos, and women. Based on responses from a survey of SURS majority owned asset managers, the diversity profile of the total staff assigned to SURS accounts is as follows: African American 3% Asian American 15% Latino 4% Non-Minority Women 24% These are approximate figures based on information supplied by the majority owned asset managers. Every effort was made to be as accurate as possible; however, some firms do not maintain staffing statistics to this level of specificity, and some employees choose not to declare an ethnicity. In cases where ethnicity was not reported, either because they chose not to identify or because it is not customary to record such information in their country of work, the employees were included in the total numbers assigned to SURS accounts and were not listed as belonging to a minority. 2

212 Exhibit 10c 6. As of December 31, 2015 and March 31, 2016, what were the total amounts of the Fund s assets? SURS total assets as of December 31, 2015, and March 31, 2016, were approximately $16.5 billion and $16.6 billion, respectively. 7. What is your average initial allocation to MBE firms in each of the listed asset classes since 2013? What is your average initial allocation to non-mbe firms in each of the listed asset classes since 2013: Domestic Equity, International Equity, Fixed Income, Hedge Fund, Real Estate, and Private Equity. Please see the following table for information on the average initial allocation to MBE firms and non-mbe firms since January 1, Average Initial Allocations by Asset Class January 1, 2013 to Present Asset Class Domestic Equity International Equity Average Initial Allocation to MBE Firms No new hires during period No new hires during period Average Initial Allocation to non-mbe firms No new hires during period No new hires during period Fixed Income $65 million $150 million Hedge Funds No new hires during period $250 million Real Estate $90 million $35 million No new hires during Private Equity $100 million period Note: $330 million was awarded to an MBE firm for an Options Overlay mandate 8. What percent of assets were allocated to MWBE firms in searches not specifically designated for emerging managers? During FY 2015 and FY 2016, 29.4% of assets were allocated to MWBE firms in searches not specifically designated for emerging managers. 9. How many direct-hire RFP s have you issued in 2016 for emerging managers in the following alternatives asset classes: Real Estate, Hedge Fund, and Private Equity. SURS has not issued any emerging manager RFPs in the Real Estate, Hedge Fund, or Private Equity asset classes in 2016 to date. SURS, however, did complete a private equity emerging manager fund-of-funds search in 2016 for an RFP issued in November The search resulted in the awarding of a $100 million commitment to Muller & Monroe Asset Management in March 2016 for a mandate focused exclusively on funds managed by GPs owned by minorities, females, or persons with a disability. 3

213 Exhibit 10c 10. Are all of your underlying managers meeting MWBE brokerage goals? Are there any consequences for underlying managers not meeting MWBE brokerage goals? The SURS Board of Trustees has adopted minimum expectations for the use of minority- and female-owned broker dealers. These expectations are communicated to SURS investment managers at the beginning of the relationship and at least annually thereafter. In aggregate, all asset classes exceeded the brokerage goals set forth in the Investment Policy for trading with minority-, female- and persons with a disability- owned firms. In addition, for the four quarters ending March 31, 2016, all investment managers with the exception of two met or exceeded the minimum expectations with regard to minority brokerage. SURS continuously monitors managers compliance with the Minority-Owned Broker/Dealer Usage Policy, attached as Exhibit 20, and has established a series of consequences for those managers who continually fail to meet expectations. Since January 2006, SURS has been formally communicating quarterly with investment managers who are not achieving the desired levels of trading. For each trailing 4-quarter period that the manager falls short of expectations, the manager is sent a letter of non-compliance and must provide a written response to SURS as to why they did not meet expectations and what course of action is planned to achieve the goals in the future. Please see Section XIV(B) of Exhibit 20 for a complete list of consequences for managers who consistently fail to meet the minimum expectations. 11. How many of your managers have violated your MWBE Brokerage Policy on multiple occasions? Who are these firms and how many times have they violated the policy? One investment manager, T. Rowe Price, did not achieve the brokerage goals set forth in the MWBE Brokerage Policy on multiple occasions. T. Rowe Price fell short of meeting the minimum expectation for the periods ending December 31, 2015, and March 31, Staff is in the midst of serious discussions with the firm on this issue, and T. Rowe Price has committed to meeting the goals in the future. Staff is currently in the process of scheduling a brokerage review with the firm in October as part of the annual brokerage review with the Investment Committee. 12. For 2015, please list [1] asset classes, [2] money managers, [3] the amount of assets managed in that asset class (in column [1]) per manager as of December 31, 2015, [4] the percentage of assets this represents in that asset class (in column [1]) as of December 31, 2015, and [5] the percentage of assets this represents in the overall Fund as of December 31, Please also list [6] the amount of fees paid per asset class (in column [1]) in 2015, [7] the percentage of fees paid to this manager [2] compared to fees paid by the Fund in this asset class (in column [1]) in 2015, [8] the percentage of fees paid to this manager [2] compared to fees paid by the overall Fund in 2014, and [9] the classification (i.e. African American, Latino, Asian American, Female) of the manager [2]. Please be sure to sort the table by Asset Class [1] then Classification [9]. Please see Exhibit 1 for a breakdown of assets under management and fees paid by asset class and manager for For 2016, please complete the following table as of March 31, Please list [1] the asset class, [2] the money manager, [3] the amount of assets managed in that asset class (in column [1]), [4] the percentage of assets this represents in that asset class (in column [1]), and [5] the percentage of assets this represents in the overall Fund. Please also list [6] the 4

214 Exhibit 10c amount of fees paid per asset class (in column [1]), [7] the percentage of fees paid to this manager [2] compared to fees paid by the Fund in this asset class (in column [1]), [8] the percentage of fees paid to this manager [2] compared to fees paid by the overall Fund, and [9] the classification (e.g. African American, Latino, Asian American, Female) of the manager [2]. Please be sure to sort the table by Asset Class [1] then Classification [9]. Please see Exhibit 2 for a breakdown of assets under management and fees paid by asset class and manager as of March 31, 2016, for Please complete the following table in the same manner as Question #7, for 2015, but exclusive of the manager of managers program. If your fund does not use a manager of managers program you may leave this table blank. Please see Exhibit 3 for a breakdown of assets under management and fees paid by asset class and manager for 2015, exclusive of the manager of managers program. 15. Please complete the following table in the same manner as Question #8, but exclusive of the manager of managers program. Please complete the table using information rendered through March 31, If your fund does not use a manager of managers program you may leave this table blank. Please see Exhibit 4 for a breakdown of assets under management and fees paid by asset class and manager as of March 31, 2016, for 2016, exclusive of the manager of managers program. 16. As of December 31, 2015 and March 31, 2016 what percentage (based on assets managed within each asset class) of money managers retained by the Fund is African American? Latino? Asian American? Female? Please identify these entities by name. In total, assets managed by minorities, females, and persons with a disability represent 26.03% and 26.59% of SURS assets, as of December 31, 2015, and March 31, 2016, respectively. Please see the tables that follow for a diversity breakdown by asset class, as of December 31, 2015, and March 31,

215 Exhibit 10c Percentage of Assets 1 Managed by Minority-, Female-, and Disabled-Owned Investment Managers (Based on Assets Managed Within Each Asset Class) As of December 31, 2015 Non-U.S. Equity (%) Global Equity (%) Fixed Income (Includes TIPS) (%) Real Estate (%) Private Equity (%) Firm Name U.S. Equity (%) Opportunity Fund (%) African American 16.7% 1.0% 0.0% 6.2% 0.3% 3.8% 0.0% Latino 2.6% 7.6% 0.0% 8.7% 2.0% 0.0% 0.0% Asian American 2.5% 0.6% 0.0% 0.7% 2.0% 0.0% 0.0% Female 25.5% 17.8% 0.0% 8.0% 0.0% 0.0% 0.0% Disabled 0.0% 0.0% 0.0% 0.0% 1.5% 0.0% 0.0% Total 47.3% 27.0% 0.0% 23.6% 5.8% 3.8% 0.0% 1 Percentages based on assets managed within each asset class. Assets with Progress Investment and Franklin Templeton are categorized in accordance with the ethnicity of sub-managers. 2 Totals may not add due to rounding. Percentage of Assets 1 Managed by Minority-, Female-, and Disabled-Owned Investment Managers (Based on Assets Managed Within Each Asset Class) As of March 31, 2016 Non-U.S. Equity (%) Global Equity (%) Fixed Income (Includes TIPS) (%) Real Estate (%) Private Equity (%) Firm Name U.S. Equity (%) Opportunity Fund (%) African American 17.3% 1.0% 0.0% 6.3% 0.2% 3.8% 0.0% Latino 2.9% 7.3% 0.0% 10.1% 1.7% 0.0% 0.0% Asian American 2.0% 0.6% 0.0% 0.7% 1.7% 0.0% 0.0% Female 25.9% 17.5% 0.0% 8.3% 0.0% 0.0% 0.0% Disabled 0.0% 0.0% 0.0% 0.0% 1.5% 0.0% 0.0% Total 48.1% 26.4% 0.0% 25.4% 5.1% 3.8% 0.0% 1 Percentages based on assets managed within each asset class. Assets with Progress Investment and Franklin Templeton are categorized in accordance with the ethnicity of sub-managers. 2 Totals may not add due to rounding. Please see Exhibits 5-6 for a listing of African American, Latino, Asian American, Female-, and Disabled-owned investment managers, as of December 31, 2015, and March 31, Exclusive of a manager of managers program, as of December 31, 2015 and March 31, 2016, what percentage of money managers retained by the Fund is African American? Latino? Asian American? Female? Please identify these entities by name. In total, assets managed by minorities, females, and persons with a disability represent 26.03% and 26.59% of SURS assets, as of December 31, 2015, and March 31, 2016, respectively. Please see the tables below for a diversity breakdown by asset class, exclusive of a manager of managers program, as of December 31, 2015, and March 31,

216 Exhibit 10c Percentage of Assets 1 Managed by Minority-, Female-, and Disabled-Owned Investment Managers Exclusive of a Manager of Managers Program As of December 31, 2015 Non-U.S. Equity (%) Global Equity (%) Fixed Income (Includes TIPS) (%) Real Estate (%) Private Equity (%) Firm Name U.S. Equity (%) Opportunity Fund (%) African American 15.0% 0.0% 0.0% 5.8% 0.3% 3.8% 0.0% Latino 1.9% 6.7% 0.0% 5.8% 2.0% 0.0% 0.0% Asian American 0.0% 0.0% 0.0% 0.0% 2.0% 0.0% 0.0% Female 23.5% 14.5% 0.0% 7.3% 0.0% 0.0% 0.0% Disabled 0.0% 0.0% 0.0% 0.0% 1.5% 0.0% 0.0% Total 40.4% 21.2% 0.0% 18.9% 5.8% 3.8% 0.0% 1 Percentages based on assets managed within each asset class. 2 Totals may not add due to rounding. Percentage of Assets 1 Managed by Minority-, Female-, and Disabled-Owned Investment Managers Exclusive of a Manager of Managers Program As of March 31, 2016 Non-U.S. Equity (%) Global Equity (%) Fixed Income (Includes TIPS) (%) Real Estate (%) Private Equity (%) Firm Name U.S. Equity (%) Opportunity Fund (%) African American 16.6% 0.0% 0.0% 5.9% 0.2% 3.8% 0.0% Latino 2.2% 6.7% 0.0% 5.8% 1.7% 0.0% 0.0% Asian American 0.0% 0.0% 0.0% 0.0% 1.7% 0.0% 0.0% Female 21.6% 14.5% 0.0% 7.1% 0.0% 0.0% 0.0% Disabled 0.0% 0.0% 0.0% 0.0% 1.5% 0.0% 0.0% Total 40.4% 21.2% 0.0% 18.8% 5.1% 3.8% 0.0% 1 Percentages based on assets managed within each asset class. 2 Totals may not add due to rounding. Please see Exhibits 5-6 for a listing of African American, Latino, Asian American, Female-, and Disabled-owned investment managers, as of December 31, 2015, and March 31, Are any of your managers of managers minority- or female-owned firms? (If so, please name the firm and the amount of assets being managed. If not, and you have hired a manager of managers, please name the firm and the amount of assets being managed.) SURS utilizes the manager of managers services of Progress Investment Management Company, LLC (Progress). Progress is certified as a minority owned business enterprise with the majority of ownership held by African Americans. The additional owners are Asian-American and Female individuals. As of March 31, 2016, the firm managed $724 million for SURS. 7

217 Exhibit 10c 19. If you have hired a manager of managers, what fees are paid to your manager of managers? What amount of the manager of managers fees are paid to the underlying managers? Please be specific and request this from your manager of managers. The table below summarizes total fees paid to SURS manager of managers and the amount of fees paid to underlying managers. Total Fees Paid Calendar Year 2015 January - Mar 2016 Manager of Managers $3,402, $889, Underlying Managers $2,917, $581, At what point do you consider direct hiring of successful underlying managers in a manager of managers program not including alternative investments? The following factors are considered in determining when a manager should be considered for direct hire by SURS into the overall SURS portfolio: Stability in Organization Growth in Assets under Management Confidence in Investment Process Strong Investment Performance Product Fit In addition to the factors mentioned above, the needs of the overall SURS investment program will be considered. 21. What percent of assets by asset class were allocated to Illinois-headquartered minority- and female-owned investment managers in 2015 and 2016 (March 31)? What is the total dollar amount of those assets allocated to Illinois-headquartered minority- and female-owned investment managers relative to each asset class? The table that follows illustrates the percent and dollar amount of assets by asset class allocated to Illinois-headquartered minority- and female-owned investment managers in 2015 and 2016 (as of March 31, 2016). 8

218 Exhibit 10c Assets with Illinois-Based Minority- and Female-Owned Investment Management Firms December 31, 2015 March 31, 2016 % of Asset % of Asset Asset Class $Millions Class $Millions Class U.S. Equity $ % $ % Non-U.S. Equity % % Global Equity - 0.0% - 0.0% Fixed Income - 0.0% - 0.0% Real Estate - 0.0% - 0.0% Private Equity % % Opportunity Fund - 0.0% - 0.0% 1 Surs has committed a total of $50 million to private equity funds managed by Muller and Monroe Asset Management, an African American-Owned firm. 22. What is the percentage of the total dollar amount of investment management fees that is paid by the Fund to Illinois-headquartered minority- and female-owned investment managers in 2015 and 2016 (through March 31)? What is the total dollar amount of those fees by asset class? Please specify the percentage and total dollar amount for African American-, Latino-, Asian American-, and female-owned, Illinois-headquartered investment managers? Please see Exhibit 7 for a breakdown of fees paid by asset class to Illinois-headquartered minority- and female-owned investment managers for 2015 and for 2016 (through March 31). 23. Please list, by investment manager, all brokers utilized during 2015 and through March 31, 2016, and the total commission paid to each broker utilized. Please denote MWBE brokers by ethnic group and Illinois-based broker/dealers. Please separate the managers and their brokers utilized by asset class (i.e., domestic equity, international equity, fixed income, etc.). For fixed income, please list par value traded by manager with each broker as opposed to estimating commissions. Separate commissions paid as follows: (a) total and (b) net of step outs, correspondence, commission recapture, and/or any other non-direct trading. Please include all asset managers that manage asset classes that trade publically traded securities. (e.g. REIT Managers, Hedge Fund Managers, etc.) Are any managers excluded from your policy currently and what are your plans to rectify this issue? Please see Exhibits 8-19 for a breakdown of brokers and commissions paid to each broker utilized, in total and net of step outs, correspondence, commission recapture, and/or any other non-direct trading, by asset class and manager for 2015 and through March 31, Fixed income is reported by market value traded. First effective January 1, 2006, the SURS Board of Trustees formally adopted the Minority- Owned Broker/Dealer Usage Policy, which establishes specific minimum expectation levels for trading with minority and female-owned firms. This policy applies to active managers of public markets separate account portfolios. 9

219 Exhibit 10c 24. What are the consequences for individual managers who do not meet or exceed your MWBE goals? Please list managers that are not in compliance with your goals and the total commissions paid in 2015 and 2016 (through March 31). Please list by broker the dollar amounts on your account. The SURS Board of Trustees has adopted minimum expectations for the use of minority- and female-owned broker dealers. These expectations are communicated to SURS investment managers at the beginning of the relationship and at least annually thereafter. In aggregate, all asset classes exceeded the brokerage goals set forth in the Investment Policy for trading with minority-, female- and persons with a disability- owned firms. SURS continuously monitors managers compliance with the Minority-Owned Broker/Dealer Usage Policy, attached as Exhibit 20, and has established a series of consequences for those managers who continually fail to meet expectations. Since January 2006, SURS has been formally communicating quarterly with investment managers who are not achieving the desired levels of trading. For each trailing 4-quarter period that the manager falls short of expectations, the manager is sent a letter of non-compliance and must provide a written response to SURS as to why they did not meet expectations and what course of action is planned to achieve the goals in the future. Please see Section XIV(B) of Exhibit 20 for a complete list of consequences for managers who consistently fail to meet the minimum expectations. The tables that follow list the investment managers that have not met minimum expectations with regard to minority brokerage for the rolling four quarters ending December 31, 2015, and March 31, 2016, respectively. Minority Brokerage Non-Compliance Summary by Manager January 1, 2015 through December 31, 2015 Minimum Manager Name Expectation % Actual % T. Rowe Price Global Equity 20.00% 10.07% T. Rowe Price U.S. Equity 10.00% 7.29% Based on rolling four-quarter periods ending December Minority Brokerage Non-Compliance Summary by Manager April 1, 2015 through March 31, 2016 Weighted Minimum Manager Name Expectation % Actual % PIMCO * 13.44% 8.36% T. Rowe Price Global Equity 20.00% 6.90% T. Rowe Price U.S. Equity 10.00% 6.68% Based on rolling four-quarter periods ending March * Weighted minimum expection % and actual % based on Total Return, TIPS and StocksPLUS strategies combined. 10

220 Exhibit 10c It is important to note that SURS reviews MWBE broker utilization each quarter, examining trades over a rolling four-quarter basis. Even managers who routinely exceed the minimum expectations may have occasional periods where the utilization may fall short. For example, although PIMCO fell short of expectations for the period ending March 31, 2016, the manager previously met or exceeded the goal for each period during the last five years. SURS focuses the most attention on those managers who consistently miss expectations in this area. Please see Exhibits 8-19 for information on the commission dollar amounts paid to the brokers each manager utilized on the SURS account. 25. In 2015 and 2016 (through March 31), what is the total dollar amount of commissions paid and percentage of the total paid to Illinois-headquartered minority- and female-owned broker/dealers? Please separate commissions paid as follows: (a) total and (b) net of step outs, correspondence, and/or any other non-direct trading. Please see Exhibits 8-19 for a breakdown of Illinois-headquartered minority- and femaleowned broker/dealers and commissions paid to each broker/dealer utilized, in total and net of step outs, correspondence, commission recapture, and/or any other non-direct trading, by asset class and manager for 2015 and through March 31, Fixed income is reported by market value traded. 26. Do you require your fixed income managers to meet your goals by product or in aggregate? (e.g. do you have goals for corporate bonds traded, treasury bonds traded, mortgage securities traded, etc.) If not, why not? SURS expects its fixed income managers to achieve the aggregate goals set forth with an objective of best execution in the implementation of portfolio strategies. SURS does not have specific goals for the different sub-asset classes and believes that investment managers have the required expertise to determine which brokers are best suited to execute trades of various types most efficiently. 27. Has the Board of Trustees implemented a policy encouraging the hiring of minority or women money managers by the Fund across all asset classes? If so, when was the policy promulgated? How has this policy been implemented? Describe any changes made to the policy and its execution in the last year to improve minority and female-owned business enterprise participation. Are there any asset classes that do not have minority and women representation? Please provide a copy of the policy. SURS Board of Trustees adopted such a policy in 1992 and reaffirmed the policy in In December 2006, the Board formally incorporated this policy into Section XV of the SURS Investment Policy. Section XIV of the current investment policy is dedicated to usage of Emerging, Minority- and Female-Owned firms. The Board formally reviews and approves the Investment Policy annually. The most recent copy of Section XIV of the SURS Investment Policy has been attached to this letter as Exhibit 20. The policy has been revised over the past several years in an attempt to further improve participation by minority- and female-owned investment management firms. Some of the revisions to the Investment Policy were required by P.A In accordance with P.A , goals for the management of SURS assets by minorities, females and persons with a disability were added for each of the major asset classes. In 2012, the overall goal for MFDB 11

221 Exhibit 10c utilization across the SURS program also increased from 17% to 25% of actively managed assets. In September of 2014, the goal of 20% of total assets be managed by MFDB investment managers meeting the statutory definition of a minority-owned business was established. In September of 2015, the goal of new allocations to Alternative Investments was raised from 10% to 20%. The table that follows identifies utilization goals for actively managed assets in each of the major asset classes. These goals will be reviewed annually. Asset Class Goal for Minorities Goal for Females Goal for Persons with a Disability Overall Active Goal Equities 20% 10% 0-2% 30% Fixed Income (includes TIPS) 12% 8% 0-1% 20% Alternative Investments 0-20% of new allocations 0-20% of new allocations 0-20% of new allocations 20% of new allocations Total Fund 16% 8% 1% 25% All asset classes have minority and female representation. 28. Has the Board of Trustees implemented a policy encouraging the hiring of minority- and female-owned broker/dealers by the Fund s asset managers? If so, when was the policy promulgated? How has this policy been implemented? Does your policy include all asset managers who trade publicly traded assets (e.g. REITs, hedge funds, etc)? Does your policy preclude the utilization of non-direct trading methods toward meeting your goals? Describe any changes made to the policy and its execution in the last year to improve minority and female-owned business enterprise participation. Please provide a copy of the policy. During calendar year 2004, SURS Board of Trustees adopted minimum expectations for the use of minority- and female-owned broker dealers. These expectations were communicated to SURS investment managers in May 2004 and reiterated since then, and significant progress has been made in reaching these expectations. First effective January 1, 2006, the SURS Board of Trustees formally adopted the Minority-Owned Broker/Dealer Usage Policy, which establishes specific minimum expectation levels for trading with minority and female-owned firms. This policy applies to active managers of public markets separate account portfolios. SURS continuously monitors managers compliance with this revised policy and has established a series of consequences for those managers who continually fail to meet expectations. A copy of the Minority-Owned Broker/Dealer Usage Policy is attached to this letter as Section XIV (B) of Exhibit 20. In December 2009, language was added to the Minority-Owned Broker/Dealer Usage Policy to strongly encourage the use of direct, trade execution with minority- and female-owned broker/dealers. In September 2010, the policy was further strengthened to allow credit only for direct, rather than indirect, trading with MFDB firms. In 2011, the policy was expanded to include dedicated brokerage targets for managers of Treasury Inflation Protected Securities (TIPS) and Real Estate Investment Trust Securities (REITS). In addition, the domestic equity 12

222 Exhibit 10c expectation was increased from 25% to 30%, while the non-u.s. equity expectation was increased from 10% to 12.5%. In October 2012, summary goals for the utilization of minority-owned broker/dealer have been established for the aggregate U.S. equity, non-u.s. equity and fixed income asset classes. In addition, the non-u.s. equity expectation was increased from 12.5% to 15.0%, and the goal for passive U.S. equity was increased to 35%. In September 2014, the MFDB brokerage goal for global equity separate accounts was increased from 17.5% to 20.0%. 29. What steps is the Fund taking to encourage direct trading with minority- and female-owned broker/dealers across all relevant asset classes instead of step-outs and correspondent relationships? As discussed in the response to the previous question, SURS has added language to its Investment Policy that allows credit only for direct, rather than indirect, trading with minority-, and female-owned broker dealers across all asset classes in which goals for utilization have been outlined. 30. Please list transition managers utilized in 2015 and 2016 (through March 31) and commissions paid to each. Have you utilized any MWBE managers? If so who and if not why not? SURS completed one transition during calendar year SURS utilized the transition services of Northern Trust for the transition. Total equity commissions paid (including MFD owned firms) for the transition was $162,147. During calendar year 2016 (through March 31), SURS completed one transition. SURS utilized the transition services of BlackRock for the transition. Total equity commissions paid (including MFD firms) for the transition was $71,180. Both Northern Trust and BlackRock utilized MWBE firms to execute a portion of the trades for the transitions, illustrated in the responses to questions 32 and If you don t use a pool of transition managers, how do you determine which transition managers to utilize? SURS has historically utilized its index fund providers and custodian as transition managers. Transitions very often involve index accounts, either as source of funds or final destination of funds. Thus, using the index providers, who are experienced in portfolio restructuring, seemed a reasonable and practical solution. Transitions also involve the full or partial liquidation of a single manager account where cash is then used for benefit payments and/or the funding of other managers. Transitions such as these are efficiently conducted through the custodian. 32. Of the transitions that are conducted, what were the total fees and commissions paid to transition managers? Please list and denote fees and commissions paid to all transition managers individually and denote MWBE firms. 13

223 Exhibit 10c The only fees paid to transition managers are the commissions earned from trading. Please see the response to question 33 for a list of equity commissions paid to brokers during the transitions. For the transitions conducted in 2015 and 2016 (through March 31), minority, female, and persons of disability-owned brokerage firms were utilized and accounted for $59,535 in commissions, approximately 26% of total equity transition commissions generated. Fixed income securities are not traded through exchanges like equity securities. Prices are determined by the bid/ask spread obtained through broker dealers. Minority, female, and persons of disability-owned brokerage firms were utilized (Loop & Cabrera) for trading of the fixed income securities, and accounted for approximately 24% of total fixed income securities traded. 33. Please list gross commissions paid in 2015 and 2016 (through March 31) to brokers used during transitions. In addition, please list the names and commissions paid to each broker. Gross Equity Commissions Paid Brokers Used During Transitions Calendar Years 2015 & 2016 (Through March 31) Broker Gross Commissions Paid NTSI (Northern Trust) 124,221 Penserra Securities (1) 17,356 Guzman Securities (1) 20,570 Citigroup 49,449 UBS 123 Great Pacific (1) 10,565 Loop (1) 11,044 Total Gross Commissions Paid* $ 233,328 *Totals may not add due to rounding (1) MFD Owned Brokerage Firm. 34. Are the Fund s transitions managers required to meet or exceed the Fund s minority/women owned brokerage firm utilization goals, if the Fund has goals, when conducting open market trades during transitions? Please explain. SURS Minority and Women-Owned Brokerage Usage Policy formally applies only to public markets investment managers. However, SURS makes the importance of this issue clear to the transition manager in advance of the transition. Transition managers are expected to meet or exceed the brokerage goal of the asset class being transitioned. As previously mentioned, minority and women-owned brokerage firms were utilized to a significant extent in the recent transitions, accounting for approximately 26% of the equity commissions generated in 2015 and 2016 (through March 31). 35. Public Act 96-6 required funds to adopt goals across all asset classes. How has the Fund s goals changed since passage of the new law? How else has PA 96-6 impacted the Fund s use of emerging investment managers? How do you promote transparency within the Board? Are your full Board meetings and Investment Committee meetings entirely open to the public? Has the Board gone into Executive Session regarding non-legal matters in the 14

224 Exhibit 10c past? If so, for what general reasons did the Board decide to hold an Executive Session instead of a public hearing? Do you (or have you) given consideration to providing the same written materials to the public so they can follow and understand the proceedings better? (as general referencing discloses little in the greater interest of transparency) Public Act SURS has a longstanding commitment to providing opportunities to emerging, minorityand female-owned firms. In 1992, the SURS Board of Trustees passed a resolution declaring a goal of increased participation by minority- and female-owned investment management and brokerage firms. In the years that followed, SURS has continued to build on that commitment. On April 3, 2009, Public Act (PA 96-6) was enacted into law by the Illinois State Legislature. SURS already had a policy in place for many years addressing the importance of utilizing minority- and female-owned firms. However, the passage of P.A provided SURS an opportunity to expand its Emerging Investment Managers and Broker/Dealers Policy. Some modifications to the investment policies that were implemented to comply with PA 96-6 include: (1) Redefined categorization of emerging managers as those managers that manage between $10 million and $10 billion in assets and are owned by minorities, females, or persons with a disability. Prior to the passage of PA 96-6, the asset categorization for qualification as an emerging manager was $10 million to $2 billion. (2) Separate goals for utilization of emerging investment managers owned by minorities, females, and persons with a disability. Previously, the system reported figures and goals based on the aggregate usage of minority- and female-owned managers. (3) Expansion of existing brokerage policy to encourage its investment managers to increase even further their use of minority and female-owned brokerage firms, subject to best execution requirements. Additionally, a comparison of the fund s targeted levels for emerging investment manager utilization prior and post passage of PA 96-6 are provided below Pre - PA 96-6: Even before the passage of Public Act 96-6, SURS had adopted goals for the utilization of minority- and female-owned firms. The goals were based on percentages of total assets. The Investment Policy adopted on September 12, 2008, stated, It is the goal of the Board that, subject to its fiduciary responsibility, 15% of total investment assets be managed by emerging investment managers and minority-owned and women-owned investment managers. 15

225 Exhibit 10c Post - PA 96-6: In accordance with Public Act 96-6, the SURS Board adopted separate goals for utilization of emerging investment managers owned by minorities, females, and persons with a disability. The following goals were adopted on September 11, Goals for Utilization of Minority- and Female-Owned Investment Management Firms As of September 11, 2009 Asset Class Goal for Minorities Goal for Women Goal for Persons with a Disability Overall Active Goal Equities 10% 5% 0-2% 17% Fixed Income 6% 3% 0-1% 10% Alternative Investments 0-10% of new allocations 0-10% of new allocations 0-10% of new allocations 10% of new allocations Total Fund 8% 5% 0-2% 15% On September 16, 2011, the Board of Trustees increased the overall goal for utilization of minority- and female-owned investment managers from 15% of actively managed assets to 17% of actively managed assets. The fixed income goals for minorities and females increased by one percentage point each to 7% and 4%, respectively, as shown in the table that follows. Goals for Utilization of Minority- and Female-Owned Investment Management Firms As of September 16, 2011 Goal for Goal for Goal for Persons Overall Active Asset Class Minorities Females with a Disability Goal Equities 10% 5% 0-2% 17% Fixed Income 7% 4% 0-1% 12% (includes TIPS) Alternative Investments 0-10% of new allocations 0-10% of new allocations 0-10% of new allocations 10% of new allocations Total Fund 9% 6% 0-2% 17% On October 25, 2012, the Board of Trustees again increased the overall goal for utilization of minority- and female-owned investment managers from 17% of actively managed assets to 25% of actively managed assets. The goal for utilization of minorities and females in the equity asset class increased by ten and five percentage points respectively, to 20% and 10%. The fixed income goals for minorities and females increased by five and four percentage points each to 12% and 8%, respectively, as shown in the table that follows. * The goals are based on the percentage of actively managed assets. 16

226 Exhibit 10c Asset Class Goals for Utilization of Minority- and Female-Owned Investment Management Firms As of October 25, 2012 Goal for Minorities Goal for Females Goal for Persons with a Disability Overall Active Goal Equities 20% 10% 0-2% 30% Fixed Income (includes TIPS) 12% 8% 0-1% 20% Alternative Investments 0-10% of new allocations 0-10% of new allocations 0-10% of new allocations 10% of new allocations Total Fund 16% 8% 1% 25% * The goals are based on the percentage of actively managed assets. On September 10, 2015, the Board of Trustees increased the goal of new allocations to Alternative Investments form 10% to 20%. Asset Class Goals for Utilization of Minority- and Female-Owned Investment Management Firms As of September 10, 2015 Goal for Minorities Goal for Females Goal for Persons with a Disability Overall Active Goal Equities 20% 10% 0-2% 30% Fixed Income (includes TIPS) 12% 8% 0-1% 20% Alternative Investments 0-20% of new allocations 0-20% of new allocations 0-20% of new allocations 20% of new allocations Total Fund 16% 8% 1% 25% * The goals are based on the percentage of actively managed assets. SURS remains steadfast in its commitment to the utilization of qualified minority- and female-owned firms. 17

227 Exhibit 10c Transparency All SURS Board of Trustees and Investment Committee meetings are open to public attendance and the calendar of meeting dates can be found on the SURS website ( Meeting agendas and logistical details are announced in a press release that is issued at least 48 hours in advance and posted on the home page of the website. The meeting minutes are posted on the website within 14 days after they are approved by the Board or the Committees of the Board. The Board has occasionally gone into Executive Session regarding non-legal matters as allowed by the Open Meetings Act, such as to consider a personnel matter, discuss an investment contract or review Executive Session minutes to decide whether they may be opened. The minutes of the Executive Sessions are posted on the website after they have been approved and opened. Information regarding the individual members and the policies of the Board of Trustees is also available to view on the website. Members of the public can request any written materials discussed at an open meeting, and such materials will be provided following the meeting, if the materials are readily available. However, relying on advice from the Attorney General, the written meeting materials provided to the trustees are not distributed to other attendees, either before or during Board meetings. Additionally, because the written meeting materials can easily run up to 400 pages or more per Board meeting, the resources required to print an unknown quantity of additional Board packets so as to have the materials available for all attending members of the public could be significant. In any event, written meeting materials, discussed at an open meeting, are always made part of the meeting minutes. Once the minutes are posted to the SURS website, all interested parties have equal access to view the information in the documents. 36. Is there a maximum allocation your plan is allowed to allocate to a MWBE firm? If so, what is the maximum? Is there a maximum allocation your plan is allowed to allocate to a MWBE firm for each asset class? If so, what is the maximum by asset class? There are no maximum allocation limits for MWBE firms. There is no maximum allocation that SURS is allowed to allocate to MWBE in any given asset class. 37. Is there a maximum allocation your plan is allowed to allocate to trade with an MWBE firm? IF so, what is the maximum? IS there a maximum volume or percent your plan is allowed to trade with a MWBE firm for each asset class? IF so, what is the maximum? IS your policy a ceiling or floor? Why? There are no maximum trade allocations or volume limits for trading with MWBE firms. 38. What standards do you and your consultants use to confirm and certify that an investment manager or broker is MWBE? NEPC uses evestment to certify a manager s MWDBE status. Additionally, if the firm is selected for further due diligence, a copy of their MWDBE certification is requested. 18

228 Exhibit 10c 39. How many MWBE firms did your consultant recommend in searches which occurred in 2015 and 2016 (through March 31)? How many MWBE firms did your consultant recommend in searches without a specific MWBE participation mandate? How many MWBE firms are currently on your consultant s recommended or select lists? In 2015, NEPC recommended 62 MWBE firms in 45 different searches. In 2016, through June 30, 2016, 45 MWBE firms have been recommended in 39 different searches. Of the 62 searches conducted in 2015, 4 of these searches were for MWBE firms. For 2016, to date none of the 45 searches conducted were for MWBE firms. Currently, NEPC has 18 strategies on our FPLs from 11 different MWBE Investment Firms. 40. Have you issued any RFPs which preclude MWBE firms, as a whole, from responding due to minimum requirements of the RFP? Please include all RFPs issued across all asset classes from June 30, 2015 to March 31, No, SURS did not issue any RFPs which precluded MWBE firms from responding. Two RFPs for investment management services were issued by SURS during the above mentioned time period, as shown in the table below. Date November 2015 November 2015 Request for Proposal Type Equity Index Option Overlay Private Equity Emerging Manager Fund-of-Funds 41. What, if any, precautions do you take so there is no discrimination in hiring or firing a firm based on the political affiliation of a firm s partners or employees? The process to be used in the selection, retention and termination of investment managers is in accordance with the SURS Investment Policy. The use of a well-defined process serves to protect against inappropriate influences in such decisions. Retention The criteria used to determine the minimum qualifications of firms to be selected for an assignment are shown in the table that follows: 19

229 Exhibit 10c Selection Criteria 1. Registration with the Securities and Exchange Commission (SEC) under the Investment Advisers Act of 1940, or otherwise qualified under the Illinois Pension Code. 2. Experience of the firm in the management of institutional portfolios operated under prudent person standards, as well as related investment management experience. 3. Qualifications and/or depth of the professional Staff. 4. Soundness of the firm s investment philosophy and process. 5. The investment record of the firm and/or the firm s principals in former associations where that record is verifiable. 6. The adequacy of the firm s trading, back office, accounting and reporting, and client servicing capabilities. 7. Fees. Using the above criteria established by the Board of Trustees, the top firms are selected using a competitive proposal process based upon the experience and qualifications of the firm s principals, the soundness of the firm s investment philosophy and process, as well as the strength of the investment record and organization. Termination From time to time it will be necessary for the System to terminate a contractual relationship with an investment manager and these actions must be viewed in the context of a fiduciary decision. Due to the sensitivity of this issue, the Board has established the following guidelines to assist in making these termination decisions. In establishing these guidelines, it is the Board s intention to assure all interested parties that decisions made in carrying out these actions occur in a full disclosure environment characterized by objective evaluation and proper documentation. The overriding consideration with respect to all decisions is that they shall be made solely in the best interest of plan participants and beneficiaries and consistent with other legal requirements. Any action to terminate an investment manager should be based on one or more of the following primary criteria: significant changes in firm ownership and/or structure, loss of one or more key personnel and/or insufficient staffing, significant loss of clients and/or assets under management for the firm or specific strategy in which SURS is invested, failure to grow assets in the strategy, shifts in the firm s philosophy or process, significant and persistent lack of responsiveness to client requests, changes in SURS investment strategy eliminating the need for a particular style or strategy, chronic violations of SURS Investment Policy or Parameters, unsatisfactory investment performance, 20

230 Exhibit 10c identification of a new asset class or approach which has been approved in advance by the Board, a need for diversification of styles within an existing asset class, or failure to satisfy legal requirements. 42. Chart: Please complete the charts below to the best of your ability. If a chart does not apply to your Fund please leave it blank. 21

231 Exhibit 10c Please complete and edit based on your asset allocation and fund. The categories are for guidance but should include strategies within each asset class in which your fund is invested for both the asset management and brokerage goals and actual utilization information. STATE UNIVERSITIES RETIREMENT SYSTEM MWD Manager Utilization Goal Total % Large Cap Equity 30.0% Mid Cap Equity 30.0% Small Cap Equity 30.0% Global Equity 30.0% International Equity 30.0% International Small Cap Equity N/A Emerging Markets Equity 20.0% Fixed Income 20.0% Real Estate (Public and Private) 20.0% Private Equity 20.0% Hedge Funds 20.0% Infrastructure 20.0% MWD Brokerage Goal Large Cap 30.0% Mid Cap 30.0% Small Cap 30.0% Global Equity 20.0% International Equity 15.0% International Small Cap N/A Emerging Markets Equity N/A Emerging Markets Debt N/A REITS/Real Estate(public) 10.0% Fixed Income 20.0% Hedge Funds N/A Total Fund Assets as of December 31, 2015 $16, Million Total Fund Assets as of March 31, 2016 $16, Million Total Minority/Female Trustees 4 of 11 African-American 2 of 11 Latino 1 of 11 Non-Minority Female 1 of 11 Total Investment Staff 4 of 8 African-American 0 of 8 Latino 2 of 8 Non-Minority Female 2 of 8 Asian-American 0 of 8 Total Consultant Staff 33.00% African-American 33.00% Asian-American 0.00% Non-Minority Female 0.00% Latino 0.00% Staff of Majority Owned Firms 46% African-American 3% Asian-American 15% Latino 4% Non-Minority Female 24% 22

232 Exhibit 10c ASSET MANAGEMENT For Calendar Year 2015 As of March 31, 2016 % of Assets Managed by Assets Managed by MWBE MWBE % Assets Managed by MWBE % of Assets Managed by MWBE % African-American 7.4% Large Cap Equity 42.1% African-American 7.6% Large Cap Equity 44.8% Latino(a) 4.5% Mid Cap Equity 100.0% Latino(a) 4.9% Mid Cap Equity 100.0% Asian-American 1.0% Small Cap Equity 64.9% Asian-American 0.8% Small Cap Equity 32.2% Female 13.1% Global Equity 0.0% Female 13.2% Global Equity 0.0% Other 0.0% International Equity 26.9% Other 0.1% International Equity 26.9% International Small Cap Equ na International Small Cap Equi na % of fees paid to % of fees paid to MWBE % Emerging Markets Equity 0.0% MWBE % Emerging Markets Equity 0.0% African-American 12.6% Fixed Income 23.5% African-American 12.9% Fixed Income 25.5% Latino(a) 2.1% Real Estate (Public and Priv 5.8% Latino(a) 2.6% Real Estate (Public and Priva 5.5% Asian-American 0.0% Private Equity 3.8% Asian-American 0.0% Private Equity 3.8% Other 0.0% Hedge Funds na Other 0.0% Hedge Funds 25.5% Female 6.3% Infrastructure 0.0% Female 8.5% Infrastructure 0.0% % of assets managed by IL MWBE firms 4.7% % of assets managed by IL MWBE firms 4.0% % of fees paid to IL MWBE firms 5.2% % of fees paid to IL MWBE firms 4.7% BROKERAGE DOMESTIC EQUITY (EXCLUDING REITS AND HEDGE FUNDS) Total commissions paid to MWBE firms in 2015 Total commissions paid to MWBE firms in as (in thousands) of March 31, 2016 (in thousands) $ % $ % African-American $350, % African-American $85, % Asian $32, % Asian $10, % Disabled $17, % Disabled $6, % Latino $93, % Latino $18, % Female $187, % Female $81, % Total $682, % Total $202, % Total commissions paid to IL MWBE firms in Total commissions paid to IL MWBE firms in 2015 (in thousands) as of March 31, 2016 (in thousands) $ % $ % IL Based $380, % IL Based $123, % 23

233 Exhibit 10c INTERNATIONAL EQUITY (EXCLUDING REITS AND HEDGE FUNDS) Total commissions paid to MWBE firms in 2015 (in Total commissions paid to MWBE firms in as of thousands) March 31, 2016 (in thousands) $ % $ % African-American $175, % African-American $37, % Asian $ % Asian $ % Disabled $1, % Disabled $ % Latino $76, % Latino $19, % Female $265, % Female $62, % Total $520, % Total $120, % Total commissions paid to IL MWBE firms in 2015 Total commissions paid to IL MWBE firms in as of (in thousands) March 31, 2016 (in thousands) $ % $ % IL Based $464, % IL Based $99, % GLOBAL EQUITY (EXCLUDING REITS AND HEDGE FUNDS) Total commissions paid to MWBE firms in 2015 (in thousands) Total commissions paid to MWBE firms in as of March 31, 2016 (in thousands) $ % $ % African-American $59, % African-American $11, % Asian $ % Asian $ % Disabled $46, % Disabled $20, % Latino $52, % Latino $6, % Female $49, % Female $8, % Total $208, % Total $47, % Total commissions paid to IL MWBE firms in 2015 (in thousands) Total commissions paid to IL MWBE firms in as of March 31, 2016 (in thousands) $ % $ % IL Based $97, % IL Based $16, % FIXED INCOME (EXCLUDING REITS AND HEDGE FUNDS) Total market value traded with MWBE firms in Total market value traded with MWBE firms in 2015 (in thousands) as of March 31, 2016 (in thousands) $ % $ % African-American $3,413,339, % African-American $797,550, % Asian $ % Asian $ % Disabled $36,977, % Disabled $20,968, % Latino $208,271, % Latino $112,334, % Female $157,219, % Female $16,756, % Total $3,815,807, % Total $947,609, % Total market value traded with IL MWBE firms Total market value traded with IL MWBE firms in 2015 (in thousands) in as of March 31, 2016 (in thousands) $ % $ % IL Based $759,053, % IL Based $215,961, % 24

234 Exhibit 10c HEDGE FUNDS (ACROSS ALL PUBLICLY TRADED SECURITIES) Total commissions paid to MWBE firms in 2015 Total commissions paid to MWBE firms in as of (in thousands) March 31, 2016 (in thousands) $ % $ % African-American $ % African-American $ % Asian $ % Asian $ % Disabled $ % Disabled $ % Latino $ % Latino $ % Female $ % Female $ % Total $ % Total $ % Total commissions paid to IL MWBE firms in Total commissions paid to IL MWBE firms in as 2015 (in thousands) of March 31, 2016 (in thousands) $ % $ % IL Based $ % IL Based $ % REITS Total commissions paid to MWBE firms in 2015 Total commissions paid to MWBE firms in as of (in thousands) March 31, 2016 (in thousands) $ % $ % African-American $ % African-American $ % Asian $ % Asian $ % Disabled $ % Disabled $ % Latino $ % Latino $ % Female $139, % Female $4, % Total $139, % Total $4, % Total commissions paid to IL MWBE firms in Total commissions paid to IL MWBE firms in as 2016 (in thousands) of March 31, 2016 (in thousands) $ % $ % IL Based $139, % IL Based $4, % OTHER (IDENTIFY ASSET CLASS) TIPS Total market value traded with MWBE firms in Total market value traded with MWBE firms in 2015 (in thousands) as of March 31, 2016 (in thousands) $ % $ % African-American $48,703, % African-American $10,606, % Asian $ % Asian $ % Disabled $ % Disabled $ % Latino $31,374, % Latino $12,438, % Female $ % Female $ % Total $80,077, % Total $23,044, % Total commissions paid to IL MWBE firms in Total commissions paid to IL MWBE firms in as 2015 (in thousands) of March 31, 2016 (in thousands) $ % $ % IL Based $29,325, % IL Based $14,337, % 25

235 This page intentionally left blank. Exhibit 10c

236 Exhibit 10c EXHIBITS TABLE OF CONTENTS Exhibit Description Page Number Exhibit 1 Assets Under Management and Fees Paid by Asset Class and Money Manager Calendar Year Exhibit 2 Assets Under Management and Fees Paid by Asset Class and Money Manager January 2016 through March Exhibit 3 Assets Under Management and Fees Paid by Asset Class and Money Manager (Exclusive of a Manager of Managers Program) Calendar Year Exhibit 4 Assets Under Management and Fees Paid by Asset Class and Money Manager (Exclusive of a Manager of Managers Program) January through March 2016 Exhibit 5 SURS Investment Managers Owned by Minorities, Females or Persons with a Disability December Exhibit 6 SURS Investment Managers Owned by Minorities, Females or Persons with a Disability March Exhibit 7 Investment Management Fees Paid to Illinois-Headquartered Minority- and Female-Owned Investment Managers 11 Exhibit 8 Brokerage Cost Review Domestic Equities Calendar Year Exhibit 9 Brokerage Cost Review Domestic Equities January March Exhibit 10 Brokerage Cost Review International Equities Calendar Year Exhibit 11 Brokerage Cost Review International Equities January March Exhibit 12 Brokerage Cost Review Global Equities Calendar Year Exhibit 13 Brokerage Cost Review Global Equities January March Exhibit 14 Brokerage Cost Review REITs Calendar Year Exhibit 15 Brokerage Cost Review REITs January March Exhibit 16 Brokerage Cost Review Fixed Income Calendar Year Exhibit 17 Brokerage Cost Review Fixed Income January March Exhibit 18 Brokerage Cost Review TIPS Calendar Year Exhibit 19 Brokerage Cost Review TIPS January March Exhibit 20 SURS Investment Policy Section XIV Emerging Investment Managers and Broker/Dealers 66

237 Private Equities Fairview ** 15,813, % 0.1% 81, % 0.1% African American Muller and Monroe 19,946, % 0.1% 232, % 0.4% African American Progress Investment 356, % 0.0% % 0.0% African American Adams Street Partners 478,897, % 2.9% 5,487, % 9.8% Pantheon Ventures, Inc. 423,912, % 2.6% 4,543, % 8.1% Private Equities, Total 938,926, % 5.7% 10,345, % 18.5% Exhibit 10c Exhibit 1 State Universities Retirement System of Illinois Assets Under Management and Fees Paid by Asset Class and Money Manager Calendar Year 2015 Asset Class Manager Assets Under Management Total Fees Paid Classification $ in Asset Class % of Asset Class % of Total $ in Asset Class % of Asset Class % of Total U.S. Equities Channing Capital Management 122,688, % 0.8% 1,030, % 1.8% African American EARNEST Partners 105,738, % 0.6% 486, % 0.9% African American Holland Capital Management 103,121, % 0.6% 289, % 0.5% African American Piedmont Investment Advisors 411,969, % 2.5% 657, % 1.2% African American Progress Investment 348,546, % 2.1% 1,728, % 3.1% African American RhumbLine Advisers 1,059,323, % 6.5% 138, % 0.2% Female Fiduciary Management Associates 103,981, % 0.6% 639, % 1.1% Female Lombardia Capital Partners 94,378, % 0.6% 229, % 0.4% Latino CastleArk Management 107,239, % 0.7% 750, % 1.3% Jacobs Levy Equity Management 321,695, % 2.0% 1,360, % 2.4% Northern Trust Asset Management 1,601,771, % 9.8% 179, % 0.3% PIMCO 253,742, % 1.6% 739, % 1.3% T. Rowe Price 326,113, % 2.0% 931, % 1.7% U.S. Equities, Total 4,960,310, % 30.3% 9,162, % 16.4% Page 1 of 72 Non-U.S. Equities Herndon Capital Management *** - 0.0% 0.0% 466, % 0.8% African American Progress Investment 174,576, % 1.1% 829, % 1.5% African American GlobeFlex Capital 207,367, % 1.3% 1,742, % 3.1% Female Strategic Global Advisors 237,038, % 1.4% 694, % 1.2% Female Ativo Capital Management 205,515, % 1.3% 499, % 0.9% Latino BlackRock Institutional Trust Company 1,773,468, % 10.8% 4,847, % 8.7% Pyramis Global Advisors 467,500, % 2.9% 2,137, % 3.8% Non-U.S. Equities, Total 3,065,468, % 18.7% 11,218, % 20.1% Global Equities Calamos Investments *** - 0.0% 0.0% 1,230, % 2.2% Mondrian Investment Partners 353,436, % 2.2% 819, % 1.5% Parametric Clifton Transition ******* 259,253, % 1.6% 26, % 0.0% T. Rowe Price Global 386,220, % 2.4% 1,680, % 3.0% Wellington Management 364,446, % 2.2% 2,932, % 5.2% Global Equities, Total 1,363,356, % 8.3% 6,689, % 12.0%

238 TIPS Longfellow Investment Management 161,978, % 1.0% 80, % 0.1% Female New Century Advisors 159,946, % 1.0% 219, % 0.4% Female PIMCO 320,868, % 2.0% 696, % 1.2% TIPS, Total 642,792, % 3.9% 996, % 1.8% Direct Real Estate Dune 89,822, % 0.5% 1,000, % 1.8% Franklin Templeton 81,130, % 0.5% 503, % 0.9% Minority * Heitman ** 177,512, % 1.1% 1,169, % 2.1% JP Morgan Chase Bank ** 182,188, % 1.1% 1,108, % 2.0% Mesirow 45,520, % 0.3% 319, % 0.6% RREEF 3,608, % 0.0% 131, % 0.2% UBS 346,219, % 2.1% 3,033, % 5.4% Direct Real Estate, Total 926,002, % 5.7% 7,267, % 13.0% Exhibit 10c Exhibit 1 State Universities Retirement System of Illinois Assets Under Management and Fees Paid by Asset Class and Money Manager Calendar Year 2015 Asset Class Manager Assets Under Management Total Fees Paid Classification $ in Asset Class % of Asset Class % of Total $ in Asset Class % of Asset Class % of Total Fixed Income Progress Investment 136,297, % 0.8% 689, % 1.2% African American Pugh Capital Management 154,130, % 0.9% 239, % 0.4% African American Smith Graham & Company 99,310, % 0.6% 166, % 0.3% African American Garcia Hamilton & Associates 101,235, % 0.6% 169, % 0.3% Latino LM Capital Group 153,300, % 0.9% 267, % 0.5% Latino Chicago Equity Partners 323,541, % 2.0% 548, % 1.0% Taplin, Canida & Habacht 126,901, % 0.8% 206, % 0.4% TCW Metropolitan West Asset Mgmt. 483,596, % 3.0% 818, % 1.5% Neuberger Berman 319,526, % 2.0% 462, % 0.8% PIMCO 876,046, % 5.4% 1,704, % 3.0% Parametric Clifton 103,684, % 0.6% 418, % 0.7% State Street Global Advisors 408,525, % 2.5% 61, % 0.1% Fixed Income, Total 3,286,096, % 20.1% 5,754, % 10.3% Page 2 of 72 Emerging Market Progress Investment ***** 64,762, % 0.4% 155, % 0.3% African American Debt Bluebay Asset Management ** / **** 159,324, % 1.0% 531, % 1.0% Colchester Global Investors ***** 85,612, % 0.5% 301, % 0.5% Prudential Fixed Income ****** 163,883, % 1.0% 20, % 0.0% Emerging Market Debt, Total 408,821, % 2.5% 853, % 1.5% REITs BlackRock Institutional Trust Company 410,250, % 2.5% 480, % 0.9% CBRE Clarion 268,003, % 1.6% 1,311, % 2.3% REITs, Total 678,254, % 4.1% 1,792, % 3.2% Opportunity Fund Alinda Capital Partners (Infrastructure) 44,660, % 0.3% 496, % 0.9% Macquarie Capital (Infrastructure) 35,919, % 0.2% 1,344, % 2.4% Opportunity Fund, Total 80,579, % 0.5% 1,841, % 3.3% Total Fund $ 16,350,608, % $ 55,921, % * The mandate is invested in minority- and female-owned real estate funds. ** Fees posted in arrears. *** October 2015 termination. **** March 2015 inception. ***** April 2015 inception. ****** June 2015 inception. ******* November 2015 inception.

239 Private Equities Fairview ** 15,634, % 0.1% 31, % 0.3% African American Muller and Monroe 19,751, % 0.1% 80, % 0.7% African American Progress Investment 356, % 0.0% - 0.0% 0.0% African American Adams Street Partners 487,597, % 2.9% 1,386, % 11.4% Pantheon Ventures, Inc. 415,594, % 2.5% 908, % 7.5% Private Equities, Total 938,934, % 5.7% 2,407, % 19.8% Exhibit 10c Exhibit 2 State Universities Retirement System of Illinois Assets Under Management and Fees Paid by Asset Class and Money Manager January 2016 through March 2016 Asset Class Manager Assets Under Management Total Fees Paid Classification $ in Asset Class % of Asset Class % of Total $ in Asset Class % of Asset Class % of Total U.S. Equities Channing Capital Management 121,386, % 0.7% 64, % 0.5% African American EARNEST Partners 106,771, % 0.6% 162, % 1.3% African American Holland Capital Management 103,091, % 0.6% 67, % 0.6% African American Piedmont Investment Advisors 415,160, % 2.5% 168, % 1.4% African American Progress Investment 345,072, % 2.1% 456, % 3.8% African American RhumbLine Advisers 971,339, % 5.9% 33, % 0.3% Female Fiduciary Management Associates 102,820, % 0.6% 149, % 1.2% Female Lombardia Capital Partners 96,996, % 0.6% 51, % 0.4% Latino CastleArk Management 101,366, % 0.6% 162, % 1.3% Jacobs Levy Equity Management *** - 0.0% 0.0% 123, % 1.0% Northern Trust Asset Management 1,616,535, % 9.8% 38, % 0.3% PIMCO 188,716, % 1.1% 163, % 1.3% T. Rowe Price 327,332, % 2.0% 243, % 2.0% U.S. Equities, Total 4,496,592, % 27.2% 1,886, % 15.5% Page 3 of 72 Non-U.S. Equities Progress Investment 170,696, % 1.0% 192, % 1.6% African American GlobeFlex Capital 209,485, % 1.3% 568, % 4.7% Female Strategic Global Advisors 231,669, % 1.4% 205, % 1.7% Female Ativo Capital Management 204,821, % 1.2% 152, % 1.3% Latino BlackRock Institutional Trust Company 1,763,558, % 10.7% 391, % 3.2% Fidelity Instit Asset Mgmt (fka Pyramis) 457,098, % 2.8% 445, % 3.7% Non-U.S. Equities, Total 3,037,330, % 18.4% 1,955, % 16.1% Global Equities Mondrian Investment Partners 364,834, % 2.2% 219, % 1.8% Parametric Clifton Transition 261,528, % 1.6% 61, % 0.5% T. Rowe Price Global 373,964, % 2.3% 417, % 3.4% Wellington Management 355,203, % 2.1% 620, % 5.1% Global Equities, Total 1,355,530, % 8.2% 1,319, % 10.9%

240 Exhibit 10c Exhibit 2 State Universities Retirement System of Illinois Assets Under Management and Fees Paid by Asset Class and Money Manager January 2016 through March 2016 Asset Class Manager Assets Under Management Total Fees Paid Classification $ in Asset Class % of Asset Class % of Total $ in Asset Class % of Asset Class % of Total Fixed Income Progress Investment 140,597, % 0.9% 163, % 1.3% African American Pugh Capital Management 158,825, % 1.0% 60, % 0.5% African American Smith Graham & Company 102,569, % 0.6% 42, % 0.3% African American Garcia Hamilton & Associates 154,915, % 0.9% 48, % 0.4% Latino LM Capital Group 158,648, % 1.0% 68, % 0.6% Latino Chicago Equity Partners 333,231, % 2.0% 140, % 1.2% Taplin, Canida & Habacht *** - 0.0% 0.0% 16, % 0.1% TCW Metropolitan West Asset Mgmt. 575,474, % 3.5% 216, % 1.8% Neuberger Berman 328,766, % 2.0% 117, % 1.0% PIMCO 808,477, % 4.9% 656, % 5.4% Parametric Clifton 130,975, % 0.8% 67, % 0.6% State Street Global Advisors 420,910, % 2.5% 15, % 0.1% Fixed Income, Total 3,313,391, % 20.0% 1,612, % 13.3% TIPS Longfellow Investment Management 168,492, % 1.0% 20, % 0.2% Female New Century Advisors 167,312, % 1.0% 55, % 0.5% Female PIMCO 334,248, % 2.0% 182, % 1.5% TIPS, Total 670,053, % 4.1% 257, % 2.1% Page 4 of 72 Emerging Market Progress Investment 67,813, % 0.4% 77, % 0.6% African American Debt Bluebay Asset Management ** 168,509, % 1.0% 287, % 2.4% Colchester Global Investors 97,133, % 0.6% 127, % 1.0% Prudential Fixed Income 176,488, % 1.1% 400, % 3.3% Emerging Market Debt, Total 509,945, % 3.1% 892, % 7.3% Direct Real Estate Brookfield **** 2,056, % 0.0% - 0.0% 0.0% Crow Holdings ***** 11,253, % 0.1% - 0.0% 0.0% Dune 94,188, % 0.6% 348, % 2.9% Franklin Templeton 75,398, % 0.5% 148, % 1.2% Minority * Heitman ** 177,512, % 1.1% - 0.0% 0.0% JP Morgan Chase Bank ** 185,215, % 1.1% 393, % 3.2% Mesirow 43,716, % 0.3% 72, % 0.6% RREEF 2,574, % 0.0% 8, % 0.1% UBS 346,219, % 2.1% - 0.0% 0.0% Direct Real Estate, Total 938,135, % 5.7% 970, % 8.0% REITs BlackRock Institutional Trust Company 434,538, % 2.6% 103, % 0.8% CBRE Clarion 281,794, % 1.7% 394, % 3.2% REITs, Total 716,332, % 4.3% 497, % 4.1% Hedged Strategies KKR Prisma ****** 273,383, % 1.7% - 0.0% 0.0% PAAMCO Newport ****** 195,000, % 1.2% - 0.0% 0.0% Hedged Strategies, Total 468,383, % 2.8% - 0.0% 0.0% Opportunity Fund Alinda Capital Partners (Infrastructure) 45,441, % 0.3% 118, % 1.0% Macquarie Capital (Infrastructure) 40,356, % 0.2% 233, % 1.9% Opportunity Fund, Total 85,798, % 0.5% 352, % 2.9% Total Fund $ 16,530,428, % $ 12,152, % * The mandate is invested in minority- and female-owned funds. ** Fees posted in arrears. *** February 2016 termination. **** February 2016 inception. ***** January 2016 inception. ****** March 2016 inception.

241 Private Equities Fairview ** 15,813, % 0.1% 81, % 0.2% African American Muller and Monroe 19,946, % 0.1% 232, % 0.4% African American Progress Investment 356, % 0.0% % 0.0% African American Adams Street Partners 478,897, % 3.1% 5,487, % 10.4% Pantheon Ventures, Inc. 423,912, % 2.7% 4,543, % 8.6% Private Equities, Total 938,926, % 6.0% 10,345, % 19.6% Exhibit 10c Exhibit 3 State Universities Retirement System of Illinois Assets Under Management and Fees Paid by Asset Class and Money Manager Exclusive of a Manager of Managers Program Calendar Year 2015 Asset Class Manager Assets Under Management Total Fees Paid Classification $ in Asset Class % of Asset Class % of Total $ in Asset Class % of Asset Class % of Total U.S. Equities Channing Capital Management 122,688, % 0.8% 1,030, % 2.0% African American EARNEST Partners 105,738, % 0.7% 486, % 0.9% African American Holland Capital Management 103,121, % 0.7% 289, % 0.6% African American Piedmont Investment Advisors 411,969, % 2.6% 657, % 1.2% African American RhumbLine Advisers 1,059,323, % 6.8% 138, % 0.3% Female Fiduciary Management Associates 103,981, % 0.7% 639, % 1.2% Female Lombardia Capital Partners 94,378, % 0.6% 229, % 0.4% Latino CastleArk Management 107,239, % 0.7% 750, % 1.4% Jacobs Levy Equity Management 321,695, % 2.1% 1,360, % 2.6% Northern Trust Asset Management 1,601,771, % 10.2% 179, % 0.3% PIMCO 253,742, % 1.6% 739, % 1.4% T. Rowe Price 326,113, % 2.1% 931, % 1.8% U.S. Equities, Total 4,611,764, % 29.4% 7,433, % 14.1% Page 5 of 72 Non-U.S. Equities Herndon Capital Management *** - 0.0% 0.0% 466, % 0.9% African American GlobeFlex Capital 207,367, % 1.3% 1,742, % 3.3% Female Strategic Global Advisors 237,038, % 1.5% 694, % 1.3% Female Ativo Capital Management 205,515, % 1.3% 499, % 0.9% Latino BlackRock Institutional Trust Company 1,773,468, % 11.3% 4,847, % 9.2% Pyramis Global Advisors 467,500, % 3.0% 2,137, % 4.1% Non-U.S. Equities, Total 2,890,892, % 18.4% 10,388, % 19.7% Global Equities Calamos Investments *** - 0.0% 0.0% 1,230, % 2.3% Mondrian Investment Partners 353,436, % 2.3% 819, % 1.6% Parametric Clifton Transition ******* 259,253, % 1.7% 26, % 0.1% T. Rowe Price Global 386,220, % 2.5% 1,680, % 3.2% Wellington Management 364,446, % 2.3% 2,932, % 5.6% Global Equities, Total 1,363,356, % 8.7% 6,689, % 12.7%

242 Exhibit 10c Exhibit 3 State Universities Retirement System of Illinois Assets Under Management and Fees Paid by Asset Class and Money Manager Exclusive of a Manager of Managers Program Calendar Year 2015 Asset Class Manager Assets Under Management Total Fees Paid Classification $ in Asset Class % of Asset Class % of Total $ in Asset Class % of Asset Class % of Total Fixed Income Pugh Capital Management 154,130, % 1.0% 239, % 0.5% African American Smith Graham & Company 99,310, % 0.6% 166, % 0.3% African American Garcia Hamilton & Associates 101,235, % 0.6% 169, % 0.3% Latino LM Capital Group 153,300, % 1.0% 267, % 0.5% Latino Chicago Equity Partners 323,541, % 2.1% 548, % 1.0% Taplin, Canida & Habacht 126,901, % 0.8% 206, % 0.4% TCW Metropolitan West Asset Mgmt. 483,596, % 3.1% 818, % 1.6% Neuberger Berman 319,526, % 2.0% 462, % 0.9% PIMCO 876,046, % 5.6% 1,704, % 3.2% Parametric Clifton 103,684, % 0.7% 418, % 0.8% State Street Global Advisors 408,525, % 2.6% 61, % 0.1% Fixed Income, Total 3,149,798, % 20.1% 5,064, % 9.6% TIPS Longfellow Investment Management 161,978, % 1.0% 80, % 0.2% Female New Century Advisors 159,946, % 1.0% 219, % 0.4% Female PIMCO 320,868, % 2.0% 696, % 1.3% TIPS, Total 642,792, % 4.1% 996, % 1.9% Page 6 of 72 Emerging Market Bluebay Asset Management ** / **** 159,324, % 1.0% 531, % 1.0% Debt Colchester Global Investors ***** 85,612, % 0.5% 301, % 0.6% Prudential Fixed Income ****** 163,883, % 1.0% 20, % 0.0% Emerging Market Debt, Total 408,821, % 2.6% 853, % 1.6% Direct Real Estate Dune 89,822, % 0.6% 1,000, % 1.9% Franklin Templeton 81,130, % 0.5% 503, % 1.0% Minority * Heitman ** 177,512, % 1.1% 1,169, % 2.2% JP Morgan Chase Bank ** 182,188, % 1.2% 1,108, % 2.1% Mesirow 45,520, % 0.3% 319, % 0.6% RREEF 3,608, % 0.0% 131, % 0.2% UBS 346,219, % 2.2% 3,033, % 5.8% Direct Real Estate, Total 926,002, % 5.9% 7,267, % 13.8% REITs BlackRock Institutional Trust Company 410,250, % 2.6% 480, % 0.9% CBRE Clarion 268,003, % 1.7% 1,311, % 2.5% REITs, Total 678,254, % 4.3% 1,792, % 3.4% Opportunity Fund Alinda Capital Partners (Infrastructure) 44,660, % 0.3% 496, % 0.9% Macquarie Capital (Infrastructure) 35,919, % 0.2% 1,344, % 2.6% Opportunity Fund, Total 80,579, % 0.5% 1,841, % 3.5% Total Fund $ 15,691,188, % $ 52,673, % * The mandate is invested in minority- and female-owned real estate funds. ** Fees posted in arrears. *** October 2015 termination. **** March 2015 inception. ***** April 2015 inception. ****** June 2015 inception. ******* November 2015 inception.

243 Private Equities Fairview ** 15,634, % 0.1% 31, % 0.3% African American Muller and Monroe 19,751, % 0.1% 80, % 0.7% African American Progress Investment 356, % 0.0% - 0.0% 0.0% African American Adams Street Partners 487,597, % 3.1% 1,386, % 12.3% Pantheon Ventures, Inc. 415,594, % 2.6% 908, % 8.1% Private Equities, Total 938,934, % 5.9% 2,407, % 21.4% Exhibit 10c Exhibit 4 State Universities Retirement System of Illinois Assets Under Management and Fees Paid by Asset Class and Money Manager Exclusive of a Manager of Managers Program January 2016 through March 2016 Asset Class Manager Assets Under Management Total Fees Paid Classification $ in Asset Class % of Asset Class % of Total $ in Asset Class % of Asset Class % of Total U.S. Equities Channing Capital Management 121,386, % 0.8% 64, % 0.6% African American EARNEST Partners 106,771, % 0.7% 162, % 1.4% African American Holland Capital Management 103,091, % 0.7% 67, % 0.6% African American Piedmont Investment Advisors 415,160, % 2.6% 168, % 1.5% African American RhumbLine Advisers 971,339, % 6.1% 33, % 0.3% Female Fiduciary Management Associates 102,820, % 0.7% 149, % 1.3% Female Lombardia Capital Partners 96,996, % 0.6% 51, % 0.5% Latino CastleArk Management 101,366, % 0.6% 162, % 1.4% Jacobs Levy Equity Management *** - 0.0% 0.0% 123, % 1.1% Northern Trust Asset Management 1,616,535, % 10.2% 38, % 0.3% PIMCO 188,716, % 1.2% 163, % 1.5% T. Rowe Price 327,332, % 2.1% 243, % 2.2% U.S. Equities, Total 4,151,519, % 26.3% 1,429, % 12.7% Page 7 of 72 Non-U.S. Equities GlobeFlex Capital 209,485, % 1.3% 568, % 5.0% Female Strategic Global Advisors 231,669, % 1.5% 205, % 1.8% Female Ativo Capital Management 204,821, % 1.3% 152, % 1.4% Latino BlackRock Institutional Trust Company 1,763,558, % 11.2% 391, % 3.5% Fidelity Instit Asset Mgmt (fka Pyramis) 457,098, % 2.9% 445, % 4.0% Non-U.S. Equities, Total 2,866,633, % 18.1% 1,763, % 15.7% Global Equities Mondrian Investment Partners 364,834, % 2.3% 219, % 1.9% Parametric Clifton Transition 261,528, % 1.7% 61, % 0.5% T. Rowe Price Global 373,964, % 2.4% 417, % 3.7% Wellington Management 355,203, % 2.2% 620, % 5.5% Global Equities, Total 1,355,530, % 8.6% 1,319, % 11.7%

244 Exhibit 10c Exhibit 4 State Universities Retirement System of Illinois Assets Under Management and Fees Paid by Asset Class and Money Manager Exclusive of a Manager of Managers Program January 2016 through March 2016 Asset Class Manager Assets Under Management Total Fees Paid Classification $ in Asset Class % of Asset Class % of Total $ in Asset Class % of Asset Class % of Total Fixed Income Pugh Capital Management 158,825, % 1.0% 60, % 0.5% African American Smith Graham & Company 102,569, % 0.6% 42, % 0.4% African American Garcia Hamilton & Associates 154,915, % 1.0% 48, % 0.4% Latino LM Capital Group 158,648, % 1.0% 68, % 0.6% Latino Chicago Equity Partners 333,231, % 2.1% 140, % 1.2% Taplin, Canida & Habacht *** - 0.0% 0.0% 16, % 0.2% TCW Metropolitan West Asset Mgmt. 575,474, % 3.6% 216, % 1.9% Neuberger Berman 328,766, % 2.1% 117, % 1.0% PIMCO 808,477, % 5.1% 656, % 5.8% Parametric Clifton 130,975, % 0.8% 67, % 0.6% State Street Global Advisors 420,910, % 2.7% 15, % 0.1% Fixed Income, Total 3,172,794, % 20.1% 1,448, % 12.9% TIPS Longfellow Investment Management 168,492, % 1.1% 20, % 0.2% Female New Century Advisors 167,312, % 1.1% 55, % 0.5% Female PIMCO 334,248, % 2.1% 182, % 1.6% TIPS, Total 670,053, % 4.2% 257, % 2.3% Page 8 of 72 Emerging Market Bluebay Asset Management ** 168,509, % 1.1% 287, % 2.6% Debt Colchester Global Investors 97,133, % 0.6% 127, % 1.1% Prudential Fixed Income 176,488, % 1.1% 400, % 3.6% Emerging Market Debt, Total 442,131, % 2.8% 815, % 7.2% Direct Real Estate Brookfield **** 2,056, % 0.0% - 0.0% 0.0% Crow Holdings ***** 11,253, % 0.1% - 0.0% 0.0% Dune 94,188, % 0.6% 348, % 3.1% Franklin Templeton 75,398, % 0.5% 148, % 1.3% Minority * Heitman ** 177,512, % 1.1% - 0.0% 0.0% JP Morgan Chase Bank ** 185,215, % 1.2% 393, % 3.5% Mesirow 43,716, % 0.3% 72, % 0.6% RREEF 2,574, % 0.0% 8, % 0.1% UBS 346,219, % 2.2% - 0.0% 0.0% Direct Real Estate, Total 938,135, % 5.9% 970, % 8.6% REITs BlackRock Institutional Trust Company 434,538, % 2.7% 103, % 0.9% CBRE Clarion 281,794, % 1.8% 394, % 3.5% REITs, Total 716,332, % 4.5% 497, % 4.4% Hedged Strategies KKR Prisma ****** 273,383, % 1.7% - 0.0% 0.0% PAAMCO Newport ****** 195,000, % 1.2% - 0.0% 0.0% Hedged Strategies, Total 468,383, % 3.0% - 0.0% 0.0% Opportunity Fund Alinda Capital Partners (Infrastructure) 45,441, % 0.3% 118, % 1.0% Macquarie Capital (Infrastructure) 40,356, % 0.3% 233, % 2.1% Opportunity Fund, Total 85,798, % 0.5% 352, % 3.1% Total Fund $ 15,806,248, % $ 11,262, % * The mandate is invested in minority- and female-owned funds. ** Fees posted in arrears. *** February 2016 termination. **** February 2016 inception. ***** January 2016 inception. ****** March 2016 inception.

245 Exhibit 10c Exhibit 6 Exhibit 5 SURS Investment Managers Owned by Minorities, Females or Persons with a Disability as of December 31, 2015 Asset Class Manager Classification U.S. Equities Channing Capital Management African American EARNEST Partners African American Fiduciary Management Associates Female Holland Capital Management African American Lombardia Capital Partners Latino Piedmont Investment Advisors African American Progress Investment (manager of managers) African American Affinity LCV Asian American Fortaleza Asset Management Latino High Pointe Asian American Hahn Capital Female Herndon Capital Management African American Holland Capital Management African American Martin Capital Management Female Phocas Capital Management Asian American StoneRidge African American RhumbLine Advisers Female Non-U.S. Equities Ativo Capital Management Latino GlobeFlex Capital Management Female Herndon Capital Management African American Progress Investment (manager of managers) African American Affinity LCV Asian American Brown Capital Management African American Cheswold Lane Female Glovista Latino Hanoverian Female John Hsu Capital Management Asian American Sky Investment Asian American Lombardia Capital Partners Latino Strategic Global Advisors Female Strategic Global Advisors Female Private Equities Fairview Capital Partners African American Muller & Monroe Asset Management African American Progress Investment Management African American Fixed Income/TIPS Garcia Hamilton & Associates Latino LM Capital Management Latino Longfellow Investment Management Female New Century Advisors Female Progress Investment (manager of managers) African American Garcia Hamilton & Associates Latino GIA Partners Latino LM Capital Management Latino New Century Advisors Female Piedmont Investment Advisors African American Ramirez Latino Pugh Capital Management African American Smith Graham & Company African American Real Estate Franklin Templeton Invest in funds owned by African Americans, Latinos,Asian Americans & Disabled Veterans Page 9 of 72

246 Exhibit 6 Exhibit 6 SURS Investment Managers Owned by Minorities, Females or Persons with a Disability as of March 31, 2016 Exhibit 10c Asset Class Manager Classification U.S. Equities Channing Capital Management African American EARNEST Partners African American Holland Capital Management African American Lombardia Capital Partners Latino Piedmont Investment Advisors African American Progress Investment (manager of managers) African American Affinity LCV Asian American Bowling Capital Management Female Fortaleza Asset Management Latino Hahn Capital Female Holland Capital Management African American Martin Investment Management Female Matarin Investment Management Female Phocas Financial Corporation Asian American StoneRidge African American RhumbLine Advisers Female Non-U.S. Equities Ativo Capital Management Latino GlobeFlex Capital Management Female Herndon Capital Management African American Progress Investment (manager of managers) African American Apex Investment Advisors Asian American Affinity Investment Advisors Female Brown Capital Management African American Glovista Latino Hanoverian Female John Hsu Capital Management Asian American Lombardia Capital Partners Asian American Strategic Global Advisors Female Strategic Global Advisors Female Private Equities Fairview Capital Partners African American Muller & Monroe Asset Management African American Progress Investment Management African American Fixed Income/TIPS Garcia Hamilton & Associates Latino LM Capital Management Latino Longfellow Investment Management Female New Century Advisors Female Progress Investment (manager of managers) African American Garcia Hamilton & Associates Latino GIA Partners Latino LM Capital Management Latino New Century Advisors Female Piedmont Investment Advisors African American Ramirez Latino Pugh Capital Management African American Smith Graham & Company African American Real Estate Franklin Templeton Invest in funds owned by African Americans, Latinos,Asian Americans & Disabled Veterans Page 10 of 72

247 Exhibit 7 State Universities Retirement System of Illinois Illinois-Headquartered Minority- and Female-Owned Investment Managers Investment Management Fees Paid Exhibit 10c Asset Class Classification Calendar Year 2015 January - March 2016 $ in Asset Class % of Total $ in Asset Class % of Total U.S. Equities African American 1,320, % 132, % Latino 229, % 51, % Asian American - 0.0% - 0.0% Female 639, % 149, % U.S. Equities, Total 2,189, % 333, % Non-U.S. Equities African American - 0.0% - 0.0% Latino 499, % 152, % Asian American - 0.0% - 0.0% Female - 0.0% - 0.0% Non-U.S. Equities, Total 499, % 152, % Global Equities African American - 0.0% - 0.0% Latino - 0.0% - 0.0% Asian American - 0.0% - 0.0% Female - 0.0% - 0.0% Global Equities, Total - 0.0% - 0.0% Private Equities African American 232, % 80, % Latino - 0.0% - 0.0% Asian American - 0.0% - 0.0% Female - 0.0% - 0.0% Private Equities, Total 232, % 80, % Fixed Income African American - 0.0% - 0.0% Latino - 0.0% - 0.0% Asian American - 0.0% - 0.0% Female - 0.0% - 0.0% Fixed Income, Total - 0.0% - 0.0% TIPS African American - 0.0% - 0.0% Latino - 0.0% - 0.0% Asian American - 0.0% - 0.0% Female - 0.0% - 0.0% TIPS, Total - 0.0% - 0.0% Emerging Market African American - 0.0% - 0.0% Debt * Latino - 0.0% - 0.0% Asian American - 0.0% - 0.0% Female - 0.0% - 0.0% EMD, Total - 0.0% - 0.0% Direct Real Estate African American - 0.0% - 0.0% Latino - 0.0% - 0.0% Asian American - 0.0% - 0.0% Female - 0.0% - 0.0% Direct Real Estate, Total - 0.0% - 0.0% REITs African American - 0.0% - 0.0% Latino - 0.0% - 0.0% Asian American - 0.0% - 0.0% Female - 0.0% - 0.0% REITs, Total - 0.0% - 0.0% Hedged African American - 0.0% - 0.0% Strategies ** Latino - 0.0% - 0.0% Asian American - 0.0% - 0.0% Female - 0.0% - 0.0% Hedged Strategies, Total - 0.0% - 0.0% Opportunity Fund African American - 0.0% - 0.0% Latino - 0.0% - 0.0% Asian American - 0.0% - 0.0% Female - 0.0% - 0.0% Opportunity Fund, Total - 0.0% - 0.0% Total Fund $ 55,921, % $ 12,152, % Page 11 of 72

248 Exhibit 8 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2015 through December 31, 2015 Commissions Net Total Commissions Paid of Non-Direct Trading MWBE Amounts African American $ 354,353 $ 350,600 Latino 95,006 93,871 Asian 32,737 32,737 Female 188, ,824 Disabled Veteran 17,288 17,288 Native American - - Total MWBE Firms $ 687,988 $ 682,320 MWBE Per Cent of Total % % African American Latino Asian Female Disabled Veteran Native American Total MWBE Firms Illinois MWBE Amounts African American $ 186,190 $ 183,844 Latino 38,874 38,487 Asian 23,146 23,146 Female 135, ,453 Native American - - Total Illinois MWBE Firms $ 383,911 $ 380,930 Illinois MWBE Per Cent of Total % % African American Latino Asian Female Native American Total Illinois MWBE Firms Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) CastleArk Management Avondale Partners $ 3,889 $ 3,889 B Riley & Company 1,935 1,935 Barrington Research Associates 2,073 2,073 IL Benchmark Company 2,384 2,384 Bloomberg Tradebook BB&T BTIG (Bass Trading International Group) 4,351 4,351 Cabrera Capital Markets 26,023 26,023 Latino IL Canaccord Adams 2,272 2,272 Cantor Fitzgerald 1,742 1,742 Cowen & Company 4,531 4,531 Craig-Hallum 18,854 18,854 Credit Suisse 44,054 44,054 CL King & Associates 10,726 10,726 Female Page 12 of 72

249 Exhibit 8 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2015 through December 31, 2015 Commissions Net of Non-Direct Trading Investment Manager / Broker Total Commissions Paid MWBE Ownership CRT Capital Group Dougherty & Company 2,454 2,454 DA Davidson & Company 3,596 3,596 Feltl & Company FBR Capital Markets 2,488 2,488 Goldman Sachs 17,288 17,288 Harris Nesbitt ITG (Investment Technology Group) 9,966 9,966 Jefferies & Company 11,617 11,617 JonesTrading Institutional Services JMP Securities 3,954 3,954 JP Morgan Chase & Company 7,940 7,940 KeyBanc Capital Markets 6,292 6,292 Knight Execution & Clearing Services Lake Street Capital Markets 2,368 2,368 Leerink Swann & Company 4,534 4,534 Liquidnet 13,841 13,841 Loop Capital Markets 40,808 40,808 African American IL Macquarie Securities 1,304 1,304 Needham & Company 5,517 5,517 Northland Securities 7,268 7,268 Oppenheimer & Company 5,980 5,980 Pacific Crest Securities Piper Jaffray & Company 14,137 14,137 Robert W. Baird & Company 5,540 5,540 Rosenblatt Securities RBC Capital Markets 1,109 1,109 ROTH Capital Partners 5,712 5,712 Sanford C. Bernstein State Street Brokerage Services Stephens 13,650 13,650 Sterne Agee & Leach 2,542 2,542 Stifel, Nicolaus & Company 5,634 5,634 SunTrust Robinson Humphrey 2,160 2,160 Susquehanna Financial Group Topeka Capital Markets 16,548 16,548 African American Wedbush Morgan Securities 2,900 2,900 Weeden & Company William Blair & Company 27,136 27,136 IL Wunderlich Securities 4,053 4,053 Channing Capital Management Barclays 2,047 2,047 Blaylock Robert Van 1,410 1,410 African American Cabrera Capital Markets Latino IL Cheevers & Company 1,572 1,572 Female IL Drexel Hamilton 1,206 1,206 Disabled Veteran Johnson Rice & Company 1,906 1,906 Keefe, Bruyette & Woods 2,473 2,473 Loop Capital Markets 2,110 2,110 African American IL M Ramsey King Securities 1,879 1,879 Female IL Merrill Lynch 1,350 1,350 Mischler Financial Group Disabled Veteran Robert W. Baird & Company 5,839 5,839 Headquarters (If Illinois Based) Page 13 of 72

250 Exhibit 8 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2015 through December 31, 2015 Commissions Net of Non-Direct Trading Investment Manager / Broker Total Commissions Paid MWBE Ownership Stifel, Nicolaus & Company 2,264 2,264 Telsey Advisory Group Female Topeka Capital Markets 1,401 1,401 African American William Blair & Company 2,793 2,793 IL Williams Capital Group African American EARNEST Partners Bank of New York ConvergEx Execution Bloomberg Tradebook CastleOak Securities African American Cheevers & Company Female IL Citigroup Global Markets Collins Stewart CAPIS (Capital Institutional Svcs) Deutsche Bank Jefferies & Company KeyBanc Capital Markets Liquidnet Loop Capital Markets African American IL Macquarie Securities Robert W. Baird & Company Stifel, Nicolaus & Company Topeka Capital Markets African American Williams Capital Group African American Holland Capital Management Cheevers & Company Female IL Instinet 2,457 2,457 Knight Execution & Clearing Services 1,888 1,888 Loop Capital Markets 3,237 3,237 African American IL M Ramsey King Securities 1,250 1,250 Female IL Mischler Financial Group 1,261 1,261 Disabled Veteran North South Capital 1,295 1,295 Female IL Sanford C. Bernstein 1,753 1,753 Seaport Group SunGard Brokerage & Securities Services UBS 2,246 2,246 Williams Capital Group 2,028 2,028 African American Jacobs Levy Equity Management Aqua Securities Bank of New York ConvergEx Execution Barclays BMO Capital Markets 1,167 1,167 BTIG (Bass Trading International Group) Cabrera Capital Markets 1,045 1,045 Latino IL Cantor Fitzgerald 1,153 1,153 Citigroup Global Markets Credit Suisse Deutsche Bank FBR Capital Markets Goldman Sachs Guzman & Company Latino Instinet ISI Group ITG (Investment Technology Group) 36,074 36,074 Headquarters (If Illinois Based) Page 14 of 72

251 Exhibit 8 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2015 through December 31, 2015 Commissions Net of Non-Direct Trading Investment Manager / Broker Total Commissions Paid MWBE Ownership JonesTrading Institutional Services JP Morgan Chase & Company KeyBanc Capital Markets Knight Execution & Clearing Services Liquidnet 3,621 3,621 Loop Capital Markets 1,136 1,136 African American IL Merrill Lynch Morgan Stanley Oppenheimer & Company Raymond James & Associates Robert W. Baird & Company RBC Capital Markets Sanford C. Bernstein State Street Brokerage Services Stifel, Nicolaus & Company SunTrust Robinson Humphrey Susquehanna International Group UBS Weeden & Company Wells Fargo Advisors William Blair & Company IL Williams Capital Group 1,088 1,088 African American Lombardia Capital Partners American Portfolios Financial Services Avondale Partners Bank of New York ConvergEx Execution Bear Stearns 1,248 1,248 BB&T BTIG (Bass Trading International Group) Cabrera Capital Markets 1,318 1,318 Latino IL Cantor Fitzgerald Cheevers & Company 35,023 35,023 Female IL Credit Suisse 1,058 1,058 CAPIS (Capital Institutional Services) 8,363 8,363 Female CAPIS (Capital Institutional Svcs) CL King & Associates 1,967 1,967 Female Deutsche Bank Drexel Hamilton 2,128 2,128 Disabled Veteran FBR Capital Markets Goldman Sachs Howard Weil Interstate Group 2,508 2,508 ITG (Investment Technology Group) 1,222 1,222 Jefferies & Company Johnson Rice & Company 1,083 1,083 JonesTrading Institutional Services 3,046 3,046 Keefe, Bruyette & Woods 1,391 1,391 Knight Execution & Clearing Services 6,575 6,575 Liquidnet Loop Capital Markets 6,159 6,159 African American IL M Ramsey King Securities 4,926 4,926 Female IL Macquarie Securities Merrill Lynch 10,373 10,373 Headquarters (If Illinois Based) Page 15 of 72

252 Exhibit 8 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2015 through December 31, 2015 Commissions Net of Non-Direct Trading Investment Manager / Broker Total Commissions Paid MWBE Ownership Mischler Financial Group 7,154 7,154 Disabled Veteran Morgan Keegan & Company Morgan Stanley 1,184 1,184 Needham & Company Oppenheimer & Company Raymond James & Associates Robert W. Baird & Company 1,443 1,443 Sanford C. Bernstein Sidoti & Company 1,845 1,845 Stephens Stifel, Nicolaus & Company 2,776 2,776 SunTrust Robinson Humphrey Wedbush Morgan Securities 1,494 1,494 Weeden & Company 1,561 1,561 Williams Capital Group 29,706 29,706 African American Mesirow Financial Investment Mgmt (formerly FMA) Bank of New York ConvergEx Execution 4,502 4,502 Barclays Cheevers & Company 16,237 16,237 Female IL Craig-Hallum 2,780 2,780 Credit Suisse 33,053 33,053 Instinet ISI Group 2,740 2,740 Jefferies & Company 7,503 7,503 JonesTrading Institutional Services 7,524 7,524 JP Morgan Chase & Company 7,117 7,117 Keefe, Bruyette & Woods 1,698 1,698 Loop Capital Markets 18,685 18,685 African American IL M Ramsey King Securities 16,595 16,595 Female IL Morgan Stanley 2,647 2,647 Piper Jaffray & Company 1,568 1,568 Raymond James & Associates 2,944 2,944 Robert W. Baird & Company 24,001 24,001 Stephens 4,149 4,149 Stifel, Nicolaus & Company 14,281 14,281 SunTrust Robinson Humphrey 1,485 1,485 Northern Trust Asset Management Citigroup Global Markets 2,134 2,134 Credit Suisse G-Trade Services Goldman Sachs 25,626 25,626 Guzman & Company 31,586 31,586 Latino ITG (Investment Technology Group) 2,853 2,853 JP Morgan Chase & Company Loop Capital Markets 2,934 2,934 African American IL Merrill Lynch 1,076 1,076 Weeden & Company Piedmont Investment Advisors Bank of New York ConvergEx Execution 40,222 40,222 Barclays 44,997 44,997 CastleOak Securities 8,660 8,660 African American Cheevers & Company 27,513 27,513 Female IL CAPIS (Capital Institutional Services) 25,745 25,745 Female Headquarters (If Illinois Based) Page 16 of 72

253 Exhibit 8 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2015 through December 31, 2015 Commissions Net of Non-Direct Trading Investment Manager / Broker Total Commissions Paid MWBE Ownership Interstate Group 49,074 49,074 ITG (Investment Technology Group) 63,151 63,151 JP Morgan Chase & Company 22,914 22,914 Loop Capital Markets 55,313 55,313 African American IL Strategas Research Partners 18,151 18,151 Williams Capital Group 48,564 48,564 African American Progress Investment Management Abel/Noser 10,055 10,055 Aegis Capital Corp Andes Capital Group 23,122 23,122 Asian American IL Bank of New York ConvergEx Execution 58,331 58,331 Barclays Baypoint Trading 2,102 2,102 Benchmark Company Blaylock & Partners African American Bloomberg Tradebook 3,485 3,485 Brean Capital 1,032 1,032 BTIG (Bass Trading International Group) 11,820 11,820 Cabrera Capital Markets 4,598 4,598 Latino IL Cantor Fitzgerald 19,809 19,809 Cheevers & Company 3,858 3,858 Female IL Citigroup Global Markets Collins Stewart Cowen & Company Credit Agricole CAPIS (Capital Institutional Services) Female CRT Capital Group Deutsche Bank 1,146 1,146 Dougherty & Company Drexel Hamilton 3,792 3,792 Disabled Veteran Feltl & Company First Analysis Securities IL FIG Partners Global Hunter Securities Goldman Sachs 6,505 6,505 Indiana Merchant Banking and Brokerage 10,658 10,658 African American Instinet 6,460 6,460 Ivy Securities 9,379 9,379 Asian American ISI Group ITG (Investment Technology Group) 1,662 1,662 Jefferies & Company 1,337 1,337 JonesTrading Institutional Services 4,091 4,091 JP Morgan Chase & Company 1,429 1,429 Knight Execution & Clearing Services Liquidnet Loop Capital Markets 49,464 49,464 African American IL M Ramsey King Securities 1,638 1,638 Female IL Merrill Lynch 3,699 3,699 Mischler Financial Group Disabled Veteran Montrose Securities International Asian American Morgan Stanley 4,715 4,715 MKM Partners Needham & Company Headquarters (If Illinois Based) Page 17 of 72

254 Exhibit 8 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2015 through December 31, 2015 Commissions Net of Non-Direct Trading Investment Manager / Broker Total Commissions Paid MWBE Ownership Noble International Investments North South Capital 5,881 5,881 Female IL Northern Trust Securities 23,260 23,260 IL Oppenheimer & Company Penserra Securities 1,718 1,718 Latino Piper Jaffray & Company Rosenblatt Securities RBC Capital Markets 1,370 1,370 Sanford C. Bernstein 2,459 2,459 Seaport Group Security Capital Brokerage 3,340 3,340 African American Stifel, Nicolaus & Company 2,635 2,635 Strategas Research Partners 3,002 3,002 Sturdivant and Company 2,508 2,508 African American SunGard Brokerage & Securities Services Telsey Advisory Group 3,050 3,050 Female Topeka Capital Markets 2,413 2,413 African American UBS Valdes & Moreno 21,139 21,139 Latino Wedbush Morgan Securities 2,553 2,553 Wells Fargo Advisors William O'Neil & Company 2,285 2,285 Williams Capital Group 4,152 4,152 African American Wunderlich Securities 2,202 2,202 Yamner & Company 1,300 1,300 RhumbLine Advisers Cabrera Capital Markets 4,562 4,562 Latino IL Cheevers & Company 15,820 15,820 Female IL Loop Capital Markets 3,899 3,899 African American IL Williams Capital Group 30,026 30,026 African American T. Rowe Price Academy Securities Disabled Veteran Allen & Company Andes Capital Group Asian American IL Autonomous Research Bank of America 3,588 3,588 Barclays 5,791 5,791 Blaylock Robert Van African American Bley Investment Group 24 - Female Bloomberg Tradebook 3 3 Brean Murray, Carret & Co Buckingham Research Group BMO Capital Markets 1,477 1,477 BOE Securities African American Cabrera Capital Markets Latino IL Canaccord Genuity Canada Cantor Fitzgerald CastleOak Securities African American Cheevers & Company Female IL Citigroup Global Markets 8,115 8,115 Clancy Financial Services Female Cormark Securities Cowen & Company Headquarters (If Illinois Based) Page 18 of 72

255 Exhibit 8 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2015 through December 31, 2015 Commissions Net of Non-Direct Trading Investment Manager / Broker Total Commissions Paid MWBE Ownership Craig-Hallum Credit Agricole Credit Suisse 3,594 3,594 CL King & Associates 2,087 1,579 Female CLSA CRT Capital Group Deutsche Bank 4,348 4,348 Dowling & Partners Drexel Hamilton Disabled Veteran DA Davidson & Company Evercore Partners 3,390 3,390 FBR Capital Markets Goldman Sachs 6,696 6,696 Gordon Haskett Capital Green Street Advisors 8 8 Guggenheim Capital Markets Guzman & Company Latino GMP Securities ITG (Investment Technology Group) Janney Montgomery Scott Jefferies & Company 2,118 2,118 Johnson Rice & Company Jones & Associates JMP Securities JP Morgan Chase & Company 8,298 8,298 Keefe, Bruyette & Woods KeyBanc Capital Markets 1,492 1,492 Knight Execution & Clearing Services 2 2 Leerink Swann & Company Longbow Securities Loop Capital Markets 2,346 - African American IL Luminex Trading & Analytics 7 7 M Ramsey King Securities Female IL Macquarie Securities 2,755 2,755 Merrill Lynch 1,945 1,945 Montrose Securities International Asian American Morgan Stanley 8,631 8,631 MKM Partners Needham & Company Nomura Oppenheimer & Company OTR Global Trading Pacific Crest Securities Penserra Securities Latino Piper Jaffray & Company Pulse Trading 1,119 1,119 Ramirez & Company Latino Raymond James & Associates 1,411 1,411 Robert W. Baird & Company Rosenblatt Securities 4 4 RBC Capital Markets 3,294 3,294 Sanford C. Bernstein 5,137 5,137 Scotia Capital 9 9 Headquarters (If Illinois Based) Page 19 of 72

256 Exhibit 8 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2015 through December 31, 2015 Commissions Net of Non-Direct Trading Investment Manager / Broker Total Commissions Paid MWBE Ownership Sidoti & Company Siebert Brandford Shank & Company African American Simmons & Company International State Street Bank & Trust Stephens Stifel, Nicolaus & Company 2,281 2,281 Sturdivant and Company African American SunTrust Robinson Humphrey Susquehanna Financial Group Telsey Advisory Group Female Themis Trading Topeka Capital Markets 1, African American Tudor, Pickering, Holt & Co. Securities UBS 3,635 3,635 Wedbush Morgan Securities Weeden & Company Wells Fargo Advisors 1,982 1,982 William Blair & Company IL Williams Capital Group African American Wolfe Trahan Securities Wunderlich Securities Total $ 1,771,063 $ 1,765,395 Headquarters (If Illinois Based) Page 20 of 72

257 Exhibit 9 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2016 through March 31, 2016 Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Amounts African American $ 86,327 $ 85,621 Latino 18,692 18,559 Asian 10,840 10,840 Female 82,625 81,655 Disabled Veteran 6,312 6,312 Native American - - Total MWBE Firms $ 204,795 $ 202,986 MWBE Per Cent of Total % % African American Latino Asian Female Disabled Veteran Native American Total MWBE Firms Illinois MWBE Amounts African American $ 46,613 $ 45,907 Latino 6,794 6,794 Asian 2,856 2,856 Female 68,842 68,416 Native American - - Total Illinois MWBE Firms $ 125,105 $ 123,973 Illinois MWBE Per Cent of Total % % African American Latino Asian Female Native American Total Illinois MWBE Firms Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) CastleArk Management Avondale Partners $ 457 $ 457 B Riley & Company Barrington Research Associates IL Benchmark Company Bloomberg Tradebook 1,238 1,238 Buckingham Research Group BB&T BTIG (Bass Trading International Group) Cabrera Capital Markets Latino IL Canaccord Adams 1,175 1,175 Cowen & Company Craig-Hallum 3,514 3,514 Credit Suisse 10,022 10,022 CL King & Associates 5,662 5,662 Female Page 21 of 72

258 Exhibit 9 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2016 through March 31, 2016 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) CRT Capital Group 1,009 1,009 Dougherty & Company DA Davidson & Company FBR Capital Markets Goldman Sachs 2,981 2,981 ITG (Investment Technology Group) 2,847 2,847 Jefferies & Company 2,178 2,178 JonesTrading Institutional Services JMP Securities JP Morgan Chase & Company 3,850 3,850 KeyBanc Capital Markets 1,211 1,211 Lake Street Capital Markets Leerink Swann & Company 1,363 1,363 Liquidnet 1,012 1,012 Loop Capital Markets 4,402 4,402 African American IL Needham & Company 1,270 1,270 Northland Securities 3,357 3,357 Oppenheimer & Company Pacific Crest Securities Piper Jaffray & Company 3,040 3,040 Raymond James & Associates Robert W. Baird & Company RBC Capital Markets ROTH Capital Partners 1,337 1,337 State Street Global Markets Stephens 4,388 4,388 Stifel, Nicolaus & Company 1,482 1,482 SunTrust Robinson Humphrey Topeka Capital Markets 6,260 6,260 African American Wedbush Morgan Securities Weeden & Company William Blair & Company 7,731 7,731 IL Wunderlich Securities Channing Capital Management Barclays 3,248 3,248 Cabrera Capital Markets Latino IL Cheevers & Company 1,474 1,474 Female IL Johnson Rice & Company Keefe, Bruyette & Woods 1,551 1,551 KeyBanc Capital Markets Loop Capital Markets 2,346 2,346 African American IL M Ramsey King Securities 1,130 1,130 Female IL Mischler Financial Group 1,490 1,490 Disabled Veteran Robert W. Baird & Company 3,595 3,595 Seaport Group 1,736 1,736 Stifel, Nicolaus & Company 3,098 3,098 William Blair & Company 1,730 1,730 IL Williams Capital Group 1,310 1,310 African American EARNEST Partners Barclays Bloomberg Tradebook BNY Mellon BTIG (Bass Trading International Group) CastleOak Securities African American Page 22 of 72

259 Exhibit 9 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2016 through March 31, 2016 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Cheevers & Company Female IL Citigroup Global Markets CAPIS (Capital Institutional Services) 2,312 2,312 Female Deutsche Bank ITG (Investment Technology Group) 1,008 1,008 Jefferies & Company Jones & Associates KeyBanc Capital Markets Loop Capital Markets African American IL Macquarie Securities Pavilion Global Markets Piper Jaffray & Company RBC Capital Markets Sanford C. Bernstein Topeka Capital Markets African American Wedbush Morgan Securities Wells Fargo Advisors Williams Capital Group African American Holland Capital Management Cantor Fitzgerald 1,148 1,148 Cheevers & Company Female IL Fox River Execution Technology IL Goldman Sachs Instinet 1,631 1,631 Knight Execution & Clearing Services Loop Capital Markets African American IL M Ramsey King Securities Female IL Mischler Financial Group 2,532 2,532 Disabled Veteran North South Capital Female IL Piper Jaffray & Company Podesta & Company Female IL Sanford C. Bernstein William Blair & Company 2,290 2,290 IL Williams Capital Group African American Lombardia Capital Partners Bear Stearns Cabrera Capital Markets 5,493 5,493 Latino IL Cantor Fitzgerald Cheevers & Company 4,876 4,876 Female IL Credit Suisse CAPIS (Capital Institutional Services) 2,645 2,645 Female CL King & Associates Female Drexel Hamilton 2,002 2,002 Disabled Veteran Interstate Group ITG (Investment Technology Group) Jefferies & Company Johnson Rice & Company 1,712 1,712 JonesTrading Institutional Services Keefe, Bruyette & Woods 2,530 2,530 Knight Execution & Clearing Services Loop Capital Markets 1,607 1,607 African American IL Merrill Lynch 15,766 15,766 Morgan Keegan & Company Oppenheimer & Company Page 23 of 72

260 Exhibit 9 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2016 through March 31, 2016 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Raymond James & Associates 1,463 1,463 Robert W. Baird & Company Sanford C. Bernstein Sidoti & Company Stephens Stifel, Nicolaus & Company 1,194 1,194 SunTrust Robinson Humphrey Wedbush Morgan Securities Weeden & Company Williams Capital Group 6,930 6,930 African American Mesirow Financial Investment Mgmt (formerly FMA) Bank of New York ConvergEx Execution Cheevers & Company 7,648 7,648 Female IL Craig-Hallum Credit Suisse 7,830 7,830 Instinet ISI Group Jefferies & Company 3,521 3,521 JonesTrading Institutional Services 4,468 4,468 JP Morgan Chase & Company 2,039 2,039 Keefe, Bruyette & Woods 1,564 1,564 Loop Capital Markets 6,168 6,168 African American IL M Ramsey King Securities 8,959 8,959 Female IL Morgan Stanley Piper Jaffray & Company Raymond James & Associates 2,399 2,399 Robert W. Baird & Company 6,911 6,911 Stephens Stifel, Nicolaus & Company 4,628 4,628 SunTrust Robinson Humphrey Northern Trust Asset Management ITG (Investment Technology Group) 2,513 2,513 Loop Capital Markets 1,660 1,660 African American IL Merrill Lynch 3 3 Piedmont Investment Advisors Bank of New York ConvergEx Execution - - Barclays 9,979 9,979 Cheevers & Company 33,947 33,947 Female IL CAPIS (Capital Institutional Services) - - Female Interstate Group 24,886 24,886 Loop Capital Markets 14,882 14,882 African American IL Williams Capital Group - - African American Progress Investment Management Abel/Noser Andes Capital Group 2,856 2,856 Asian American IL Bank of New York ConvergEx Execution 7,782 7,782 Barclays Baypoint Trading Bloomberg Tradebook 1,151 1,151 Brean Capital BTIG (Bass Trading International Group) 8,625 8,625 Cabrera Capital Markets Latino IL Cantor Fitzgerald 1,317 1,317 Cheevers & Company 2,013 2,013 Female IL Page 24 of 72

261 Exhibit 9 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2016 through March 31, 2016 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Citigroup Global Markets Cowen & Company Deutsche Bank Drexel Hamilton Disabled Veteran FIG Partners Goldman Sachs 1,494 1,494 Guzman & Company 8,172 8,172 Latino Instinet 2,552 2,552 Ivy Securities 7,984 7,984 Asian American ISI Group ITG (Investment Technology Group) Joh. Berenberg, Gossler & Company JonesTrading Institutional Services JP Morgan Chase & Company Liquidnet 8 8 Loop Capital Markets 13,600 13,600 African American IL M Ramsey King Securities Female IL Merrill Lynch Mischler Financial Group Disabled Veteran Morgan Stanley 2,621 2,621 MKM Partners North South Capital 1,131 1,131 Female IL Northern Trust Securities 30,717 30,717 IL Penserra Securities 1,110 1,110 Latino RBC Capital Markets Sanford C. Bernstein Seaport Group Security Capital Brokerage 4,041 4,041 African American Stifel, Nicolaus & Company 2,464 2,464 Strategas Research Partners Sturdivant and Company African American SunGard Brokerage & Securities Services 5 5 Telsey Advisory Group 1,830 1,830 Female Topeka Capital Markets African American Valdes & Moreno 2,448 2,448 Latino Wedbush Morgan Securities Wells Fargo Advisors 2 2 William O'Neil & Company Williams Capital Group 1,025 1,025 African American Wunderlich Securities Yamner & Company RhumbLine Advisers Cheevers & Company 4,945 4,945 Female IL Loop Capital Markets African American IL Williams Capital Group 17,209 17,209 African American T. Rowe Price Allen & Company Bank of America 1,408 1,408 Barclays 1,342 1,342 BMO Capital Markets BTIG (Bass Trading International Group) Canaccord Genuity Canada Cantor Fitzgerald 8 8 Cheevers & Company Female IL Page 25 of 72

262 Exhibit 9 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - DOMESTIC EQUITIES Trades from January 1, 2016 through March 31, 2016 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Citigroup Global Markets 2,237 2,237 Clancy Financial Services Female Cowen & Company Credit Suisse CL King & Associates Female CLSA CV Brokerage Female Deutsche Bank 1,295 1,295 Drexel Hamilton Disabled Veteran Evercore Partners Frank Russell Securities Goldman Sachs 1,936 1,936 Gordon Haskett Capital Guggenheim Capital Markets Guzman & Company 28 - Latino Janney Montgomery Scott Jefferies & Company Johnson Rice & Company JMP Securities JP Morgan Chase & Company 3,279 3,279 Keefe, Bruyette & Woods KeyBanc Capital Markets Loop Capital Markets African American IL Luminex Trading & Analytics 4 4 M Ramsey King Securities Female IL Macquarie Securities Morgan Stanley 2,201 2,201 OTR Global Trading Penserra Securities Latino Pulse Trading Raymond James & Associates Robert W. Baird & Company RBC Capital Markets Sanford C. Bernstein Simmons & Company International State Street Bank & Trust Stifel, Nicolaus & Company SunTrust Robinson Humphrey Susquehanna Financial Group Topeka Capital Markets African American Tudor, Pickering, Holt & Co. Securities UBS Weeden & Company Wells Fargo Advisors William Blair & Company IL Williams Capital Group African American Wolfe Trahan Securities Total $ 496,564 $ 494,755 Page 26 of 72

263 Exhibit 10 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - INTERNATIONAL EQUITIES Trades from January 1, 2015 through December 31, 2015 Commissions Net Total Commissions Paid of Non-Direct Trading MWBE Amounts African American $ 175,998 $ 175,998 Latino 76,831 76,831 Asian - - Female 265, ,694 Disabled Veteran 1,485 1,485 Native American - - Total MWBE Firms $ 520,009 $ 520,009 MWBE Per Cent of Total % % African American Latino Asian Female Disabled Veteran Native American Total MWBE Firms Illinois MWBE Amounts African American $ 173,758 $ 173,758 Latino 31,558 31,558 Asian - - Female 259, ,548 Native American - - Total Illinois MWBE Firms $ 464,864 $ 464,864 Illinois MWBE Per Cent of Total % % African American Latino Asian Female Native American Total Illinois MWBE Firms Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Ativo Capital Management Bank of New York ConvergEx Execution $ 31,107 $ 31,107 Cabrera Capital Markets 17,332 17,332 Latino IL Cheevers & Company 46,439 46,439 Female IL Deutsche Bank 25,852 25,852 Divine Capital Markets 1,767 1,767 Female ITG (Investment Technology Group) 7,831 7,831 Loop Capital Markets 18,313 18,313 African American IL Mischler Financial Group Disabled Veteran Penserra Securities 1,911 1,911 Latino Weeden & Company 4,832 4,832 Fidelity Institutional Asset Management Autonomous Research ABG Sundal Collier Norge Asa Page 27 of 72

264 Exhibit 10 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - INTERNATIONAL EQUITIES Trades from January 1, 2015 through December 31, 2015 Commissions Net of Non-Direct Trading Investment Manager / Broker Total Commissions Paid MWBE Ownership ADM Investor Services International Barclays 6,339 6,339 BMO Capital Markets 2,575 2,575 BNP Paribas BTIG (Bass Trading International Group) 2,218 2,218 Canaccord Genuity Canada Cantor Fitzgerald 1,058 1,058 Carnegie Citigroup Global Markets 17,042 17,042 Credit Suisse 38,931 38,931 CIBC (Canadian Imperial Bank of Commerce) CLSA 7,392 7,392 Daiwa Securities Group 2,627 2,627 Danske Bank Desjardins Securities Deutsche Bank 36,133 36,133 DnB NOR Markets Dundee Securities 1,203 1,203 DBS Bank Exane 18,923 18,923 FirstEnergy Capital Goldman Sachs 27,100 27,100 Goodbody GMP Securities HSBC 3,285 3,285 Instinet 21,403 21,403 Investec Securities 3,474 3,474 ITG (Investment Technology Group) 26,983 26,983 Jefferies & Company 2,532 2,532 Joh. Berenberg, Gossler & Company 1,337 1,337 JonesTrading Institutional Services 6 6 JP Morgan Chase & Company 24,557 24,557 Kempen & Company Kepler Capital Markets Knight Execution & Clearing Services Liberum Capital Liquidnet 5,254 5,254 Loop Capital Markets 26,776 26,776 African American IL Macquarie Securities 13,062 13,062 MainFirst Merrill Lynch 15,730 15,730 Mitsubishi UFJ Securities Mizuho Securities 3,540 3,540 Morgan Stanley 6,281 6,281 National Bank Financial (Canada) Natixis Securities Americas Nordea Bank Oddo et Cie 1,222 1,222 Peel Hunt Penserra Securities 28,813 28,813 Latino Royal Bank of Canada 6,991 6,991 Sanford C. Bernstein 4,723 4,723 Headquarters (If Illinois Based) Page 28 of 72

265 Exhibit 10 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - INTERNATIONAL EQUITIES Trades from January 1, 2015 through December 31, 2015 Commissions Net of Non-Direct Trading Investment Manager / Broker Total Commissions Paid MWBE Ownership Scotia Capital 1,939 1,939 Skandinaviska Enskilda Banken Societe Generale Securities 3,559 3,559 State Street Global Markets Sumitomo Mitsui Banking Corporation 1,457 1,457 Svenska Handelsbanken TD Securities UBS 27,300 27,300 Williams Capital Group African American GlobeFlex Capital Bank of New York ConvergEx Execution 36,428 36,428 BTIG (Bass Trading International Group) 40,601 40,601 Cantor Fitzgerald 4,715 4,715 CLSA 30,535 30,535 Goldman Sachs 47,298 47,298 HSBC 10,950 10,950 Instinet 43,978 43,978 ITG (Investment Technology Group) 12,483 12,483 Jefferies & Company 38,180 38,180 M Ramsey King Securities 86,095 86,095 Female IL North South Capital 91,634 91,634 Female IL UBS 90,961 90,961 Herndon Capital Management Bloomberg Tradebook 13,833 13,833 Cheevers & Company 35,380 35,380 Female IL CAPIS (Capital Institutional Services) 4,150 4,150 Female Instinet 47,873 47,873 Loop Capital Markets 83,025 83,025 African American IL Progress Investment Management Auerbach Grayson & Company 2,221 2,221 Bank of China International Bank of New York ConvergEx Execution 1,832 1,832 Barclays Bloomberg Tradebook 4,409 4,409 BCP Securities Cabrera Capital Markets 8,275 8,275 Latino IL China International Capital 4,707 4,707 Citigroup Global Markets 3,814 3,814 Credit Suisse 3,644 3,644 CIBC (Canadian Imperial Bank of Commerce) CIMB-GK Securities Daewoo Securities 1,112 1,112 Daiwa Securities Group 12,005 12,005 Deutsche Bank 2,376 2,376 DBS Vickers Securities Exane 2,435 2,435 Goldman Sachs 4,058 4,058 Greentree Brokerage African American Instinet 9 9 ICAP Securities ITG (Investment Technology Group) JonesTrading Institutional Services 1,775 1,775 Headquarters (If Illinois Based) Page 29 of 72

266 Exhibit 10 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - INTERNATIONAL EQUITIES Trades from January 1, 2015 through December 31, 2015 Commissions Net of Non-Direct Trading Investment Manager / Broker Total Commissions Paid MWBE Ownership Keefe, Bruyette & Woods 1,009 1,009 Knight Execution & Clearing Services 2,075 2,075 Loop Capital Markets 39,877 39,877 African American IL Macquarie Securities 3,667 3,667 MainFirst Merrill Lynch 2,894 2,894 Morgan Stanley 3,716 3,716 Northern Trust Securities 34,743 34,743 IL Oppenheimer & Company Penserra Securities 9,518 9,518 Latino Robert W. Baird & Company Sanford C. Bernstein 5,160 5,160 Societe Generale Securities SG Americas Securities Telsey Advisory Group Female Themis Trading Vandham Securities Disabled Veteran Wallachbeth Capital 4,721 4,721 Williams Capital Group 1,904 1,904 African American XP Securities Strategic Global Advisors Cabrera Capital Markets 5,951 5,951 Latino IL Citigroup Global Markets 2,256 2,256 Credit Suisse 12,941 12,941 Goldman Sachs 16,745 16,745 Loop Capital Markets 5,767 5,767 African American IL Merrill Lynch 9,959 9,959 Morgan Stanley 12,738 12,738 Penserra Securities 5,032 5,032 Latino Total $ 1,515,931 $ 1,515,931 Headquarters (If Illinois Based) Page 30 of 72

267 Exhibit 11 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - INTERNATIONAL EQUITIES Trades from January 1, 2016 through March 31, 2016 Commissions Net Total Commissions Paid of Non-Direct Trading MWBE Amounts African American $ 37,662 $ 37,662 Latino 19,058 19,058 Asian Female 62,463 62,463 Disabled Veteran Native American - - Total MWBE Firms $ 120,252 $ 120,252 MWBE Per Cent of Total % % African American Latino Asian Female Disabled Veteran Native American Total MWBE Firms Illinois MWBE Amounts African American $ 36,430 $ 36,430 Latino Asian Female 61,893 61,893 Native American - - Total Illinois MWBE Firms $ 99,930 $ 99,930 Illinois MWBE Per Cent of Total % % African American Latino Asian Female Native American Total Illinois MWBE Firms Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Ativo Capital Management Andes Capital Group $ 951 $ 951 Asian American IL Bank of New York ConvergEx Execution 13,996 13,996 Cheevers & Company 11,389 11,389 Female IL Deutsche Bank 4,317 4,317 Divine Capital Markets Female ITG (Investment Technology Group) 1,047 1,047 Loop Capital Markets 14,013 14,013 African American IL Penserra Securities Latino Fidelity Institutional Asset Management Autonomous Research ADM Investor Services International Barclays 2,884 2,884 BMO Capital Markets BTIG (Bass Trading International Group) 1,288 1,288 Canaccord Genuity Canada Cantor Fitzgerald Citigroup Global Markets 3,696 3,696 Credit Suisse 9,529 9,529 CIBC (Canadian Imperial Bank of Commerce) CLSA Daiwa Securities Group Desjardins Securities Deutsche Bank 5,004 5,004 Exane 3,847 3,847 Goldman Sachs 5,199 5,199 Page 31 of 72

268 Exhibit 11 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - INTERNATIONAL EQUITIES Trades from January 1, 2016 through March 31, 2016 Commissions Net of Non-Direct Trading Investment Manager / Broker Total Commissions Paid MWBE Ownership HSBC Instinet 5,569 5,569 ITG (Investment Technology Group) 6,266 6,266 Jefferies & Company JP Morgan Chase & Company 4,800 4,800 KCG Holdings Liquidnet 1,095 1,095 Loop Capital Markets 7,337 7,337 African American IL Macquarie Securities 3,453 3,453 MainFirst Merrill Lynch 1,973 1,973 Mizuho Securities Morgan Stanley Nordea Bank Penserra Securities 4,925 4,925 Latino Raymond James & Associates Royal Bank of Canada Sanford C. Bernstein Scotia Capital Skandinaviska Enskilda Banken Societe Generale Securities Sumitomo Mitsui Banking Corporation TD Securities UBS 7,645 7,645 GlobeFlex Capital Bank of New York ConvergEx Execution 9,580 9,580 BTIG (Bass Trading International Group) 9,334 9,334 CLSA 11,327 11,327 Goldman Sachs 10,481 10,481 Instinet 18,789 18,789 ITG (Investment Technology Group) 4,953 4,953 Jefferies & Company 13,150 13,150 M Ramsey King Securities 20,430 20,430 Female IL North South Capital 30,074 30,074 Female IL UBS 15,658 15,658 Progress Investment Management Bloomberg Tradebook 2,811 2,811 Cabrera Capital Markets Latino IL Credit Suisse Guzman & Company 9,749 9,749 Latino Instinet Jefferies & Company 6,294 6,294 Liquidnet Loop Capital Markets 11,037 11,037 African American IL Macquarie Securities MainFirst Merrill Lynch 9,025 9,025 Morgan Stanley Northern Trust Securities 30,895 30,895 IL Penserra Securities Latino SG Americas Securities Themis Trading Topeka Capital Markets African American Vandham Securities Disabled Veteran Wallachbeth Capital 2,603 2,603 Williams Capital Group African American Strategic Global Advisors Credit Suisse 4,107 4,107 Jefferies & Company 4,035 4,035 Loop Capital Markets 4,043 4,043 African American IL Merrill Lynch 3,449 3,449 Morgan Stanley 3,585 3,585 Penserra Securities 2,361 2,361 Latino Total $ 374,668 $ 374,668 Headquarters (If Illinois Based) Page 32 of 72

269 Exhibit 12 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - GLOBAL EQUITIES Trades from January 1, 2015 through December 31, 2015 Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Amounts African American $ 77,870 $ 59,550 Latino 56,931 52,395 Asian - - Female 60,579 49,429 Disabled Veteran 46,781 46,781 Native American - - Total MWBE Firms $ 242,161 $ 208,155 MWBE Per Cent of Total % % African American Latino Asian Female Disabled Veteran Native American Total MWBE Firms Illinois MWBE Amounts African American $ 49,087 $ 38,048 Latino 55,692 52,068 Asian - - Female 7,064 7,064 Native American - - Total Illinois MWBE Firms $ 111,843 $ 97,180 Illinois MWBE Per Cent of Total % % African American Latino Asian Female Native American Total Illinois MWBE Firms Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Calamos Advisors Bank of America Securities $ 13,451 $ 13,451 Barclays BlockCross Holdings Bloomberg Tradebook 5,224 5,224 Cabrera Capital Markets 4,653 4,653 Latino IL Citigroup Global Markets 6,287 6,287 Credit Suisse 8,431 8,431 CLSA 9,932 9,932 Deutsche Bank 1,080 1,080 Exane 1,405 1,405 Goldman Sachs 1,991 1,991 Itau Securities 1,925 1,925 Page 33 of 72

270 Exhibit 12 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - GLOBAL EQUITIES Trades from January 1, 2015 through December 31, 2015 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) ITG (Investment Technology Group) Jefferies & Company 11,018 11,018 Jones & Associates JP Morgan Chase & Company 15,712 15,712 Keefe, Bruyette & Woods 3,104 3,104 Liquidnet M Ramsey King Securities 6,177 6,177 Female IL Piper Jaffray & Company Raymond James & Associates 3,309 3,309 Sanford C. Bernstein 4,808 4,808 TD Securities Wells Fargo Advisors 1,133 1,133 Williams Capital Group 3,528 3,528 African American Mondrian Investment Partners Cabrera Capital Markets 22,198 22,198 Latino IL Citigroup Global Markets 3,965 3,965 CLSA 4,806 4,806 Exane Goldman Sachs 5,033 5,033 Instinet 8,533 8,533 JP Morgan Chase & Company 5,110 5,110 Loop Capital Markets 8,125 8,125 African American IL Merrill Lynch 4,374 4,374 Mischler Financial Group 1,565 1,565 Disabled Veteran Morgan Stanley 1,222 1,222 Sanford C. Bernstein 18,795 18,795 UBS 6,050 6,050 T. Rowe Price Allen & Company 1,764 1,764 Asia Pacific Markets Program Autonomous Research 1,642 1,642 Avondale Partners ABG Sundal Collier Norge Asa Banco Itau Bank of America 5,850 5,850 Bank of America Securities 22,254 22,254 Bank of China International Barclays 9,341 9,341 Bell Financial Group / Bell Potter Blaylock Robert Van 4,282 2,076 African American Bloomberg Tradebook 2 2 Buckingham Research Group BBVA Bolsa S.V. S.A BMO Capital Markets 2,198 2,198 BNP Paribas BOE Securities 5, African American BTG Pactual 1,769 1,769 BTIG (Bass Trading International Group) Cabrera Capital Markets 13,984 10,360 Latino IL Canaccord Genuity Canada Carnegie Page 34 of 72

271 Exhibit 12 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - GLOBAL EQUITIES Trades from January 1, 2015 through December 31, 2015 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) CastleOak Securities African American Cheevers & Company Female IL Citigroup Global Markets 42,174 42,174 Cowen & Company Credit Agricole 6,944 6,944 Credit Suisse 30,187 30,187 CIMB-GK Securities CL King & Associates 10,986 - Female CLSA 6,603 6,603 CRT Capital Group Daiwa Securities Group 4,495 4,495 Danske Bank 4,195 4,195 Deutsche Bank 24,334 24,334 Dowling & Partners Evercore Partners 4,129 4,129 Exane 14,373 14,373 Fidentiis Equities S.V. S.A. 3,722 3,722 FBR Capital Markets Goldman Sachs 32,675 32,675 Guzman & Company Latino GMP Securities 1,068 1,068 Haitong Securities Company 6,148 6,148 HSBC 4,804 4,804 Investec Securities 1,239 1,239 ITG (Investment Technology Group) 3,901 3,901 Jefferies & Company 18,920 18,920 Joh. Berenberg, Gossler & Company Johnson Rice & Company JMP Securities JP Morgan Chase & Company 18,193 18,193 Keefe, Bruyette & Woods Kempen & Company 4,106 4,106 Kepler Capital Markets KeyBanc Capital Markets Knight Execution & Clearing Services Liberum Capital Liquidnet 4,021 4,021 Loop Capital Markets 11, African American IL Luminex Trading & Analytics Macquarie Securities 18,214 18,214 Mediobanca 2,821 2,821 Merrill Lynch 14,882 14,882 Mitsubishi UFJ Securities 2,013 2,013 Mizuho Securities 1,172 1,172 Morgan Stanley 29,839 29,839 N+1 Group (Nmas 1) 2,466 2,466 Natixis Securities Americas Nomura 9,919 9,919 Nordea Bank OTR Global Trading Piper Jaffray & Company 1,513 1,513 Page 35 of 72

272 Exhibit 12 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - GLOBAL EQUITIES Trades from January 1, 2015 through December 31, 2015 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Pulse Trading Rabo Securities Raymond James & Associates 1,645 1,645 Redburn Partners 1,577 1,577 Robert W. Baird & Company 2,660 2,660 RBC Capital Markets 13,148 13,148 Samsung Securities Sanford C. Bernstein 14,680 14,680 Scotia Capital 1,167 1,167 Skandinaviska Enskilda Banken Societe Generale Securities 4,446 4,446 State Street Bank & Trust State Street Brokerage Services Stifel, Nicolaus & Company 2,863 2,863 Sturdivant and Company African American SunTrust Robinson Humphrey 1,011 1,011 SMBC Nikko Securities Telsey Advisory Group 4,675 4,511 Female Themis Trading 1,232 1,232 TD Securities Union Gaming Advisors UBS 33,035 33,035 Wedbush Morgan Securities Weeden & Company Wells Fargo Advisors 1,769 1,769 William Blair & Company IL Williams Capital Group 7,804 7,804 African American Wolfe Trahan Securities Wellington Management Company Academy Securities 16,009 16,009 Disabled Veteran Allen & Company Auerbach Grayson & Company Autonomous Research Avondale Partners ABG Sundal Collier Norge Asa Bank of America 26,042 26,042 Barclays 6,383 6,383 Brean Murray, Carret & Co Burke & Quick Partners BB&T BMO Capital Markets 1,587 1,587 BNP Paribas 1,639 1,639 BNY Mellon BTG Pactual BTIG (Bass Trading International Group) 2,377 2,377 Cabrera Capital Markets 14,857 14,857 Latino IL Canaccord Genuity Canada 1,049 1,049 Cantor Fitzgerald Carnegie CastleOak Securities 6,399 6,399 African American China International Capital Page 36 of 72

273 Exhibit 12 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - GLOBAL EQUITIES Trades from January 1, 2015 through December 31, 2015 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Citigroup Global Markets 15,343 15,343 Clarkson Capital Markets 1,600 1,600 Cowen & Company 1,431 1,431 Craig-Hallum Credit Agricole 3,856 3,856 Credit Suisse 14,012 14,012 Cuttone & Company CL King & Associates 8,363 8,363 Female CRT Capital Group 7,743 7,743 Daiwa Securities Group Davy Capital Deutsche Bank 14,069 14,069 DnB NOR Markets Drexel Hamilton 27,108 27,108 Disabled Veteran DBS Vickers Securities Enskilda Securities 1,257 1,257 Exane 1,476 1,476 FBR Capital Markets Goldman Sachs 15,378 15,378 Guggenheim Capital Markets GMP Securities Handelsbanken Height Securities HSBC 5,205 5,205 ISI Group 2,106 2,106 ITG (Investment Technology Group) 4,197 4,197 Jefferies & Company 7,174 7,174 Jones & Associates 1,009 1,009 JP Morgan Chase & Company 15,059 15,059 Keefe, Bruyette & Woods Kepler Capital Markets 1,426 1,426 KeyBanc Capital Markets 2,709 2,709 Korea Investment & Securities Co Liberum Capital Liquidnet 3,525 3,525 Loop Capital Markets 29,675 29,675 African American IL Luminex Trading & Analytics 4 4 M Ramsey King Securities Female IL Macquarie Securities 11,990 11,990 MainFirst Mischler Financial Group 2,099 2,099 Disabled Veteran Mitsubishi UFJ Securities Mizuho Securities 1,424 1,424 Morgan Stanley 21,927 21,927 MKM Partners Natixis Securities Americas Nomura 6,138 6,138 Numis Oppenheimer & Company OTR Global Trading Penserra Securities Latino Page 37 of 72

274 Exhibit 12 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - GLOBAL EQUITIES Trades from January 1, 2015 through December 31, 2015 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Piper Jaffray & Company Pulse Trading Rabo Securities Raymond James & Associates 1,368 1,368 Redburn Partners 1,607 1,607 Renaissance Capital Robert W. Baird & Company RBC Capital Markets 3,128 3,128 Samsung Securities Sanford C. Bernstein 7,957 7,957 Santander Investment Securities Societe Generale Securities 1,643 1,643 Standard Bank of South Africa 1,343 1,343 State Street Global Markets Stephens Stifel, Nicolaus & Company Sumitomo Mitsui Banking Corporation 1,215 1,215 SunTrust Robinson Humphrey Susquehanna Financial Group Telsey Advisory Group 29,491 29,491 Female Tudor, Pickering, Holt & Co. Securities UBS 19,126 19,126 Weeden & Company Wells Fargo Advisors 2,445 2,445 William Blair & Company 1,714 1,714 IL Williams Capital Group African American Wolfe Trahan Securities Woori Investment & Securities Company Total $ 1,111,740 $ 1,077,734 Page 38 of 72

275 Exhibit 13 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - GLOBAL EQUITIES Trades from January 1, 2016 through March 31, 2016 Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Amounts African American $ 16,947 $ 11,898 Latino 8,454 6,509 Asian - - Female 16,653 8,344 Disabled Veteran 20,763 20,623 Native American - - Total MWBE Firms $ 62,817 $ 47,374 MWBE Per Cent of Total % % African American Latino Asian Female Disabled Veteran Native American Total MWBE Firms Illinois MWBE Amounts African American $ 13,926 $ 9,430 Latino 6,545 6,509 Asian - - Female 3, Native American - - Total Illinois MWBE Firms $ 23,795 $ 16,153 Illinois MWBE Per Cent of Total % % African American Latino Asian Female Native American Total Illinois MWBE Firms Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Mondrian Investment Partners Cabrera Capital Markets $ 5,871 $ 5,871 Latino IL Citigroup Global Markets CLSA 3,272 3,272 Instinet 3,137 3,137 JP Morgan Chase & Company Loop Capital Markets 5,745 5,745 African American IL Merrill Lynch Sanford C. Bernstein UBS T. Rowe Price Academy Securities 12 - Disabled Veteran Arqaam Capital 1,118 1,118 Autonomous Research Aviate Global Page 39 of 72

276 Exhibit 13 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - GLOBAL EQUITIES Trades from January 1, 2016 through March 31, 2016 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Bank of America 7,637 7,637 Barclays Bloomberg Tradebook BB&T 4 4 BBVA Bolsa S.V. S.A BMO Capital Markets BNP Paribas BOE Securities African American BTIG (Bass Trading International Group) Cabrera Capital Markets 36 - Latino IL Canaccord Genuity Canada Carnegie CastleOak Securities 69 - African American Cheevers & Company Female IL Citigroup Global Markets 11,495 11,495 Cowen & Company Credit Suisse 2,821 2,821 CL King & Associates 5, Female CLSA 4,471 4,471 CRT Capital Group 2,020 2,020 CV Brokerage Female Daiwa Securities Group 2,121 2,121 Danske Bank 5,957 5,957 Deutsche Bank 6,641 6,641 Drexel Hamilton Disabled Veteran Equita SIM S.p.A. (Euromobiliare) Evercore Partners 1,225 1,225 Exane 1,097 1,097 Goldman Sachs 18,943 18,943 Guzman & Company Latino HSBC 1,582 1,582 Investec Securities 3,636 3,636 ITG (Investment Technology Group) Jefferies & Company 4,700 4,700 JP Morgan Chase & Company 5,184 5,184 Keefe, Bruyette & Woods Kempen & Company Kepler Capital Markets 3,539 3,539 KeyBanc Capital Markets Leerink Swann & Company Liquidnet Loop Capital Markets 4,496 - African American IL Luminex Trading & Analytics M Ramsey King Securities 3, Female IL Macquarie Securities 2,349 2,349 MainFirst Mizuho Securities 1,171 1,171 Morgan Stanley 17,133 17,133 N+1 Group (Nmas 1) Natixis Securities Americas Nomura 3,334 3,334 Nordea Bank 2,180 2,180 Penserra Securities 1,471 - Latino Pulse Trading Page 40 of 72

277 Exhibit 13 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - GLOBAL EQUITIES Trades from January 1, 2016 through March 31, 2016 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Rabo Securities Raymond James & Associates Redburn Partners 5,956 5,956 Robert W. Baird & Company RBC Capital Markets 5,666 5,666 Samsung Securities Sanford C. Bernstein 3,135 3,135 Santander Investment Securities Societe Generale Securities State Street Bank & Trust Stephens Stifel, Nicolaus & Company SMBC Nikko Securities Telsey Advisory Group Female Themis Trading Topeka Capital Markets African American UBS 4,863 4,863 Weeden & Company Wells Fargo Advisors Williams Capital Group 2,574 2,468 African American Wellington Management Company Abel/Noser Academy Securities 7,554 7,554 Disabled Veteran Bank of America 6,432 6,432 Barclays 3,136 3,136 BMO Capital Markets 1,432 1,432 BTIG (Bass Trading International Group) Cabrera Capital Markets Latino IL Canaccord Genuity Canada Carnegie Citigroup Global Markets 5,708 5,708 Cowen & Company Credit Agricole 1,256 1,256 Credit Suisse 4,974 4,974 CIBC (Canadian Imperial Bank of Commerce) CL King & Associates 1,151 1,151 Female CRT Capital Group 1,194 1,194 Daiwa Securities Group Deutsche Bank 4,166 4,166 Drexel Hamilton 7,524 7,524 Disabled Veteran Equita SIM S.p.A. (Euromobiliare) Exane Goldman Sachs 3,828 3,828 Green Street Advisors Guggenheim Capital Markets Handelsbanken Height Securities HSBC Investec Securities ISI Group ITG (Investment Technology Group) 1,685 1,685 Jefferies & Company 2,250 2,250 Jones & Associates JMP Securities Page 41 of 72

278 Exhibit 13 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - GLOBAL EQUITIES Trades from January 1, 2016 through March 31, 2016 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) JP Morgan Chase & Company 5,002 5,002 Kepler Capital Markets KeyBanc Capital Markets Liquidnet Loop Capital Markets 3,685 3,685 African American IL Luminex Trading & Analytics Macquarie Securities 4,113 4,113 Mischler Financial Group 5,545 5,545 Disabled Veteran Mizuho Securities Morgan Stanley 9,049 9,049 MKM Partners Nomura 1,679 1,679 Oddo et Cie 1,844 1,844 Oppenheimer & Company Peters & Company 2,484 2,484 Piper Jaffray & Company Pulse Trading Raymond James & Associates Redburn Partners 1,400 1,400 Renaissance Capital Robert W. Baird & Company RBC Capital Markets Sanford C. Bernstein 2,082 2,082 ScotiaMcLeod Societe Generale Securities State Street Global Markets Stephens Stifel, Nicolaus & Company 1,152 1,152 Sumitomo Mitsui Banking Corporation SunTrust Robinson Humphrey Susquehanna Financial Group Telsey Advisory Group 5,693 5,693 Female UBS 5,187 5,187 Weeden & Company Wells Fargo Advisors Total $ 292,095 $ 276,652 Page 42 of 72

279 Exhibit 14 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - REITs Trades from January 1, 2015 through December 31, 2015 Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Amounts African American $ - $ - Latino - - Asian - - Female 139, ,478 Disabled Veteran - - Native American - - Total MWBE Firms $ 139,478 $ 139,478 MWBE Per Cent of Total % % African American Latino Asian Female Disabled Veteran Native American Total MWBE Firms Illinois MWBE Amounts African American $ - $ - Latino - - Asian - - Female 139, ,478 Native American - - Total Illinois MWBE Firms $ 139,478 $ 139,478 Illinois MWBE Per Cent of Total % % African American Latino Asian Female Native American Total Illinois MWBE Firms Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) CBRE Clarion Real Estate Securities ABN Amro $ 87 $ 87 Barclays 2,506 2,506 BMO Capital Markets 1,083 1,083 Cheevers & Company 139, ,478 Female IL Citigroup Global Markets 7,236 7,236 Commonwealth Securities Cowen & Company Credit Lyonnais 2,197 2,197 Credit Suisse 2,381 2,381 CLSA 3,211 3,211 Daiwa Securities Group Deutsche Bank 2,630 2,630 Page 43 of 72

280 Exhibit 14 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - REITs Trades from January 1, 2015 through December 31, 2015 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading DBS Vickers Securities Exane 2,026 2,026 Goldman Sachs 1,568 1,568 Green Street Advisors 4,668 4,668 Instinet ISI Group 3,133 3,133 Jefferies & Company 1,691 1,691 JMP Securities JP Morgan Chase & Company 8,431 8,431 Kempen & Company 3,308 3,308 KeyBanc Capital Markets Macquarie Securities 3,472 3,472 Merrill Lynch 5,207 5,207 Mitsubishi UFJ Securities Mizuho Securities 1,274 1,274 Moelis & Company Morgan Stanley 5,477 5,477 MKM Partners Oppenheimer & Company Raymond James & Associates Robert W. Baird & Company RBC Capital Markets Sandler O'Neil and Partners Societe Generale Securities 1,040 1,040 Stifel, Nicolaus & Company Sumitomo Mitsui Banking Corporation UBS 13,035 13,035 Wells Fargo Advisors 1,331 1,331 Total $ 223,938 $ 223,938 MWBE Ownership Headquarters (If Illinois Based) Page 44 of 72

281 Exhibit 15 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - REITs Trades from January 1, 2016 through March 31, 2016 Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Amounts African American $ - $ - Latino - - Asian - - Female 4,242 4,242 Disabled Veteran - - Native American - - Total MWBE Firms $ 4,242 $ 4,242 MWBE Per Cent of Total % % African American Latino Asian Female Disabled Veteran Native American Total MWBE Firms Illinois MWBE Amounts African American $ - $ - Latino - - Asian - - Female 4,242 4,242 Native American - - Total Illinois MWBE Firms $ 4,242 $ 4,242 Illinois MWBE Per Cent of Total % % African American Latino Asian Female Native American Total Illinois MWBE Firms Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) CBRE Clarion Real Estate Securities ABN Amro $ 53 $ 53 Barclays BMO Capital Markets Cheevers & Company 4,242 4,242 Female IL Citigroup Global Markets 2,582 2,582 Cowen & Company Credit Suisse CLSA 1,714 1,714 Daiwa Securities Group 1,086 1,086 Deutsche Bank 1,195 1,195 DBS Vickers Securities Evercore Partners 1,029 1,029 Exane Page 45 of 72

282 Exhibit 15 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - REITs Trades from January 1, 2016 through March 31, 2016 Investment Manager / Broker Total Commissions Paid Commissions Net of Non-Direct Trading Goldman Sachs Green Street Advisors 2,620 2,620 Instinet 1,703 1,703 Jefferies & Company 3,398 3,398 JMP Securities 1,260 1,260 JP Morgan Chase & Company 6,274 6,274 Kempen & Company 2,771 2,771 Macquarie Securities 2,445 2,445 Merrill Lynch 3,289 3,289 Mitsubishi UFJ Securities Mizuho Securities Moelis & Company Morgan Stanley 3,001 3,001 Oppenheimer & Company Raymond James & Associates 2,043 2,043 Robert W. Baird & Company Stifel, Nicolaus & Company 1,295 1,295 Sumitomo Mitsui Banking Corporation 1,314 1,314 UBS 6,676 6,676 Total $ 56,217 $ 56,217 MWBE Ownership Headquarters (If Illinois Based) Page 46 of 72

283 Exhibit 16 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - FIXED INCOME Trades from January 1, 2015 through December 31, 2015 Market Value Net of Total Market Value Non-Direct Trading MWBE Amounts African American $ 3,413,339,936 $ 3,413,339,936 Latino 208,271, ,271,104 Asian - - Female 157,219, ,219,553 Disabled Veteran 36,977,089 36,977,089 Native American - - Total MWBE Firms $ 3,815,807,682 $ 3,815,807,682 MWBE Per Cent of Total % % African American Latino Asian Female Disabled Veteran Native American Total MWBE Firms Illinois MWBE Amounts African American $ 629,099,517 $ 629,099,517 Latino 129,954, ,954,187 Asian - - Female - - Native American - - Total Illinois MWBE Firms $ 759,053,703 $ 759,053,703 Illinois MWBE Per Cent of Total % % African American Latino Asian Female Native American Total Illinois MWBE Firms Investment Manager / Broker Total Market Value Market Value Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Chicago Equity Partners Arbor Trading Group $ 7,504,500 $ 7,504,500 IL Bank of America 21,507,813 21,507,813 Cabrera Capital Markets 9,496,267 9,496,267 Latino IL Citigroup Global Markets 16,335,244 16,335,244 Deutsche Bank 30,150,354 30,150,354 First Tennessee 33,623,820 33,623,820 Goldman Sachs 92,478,105 92,478,105 JP Morgan Chase & Company 10,902,470 10,902,470 Loop Capital Markets 86,510,918 86,510,918 African American IL Morgan Stanley 38,855,268 38,855,268 Stifel, Nicolaus & Company 822, ,117 US Bancorp 2,803,614 2,803,614 Wells Fargo Advisors 811, ,658 Page 47 of 72

284 Exhibit 16 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - FIXED INCOME Trades from January 1, 2015 through December 31, 2015 Market Value Net of Non-Direct Trading Investment Manager / Broker Total Market Value MWBE Ownership Garcia Hamilton & Associates Alamo Capital 9,740,778 9,740,778 Female Brownstone Investment Group 2,901,325 2,901,325 BB&T 7,056,381 7,056,381 BNY Mellon 1,111,630 1,111,630 Cabrera Capital Markets 17,011,907 17,011,907 Latino IL Cantor Fitzgerald 6,447,404 6,447,404 CastleOak Securities 451, ,232 African American Credit Suisse 204, ,569 FTN Financial Capital Markets 11,458,192 11,458,192 Goldman Sachs 497, ,036 Great Pacific Securities 1,125,555 1,125,555 Disabled Veteran Indiana Merchant Banking and Brokerage 1,245,117 1,245,117 African American INTL FCStone 2,830,042 2,830,042 JP Morgan Chase & Company 7,639,006 7,639,006 Loop Capital Markets 14,179,847 14,179,847 African American IL Mischler Financial Group 26,301,859 26,301,859 Disabled Veteran Morgan Stanley 3,547,113 3,547,113 MFR Securities 9,685,987 9,685,987 Latino Female SecureVest Financial Group 133, ,440 Stephens 15,191,077 15,191,077 Wells Fargo Advisors 2,309,457 2,309,457 Williams Capital Group 458, ,886 African American LM Capital Group Cabrera Capital Markets 8,894,387 8,894,387 Latino IL CastleOak Securities 566, ,156 African American Citigroup Global Markets 1,042,500 1,042,500 Drexel Hamilton 1,954,055 1,954,055 Disabled Veteran Goldman Sachs 3,422,489 3,422,489 Loop Capital Markets 1,730,625 1,730,625 African American IL Mischler Financial Group 425, ,766 Disabled Veteran Morgan Stanley 8,450,936 8,450,936 MFR Securities 8,117,774 8,117,774 Latino Female Penserra Securities 2,078,529 2,078,529 Latino Rafferty Capital Markets 417, ,558 Wells Fargo Advisors 1,997,740 1,997,740 Williams Capital Group 2,855,616 2,855,616 African American Neuberger Berman Amherst Securities Group 3,294,495 3,294,495 Arbor Trading Group 2,339,572 2,339,572 IL Banca IMI Securities 5,253,570 5,253,570 Bank of America 103,403, ,403,960 Bank of New York ConvergEx Execution 241, ,207 Barclays 150,183, ,183,677 Blaylock Robert Van 3,999,956 3,999,956 African American BBVA Bolsa S.V. S.A. 578, ,317 BMO Capital Markets 3,203,376 3,203,376 BNP Paribas 49,205,725 49,205,725 Cantor Fitzgerald 1,140,470 1,140,470 CastleOak Securities 235,719, ,719,981 African American Citibank 86,491,740 86,491,740 Citigroup Global Markets 106,612, ,612,117 Credit Agricole 6,816,422 6,816,422 Credit Suisse 34,657,625 34,657,625 Headquarters (If Illinois Based) Page 48 of 72

285 Exhibit 16 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - FIXED INCOME Trades from January 1, 2015 through December 31, 2015 Investment Manager / Broker Total Market Value Market Value Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Danske Bank 7,860,245 7,860,245 Davy Capital 239, ,075 Deutsche Bank 20,249,537 20,249,537 First Tennessee 480, ,121 FTN Financial Capital Markets 1,913,733 1,913,733 Goldman Sachs 79,938,685 79,938,685 GX Clarke & Company 304, ,111 HSBC 6,182,408 6,182,408 Jefferies & Company 8,355,390 8,355,390 JP Morgan Chase & Company 24,220,215 24,220,215 Loop Capital Markets 202,613, ,613,664 African American IL Mesirow Financial 309, ,031 IL Mitsubishi UFJ Securities 4,519,418 4,519,418 Mizuho Securities 3,026,541 3,026,541 Morgan Stanley 118,282, ,282,782 Nomura 128,303, ,303,409 Royal Bank of Canada 35,461,752 35,461,752 Royal Bank of Scotland 10,872,109 10,872,109 RBC Capital Markets 79,360,465 79,360,465 Societe Generale Securities 1,398,956 1,398,956 Sterne Agee & Leach 753, ,963 SumRidge Partners 77,011 77,011 SunTrust Robinson Humphrey 902, ,456 Susquehanna Financial Group 350, ,295 TD Securities 956, ,157 UBS 4,710,537 4,710,537 US Bancorp 3,354,550 3,354,550 Wells Fargo Advisors 107,423, ,423,162 Williams Capital Group 32,995,387 32,995,387 African American Progress Investment Management Academy Securities 291, ,067 Disabled Veteran Alamo Capital 1,482,380 1,482,380 Female Amherst Securities Group 670, ,996 Arbor Trading Group 690, ,395 IL Auriga Securities 92,474 92,474 Banco do Brasil 96,560 96,560 Banco Santander 302, ,496 Bank of America 7,534,532 7,534,532 Bank of America Securities 3,778,022 3,778,022 Bank of New York ConvergEx Execution 94,154 94,154 Barclays 16,165,200 16,165,200 BondDesk Group 12,423 12,423 Brownstone Investment Group 743, ,536 BB&T 772, ,215 BCP Securities 12,587,619 12,587,619 BNP Paribas 1,590,056 1,590,056 Cabrera Capital Markets 40,536,525 40,536,525 Latino IL Cantor Fitzgerald 2,203,307 2,203,307 CastleOak Securities 134,395, ,395,234 African American Citigroup Global Markets 20,710,870 20,710,870 Credit Agricole 1,428,192 1,428,192 Credit Lyonnais 45,375 45,375 Credit Suisse 9,552,102 9,552,102 CL King & Associates 180, ,774 Female Page 49 of 72

286 Exhibit 16 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - FIXED INCOME Trades from January 1, 2015 through December 31, 2015 Investment Manager / Broker Total Market Value Market Value Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) CRT Capital Group 176, ,810 Danske Bank 200, ,000 Deutsche Bank 11,016,478 11,016,478 Drexel Hamilton 1,745,074 1,745,074 Disabled Veteran First Ballantyne 29,253 29,253 First Tennessee 481, ,863 FTN Financial Capital Markets 2,053,492 2,053,492 Goldman Sachs 8,381,819 8,381,819 Great Pacific Securities 100, ,793 Disabled Veteran GMP Securities 287, ,250 HSBC 2,725,673 2,725,673 Imperial Capital 219, ,609 ING Baring Securities 247, ,748 INTL FCStone 314, ,665 Janney Montgomery Scott 383, ,189 Jefferies & Company 1,599,501 1,599,501 JP Morgan Chase & Company 20,641,043 20,641,043 KeyBanc Capital Markets 605, ,401 KGS-Alpha Capital Markets 15,052 15,052 Loop Capital Markets 15,067,361 15,067,361 African American IL Merrill Lynch 4,270,602 4,270,602 Mesirow Financial 930, ,704 IL Mischler Financial Group 2,520,889 2,520,889 Disabled Veteran Mitsubishi UFJ Securities 484, ,574 Mizuho Securities 4,798,983 4,798,983 Morgan Stanley 25,941,829 25,941,829 Multi Trade Securities 244, ,878 Latino MFR Securities 4,598,985 4,598,985 Latino Female Oppenheimer & Company 1,817,733 1,817,733 Penserra Securities 502, ,694 Latino Pershing Securities 493, ,750 Piper Jaffray & Company 168, ,705 Raymond James & Associates 178, ,495 Robert W. Baird & Company 3,073,676 3,073,676 Royal Bank of Scotland 3,650,336 3,650,336 RBC Capital Markets 354, ,334 RBS Securities 786, ,377 RW Pressprich & Company 2,801,596 2,801,596 Santander Central Hispano 188, ,657 Scotia Capital 773, ,334 Seaport Group 180, ,000 Societe Generale Securities 512, ,678 Standard Bank of South Africa 300, ,000 Stephens 1,264,874 1,264,874 Sterne Agee & Leach 2,053,413 2,053,413 Stifel, Nicolaus & Company 2,091,378 2,091,378 SumRidge Partners 248, ,478 SunTrust Robinson Humphrey 176, ,518 Susquehanna Financial Group 127, ,950 SG Americas Securities 496, ,000 TD Securities 2,384,107 2,384,107 UBS 136, ,330 Wells Fargo Advisors 9,132,651 9,132,651 Williams Capital Group 13,951,905 13,951,905 African American Page 50 of 72

287 Exhibit 16 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - FIXED INCOME Trades from January 1, 2015 through December 31, 2015 Market Value Net of Non-Direct Trading Investment Manager / Broker Total Market Value MWBE Ownership Pugh Capital Management Bank of America 13,621,470 13,621,470 Barclays 6,815,632 6,815,632 BB&T 948, ,356 BNP Paribas 4,091,724 4,091,724 BNY Mellon 690, ,674 Cabrera Capital Markets 872, ,197 Latino IL Cantor Fitzgerald 3,570,154 3,570,154 CastleOak Securities 2,395,773 2,395,773 African American Citigroup Global Markets 6,008,318 6,008,318 Credit Suisse 2,972,569 2,972,569 Deutsche Bank 7,318,829 7,318,829 FTN Financial Capital Markets 1,086,292 1,086,292 Goldman Sachs 6,523,784 6,523,784 Jefferies & Company 3,276,801 3,276,801 JP Morgan Chase & Company 6,809,914 6,809,914 KeyBanc Capital Markets 1,549,936 1,549,936 Loop Capital Markets 37,503,844 37,503,844 African American IL MarketAxess 188, ,147 Mitsubishi UFJ Securities 2,385,492 2,385,492 Mizuho Securities 411, ,325 Morgan Stanley 9,345,094 9,345,094 Raymond James & Associates 867, ,387 Robert W. Baird & Company 2,053,026 2,053,026 RBC Capital Markets 4,096,554 4,096,554 RBS Securities 6,152,814 6,152,814 Scotia Capital 187, ,531 Seaport Group 194, ,375 Stephens 678, ,312 Stifel, Nicolaus & Company 1,342,917 1,342,917 SunTrust Robinson Humphrey 958, ,214 UBS 912, ,492 US Bancorp 3,935,984 3,935,984 Wells Fargo Advisors 7,712,820 7,712,820 Williams Capital Group 574, ,917 African American PIMCO Amherst Securities Group 206, ,533 Autonomous Research 227, ,788 ABN Amro 1,404,769 1,404,769 ANZ Securities 101, ,031 Banco Bilbao Vizcaya 1,379,642 1,379,642 Banco Bradesco 227, ,719 Banco Santander 11,769,040 11,769,040 Bank of America 43,179,917 43,179,917 Bank of Nova Scotia 6,160,315 6,160,315 Barclays 406,524, ,524,008 Brean Capital 13,069,301 13,069,301 BNP Paribas 11,522,304 11,522,304 BNY Mellon 3,042,129 3,042,129 Cantor Fitzgerald 4,479,516 4,479,516 CastleOak Securities 574,146, ,146,559 African American Citigroup Global Markets 333,323, ,323,362 Commerzbank 3,090,975 3,090,975 Credit Agricole 571, ,082 Headquarters (If Illinois Based) Page 51 of 72

288 Exhibit 16 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - FIXED INCOME Trades from January 1, 2015 through December 31, 2015 Investment Manager / Broker Total Market Value Market Value Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Credit Suisse 242,713, ,713,269 CIBC (Canadian Imperial Bank of Commerce) 304, ,267 Daiwa Securities Group 153,558, ,558,956 Danske Bank 15,275,451 15,275,451 Deutsche Bank 256,779, ,779,762 Goldman Sachs 340,605, ,605,058 HSBC 28,150,386 28,150,386 ISI Group 102, ,021 Jefferies & Company 90,995,165 90,995,165 JP Morgan Chase & Company 381,306, ,306,215 KGS-Alpha Capital Markets 504, ,610 Lloyds 328, ,691 Loop Capital Markets 258,184, ,184,237 African American IL Merrill Lynch 80,861,717 80,861,717 Mitsubishi UFJ Securities 7,024,258 7,024,258 Mizuho Securities 144,163, ,163,537 Morgan Stanley 193,147, ,147,175 Natixis Securities Americas 1,140,071 1,140,071 Navigate Advisors 1,874,250 1,874,250 Nomura 38,242,431 38,242,431 Oppenheimer & Company 81,690 81,690 Rabo Securities 166, ,900 Ramirez & Company 53,088,071 53,088,071 Latino Royal Bank of Canada 16,150,865 16,150,865 Royal Bank of Scotland 88,170,919 88,170,919 RBS Securities 21,901,668 21,901,668 Skandinaviska Enskilda Banken 13,480,886 13,480,886 Societe Generale Securities 5,235,957 5,235,957 Stephens 10,968,075 10,968,075 Sterne Agee & Leach 315, ,043 Stifel, Nicolaus & Company 1,280,667 1,280,667 SumRidge Partners 95,354 95,354 SunTrust Robinson Humphrey 4,214,115 4,214,115 SG Americas Securities 16,631,777 16,631,777 SMBC Nikko Securities 22,397,390 22,397,390 TD Securities 2,186,318 2,186,318 UBS 24,863,510 24,863,510 Wells Fargo Advisors 52,896,583 52,896,583 Smith Graham & Company Bank of America 9,752,679 9,752,679 Barclays 20,230,764 20,230,764 Brownstone Investment Group 210, ,308 Cabrera Capital Markets 15,534,010 15,534,010 Latino IL Cantor Fitzgerald 1,104,474 1,104,474 CastleOak Securities 12,728,420 12,728,420 African American Citigroup Global Markets 7,501,650 7,501,650 Credit Suisse 2,011,470 2,011,470 CAPIS (Capital Institutional Services) 15,375,622 15,375,622 Female CAPIS (Capital Institutional Svcs) 7,489,455 7,489,455 Daiwa Securities Group 3,313,458 3,313,458 Deutsche Bank 6,213,592 6,213,592 Goldman Sachs 4,190,513 4,190,513 Jefferies & Company 6,535,195 6,535,195 JP Morgan Chase & Company 3,957,232 3,957,232 Page 52 of 72

289 Exhibit 16 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - FIXED INCOME Trades from January 1, 2015 through December 31, 2015 Investment Manager / Broker Total Market Value Market Value Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) KeyBanc Capital Markets 288, ,613 Loop Capital Markets 1,137,352 1,137,352 African American IL MarketAxess 537, ,160 Morgan Stanley 6,430,051 6,430,051 SunTrust Robinson Humphrey 6,382,199 6,382,199 Susquehanna Financial Group 397, ,960 Wells Fargo Advisors 347, ,333 State Street Global Advisors Barclays 3,202,414 3,202,414 BMO Capital Markets 502, ,282 Cabrera Capital Markets 32,423,349 32,423,349 Latino IL Citigroup Global Markets 4,503,452 4,503,452 Deutsche Bank 10,595,957 10,595,957 Goldman Sachs 9,307,581 9,307,581 HSBC 499, ,625 JP Morgan Chase & Company 10,964,195 10,964,195 Merrill Lynch 10,231,759 10,231,759 Mischler Financial Group 2,512,031 2,512,031 Disabled Veteran Morgan Stanley 1,362,090 1,362,090 Nomura 499, ,406 TD Securities 749, ,743 Taplin, Canida & Habacht Bank of America 10,247,622 10,247,622 Barclays 2,790,264 2,790,264 Cabrera Capital Markets 5,185,547 5,185,547 Latino IL Cantor Fitzgerald 1,501,855 1,501,855 CastleOak Securities 11,434,178 11,434,178 African American Citigroup Global Markets 4,767,034 4,767,034 Credit Suisse 749, ,940 Deutsche Bank 1,571,063 1,571,063 First Tennessee 1,994,999 1,994,999 Goldman Sachs 6,513,103 6,513,103 HSBC 991, ,800 Jefferies & Company 1,493,252 1,493,252 JP Morgan Chase & Company 519, ,632 Loop Capital Markets 5,671,669 5,671,669 African American IL MarketAxess 860, ,480 Mizuho Securities 265, ,394 Morgan Stanley 2,002,710 2,002,710 Nomura 1,253,685 1,253,685 RBC Capital Markets 3,392,891 3,392,891 RBS Securities 679, ,239 Stifel, Nicolaus & Company 1,062,524 1,062,524 UBS 748, ,290 Wells Fargo Advisors 10,249,684 10,249,684 Williams Capital Group 6,996,102 6,996,102 African American TCW MetWest Advantage Futures IL Amherst Securities Group 17,900,000 17,900,000 ABN Amro 3,450,024 3,450,024 Bank of America Securities 81,344,893 81,344,893 Barclays 253,008, ,008,110 Brean Capital 2,373,958 2,373,958 BMO Capital Markets 371, ,000 Page 53 of 72

290 Exhibit 16 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - FIXED INCOME Trades from January 1, 2015 through December 31, 2015 Investment Manager / Broker Total Market Value Market Value Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) BNP Paribas 30,220,336 30,220,336 Cantor Fitzgerald 4,375,000 4,375,000 CastleOak Securities 1,749,325,000 1,749,325,000 African American Citigroup Global Markets 423,334, ,334,232 Credit Suisse 415,579, ,579,997 Daiwa Securities Group 7,010,000 7,010,000 Deutsche Bank 243,908, ,908,893 First Tennessee 2,420,000 2,420,000 Goldman Sachs 313,325, ,325,358 HSBC 26,034,993 26,034,993 Jefferies & Company 33,745,000 33,745,000 JP Morgan Chase & Company 361,292, ,292,617 KGS-Alpha Capital Markets 1,625,725 1,625,725 Lebenthal & Company 130,440, ,440,000 Female Loop Capital Markets 6,500,000 6,500,000 African American IL Merrill Lynch 66,000,000 66,000,000 Mizuho Securities 500, ,000 Morgan Stanley 54,474,241 54,474,241 Nomura 286,709, ,709,298 Pierpont Securities 6,335,000 6,335,000 PFPC Distributors 752, ,132 RBC Dain Rauscher 1,475,000 1,475,000 RBS Securities 101,605, ,605,000 RJ O'Brien & Associates IL Stifel, Nicolaus & Company 400, ,000 UBS 69,509,096 69,509,096 Wells Fargo Advisors 71,387,709 71,387,709 Total $ 11,828,293,647 $ 11,828,293,647 Page 54 of 72

291 Exhibit 17 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - FIXED INCOME Trades from January 1, 2016 through March 31, 2016 Market Value Net Total Market Value of Non-Direct Trading MWBE Amounts African American $ 797,550,132 $ 797,550,132 Latino 112,334, ,334,660 Asian - - Female 16,756,299 16,756,299 Disabled Veteran 20,986,108 20,986,108 Native American - - Total MWBE Firms $ 947,627,199 $ 947,627,199 MWBE Per Cent of Total % % African American Latino Asian Female Disabled Veteran Native American Total MWBE Firms Illinois MWBE Amounts African American $ 151,567,305 $ 151,567,305 Latino 64,394,610 64,394,610 Asian - - Female - - Native American - - Total Illinois MWBE Firms $ 215,961,916 $ 215,961,916 Illinois MWBE Per Cent of Total % % African American Latino Asian Female Native American Total Illinois MWBE Firms Investment Manager / Broker Total Market Value Market Value Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Chicago Equity Partners Bank of America $ 8,890,790 $ 8,890,790 Deutsche Bank 5,137,964 5,137,964 First Tennessee 5,056,585 5,056,585 Goldman Sachs 3,758,355 3,758,355 Loop Capital Markets 26,291,517 26,291,517 African American IL Morgan Stanley 17,533,696 17,533,696 Stifel, Nicolaus & Company 5,026,244 5,026,244 UBS 529, ,508 Wells Fargo Advisors 2,614,399 2,614,399 Garcia Hamilton & Associates Alamo Capital 5,647,066 5,647,066 Female Bank of Oklahoma 715, ,157 BB&T 2,189,655 2,189,655 Cabrera Capital Markets 19,332,766 19,332,766 Latino IL Page 55 of 72

292 Exhibit 17 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - FIXED INCOME Trades from January 1, 2016 through March 31, 2016 Market Value Net of Non-Direct Trading Investment Manager / Broker Total Market Value MWBE Ownership FTN Financial Capital Markets 10,411,716 10,411,716 INTL FCStone 4,005,714 4,005,714 KeyBanc Capital Markets 354, ,253 Loop Capital Markets 2,153,508 2,153,508 African American IL Mischler Financial Group 8,663,019 8,663,019 Disabled Veteran MFR Securities 10,091,395 10,091,395 Latino Female Penserra Securities 838, ,649 Latino SunTrust Robinson Humphrey 3,193,661 3,193,661 Williams Capital Group 9,863,443 9,863,443 African American LM Capital Group Bank of America 4,655,792 4,655,792 Cabrera Capital Markets 7,459,751 7,459,751 Latino IL Citigroup Global Markets 2,907,363 2,907,363 Deutsche Bank 1,829,195 1,829,195 Goldman Sachs 2,556,534 2,556,534 Janney Montgomery Scott 5,277,535 5,277,535 Loop Capital Markets 4,138,948 4,138,948 African American IL MarketAxess 553, ,766 MFR Securities 925, ,102 Latino Female Penserra Securities 2,501,397 2,501,397 Latino RBC Dain Rauscher 1,545,670 1,545,670 Williams Capital Group 1,510,621 1,510,621 African American Neuberger Berman Banca IMI Securities 1,610,915 1,610,915 Bank of America 19,148,456 19,148,456 Barclays 30,738,576 30,738,576 BMO Capital Markets 2,041,009 2,041,009 BNP Paribas 3,399,719 3,399,719 Cabrera Capital Markets 33,292,276 33,292,276 Latino IL CastleOak Securities 58,214,085 58,214,085 African American Citibank 1,802,595 1,802,595 Citigroup Global Markets 29,572,564 29,572,564 Credit Agricole 1,235,000 1,235,000 Credit Suisse 6,321,253 6,321,253 Deutsche Bank 3,541,555 3,541,555 Drexel Hamilton 825, ,000 Disabled Veteran Goldman Sachs 10,277,496 10,277,496 HSBC 1,217,784 1,217,784 Jefferies & Company 502, ,570 JP Morgan Chase & Company 2,841,783 2,841,783 Loop Capital Markets 36,289,473 36,289,473 African American IL Mitsubishi UFJ Securities 287, ,890 Morgan Stanley 18,695,120 18,695,120 Nomura 25,703,846 25,703,846 Royal Bank of Scotland RBC Capital Markets 22,231,067 22,231,067 TD Securities 704, ,428 UBS 1,463,901 1,463,901 Wells Fargo Advisors 22,707,487 22,707,487 Williams Capital Group 18,493,839 18,493,839 African American Progress Investment Management Alamo Capital 207, ,673 Female Amherst Securities Group 242, ,291 ADP Clearing & Outsourcing Services 1,881,162 1,881,162 Headquarters (If Illinois Based) Page 56 of 72

293 Exhibit 17 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - FIXED INCOME Trades from January 1, 2016 through March 31, 2016 Market Value Net of Non-Direct Trading Investment Manager / Broker Total Market Value MWBE Ownership Bank of America 349, ,695 Bank of America Securities 3,706,030 3,706,030 Barclays 3,652,480 3,652,480 Brean Capital 245, ,786 Brownstone Investment Group 90,412 90,412 BB&T 496, ,541 BCP Securities 1,131,863 1,131,863 BNP Paribas 1,357,430 1,357,430 BNY Mellon 82,687 82,687 BOSC 450, ,004 Cabrera Capital Markets 563, ,310 Latino IL Cantor Fitzgerald 185, ,676 CastleOak Securities 30,748,729 30,748,729 African American Citigroup Global Markets 2,738,316 2,738,316 Credit Suisse 99,200 99,200 CL King & Associates 384, ,681 Female Deutsche Bank 2,502,108 2,502,108 Drexel Hamilton 702, ,123 Disabled Veteran FTN Financial Capital Markets 1,328,300 1,328,300 Goldman Sachs 4,236,672 4,236,672 Great Pacific Securities 66,270 66,270 Disabled Veteran Guggenheim Capital Markets 464, ,959 HSBC 5,132,023 5,132,023 Imperial Capital 53,750 53,750 INTL FCStone 795, ,182 Janney Montgomery Scott 108, ,097 Jefferies & Company 200, ,435 JP Morgan Chase & Company 4,625,149 4,625,149 KeyBanc Capital Markets 243, ,679 Loop Capital Markets 2,987,095 2,987,095 African American IL Merrill Lynch 1,716,772 1,716,772 Mischler Financial Group 756, ,762 Disabled Veteran Mizuho Securities 70,709 70,709 Morgan Stanley 3,174,842 3,174,842 MFR Securities 3,801,383 3,801,383 Latino Female Oppenheimer & Company 365, ,487 Penserra Securities 90,253 90,253 Latino Pierpont Securities 25,365 25,365 Raymond James & Associates 149, ,777 Robert W. Baird & Company 875, ,929 RBC Capital Markets 382, ,906 RBS Securities 1,394,093 1,394,093 RW Pressprich & Company 407, ,669 Societe Generale Securities 159, ,577 Stifel, Nicolaus & Company 887, ,404 SunTrust Robinson Humphrey 22,007 22,007 SG Americas Securities 4,182,677 4,182,677 TD Securities 577, ,850 Wells Fargo Advisors 4,953,301 4,953,301 Williams Capital Group 36,222 36,222 African American Pugh Capital Management Bank of America 2,739,478 2,739,478 Barclays 1,178,407 1,178,407 BB&T 11,598 11,598 Headquarters (If Illinois Based) Page 57 of 72

294 Exhibit 17 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - FIXED INCOME Trades from January 1, 2016 through March 31, 2016 Market Value Net of Non-Direct Trading Investment Manager / Broker Total Market Value MWBE Ownership BNP Paribas 497, ,328 Cantor Fitzgerald 24,005 24,005 CastleOak Securities 716, ,126 African American Citigroup Global Markets 5,368,779 5,368,779 Credit Suisse 504, ,144 Deutsche Bank 2,186,573 2,186,573 Goldman Sachs 4,710,253 4,710,253 JP Morgan Chase & Company 6,213,228 6,213,228 KeyBanc Capital Markets 968, ,344 Loop Capital Markets 14,714,870 14,714,870 African American IL MarketAxess 159, ,716 Mitsubishi UFJ Securities 1,904,942 1,904,942 Mizuho Securities 160, ,240 Morgan Stanley 2,023,522 2,023,522 Raymond James & Associates 4,997 4,997 RBC Capital Markets 477, ,328 Seaport Group 576, ,816 Stifel, Nicolaus & Company 894, ,669 UBS 455, ,095 US Bancorp 3,876,616 3,876,616 Vining Sparks 665, ,672 Wells Fargo Advisors 3,080,269 3,080,269 PIMCO Alpha Capital Markets 2,096,174 2,096,174 Amherst Securities Group 177, ,412 Banca IMI Securities 1,937,554 1,937,554 Banco Santander 228, ,666 Bank of America 4,759,333 4,759,333 Barclays 80,811,847 80,811,847 Brean Capital 1,579,214 1,579,214 Brown Brothers Harriman & Company 25,193,638 25,193,638 BMO Capital Markets 1,798,486 1,798,486 BNP Paribas 16,501,436 16,501,436 BNY Mellon 2,983,703 2,983,703 Cabrera Capital Markets 596, ,803 Latino IL CastleOak Securities 599, ,762 African American Citigroup Global Markets 68,233,593 68,233,593 Commonwealth Securities 100, ,351 Credit Agricole 18,352,543 18,352,543 Credit Suisse 67,136,891 67,136,891 Daiwa Securities Group 3,856,667 3,856,667 Deutsche Bank 64,545,011 64,545,011 Goldman Sachs 88,160,357 88,160,357 Hilltop Securities 767, ,572 HSBC 21,340,246 21,340,246 ING Bank 986, ,301 Jefferies & Company 2,103,901 2,103,901 Jyske Bank 13,226,513 13,226,513 JP Morgan Chase & Company 84,491,654 84,491,654 Lloyds 4,004,575 4,004,575 Loop Capital Markets 38,991,894 38,991,894 African American IL Merrill Lynch 39,353,162 39,353,162 Millennium Advisors 210, ,346 Mizuho Securities 4,599,379 4,599,379 Headquarters (If Illinois Based) Page 58 of 72

295 Exhibit 17 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - FIXED INCOME Trades from January 1, 2016 through March 31, 2016 Market Value Net of Non-Direct Trading Investment Manager / Broker Total Market Value MWBE Ownership Morgan Stanley 49,893,189 49,893,189 Nathan Hale Capital 343, ,656 Nomura 20,109,506 20,109,506 Northern Trust Securities 5,638,878 5,638,878 IL Performance Trust Capital Partners 222, ,605 IL Ramirez & Company 29,691,870 29,691,870 Latino Raymond James & Associates 596, ,690 Royal Bank of Canada 23,626,325 23,626,325 Royal Bank of Scotland 213, ,600 RBC Capital Markets 129, ,774 RBS Securities 27,588,953 27,588,953 Seaport Group 1,119,987 1,119,987 Societe Generale Securities 210, ,840 State Street Bank & Trust 2,004,058 2,004,058 Stephens 58,736 58,736 Stifel, Nicolaus & Company 65,995 65,995 StormHarbour Securities 119, ,857 Susquehanna Financial Group 303, ,622 TD Securities 7,855,724 7,855,724 UniCredit Banca Mobiliare S.p.A. 5,401,931 5,401,931 UBS 19,570,563 19,570,563 Wedbush Morgan Securities 631, ,212 Wells Fargo Advisors 15,272,190 15,272,190 Westpac Group 3,437,333 3,437,333 Smith Graham & Company Bank of America 8,756,591 8,756,591 Barclays 6,196,570 6,196,570 Brownstone Investment Group 250, ,105 Cabrera Capital Markets 3,149,704 3,149,704 Latino IL Citigroup Global Markets 938, ,178 Credit Suisse 1,007,315 1,007,315 CAPIS (Capital Institutional Services) 10,516,879 10,516,879 Female Deutsche Bank 599, ,278 Goldman Sachs 2,534,861 2,534,861 INTL FCStone 401, ,559 Jefferies & Company 350, ,116 JP Morgan Chase & Company 1,953,446 1,953,446 SunTrust Robinson Humphrey 1,720,970 1,720,970 Wells Fargo Advisors 618, ,832 State Street Global Advisors Barclays 1,740,430 1,740,430 Citigroup Global Markets 220, ,314 Deutsche Bank 2,640,681 2,640,681 Goldman Sachs 3,856,896 3,856,896 JP Morgan Chase & Company 1,274,034 1,274,034 MarketAxess 251, ,367 Mischler Financial Group 9,972,935 9,972,935 Disabled Veteran Morgan Stanley 200, ,000 Nomura 451, ,898 TD Securities 249, ,500 TCW MetWest Amherst Securities Group 13,376,631 13,376,631 Bank of America Securities 9,765,000 9,765,000 Barclays 81,110,000 81,110,000 Headquarters (If Illinois Based) Page 59 of 72

296 Exhibit 17 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - FIXED INCOME Trades from January 1, 2016 through March 31, 2016 Market Value Net of Non-Direct Trading Investment Manager / Broker Total Market Value MWBE Ownership BMO Capital Markets 35,000 35,000 CastleOak Securities 525,800, ,800,000 African American Citigroup Global Markets 56,493,988 56,493,988 Credit Suisse 66,271,577 66,271,577 Deutsche Bank 32,580,000 32,580,000 Duncan-Williams 1,879,820 1,879,820 DA Davidson & Company 2,567,534 2,567,534 Goldman Sachs 123,351, ,351,583 HSBC 1,775,000 1,775,000 JP Morgan Chase & Company 53,479,239 53,479,239 KeyBanc Capital Markets 900, ,000 KGS-Alpha Capital Markets 3,220,000 3,220,000 Loop Capital Markets 26,000,000 26,000,000 African American IL Merrill Lynch 6,885,000 6,885,000 Morgan Stanley 6,950,000 6,950,000 Nomura 44,316,130 44,316,130 PFPC Distributors 51,748 51,748 RBC Dain Rauscher 17,123,713 17,123,713 RBS Securities 2,745,000 2,745,000 RJ O'Brien & Associates IL Sandler O'Neil and Partners 2,115,947 2,115,947 Stephens 1,185,200 1,185,200 UBS 24,865,057 24,865,057 Wells Fargo Advisors 16,280,000 16,280,000 Total $ 2,746,332,590 $ 2,746,332,590 Headquarters (If Illinois Based) Page 60 of 72

297 Exhibit 18 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - TIPS Trades from January 1, 2015 through December 31, 2015 Market Value Net of Total Market Value Non-Direct Trading MWBE Amounts African American $ 48,703,268 $ 48,703,268 Latino 31,374,534 31,374,534 Asian - - Female - - Disabled Veteran - - Native American - - Total MWBE Firms $ 80,077,802 $ 80,077,802 MWBE Per Cent of Total % % African American Latino Asian Female Disabled Veteran Native American Total MWBE Firms Illinois MWBE Amounts African American $ 14,448,265 $ 14,448,265 Latino 14,877,728 14,877,728 Asian - - Female - - Native American - - Total Illinois MWBE Firms $ 29,325,994 $ 29,325,994 Illinois MWBE Per Cent of Total % % African American Latino Asian Female Native American Total Illinois MWBE Firms Investment Manager / Broker Total Market Value Market Value Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Longfellow Investment Management Bank of America $ 5,099,603 $ 5,099,603 Barclays 7,752,682 7,752,682 CastleOak Securities 17,156,012 17,156,012 African American Credit Suisse 7,885,722 7,885,722 Morgan Stanley 7,798,365 7,798,365 Nomura 7,831,753 7,831,753 RBS Securities 10,438,832 10,438,832 New Century Advisors ANZ Securities 1,666,824 1,666,824 Banca IMI Securities 6,305,640 6,305,640 Bank of America 96,928,948 96,928,948 Barclays 130,951, ,951,051 BNP Paribas 4,837,313 4,837,313 Cabrera Capital Markets 14,877,728 14,877,728 Latino IL Citigroup Global Markets 9,683,518 9,683,518 Page 61 of 72

298 Exhibit 18 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - TIPS Trades from January 1, 2015 through December 31, 2015 Investment Manager / Broker Total Market Value Market Value Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Credit Suisse 2,126,438 2,126,438 Crews & Associates 125, ,585 Danske Bank 1,544,917 1,544,917 Deutsche Bank 32,897,034 32,897,034 First Ballantyne 327, ,206 First Tryon Securities 2,270,202 2,270,202 Goldman Sachs 5,997,218 5,997,218 HSBC 8,364,832 8,364,832 Imperial Capital 666, ,281 Incapital Securities 695, ,268 IL Janney Montgomery Scott 4,953 4,953 Jefferies & Company 3,599,023 3,599,023 Mesirow Financial 12,870,423 12,870,423 IL Morgan Stanley 22,776,699 22,776,699 Nomura 6,489,443 6,489,443 RBC Dain Rauscher 3,270,572 3,270,572 RBS Securities 1,517,430 1,517,430 Scotia Capital 6,614,549 6,614,549 Sierra Pacific Securities 848, ,791 Societe Generale Securities 54,767,204 54,767,204 SEB Enskilda 1,515,024 1,515,024 TD Securities 28,481,899 28,481,899 Wells Fargo Advisors 4,548,286 4,548,286 Westpac Group 9,260,180 9,260,180 PIMCO ANZ Securities 341, ,225 Banca IMI Securities 746, ,289 Banco Bilbao Vizcaya 1,540,091 1,540,091 Banco Santander 13,709,664 13,709,664 Bank of America 7,503,980 7,503,980 Bank of Nova Scotia 2,174,745 2,174,745 Barclays 106,239, ,239,725 BNP Paribas 5,437,449 5,437,449 CastleOak Securities 17,098,991 17,098,991 African American Citigroup Global Markets 30,481,334 30,481,334 Commerzbank 814, ,820 Credit Agricole 3,949,465 3,949,465 Credit Suisse 16,112,911 16,112,911 CIBC (Canadian Imperial Bank of Commerce) 440, ,077 Daiwa Securities Group 7,756,160 7,756,160 Deutsche Bank 42,411,989 42,411,989 Goldman Sachs 61,886,402 61,886,402 Guggenheim Capital Markets 99,977 99,977 HSBC 9,115,596 9,115,596 Itau Securities 48,438 48,438 Jefferies & Company 20,074,574 20,074,574 JP Morgan Chase & Company 20,477,782 20,477,782 Lloyds 210, ,041 Loop Capital Markets 14,448,265 14,448,265 African American IL Merrill Lynch 19,160,386 19,160,386 Mizuho Securities 10,099,938 10,099,938 Morgan Stanley 33,425,961 33,425,961 Nomura 8,699,516 8,699,516 Rabo Securities 419, ,063 Page 62 of 72

299 Exhibit 18 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - TIPS Trades from January 1, 2015 through December 31, 2015 Investment Manager / Broker Total Market Value Market Value Net of Non-Direct Trading MWBE Ownership Ramirez & Company 16,496,806 16,496,806 Latino Royal Bank of Canada 1,713,188 1,713,188 Royal Bank of Scotland 12,757,263 12,757,263 RBS Securities 14,276,932 14,276,932 Societe Generale Securities 544, ,800 SG Americas Securities 6,410,817 6,410,817 TD Securities 10,059,558 10,059,558 UniCredit Banca Mobiliare S.p.A. 1,527,578 1,527,578 UBS 14,820,545 14,820,545 Wells Fargo Advisors 7,615,013 7,615,013 Total $ 1,081,940,801 $ 1,081,940,801 Headquarters (If Illinois Based) Page 63 of 72

300 Exhibit 19 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - TIPS Trades from January 1, 2016 through March 31, 2016 Market Value Net of Total Market Value Non-Direct Trading MWBE Amounts African American $ 10,606,430 $ 10,606,430 Latino 12,438,102 12,438,102 Asian - - Female - - Disabled Veteran - - Native American - - Total MWBE Firms $ 23,044,532 $ 23,044,532 MWBE Per Cent of Total % % African American Latino Asian Female Disabled Veteran Native American Total MWBE Firms Illinois MWBE Amounts African American $ 3,099,372 $ 3,099,372 Latino 11,238,426 11,238,426 Asian - - Female - - Native American - - Total Illinois MWBE Firms $ 14,337,798 $ 14,337,798 Illinois MWBE Per Cent of Total % % African American Latino Asian Female Native American Total Illinois MWBE Firms Investment Manager / Broker Total Market Value Market Value Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) Longfellow Investment Management Bank of America $ 15,403,729 $ 15,403,729 CastleOak Securities 7,507,058 7,507,058 African American Credit Suisse 4,000,388 4,000,388 Jefferies & Company 1,502,426 1,502,426 Nomura 6,433,999 6,433,999 New Century Advisors ANZ Securities 1,622,567 1,622,567 Banca IMI Securities 1,712,018 1,712,018 Bank of America 17,385,800 17,385,800 Barclays 10,421,259 10,421,259 Cabrera Capital Markets 11,238,426 11,238,426 Latino IL Credit Agricole 3,405,715 3,405,715 Credit Suisse 7,443,186 7,443,186 Deutsche Bank 14,864,671 14,864,671 Page 64 of 72

301 Exhibit 19 Exhibit 10c STATE UNIVERSITIES RETIREMENT SYSTEM BROKERAGE COST REVIEW - TIPS Trades from January 1, 2016 through March 31, 2016 Investment Manager / Broker Total Market Value Market Value Net of Non-Direct Trading MWBE Ownership Headquarters (If Illinois Based) First Ballantyne 25,053 25,053 First Tryon Securities 417, ,422 HSBC 9,708,736 9,708,736 Incapital Securities 165, ,091 IL Mesirow Financial 6,809,000 6,809,000 IL Sierra Pacific Securities 606, ,719 Societe Generale Securities 6,011,274 6,011,274 Wells Fargo Advisors 1,679,266 1,679,266 Westpac Group 1,712,555 1,712,555 PIMCO Banco Santander 204, ,949 Bank of America 17,481,429 17,481,429 Barclays 3,727,168 3,727,168 Brown Brothers Harriman & Company 568, ,756 BNP Paribas 2,359,736 2,359,736 Citibank 60,913 60,913 Citigroup Global Markets 3,504,166 3,504,166 Commerzbank 597, ,566 Credicorp Capital Securities 137, ,335 Credit Suisse 7,914,342 7,914,342 Deutsche Bank 3,287,086 3,287,086 Goldman Sachs 13,399,761 13,399,761 Guggenheim Capital Markets 1,599,780 1,599,780 HSBC 1,113,834 1,113,834 Imperial Capital 96,022 96,022 Itau Securities 1,207,975 1,207,975 Jefferies & Company 1,893,523 1,893,523 JP Morgan Chase & Company 5,077,513 5,077,513 Loop Capital Markets 3,099,372 3,099,372 African American IL Merrill Lynch 4,300,753 4,300,753 Mizuho Securities 3,999,150 3,999,150 Morgan Stanley 2,129,880 2,129,880 Nomura 1,342,662 1,342,662 Northern Trust Securities 379, ,171 IL Nykredit Bank 217, ,647 Ramirez & Company 1,199,676 1,199,676 Latino Royal Bank of Canada 600, ,380 Royal Bank of Scotland 208, ,514 RBS Securities 2,190,082 2,190,082 Societe Generale Securities 3,819,013 3,819,013 UBS 3,816,388 3,816,388 Wells Fargo Advisors 1,624,835 1,624,835 Total $ 223,235,736 $ 223,235,736 Page 65 of 72

302 Exhibit 20 Exhibit 10c XIV. Emerging Investment Managers and Broker/Dealers The State Universities Retirement System of Illinois (SURS) is committed to providing opportunities for emerging investment managers and broker/dealers. SURS has taken and is continuing to take important and appropriate actions to provide increased opportunities for emerging investment managers, as well as minority-, female-, and persons with a disability-owned (MFDB) investment managers that have advanced beyond the statutory definition of emerging investment managers. 7 This program has been and will continue to be important to the SURS Board of Trustees and has received the highest priority. In determining the status of a business enterprise, SURS will use the definitions found in the Business Enterprise for Minorities, Females, and Persons with Disabilities Act, 30 ILCS 575/2(A), (B). The Illinois Pension Code, in 40 ILCS 5/ , encourages the trustees of the System to use emerging investment managers in managing the System's assets to the greatest extent feasible within the bounds of financial and fiduciary prudence, and to take affirmative steps to remove any barriers to the full participation of emerging investment managers in investment opportunities afforded by the System. Furthermore, in accordance with the Illinois Pension Code, SURS encourages its investment managers to use emerging investment managers as subcontractors when the opportunity arises. A. Goals for Utilization of Minority-, Female-, and Persons with a Disability- Owned (MFDB) Investment Management Firms It is the goal of the Board that, subject to its fiduciary responsibility, 20% of total assets be managed by emerging investment managers and MFDB investment managers. Further, an additional goal, subject to fiduciary responsibility, is that 25% of total actively managed investment assets be managed by emerging investment managers and MFDB investment managers. This goal shall be reviewed annually. SURS strives, on an ongoing basis, to improve and increase its relationships with and use of MFDB managers and broker/dealers. It is also the goal of the Board that, subject to its fiduciary responsibility, the use of MFDB investment managers be significant in each of the broad asset classes in which SURS is invested and not concentrated in any particular asset class. In accordance with 40 ILCS 5/ , SURS has established the following goals for the management of assets in specific asset classes by emerging investment managers. 8 The table that follows identifies utilization goals for actively managed 7 The phrase "emerging investment manager" is used throughout the text of this document. 40 ILCS 5/ (4) defines emerging investment manager to mean "a qualified investment adviser that manages an investment portfolio of at least $10,000,000 but less than $10,000,000,000 and is a minority owned business, female owned business or business owned by a person with a disability as those terms are defined in the Business Enterprise for Minorities, Females, and Persons with Disabilities Act ILCS 5/ requires the establishment of 3 separate goals for (i) emerging investment managers that are minority owned businesses; (ii) emerging investment managers that are female owned businesses; and (iii) emerging investment managers that are businesses owned by a person with a disability. Beginning January 1, 2016, per 40 ILCS 5/ (10), it shall be the aspirational goal for SURS to use emerging investment Page 66 of 72

303 Exhibit 10c assets in each of the major asset classes. While these objectives may not be immediately achieved, the desire is to show meaningful progress toward these goals over time. These goals shall be reviewed annually. Asset Class Goal for Minorities Goal for Females Goal for Persons with a Disability Overall Active Goal Equities 20% 10% 0-2% 30% Fixed Income 12% 8% 0-1% 20% (includestips) Alternative Investments 0-20% of new allocations 0-20% of new allocations 0-20% of new allocations 20% of new allocations Total Fund 16% 8% 1% 25% B. Minority-Owned Broker/Dealer Usage Policy The Board of Trustees of the State Universities Retirement System has an established policy that seeks increased participation of investment management firms owned by minorities, females, and persons with a disability. As part of this policy, the Board also adopts minimum expectations for the use of minority-owned broker/dealers 9 by the System s investment managers. Only trades executed directly with minority-owned broker/dealers will be considered in the achievement of these goals. Summary goals for the utilization of minority-owned broker/dealers have been established for the aggregate U.S. equity, non-u.s. equity and fixed income asset classes as shown in the table below. SURS seeks to consistently exceed these high level goals while achieving best execution. Asset Class Goal U.S. Equity 30.0% Non-U.S. Equity 15.0% Fixed Income 20.0% In order to achieve the goals at the asset class level, minimum expectations have been established for individual investment managers. These levels are based on the asset class in which the investment manager invests. SURS encourages its managers for not less than 20% of the total funds under management, and that not less than 20% of investment advisors be minorities, females, and persons with disabilities as those terms are defined in the Business Enterprise for Minorities, Femals, and Persons with Disabilities Act. 9 For purposes of this section and in accordance with 40 ILCS 5/ , minority-owned broker dealer means a qualified broker-dealer who meets the definition of minority owned business, female owned business, or business owned by a person with a disability, as those terms are defined in the Business Enterprise for Minorities Females, and Persons with Disabilities Act. Page 67 of 72

304 Exhibit 10c investment managers to strive to exceed the minimum expectations shown in the table that follows. Asset Class Minimum Expectation EQUITY Active U.S. Equity 30.0% Passive U.S. Equity 35.0% Structured Active U.S. Equity 10.0% Non-U.S. Equity 15.0% Structured Active Non-U.S. Equity 10.0% Global Equity 20.0% Real Estate Investment Trusts (REITS) 10.0% FIXED INCOME Fixed Income 20.0% Treasury Inflation-Protected Securities (TIPS) 10.0% U.S. Equity Separate Accounts Subject to best execution, active U.S. equity investment managers for SURS are required to direct 30% of the total eligible commission dollars to minority-owned broker/dealers. Trades executed using electronic trading platforms are excluded from this requirement. Subject to best execution, passive U.S. equity investment managers for SURS are required to direct 35% of the total eligible commission dollars to minority-owned broker/dealers. Trades executed using electronic trading platforms are excluded from this requirement. Structured Active U.S. Equity Separate Accounts Subject to best execution, structured active U.S. equity investment managers for SURS are required to direct 10% of the total eligible commission dollars or eligible trading volume to minority-owned broker/dealers. Trades executed using electronic trading platforms are excluded from the 10% requirement. Non-U. S. Equity Separate Accounts Subject to best execution, active non-u.s. equity investment managers for SURS are required to direct 15.0% of the total eligible commission dollars to minority-owned broker/dealers. Trades executed in emerging market countries 10 or using electronic trading platforms are excluded from this requirement. Structured Active Non-U.S. Equity Separate Accounts Subject to best execution, structured active non-u.s. equity investment managers for SURS are required to direct 10% of the total eligible commission dollars or eligible trading volume to minority-owned broker/dealers. Trades executed in emerging market countries or using electronic trading platforms are excluded from the 10% requirement. 10 As defined by Morgan Stanley Capital International Page 68 of 72

305 Exhibit 10c Global Equity Separate Accounts Subject to best execution, active global equity investment managers for SURS are required to direct 20.0% of the total eligible commission dollars to minority-owned broker/dealers, effective January 1, Trades executed in emerging market countries or using electronic trading platforms are excluded from the 20.0% requirement. Fixed Income Separate Accounts Subject to best execution, fixed income investment managers for SURS are required to direct 20% of eligible fixed income trading volume to minority-owned broker/dealers. Trades executed in emerging market countries or using electronic trading platforms are excluded from the minimum trading requirements. Treasury Inflation-Protected Securities (TIPS) Separate Accounts Subject to best execution, active TIPS investment managers for SURS are required to direct 10% of eligible TIPS trading volume to minority-owned broker/dealers. Trades executed in emerging market countries or using electronic trading platforms are excluded from the minimum trading requirements. Real Estate Investment Trust Securities (REITS) Separate Accounts Subject to best execution, active REITS investment managers for SURS are required to direct 10% of the total eligible commission dollars to minority-owned broker/dealers. Trades executed in emerging market countries or using electronic trading platforms are excluded from this requirement. Reporting Guidelines Each investment manager will submit a compliance report within 30 days after March 31, June 30, September 30 and December 31 of each year. Reporting will be monitored over a rolling twelve-month period. Consequences of Non-Compliance SURS continuously monitors investment managers compliance with this policy and has established a series of consequences for those investment managers who continually fail to meet expectations. The investment managers are expected to achieve the desired levels over rolling twelve-month periods. The following steps will occur if the investment manager continues to fall short of expectations: 1) A follow-up letter will be distributed to the investment manager not achieving the minimum level of minority-owned broker/dealer usage. The investment manager will be reminded of the usage expected by SURS. Currently, as stated in the Annual Report to the Governor and General Assembly on the Use of Emerging Investment Managers, prepared as required in Public Act , a letter is distributed to all of the investment managers on an annual basis listing the level of expectations. 11 The minimum expectation for global equity investment managers increases from 17.5% to 20.0%, effective January 1, Page 69 of 72

306 Exhibit 10c 2) Not achieving the desired level of minority-owned broker/dealer usage will be noted in the annual investment manager review presented to the SURS Board of Trustees. This could impact the evaluation of the firm. 3) SURS Staff will conduct a meeting with the investment manager to discuss the reasons for not achieving the desired level of trading. 4) Investment managers not achieving the expected levels of broker/dealer usage may be subject to a moratorium on additional funding. 5) If an investment manager fails to comply with the request, they may be invited to appear before the SURS Board of Trustees to explain why they are unable to achieve the desired level of trading. C. Manager Diversity Program Objectives and Goals The State Universities Retirement System (SURS) has implemented the Manager Diversity Program (MDP), formerly known as the Manager Development Program, in its proactive efforts to assist in the development of emerging investment management firms. The Manager Diversity Program is a manager of managers program that is overseen by SURS Staff. The primary goal of the MDP is identifying highly successful minority-, female-, and persons with a disability-owned (MFDB) investment managers that can then be awarded meaningful allocations in the actively managed portfolio. The performance objective of the MDP is to seek annualized investment returns, net of investment management fees, in excess of the market goal for 1, 3, 5, and 10-year periods. While individual investment managers may underperform in any given year, the diversification within the program should limit the underperformance at the program level. Benchmarks The Manager Diversity Program consists of five broad components, each of which is measured by a relevant benchmark. The table below identifies the benchmark for each program component. Individual investment manager benchmarks are identified in the investment guidelines for each investment manager. MDP Component Benchmark Overall Program Custom - based on the benchmarks of the underlying MDP components U.S. Equity Custom - based on the benchmarks of the underlying investment managers Fixed Income (includes TIPS) Custom based on the benchmarks of the underlying investment managers Non-U.S. Equity Custom based on the benchmarks of the underlying investment managers Private Equity Dow Jones U.S. Total Stock Market Index + 3% Real Estate NCREIF Fund Index - Open End Diversified Core Equity (NFI-ODCE) + 1.5% Page 70 of 72

307 Exhibit 10c Search and Selection Process For searches affiliated with the SURS Manager Diversity Program (MDP), the Investment Staff conducts the search process with the Consultant providing an independent evaluation of the program annually. The criteria used to determine the minimum qualifications of firms to be selected for an assignment are the same as the criteria generally applicable to investment manager selection, discussed in Section VIII(B), entitled Investment Manager Selection. Using the criteria established by the Board of Trustees, the top firms are selected using a competitive proposal process based upon the experience and qualifications of the firm s principals, the soundness of the firm s investment philosophy and process, as well as the strength of the investment record and organization. The search process for investment manager(s) shall be conducted in a substantially similar manner to that of the Consultant search process, discussed in Section VIII(A), entitled Consultant Selection and Retention, except that the Consultant may assist SURS staff in the search process. It is important to note that SURS does not use any criteria that would be considered a barrier to an emerging investment manager such as a minimum number of years in business or a minimum asset level under management. As a part of the selection process, SURS utilizes databases to ensure that qualified emerging investment managers are included in the pool of eligible candidates. Investment Manager Evaluation Investment managers in the MDP will be evaluated in the same manner as that set forth in Section VIII (Selection and Retention). Termination decisions will follow the guidelines set forth in Section X (Investment Manager Termination Guidelines). An evaluation of each investment manager shall be conducted annually. Authority to Hire/Retain/Terminate Investment Managers The MDP is a manager of managers program overseen by SURS staff. As such, SURS Staff has the responsibility to identify, recruit, and monitor MDP investment managers. SURS Staff will make recommendations on the selection, retention and termination of MDP investment managers, but the Board (acting through its Investment Committee) reserves the ultimate authority with respect to all investment manager hiring, retention and termination decisions. The SURS Staff has the responsibility to implement the Board decisions through negotiation, execution and enforcement of the investment management agreement and guidelines. All investment management agreements and amendments thereto must be executed by the Executive Director. In the event that termination of an investment manager is warranted under the Investment Manager Termination Guidelines, and prompt termination of the investment manager is necessary to protect and preserve System assets, SURS Staff may, with the prior approval of the Executive Director, terminate the investment manager prior to Board action. The Board shall be promptly notified of the decision to terminate the investment manager, and the decision shall be presented to the Investment Committee for ratification at its next meeting. Retention and termination decisions will be fully documented and will include a full Page 71 of 72

308 Exhibit 10c description of the reason for the action, including the specific elements serving as the basis for the evaluation and identification of the relevant issues from the System s perspective. SURS Staff has the authority to rebalance between MDP investment managers in order to maintain target allocations and style neutrality in each component of the MDP. Staff will report the results of rebalancing activity to the Investment Committee at the next regular Investment Committee meeting. Advancement The following factors are considered in determining when an investment manager should be advanced into the larger SURS portfolio: Stability in Organization Growth in Assets under Management Confidence in Investment Process Strong Investment Performance Product Fit In addition to the factors mentioned above, the needs of the overall SURS investment program will be considered. Initially adopted December 8, 2006; Revised April 26, 2007; September 21, 2007; September 12, 2008; April 23, 2009; September 11, 2009; December 2, 2009; September 3, 2010; September 16, 2011; October 25, 2012; September 13, 2013, September 19, 2014; September 11, Page 72 of 72

309 Exhibit 11 State Universities Retirement System of Illinois (IL SURS) Quarter Ending June 30, 2016 Investment Performance Analysis August 2016 Doug Moseley, Partner Kristin Finney-Cooke, CAIA, Sr. Consultant Kevin Leonard, Partner DeAnna I. Jones, Sr. Analyst

310 Exhibit 11 NEPC Update 1

311 Exhibit 11 NEPC Updates Highlights of Second Quarter Happenings at NEPC June 30, 2016 NEPC Research Recent White Papers Thinking Ahead to Stay Ahead: Strategic Private Equity Investing in Healthcare (April 2016) Market Chatter: Implications of Brexit (June 2016) Market Chatter: Brexit What Now? (June 2016) The Disease of Doubt (July 2016) Webinar Brexit - A Vote for Volatility (June 2016); Panel provides perspectives on the EU Referendum. NEPC s 21 st Annual Investment Conference Excellent breadth of materials, plenty of concurrent sessions, and the speakers were vibrant and humorous! is just one of many positive reviews from attendees. The conference attracted more than 200 people to the Hynes Convention Center in Boston on May 10-11, News from NEPC We are excited to announce NEPC s active presence on five social media channels: Facebook, Google+, LinkedIn, Twitter and YouTube, and we will continue to post on the Endowments and Foundations Twitter. We will be using these online channels to share company news, information and articles throughout the industry. Those interested in keeping up with the latest news from NEPC can follow our accounts. Company news and industry insights will continue to be available on our website, which has been updated with a new optimized search feature. Upcoming Events NEPC s 22 nd Annual Investment Conference will be held on May 9-10, 2017 at the InterContinental Hotel in Boston, MA. NEPC Client Recognitions We are pleased to announce that three of NEPC s public fund clients won Institutional Investor (II) Awards. Arn Andrews, CIO of San Jose Police & Fire, won the award for Chief Investment Officer of the Year. Sam Masoudi, CIO of Wyoming Retirement System, won the award for Opportunistic Investment Strategies Award. Bob Jacksha, CIO of New Mexico Employees Retirement Board, won the award for Portfolio Construction. We are also pleased to announce that two NEPC clients, San Bernardino County Employees' Retirement System and Arizona Public Safety Personnel Retirement System, were nominated for Institutional Investor magazine's 14th Annual Hedge Fund Industry Awards in the Public Plan of the Year, Small category. 2

312 Exhibit 11 Market Environment 3

313 Exhibit 11 SECOND QUARTER 2016 VOLUME 42 Quarterly EQUITY INDICATOR Quarterly BOND INDICATOR Quarterly HEDGE FUND INDICATOR Quarterly PENSION LIABILITY INDICATOR Up 0.3% Up 2.2% Up 0.6% Up 7.2% NEPC is an independent, full service investment consulting firm, providing asset allocation, traditional and alternative asset manager search, performance evaluation and investment policy services to institutional investment programs. We offer our market letters to provide insight into recent market conditions, and to assist your interpretation of investment results. We encourage your comments and feedback, as well as any inquiries you may have about our firm or our consulting services. THE BREXIT CLUB: THOUGHTS ON POLITICAL RISK AND THE MARKET RALLY Introduction Markets witnessed quite a surprise in the second quarter as the United Kingdom voted to leave the European Union. Concerns of increased political risk in the UK and Europe briefly jolted equity and currency markets across the globe. Risk assets sharply sold off but quickly reversed as market concerns abated. US markets followed suit and ultimately continued their rally as the S&P 500 ended the quarter up 2.5% and US high yield bonds rose 5.5% (Exhibit 1). Outside the US, emerging markets demonstrated resiliency to finish the quarter in positive territory. Developed market equities modestly recovered with the MSCI EAFE down only 1.5%. Meanwhile, developed market government bond yields marched lower to record levels: 10-year UK yields declined 60 basis points and the US Treasury yield fell below 1.5%. While in Germany and Japan, yield curves extended further into negative terrain. Exhibit 1: 2016 US Equity Performance The fleeting shock of the United Kingdom s EU referendum vote has now passed with equities in 15% the US and UK pushing beyond record highs. Yet a S&P 500 Index YTD Cumulative Return lingering question remains following the Brexit 10% Russell 2000 YTD Cumulative Return vote. What would motivate voters in the United 5% Kingdom to walk away from over 40 years of economic and political orthodoxy? Political scientists 0% will dissect the outcome for years to come but for many UK voters the culmination of low growth and 5% limited wage gains manifested itself as a populist fervor against the establishment. This voter psychology 10% in the UK likely resonates broadly among the developed world. In the years following the 15% 2008 Global Financial Crisis, subdued economic growth and economic uncertainty have given rise 20% Jan 16 Feb 16 Mar 16 Apr 16 May 16 Jun 16 Jul 16 to increased political dissent. Irrespective of political orientation, the fault lines of secular low wage gains and income inequality has eroded the established Source: Bloomberg political order across the developed world. While the ramifications of greater political dissent are unknown, political risk is likely to remain an ongoing concern for financial markets. In contrast to the emerging markets, investors are generally unfamiliar with material political risk in developed markets. Nevertheless, the course of action is the same for the two markets during times of elevated stress. We encourage investors to look past the political risk with a focus on long-term fundamentals and objectively assess the valuation opportunities offered by a market. To this end, we believe equity markets in Europe and Japan provide a favorable return outlook with attractive valuations relative to the US. The unprecedented central bank support in Europe and Japan provides a positive backdrop of improved corporate earnings and elevated risk premia, supporting an overweight equity position. For investors implementing a partial strategic currency hedge, we recommend a larger overweight as developed market currency risk is largely an uncompensated one. While NEPC, LLC 255 State Street, Boston, MA Phone: Fax:

314 in the emerging markets, recent strength in equities and currencies reinforces the commitment to both equity and fixed income allocations. These markets continue to offer reasonable equity valuations, undervalued currencies, and high real interest rates relative to the developed world. We encourage investors to maintain current targets as we believe future return expectations in the emerging markets adequately compensate investors relative to longterm risks. In the US, equity and credit markets have rallied considerably from the lows seen in February. At that time, domestic stocks and high-yield bonds offered a compelling entry point for investors. Subsequently, high yield credit spreads have fallen to long-term averages while the rapid ascension of US equity prices has pushed valuation multiples to their upper ranges relative to history (Exhibit 2). In light of this, we believe the risk-return profile of high yield remains attractive but we recommend investors trim their exposure to US equity. NEPC has long advocated the benefits of a disciplined rebalancing approach. This holds true today for US stocks, as a process of reducing exposure to assets that have outperformed expectations and increasing exposure to assets that have underperformed are fundamental to our investment philosophy. Rebalancing opportunities can also be found in developed market government bond exposure. Japan and many European yield curves are deeply negative with 30 year rates hovering near zero. As such, we recommend investors review their exposure to benchmark focused global bond strategies and look to eliminate Citigroup World Government Bond Index (WGBI) based strategies. While US interest rates have rallied significantly in 2016, US duration continues to hold a vital place in a diversified risk balanced portfolio. That being said, we encourage investors to reaffirm their duration exposure. For liability driven investors, this includes rebalancing both long Treasuries and long credit while reviewing hedge ratio targets. Similarly, we encourage total return investors to trim long Treasuries and risk parity exposure following recent outsized gains. Furthermore, with long-term inflation expectations near historical lows, we recommend investors preserve US duration exposure with a strong bias towards TIPS over US core bonds. Global Equity The S&P 500 managed to end June modestly positive and returned 2.5% in the second quarter. The Russell 2000 had a strong quarter as 9 out of the 10 economic sectors registered positive returns. From a sector basis, the more defensive sectors led the market higher with Energy, Telecommunications, Utilities and Health Care. Sectors lagging in the quarter were Consumer Discretionary, Information Technology, and Industrials. Equity Index Returns as of 6/30/2016 Global Equity Quarter 1 Year 3 Yrs 5 Yrs MSCI World 0.3% -4.7% 4.9% 4.4% US Equity Quarter 1 Year 3 Yrs 5 Yrs S&P % 4.0% 11.7% 12.1% Dow Jones Industrial Average 1.4% 1.8% 6.3% 7.6% NASDAQ Composite -0.6% -2.9% 12.5% 11.8% Russell 1000 Growth 0.6% 3.0% 13.1% 12.3% Russell 1000 Value 4.6% 2.9% 9.9% 11.4% Russell % -6.7% 7.1% 8.4% Russell 2000 Growth 3.2% -10.8% 7.7% 8.5% Russell 2000 Value 4.3% -2.6% 6.4% 8.1% International Equity Quarter 1 Year 3 Yrs 5 Yrs MSCI EAFE -1.5% -10.2% 2.1% 1.7% MSCI Emerging Markets 0.7% -12.1% -1.6% -3.8% MSCI Europe -2.7% -11.2% 2.0% 1.0% MSCI UK -0.7% -12.1% 0.7% 1.7% MSCI Japan 1.0% -8.9% 2.7% 4.2% MSCI Far East 1.0% -9.3% 2.8% 4.0% Exhibit 11 Exhibit 2: Historical Distribution of S&P 500 Forward P/E Forward P/E Source: Bloomberg Valuation Deciles Cheapest Valuation > Most Expensive Valuation NEPC, LLC 255 State Street, Boston, MA Phone: Fax: Current Across the developed world, equity markets declined following the UK s decision to leave the EU before rallying in the final days of the quarter. Ireland and Italy led developed markets lower, selling off 9.9% and 9.7% respectively. In local terms, Japanese equity markets declined nearly 7%. While, for US dollar investors, Japan equities returned a positive 1% as the Yen approached a 2 year high against the dollar. The Yen has rallied considerably for the year and continues to benefit from its perceived safe-haven status. Similar to the US, energy was the top sector in developed markets, returning roughly 11.5% while consumer discretionary stocks were one of the weakest returning -8.2% for the quarter. Within emerging markets, investors looked past the Brexit fears and recognized ongoing positive developments. Latin America was a particular focus, where favorable election results in Peru and further progress in the impeachment process in Brazil led to those markets returning 16.9% and 13.3%, respectively. In contrast, China equi-

315 ty markets continued to waver, trailing the broader benchmark with a return of -1.7%. From a sector perspective, consumer staples stocks performed the best, returning 4.2% for the quarter. Global Fixed Income The second quarter illustrated the current dichotomy within fixed income: safe-haven assets rallied significantly, while risky assets also outperformed as investors continued to search for yield. Globally, the 10 year German bund broke into negative territory, falling 28 bps to -0.13%. In Japan, 10-year bond yields continued to move lower, settling at -0.22%. At home, the U.S. 10 year Treasury yield compressed 29 bps, nearing its all-time low at 1.49%. The Barclays Aggregate returned 2.2%, while US High Yield returned 5.5% for the quarter. Overall, credit was broadly supported by lower quality sectors. Non-credit risk assets also performed well, as emerging market local debt returned 2.7% in the quarter with a strong rebound in June of 5.9%. For the year, emerging local debt remains one of the best performing risk assets in fixed income, returning over 14%. Currency Markets Leading up to the UK referendum in late June, currency movements were mixed as the likelihood of a remain vote was expected. Following the surprise Brexit decision, currency pairs were extremely volatile as the US dollar and Japanese yen rallied substantially. Demand flowed into safe haven currencies as the British pound depreciated heavily with double digit percentage declines on the day following the UK referendum. Emerging market currency returns were mixed in the second quarter with many currencies benefitting from higher commodity prices and positive political developments. As stated in previous Market Thoughts, currency markets are likely to exhibit heightened volatility and we encourage investors to strategically hedge a portion of their developed market currency exposure. Exhibit 11 Fixed Income Index Returns as of 6/30/2016 Global Fixed Income Quarter 1 Year 3 Yrs 5 Yrs Citi WGBI 3.4% 11.3% 2.6% 1.2% JPM EMBI Plus 6.0% 13.2% 7.1% 6.4% Domestic Fixed Income Quarter 1 Year 3 Yrs 5 Yrs BC Aggregate Bond 2.2% 6.0% 4.1% 3.8% BC US Agg. Treasury 2.1% 6.2% 3.5% 3.5% BC US Credit 3.5% 7.6% 5.3% 5.2% BC Mortgage Backed 1.1% 4.3% 3.8% 3.0% BC Interm. Gov't/Credit 1.6% 4.3% 3.0% 2.9% BC 1-10 Yr TIPS 1.3% 3.3% 1.6% 1.6% BC High Yield 5.5% 1.6% 4.2% 5.8% S&P LSTA Lev. Loan 2.9% 0.9% 2.8% 3.8% 3 Month T-Bills 0.1% 0.1% 0.1% 0.1% 10-Year Bond Yields Mar-16 Dec-15 Mar-15 Mar-14 US 1.5% 1.8% 2.4% 2.5% Germany -0.1% 0.2% 0.8% 1.2% UK 0.9% 1.4% 2.0% 2.7% Japan -0.2% 0.0% 0.5% 0.6% Commodity Markets Commodities posted another strong quarter as the Bloomberg Commodity Index s 12.8% return represented the best quarterly return for the index since In the energy sector, oil prices continued to recover breaching $50 despite an overhang in US inventories. Among precious metals, gold prices benefited from a demand for safe haven assets and expectations the Federal Reserve would hold policy rates at current levels. Industrial metals also rallied, benefiting from low inventories and higher demand expectations due to stimulus in China. Furthermore, in the agriculture sector, soybean prices reached a 2 year high as flooding in Argentina raised concerns of tighter global supplies. Pension Liability Pension discount rates declined to 3.6% as of June 30, nearly 30 basis points (bps) lower than first quarter levels according to the Citigroup indices. Supporting this decline was a 31 bps decline in 30-year Treasury yields and a modest decline in credit spreads according to the Barclays Capital Long Credit Index. The decline in interest rates had a negative impact on the liabilities of our clients pension plans, which are estimated to have increased 7.2% in the quarter and 17.1% for year. Clients who have implemented LDI strategies have most likely seen gains during the quarter from their long-duration assets but the funded status of most pension plans has likely declined in the quarter. However, this primarily impacts economic and accounting results rather than IRS contribution determinations due to the various legislative funding relief acts (MAP-21, HATFA, and the BBA of 2013 and 2015) that allow for higher discount rates to be utilized. Hedge Funds The second quarter began on a positive note as distressed oriented and activist strategies recovered losses following a difficult first quarter. However, the shock of the Brexit vote at the end of quarter resulted in turmoil across many sub-strategies. Among the major sub-strategies, credit-linked approaches led the way in positive performance. Credit strategies broadly benefited from tightening high yield spreads associated with lower credit quality sectors. Structured credit continued to perform well in the second quarter as mortgage-backed and consumer-backed securities produced positive returns. Event-Driven strategies produced mixed result for the quarter. The early gains in merger arbitrage were muted by volatility surrounding the Brexit vote but the recent uptick in merger and acquisition activity is likely to be a positive tailwind. Results for macro strategies were also mixed as NEPC, LLC 255 State Street, Boston, MA Phone: Fax:

316 Hedge Fund Industry Performance Overview as of 6/30/2016 Composite Quarter 1 Year 3 Yrs 5 Yrs DJCS Hedge Fund Composite 0.6% -4.2% 2.5% 2.9% Relative Value Quarter 1 Year 3 Yrs 5 Yrs DJCS Convertible Arbitrage 2.6% 0.1% 1.2% 2.5% DJCS Fixed Income Arbitrage 1.0% -0.4% 2.4% 4.1% DJCS Equity Market Neutral -3.2% -1.5% 1.0% 1.1% DJCS Multi-Strategy 1.2% 1.2% 5.9% 6.0% Event Driven Quarter 1 Year 3 Yrs 5 Yrs DJCS Event Driven 2.1% -10.4% 0.1% 1.3% DJCS Event Driven - Distressed 1.9% -5.2% 1.4% 3.2% DJCS Event Driven - Risk Arbitrage 0.6% 0.7% 1.6% 1.5% DJCS Event Driven - Multi-Strategy 2.2% -12.4% -0.5% 0.3% Equity Hedge Quarter 1 Year 3 Yrs 5 Yrs DJCS Long-Short Equity -1.2% -5.0% 4.5% 4.0% DJCS Emerging Markets 1.8% -2.4% 2.4% 2.2% DJCS Dedicated Short Bias -6.3% 4.3% -8.4% -10.2% Tactical Quarter 1 Year 3 Yrs 5 Yrs DJCS Global Macro 0.7% -3.9% 1.5% 3.1% DJCS Managed Futures -2.2% 5.4% 6.5% 2.3% Traditional Markets Quarter 1 Year 3 Yrs 5 Yrs BC Aggregate Bond 2.2% 6.0% 4.1% 3.8% S&P % 4.0% 11.7% 12.1% Exhibit 11 some trend strategies struggled with the sharp market movements. In the equity space, volatile price reversals within industries continue to pose challenges for longshort equity. However, yield related equity sectors performed well benefiting some long biased strategies. Private Markets Global private buyout deal value was $88 billion, more than twice of what was transacted in the first quarter. Exit volume also increased over the first quarter but totals for 2016 are down nearly 33% from the prior year period as IPO activity continues to be subdued. The private debt space remains attractive as direct lending spreads have increased across the capital structure in The increase in credit spreads is partially attributed to Business Development Companies ( BDCs ) exiting the lending market due to significant stock underperformance. NEPC continues to advocate allocations to direct lending and for investors to embrace the illiquidity premium in private credit strategies. In real assets, we are positive on energy, negative on timber, and neutral on agriculture, infrastructure, and metals and mining. NEPC continues to evaluate energyrelated investment opportunities, although the stress on company balance sheets has alleviated as commodity prices have rallied off their lows. Our highest conviction remains in private equity, as these managers appear best-equipped to invest and manage assets amidst a volatile commodity recovery. In real estate, we remain neutral on US private core real estate and REITS. While valuations in primary markets are well above past peak levels, fundamentals are strong and pricing remains attractive on a relative basis to US Treasuries. We are positive on value-add and opportunistic real estate and believe select European strategies remain attractive. For non-core real estate in the US, we favor cash flow-driven, niche-focused managers who are disciplined and attentive to the current stage of the expansion. Final Thoughts As witnessed in the second quarter, political risk does not simply reside in the ether but at times can have a profound and volatile influence on financial markets. NEPC firmly believes a risk-aware and diversified portfolio best serves investors ability to weather such events and a multitude of economic environments over the long term. Even so, a risk balanced portfolio is a starting point and we encourage investors to trim assets that have recently outperformed expectations, such as US equities and developed market government bonds. Furthermore, we recommend investors continue to overweight non-us developed market equities as risk premia remain elevated. Additionally, a risk balanced approach is the foundation of our investment philosophy; to this end, we recommend investors maintain an appropriate level of US duration exposure with a strong bias towards TIPS over nominal government bonds. Disclaimers and Disclosures Past performance is no guarantee of future results. The information in this report has been obtained from sources NEPC believes to be reliable. While NEPC has exercised reasonable professional care in preparing this report, we cannot guarantee the accuracy of all source information contained within. The opinions presented herein represent the good faith views of NEPC as of the date of this report and are subject to change at any time. This report contains summary information regarding the investment management approaches described herein but is not a complete description of the investment objectives, portfolio management and research that supports these approaches. This analysis does not constitute a recommendation to implement any of the aforementioned approaches. NEPC, LLC 255 State Street, Boston, MA Phone: Fax:

317 Exhibit 11 Market Thoughts & Education 8

318 Exhibit 11 Key Themes and Background US economic cycle and US central bank policy are at the forefront of major cyclical and secular forces informing our Assumptions and Actions These factors interact to create a supportive environment for risk assets in the near term but ultimately push long term capital market forecasts lower relative to history The US economy is nearly 7 years removed from the previous recession but the health of US consumers can extend the expansion Prolonged US economic cycle has the potential to push the US dollar higher Persistent US Dollar strength tightens global monetary conditions and materially weakens the US corporate earnings profile A strong dollar strains international borrowers with dollar based debt Outsized credit growth in Asia, specifically China, at risk from a stronger US dollar Influence of central bank policies in the developed world remain broadly supportive for risk assets but come with long term effects US policy is slowly diverging from Europe and Japan but gradual expected pace of hikes provides a positive backdrop for US equities and credit in the near term Extraordinary central bank measures from Europe and Japan continue to expand and support a strong bias to equities in these markets 9

319 Exhibit 11 Capital Market Observations US economic expansion continues as Federal Reserve begins policy shift Economic conditions and health of US consumers remain supportive for growth US Corporate earnings quality has weakened under pressure from profit margin declines Central Banks continue to dictate the global investment outlook Subdued market expectation of Fed action over next 36 months; a surprise Fed rate increase poses risk to both US equities and interest rates ECB and BoJ likely to maintain and expand accommodative monetary policies Easing in China is broadly stimulative in the near term but currency policy is unpredictable Rise of political populism fuels equity and currency market uncertainty Populist movements are destabilizing for the established political and economic order posing a risk for the cohesion of the European Union and global trade relationships However, elevated risk offers an opportunity should market sentiment be overly pessimistic Large currency adjustments across most emerging countries have provided a foundation to support improved capital market returns Continued political and economic reform is needed across EM to stimulate economic growth Chinese Yuan (RMB) depreciation has been incremental relative to other EM FX adjustments and fears of further adjustment remain an over-hanging concern Embrace illiquidity in opportunistic credit and private credit strategies Stressed credit liquidity magnifies the scale of price movements in traditional credit assets Credit markets ability to absorb an exodus from crowded positions is challenged 10

320 Exhibit 11 General Actions for Clients Trim US equity exposure as US markets have rebounded significantly Remain disciplined and look for rebalancing opportunities should equity markets decline Look to capture pockets of value in US high yield with credit spreads in-line with averages Maintain overweight exposure to non-us developed market equities Central bank support and dollar strength provide a positive economic backdrop A more dramatic expansion of political risk may soften our overweight view Small-cap equity and global equity are preferred implementation approaches These strategies offer the best opportunity to exploit valuation discrepancies among individual stocks that may result from elevated volatility levels Recommend investors continue to hedge developed market currencies 50% hedge ratio remains an ideal neutral point for developed currency exposure Current US dollar valuation hovers within a neutral band, opportunities to tactically adjust currency hedge ratios may arise should the US dollar significantly strengthen or weaken Recent strength validates commitment to emerging market equities Valuations and long-term fundamentals suggest an overweight China uncertainty, dollar pressure and idiosyncratic country risks temper excitement Overweight small-cap and consumer focused strategies relative to broad mandates Developed market duration exposure is generally unattractive Preserve US duration exposure with a bias towards TIPS over core bonds Rebalance long treasuries, long credit, and risk parity following recent outsized gains Look to eliminate WGBI focused global bond strategies with yields at historic lows 11

321 Exhibit 11 Investment Market Update: As of June 30, 2016 Domestic Equity Benchmarks Qtr. YTD 1 Yr. 3 Yr. 5 Yr. 10 Yr. Large Core S&P % 3.8% 4.0% 11.7% 12.1% 7.4% Small Core Russell % 2.2% -6.7% 7.1% 8.4% 6.2% Small Growth Russell 2000 Growth 3.2% -1.6% -10.8% 7.7% 8.5% 7.1% Small Value Russell 2000 Value 4.3% 6.1% -2.6% 6.4% 8.1% 5.2% Large Core Russell % 3.7% 2.9% 11.5% 11.9% 7.5% Large Growth Russell 1000 Growth 0.6% 1.4% 3.0% 13.1% 12.3% 8.8% Large Value Russell 1000 Value 4.6% 6.3% 2.9% 9.9% 11.4% 6.1% Mid Core S&P Mid Cap % 7.9% 1.3% 10.5% 10.5% 8.6% REIT NAREIT Composite 7.5% 13.7% 22.7% 12.8% 12.0% 6.7% Int'l Equity Benchmarks Qtr. YTD 1 Yr. 3 Yr. 5 Yr. 10 Yr. International Developed MSCI EAFE -1.5% -4.4% -10.2% 2.1% 1.7% 1.6% Emerging Equity MSCI EM 0.7% 6.4% -12.1% -1.6% -3.8% 3.5% Small Cap Int'l S&P EPAC SmallCap -2.6% -3.0% -4.4% 7.6% 5.0% 4.3% World ex-us MSCI ACWI ex-us -0.6% -1.0% -10.2% 1.2% 0.1% 1.9% Domestic FI Benchmarks Qtr. YTD 1 Yr. 3 Yr. 5 Yr. 10 Yr. Core Bonds Barclays Aggregate 2.2% 5.3% 6.0% 4.1% 3.8% 5.1% Municipal Bond Barclays Municipal 2.6% 4.3% 7.7% 5.6% 5.3% 5.1% High Yield Barclays US High Yield 5.5% 9.1% 1.6% 4.2% 5.8% 7.6% Intermediate Gov/Cred Barclays Interm. Gov/Credit 1.6% 4.1% 4.3% 3.0% 2.9% 4.5% Long Gov/Credit Barclays Long Gov/Credit 6.5% 14.3% 15.7% 9.3% 9.2% 8.4% Long Credit Barclays Long Credit 6.7% 13.9% 13.8% 8.7% 8.5% 8.1% Long Treasuries Barclays US 20+ Yr Treas 6.8% 15.8% 20.3% 11.0% 11.2% 9.0% Cash BofA ML US 3-Month T-Bill 0.1% 0.1% 0.2% 0.1% 0.1% 1.0% Inflation Barclays US TIPS 1-10 Yr 1.3% 5.0% 3.3% 1.6% 1.6% 4.0% Global Inflation Barclays Global ILB 1.6% 6.4% 2.5% 2.7% 2.4% 4.4% STRIPS Barclays 20+ Yr STRIPS 9.6% 22.0% 29.9% 15.8% 17.3% 12.0% Global FI Benchmarks Qtr. YTD 1 Yr. 3 Yr. 5 Yr. 10 Yr. World Gov. Bonds Citigroup WGBI 3.4% 10.7% 11.3% 2.6% 1.2% 4.2% Em. Mkt. Bonds (Local) JPM GBI-EM Glob. Div. 2.7% 14.0% 2.0% -3.6% -2.2% 5.7% Diversified Benchmark Qtr. YTD 1 Yr. 3 Yr. 5 Yr. 10 Yr. Diversified Diversified* 2.4% 4.1% 2.4% 7.0% 7.1% 5.7% Alternative Benchmarks Qtr. YTD 1 Yr. 3 Yr. 5 Yr. 10 Yr. Commodities Bloomberg Commodity Index 12.8% 13.3% -13.3% -10.6% -10.8% -5.6% Real Estate NCREIF Property Index 2.0% 4.3% 10.6% 11.6% 11.5% 7.4% * 35% LC, 10% SC, 12% Int'l, 3% Emerging, 25% FI, 5% HY, 5% Global FI, 5% REITS 12 June 30, 2016

322 Exhibit 11 Index Performance Summary as of 6/30/ Q1 APRIL MAY JUNE Q2 YTD Barclays US STRIPS 20+ Yr -36.0% 10.9% 58.5% 3.0% -21.0% 46.4% -3.7% 11.4% -0.9% 1.5% 9.0% 9.6% 22.0% Alerian MLP 76.4% 35.9% 13.9% 4.8% 27.6% 4.8% -32.6% -4.2% 11.0% 2.5% 5.1% 19.7% 14.7% Barclays US Govt/Credit Long 1.9% 10.2% 22.5% 8.8% -8.8% 19.3% -3.3% 7.3% 1.2% 0.3% 4.9% 6.5% 14.3% JPM GBI-EM Global Div 22.0% 15.7% -1.8% 16.8% -9.0% -5.7% -14.9% 11.0% 2.6% -5.4% 5.9% 2.7% 14.0% Barclays US Long Credit 16.8% 10.7% 17.1% 12.7% -6.6% 16.4% -4.6% 6.8% 2.4% 0.0% 4.2% 6.7% 13.9% FTSE NAREIT Equity REITs 28.0% 28.0% 8.3% 18.1% 2.5% 30.1% 3.2% 6.0% -2.4% 2.4% 7.0% 7.0% 13.4% Bloomberg Commodity 18.9% 16.8% -13.3% -1.1% -9.5% -17.0% -24.7% 0.4% 8.5% -0.2% 4.1% 12.8% 13.3% Citi WGBI USD 2.6% 5.2% 6.4% 1.6% -4.0% -0.5% -3.6% 7.1% 1.3% -1.5% 3.7% 3.4% 10.7% JPM EMBI Global Diversified 29.8% 12.2% 7.3% 17.4% -5.3% 7.4% 1.2% 5.0% 1.8% -0.2% 3.4% 5.0% 10.3% Barclays US Corporate HY 58.2% 15.1% 5.0% 15.8% 7.4% 2.5% -4.5% 3.4% 3.9% 0.6% 0.9% 5.5% 9.1% MSCI EM 78.5% 18.9% -18.4% 18.2% -2.6% -2.2% -14.9% 5.7% 0.5% -3.7% 4.0% 0.7% 6.4% Barclays US Agg Bond 5.9% 6.5% 7.8% 4.2% -2.0% 6.0% 0.5% 3.0% 0.4% 0.0% 1.8% 2.2% 5.3% Barclays Municipal 12.9% 2.4% 10.7% 6.8% -2.6% 9.1% 3.3% 1.7% 0.7% 0.3% 1.6% 2.6% 4.3% Credit Suisse Leveraged Loan 44.9% 10.0% 1.8% 9.4% 6.2% 2.1% -0.4% 1.3% 1.9% 0.9% 0.0% 2.9% 4.2% Russell % 26.7% -2.5% 17.9% 36.8% 7.1% -2.9% 0.4% 1.5% 2.1% 0.0% 3.6% 4.0% S&P % 15.1% 2.1% 16.0% 32.4% 13.7% 1.4% 1.3% 0.4% 1.8% 0.3% 2.5% 3.8% Barclays US Agg Interm 6.5% 6.1% 6.0% 3.6% -1.0% 4.1% 1.2% 2.3% 0.2% 0.0% 1.2% 1.4% 3.8% Russell % 16.1% 1.5% 16.4% 33.1% 13.2% 0.9% 1.2% 0.5% 1.8% 0.2% 2.5% 3.7% Russell % 26.9% -4.2% 16.3% 38.8% 4.9% -4.4% -1.5% 1.6% 2.3% -0.1% 3.8% 2.2% BC US Govt/Credit 1-3 Yr 3.8% 2.8% 1.6% 1.3% 0.6% 0.8% 0.7% 1.0% 0.1% -0.1% 0.6% 0.7% 1.7% MSCI ACWI 34.6% 12.7% -7.3% 16.1% 22.8% 4.2% -2.4% 0.2% 1.5% 0.1% -0.6% 1.0% 1.2% Credit Suisse Hedge Fund 18.6% 10.9% -2.5% 7.7% 9.7% 4.1% -0.7% -2.2% 0.3% 0.4% N/A N/A -1.5% MSCI EAFE 31.8% 7.8% -12.1% 17.3% 22.8% -4.9% -0.8% -3.0% 2.9% -0.9% -3.4% -1.5% -4.4% Source: Morningstar Direct 13 June 30, 2016

323 Exhibit 11 US Economic Indicators Inflation has increased off lows Unemployment steadily improving 6% 5% 4% 3% 2% 1% 0% 1% 2% 3% CPI (LHS) Capacity Utilization (RHS) 90% 85% 80% 75% 70% 65% 60% 18% 16% 14% 12% 10% 8% 6% 4% 2% 0% US Unemployment U 6 Unemployment Source: Bloomberg, Federal Reserve, Bureau of Labor Statistics Source: Bloomberg, Bureau of Labor Statistics Corporate profits lower off cyclical highs Manufacturing trending higher after dip 13% 12% Corporate Profits (% of GDP) 11% 10% 9% 8% 7% 65 US ISM PMI % Source: Bloomberg, Bureau of Economic Analysis Source: Bloomberg, Institute for Supply Management June 30,

324 Exhibit 11 International Economic Indicators Inflation remains muted Europe unemployment trending lower 5% 4% 3% 2% 1% 0% 1% 2% 3% Japan CPI Euro CPI 14% 12% 10% 8% 6% 4% 2% 0% Europe Unemployment Japan Unemployment Jan 04 Oct 04 Jul 05 Apr 06 Jan 07 Oct 07 Jul 08 Apr 09 Jan 10 Oct 10 Jul 11 Apr 12 Jan 13 Oct 13 Jul 14 Apr 15 Jan 16 Jun 01 Apr 02 Feb 03 Dec 03 Oct 04 Aug 05 Jun 06 Apr 07 Feb 08 Dec 08 Oct 09 Aug 10 Jun 11 Apr 12 Feb 13 Dec 13 Oct 14 Aug 15 Source: Bloomberg, Japan Ministry of Internal Affairs and Communications, Eurostat Source: Bloomberg, Japan Ministry of Internal Affairs and Communications, Eurostat Manufacturing continues to lag Leading indicators mostly neutral 10% 8% 6% 4% 2% 0% 2% 4% 6% 8% 10% Germany France Italy Japan Euro Area Japan UK Canada Jun 06 Feb 07 Oct 07 Jun 08 Feb 09 Oct 09 Jun 10 Feb 11 Oct 11 Jun 12 Feb 13 Oct 13 Jun 14 Feb 15 Oct 15 May 06 Jan 07 Sep 07 May 08 Jan 09 Sep 09 May 10 Jan 11 Sep 11 May 12 Jan 13 Sep 13 May 14 Jan 15 Sep 15 YoY % Change in Manufacturing OECD Leading Indicator SA Source: Bloomberg, OECD, Eurostat Source: Bloomberg, OECD June 30,

325 Exhibit 11 Global Equity Global valuations are mixed Earnings growth has trended lower PE Ratio Std Dev 1 St Dev 6/30/2015 6/30/2016 MSCI ACWI MSCI EAFE MSCI EM S&P 500 Rolling 12 Mo Change in EBIT 50% 40% 30% 20% 10% 0% 10% 20% 30% 40% 50% Jul 06 Mar 07 Nov 07 Jul 08 Mar 09 Nov 09 Jul 10 Mar 11 Nov 11 Jul 12 Mar 13 S&P 500 MSCI EAFE MSCI EM Nov 13 Jul 14 Mar 15 Nov 15 Profit Margins 14% 12% 10% 8% 6% 4% 2% 0% Source: Bloomberg, Standard and Poors, MSCI *MSCI EAFE is ex UK Telecom Margins declining outside of EM MSCI ACWI MSCI EAFE MSCI EM S&P Source: Bloomberg, MSCI 6% 4% 2% 0% 2% 4% 6% 8% 10% 12% 14% Source: Bloomberg, Standard and Poors, MSCI Global equity returns have been mostly negative over one year 3 Month Return 1 Yr Return MSCI ACWI MSCI ACWI IMI MSCI EAFE MSCI EM SP 500 Source: Bloomberg, MSCI June 30,

326 Exhibit 11 Global Equity by Sector MSCI ACWI returns led by Energy and Health Care in short term 15% MSCI ACWI returns led by Energy and 10% Health Care in short term 5% 0% 5% 10% 3 Mo Return 15% 1 Yr Return 20% 35% 30% 25% 20% 15% 10% 5% 0% 5% 10% S&P 500 mostly positive in short term 3 Mo Return 1 Yr Return Source: Bloomberg, MSCI Emerging Markets sector returns varied Source: Bloomberg, Standard and Poors Global financial sector weight has fallen 10% 5% 0% 5% 10% 15% 20% 25% 3 Mo Return 1 Yr Return Sector Weight of ACWI 25% 20% 15% 10% 5% 0% 6/30/2016 6/30/2015 Source: Bloomberg, MSCI Source: Bloomberg, MSCI June 30,

327 Exhibit 11 Rates Treasury yield curve declined with market uncertainty Lower yields across the board 4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% 1Y 3Y 5Y 7Y 10 Y 15 Y 20 Y 6/30/2016 3/31/2016 6/30/2015 6/30/ Y 30 Y 4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% 0.5% 1.0% UK Month End Japan Month End Germ Month End 1Y 3Y 5Y 7Y 10 Y 15 Y UK 3M Previous Japan 3M Previous Germ 3M Previous 20 Y 25 Y 30 Y Global yields nearing lows Source: Bloomberg Source: Bloomberg Global yields trending lower over long term 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% 0.5% US 10 Yr 2 Yr Japan 10 Yr 2 Yr Germany 10 Yr 2 Yr 7% 6% 5% 4% 3% 2% 1% 0% 1% 2% Japan 10 Yr Japan 2 Yr Germany 10 Yr Germany 2 Year Source: Bloomberg Source: Bloomberg June 30,

328 Exhibit 11 Currencies Change versus USD Developed currencies declined versus the dollar with the exception of the Yen 20% 15% 10% 5% 0% 5% 10% 15% 20% Source: Bloomberg USD expectations vary across developed markets 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% Japanese Yen Pound Sterling 3 Month Spot Change 1 Yr Spot Change Euro 3M Currency Fwd 12M Currency Fwd Euro Yen British Pound Swiss Franc Swiss Franc Canadian Dollar Aus Dollar Australian Dollar Yuan (O/S) Source: Bloomberg EM currencies declined over the year as the Real and Ruble posted short term gains 15% 10% 5% 0% 5% 10% 15% 20% 25% Month Spot Change 1 Yr Spot Change Source: Bloomberg Dollar strength has retreated slightly USD Trade Weighted Index Source: Bloomberg, Federal Reserve June 30,

329 Exhibit 11 Total Fund Performance 20

330 State Universities Retirement System of Illinois DB Plan Total Fund Performance Summary - Gross Exhibit 11 Market Value 3 Mo Rank YTD Rank 1 Yr Rank 3 Yrs Rank 5 Yrs Rank 7 Yrs Rank 10 Yrs Rank _ Total Fund w/ Overlay $16,865,872, % % % % % % % 23 Policy Index 1.89% % % % % % % 34 Allocation Index 1.63% % % InvestorForce Public DB > $1B Gross Median 1.79% 2.87% 0.26% 6.79% 6.75% 9.62% 5.73% XXXXX Anlzd Ret 3 Years Ending June 30, 2016 Anlzd Std Rank Rank Dev Sharpe Ratio Rank Info Ratio Rank Total Fund w/ Overlay 7.1% % Policy Index 7.0% % XXXXX Anlzd Ret 5 Years Ending June 30, 2016 Anlzd Std Rank Rank Dev Sharpe Ratio Rank Info Ratio Rank Total Fund w/ Overlay 6.9% % Policy Index 6.9% % XXXXX 21 June 30, 2016

331 State Universities Retirement System of Illinois DB Plan Total Fund Risk/Return - Gross Exhibit 11 Statistics Summary 1 Year Ending June 30, 2016 Anlzd Return Anlzd Return Rank Anlzd Standard Deviation Anlzd Standard Deviation Rank Sharpe Ratio Sharpe Ratio Rank Information Ratio Information Ratio Rank Total Fund w/ Overlay 0.46% % Policy Index 0.84% % InvestorForce Public DB > $1B Gross Median _ 0.26% % XXXXX 22 June 30, 2016

332 State Universities Retirement System of Illinois DB Plan Total Fund Risk/Return - Gross Exhibit 11 Statistics Summary 3 Years Ending June 30, 2016 Anlzd Return Anlzd Return Rank Anlzd Standard Deviation Anlzd Standard Deviation Rank Sharpe Ratio Sharpe Ratio Rank Information Ratio Information Ratio Rank Total Fund w/ Overlay 7.1% % Policy Index 7.0% % InvestorForce Public DB > $1B Gross Median _ 6.8% % XXXXX 23 June 30, 2016

333 State Universities Retirement System of Illinois DB Plan Total Fund Risk/Return - Gross Exhibit 11 Statistics Summary 5 Years Ending June 30, 2016 Anlzd Return Anlzd Return Rank Anlzd Standard Deviation Anlzd Standard Deviation Rank Sharpe Ratio Sharpe Ratio Rank Information Ratio Information Ratio Rank Total Fund w/ Overlay 6.9% % Policy Index 6.9% % InvestorForce Public DB > $1B Gross Median _ 6.8% % XXXXX 24 June 30, 2016

334 State Universities Retirement System of Illinois DB Plan Total Fund Asset Allocation vs. Policy Targets Exhibit 11 Asset Allocation vs. Target Policy Current Look Through Current Domestic Equity 25.00% 24.92% 25.27% $4,202,251,090 International Equity 19.00% 18.42% 18.77% $3,106,133,262 Global Equity 8.00% 8.00% 7.94% $1,348,434,034 Fixed Income 19.00% 18.98% 18.35% $3,201,595,775 TIPS 4.00% 4.04% 3.99% $681,726,178 Emerging Market Debt 3.00% 3.15% 2.97% $531,932,563 Opportunistic 1.00% 0.57% 0.57% $96,955,990 Private Equity 6.00% 5.43% 5.32% $916,005,456 Hedge Funds 3.00% 2.76% 2.75% $466,286,367 Real Estate 6.00% 5.85% 5.68% $986,735,859 REITs 4.00% 4.13% 4.08% $696,991,799 Commodities 2.00% 2.01% 1.94% $338,887,816 Overlay 0.00% 0.39% 0.00% $66,052,079 Cash 0.00% 1.34% 2.37% $225,855,167 Total % % % $16,865,843,435 XXXXX June 30,

335 State Universities Retirement System of Illinois DB Plan Total Fund Asset Allocation History Exhibit 11 June 30,

336 State Universities Retirement System of Illinois DB Plan Total Fund Asset Growth Summary Exhibit 11 Last Three Months Year-To-Date One Year Three Years Five Years Beginning Market Value $16,569,381,792 $16,499,053,494 $17,350,639,414 $14,822,810,871 $13,624,209,110 Withdrawals -$966,955,671 -$2,373,241,683 -$3,949,251,859 -$9,367,476,982 -$18,068,660,499 Contributions $990,222,494 $2,296,190,738 $3,397,605,270 $8,125,281,701 $16,188,799,527 Net Cash Flow $23,266,823 -$77,050,945 -$551,646,589 -$1,242,195,282 -$1,879,860,972 Net Investment Change $273,224,076 $443,870,141 $66,879,865 $3,285,257,100 $5,121,524,552 Ending Market Value $16,865,872,690 $16,865,872,690 $16,865,872,690 $16,865,872,690 $16,865,872, June 30, 2016

337 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Exhibit 11 Market Value ($) % of Portfolio Policy % Total Fund w/ Overlay 16,865,872, Jan-75 Policy Index Jan-75 Over/Under Allocation Index Jan-75 InvestorForce Public DB > $1B Gross Median Jan-75 Total Fund 16,799,820, Jan-75 Policy Index Jan-75 Over/Under Allocation Index Jan-75 InvestorForce Public DB > $1B Gross Median Jan-75 Domestic Equity 4,202,382, Oct-80 Dow Jones U.S. Total Stock Market Oct-80 Over/Under ea All US Equity Gross Median Oct-80 Large Active 796,608, Jan-14 S&P Jan-14 Over/Under ea US Large Cap Equity Gross Median Jan-14 Piedmont Advisors 460,821, Jan-08 S&P Jan-08 Over/Under ea US Large Cap Equity Gross Median Jan-08 T. Rowe Price 335,665, Apr-08 S&P Apr-08 Over/Under ea US Large Cap Equity Gross Median Apr-08 3 Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Return (%) Since 1. Performance shown is net of investment management fees. 2. Fiscal year starts on July 1st. 3. Policy Index and Allocation Index inception returns are n/a due to Police history going back to July 1980 and Allocation history going back to January June 30, 2016

338 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Market Value ($) % of Portfolio Policy % 3 Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Exhibit 11 Large Structured Active 8, Jan-14 Russell Jan-14 Over/Under ea All US Equity Gross Median Jan-14 Passive US Equity 2,656,879, Jan-14 S&P Jan-14 Over/Under Northern Trust Stock Market Index 1,658,878, Jan-99 Dow Jones U.S. Total Stock Market Jan-99 Over/Under ea US All Cap Equity Gross Median Jan-99 Rhumbline 998,000, Feb-05 Rhumbline Custom Benchmark Feb-05 Over/Under ea US All Cap Equity Gross Median Feb-05 Mid Cap 371,171, Jan-14 Russell MidCap Jan-14 Over/Under ea US Mid Cap Equity Gross Median Jan-14 EARNEST Partners 110,930, Jul-11 Russell MidCap Jul-11 Over/Under ea US Mid Cap Equity Gross Median Jul-11 Holland Capital 103,694, Apr-05 Holland Capital Custom Benchmark Apr-05 Over/Under ea US Mid Cap Growth Equity Gross Median Apr-05 Channing Capital Management 156,547, Apr-05 Russell MidCap Value Apr-05 Over/Under ea US Mid Cap Value Equity Gross Median Apr-05 Return (%) Since 1. PIMCO Stocks Plus was liquidated on May 11, June 30, 2016

339 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Exhibit 11 Market Value ($) % of Portfolio Policy % Small Cap 377,713, Jan-14 Russell Jan-14 Over/Under ea US Small Cap Equity Gross Median Jan-14 Fiduciary Management Associates 141,227, Jun-11 Russell Jun-11 Over/Under ea US Small Cap Equity Gross Median Jun-11 CastleArk Management 139,624, Sep-12 Russell 2000 Growth Sep-12 Over/Under ea US Small Cap Growth Equity Gross Median Sep-12 Lombardia 96,860, Apr-05 Russell 2000 Value Apr-05 Over/Under ea US Small Cap Value Equity Gross Median Apr-05 Domestic Equity ex-progress managers 4,202,259, Dec-10 S&P Dec-10 Over/Under Piedmont Advisors 460,821, Jan-08 S&P Jan-08 Over/Under ea US Large Cap Equity Gross Median Jan-08 T. Rowe Price 335,665, Apr-08 S&P Apr-08 Over/Under ea US Large Cap Equity Gross Median Apr-08 Northern Trust Stock Market Index 1,658,878, Jan-99 Dow Jones U.S. Total Stock Market Jan-99 Over/Under ea US All Cap Equity Gross Median Jan-99 3 Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Return (%) Since 30 June 30, 2016

340 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Exhibit 11 Market Value ($) % of Portfolio Policy % Rhumbline 998,000, Feb-05 Rhumbline Custom Benchmark Feb-05 Over/Under ea US All Cap Equity Gross Median Feb-05 EARNEST Partners 110,930, Jul-11 Russell MidCap Jul-11 Over/Under ea US Mid Cap Equity Gross Median Jul-11 Holland Capital 103,694, Apr-05 Holland Capital Custom Benchmark Apr-05 Over/Under ea US Mid Cap Growth Equity Gross Median Apr-05 Channing Capital Management 156,547, Apr-05 Russell MidCap Value Apr-05 Over/Under ea US Mid Cap Value Equity Gross Median Apr-05 Fiduciary Management Associates 141,227, Jun-11 Russell Jun-11 Over/Under ea US Small Cap Equity Gross Median Jun-11 CastleArk Management 139,624, Sep-12 Russell 2000 Growth Sep-12 Over/Under ea US Small Cap Growth Equity Gross Median Sep-12 Lombardia 96,860, Apr-05 Russell 2000 Value Apr-05 Over/Under ea US Small Cap Value Equity Gross Median Apr-05 Total Non US Equity 3,106,133, May-86 International Equity Custom Benchmark May-86 Over/Under ea All ACWI ex-us Equity Net Median May-86 3 Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Return (%) Since 1. PIMCO Stocks Plus was liquidated on May 11, June 30, 2016

341 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Exhibit 11 Market Value ($) % of Portfolio Policy % BlackRock Intl Equity Fund 1,174,880, May-86 MSCI ACWI ex USA May-86 Over/Under ea All ACWI ex-us Equity Gross Median May-86 BlackRock Emerging Markets 153,460, Nov-09 MSCI Emerging Markets Nov-09 Over/Under ea Emg Mkts Equity Gross Median Nov-09 Progress Emerging Non-US Equity 167,974, Sep-12 MSCI EAFE Sep-12 Over/Under ea All ACWI ex-us Equity Gross Median Sep-12 BlackRock Intl Alpha Tilts 421,410, Nov-03 MSCI EAFE Nov-03 Over/Under ea All EAFE Equity Gross Median Nov-03 Strategic Global Advisors 261,227, Sep-08 MSCI EAFE Sep-08 Over/Under ea All EAFE Equity Gross Median Sep-08 Ativo 234,892, Aug-08 MSCI ACWI ex USA Aug-08 Over/Under ea All ACWI ex-us Equity Gross Median Aug-08 GlobeFlex Capital 236,555, Dec-11 MSCI ACWI ex USA Dec-11 Over/Under ea All ACWI ex-us Equity Gross Median Dec-11 Pyramis 455,644, Dec-11 MSCI ACWI ex USA Dec-11 Over/Under ea All ACWI ex-us Equity Gross Median Dec-11 3 Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Return (%) Since 1.MSCI ACWI ex USA and International Equity Custom Banchmark inception returns are n/a due to no return history going back to May International Custom Benchmark is the MSCI ACW ex USA net. 32 June 30, 2016

342 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Exhibit 11 Market Value ($) % of Portfolio Policy % Global Equity 1,348,434, Jun-02 Global Equity Custom Benchmark Jun-02 Over/Under ea All Global Equity Gross Median Jun-02 Wellington 361,205, May-02 MSCI ACWI May-02 Over/Under ea All Global Equity Gross Median May-02 Mondrian 371,266, Dec-11 MSCI ACWI Dec-11 Over/Under ea All Global Equity Gross Median Dec-11 T. Rowe Price Global 381,282, Nov-08 MSCI ACWI Nov-08 Over/Under ea All Global Equity Gross Median Nov-08 Parametric Clifton Transition 234,583, Nov-15 MSCI ACWI Nov-15 Over/Under ea All Global Equity Gross Median Nov-15 Fixed Income 3,201,596, Sep-81 Fixed Income Custom Benchmark Sep-81 Over/Under ea All US Fixed Inc Gross Median Sep-81 TCW / Met West 538,550, Oct-01 Barclays Aggregate Oct-01 Over/Under ea US Core Plus Fixed Inc Gross Median Oct-01 3 Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Return (%) Since 33 June 30, 2016

343 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Exhibit 11 Market Value ($) % of Portfolio Policy % PIMCO Total Return 386,719, Aug-04 Barclays Aggregate Aug-04 Over/Under ea US Core Plus Fixed Inc Gross Median Aug-04 Pugh Capital 162,565, Apr-06 Barclays Aggregate Apr-06 Over/Under ea US Core Fixed Inc Gross Median Apr-06 Smith Graham 104,600, Apr-06 Barclays Aggregate Apr-06 Over/Under ea US Core Fixed Inc Gross Median Apr-06 Garcia Hamilton 158,252, Mar-09 Barclays Aggregate Mar-09 Over/Under ea US Core Fixed Inc Gross Median Mar-09 SSgA 430,343, Oct-10 Barclays Aggregate Oct-10 Over/Under ea US Core Fixed Inc Gross Median Oct-10 Chicago Equity Partners 339,888, Nov-10 Barclays Aggregate Nov-10 Over/Under ea US Core Fixed Inc Gross Median Nov-10 LM Capital 161,596, Jan-11 Barclays Aggregate Jan-11 Over/Under ea US Core Plus Fixed Inc Gross Median Jan-11 Neuberger Berman 337,215, Jan-11 Barclays Aggregate Jan-11 Over/Under ea US Core Plus Fixed Inc Gross Median Jan-11 3 Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Return (%) Since 34 June 30, 2016

344 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Exhibit 11 Market Value ($) % of Portfolio Policy % PIMCO Unconstrained 437,874, Jun-13 3-Month LIBOR + 3% Jun-13 Over/Under ea US Core Plus Fixed Inc Gross Median Jun-13 Progress Emerging Fixed Income 143,987, Sep-12 Barclays Aggregate Sep-12 Over/Under ea US Core Fixed Inc Gross Median Sep-12 Emerging Market Debt 531,932, Apr-15 50% JPM GBI-EM GD/25% JPM EMBI GD/25% JPM Corp Broad Apr-15 Over/Under Progress Emerging EMD 70,821, May-15 JP Morgan Corporate EMBI Broad May-15 Over/Under Colchester 102,107, May-15 JP Morgan GBI - EM Global Diversified Index May-15 Over/Under ea All Emg Mkts Fixed Inc Gross Median May-15 Prudential EMD 184,309, Jul-15 50% JPM EMBI Global Diversified/ 50% JPM GBI-EM Global Diversified Jul-15 Over/Under ea All Emg Mkts Fixed Inc Gross Median Jul-15 Bluebay EMD Select 174,693, Apr-15 50% JPM EMBI Global Diversified/ 50% JPM GBI-EM Global Diversified Apr-15 Over/Under ea All Emg Mkts Fixed Inc Gross Median Apr-15 3 Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Return (%) Since 35 June 30, 2016

345 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Exhibit 11 Market Value ($) % of Portfolio Policy % TIPS 681,726, Apr-99 TIPS Custom Benchmark Apr-99 Over/Under ea TIPS / Infl Indexed Fixed Inc Net Median Apr-99 PIMCO TIPS 340,079, Dec-03 Barclays US TIPS Dec-03 Over/Under ea TIPS / Infl Indexed Fixed Inc Gross Median Dec-03 Longfellow Management 171,369, May-10 Barclays US TIPS May-10 Over/Under ea TIPS / Infl Indexed Fixed Inc Gross Median May-10 New Century Advisors 170,276, May-10 Barclays US TIPS May-10 Over/Under ea TIPS / Infl Indexed Fixed Inc Gross Median May-10 REITs 696,991, Mar-00 REITs Custom Benchmark Mar-00 Over/Under ea Global REIT Gross Median Mar-00 BlackRock Global REIT 409,128, Mar-13 FTSE EPRA/NAREIT Developed Mar-13 Over/Under ea Global REIT Gross Median Mar-13 3 Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Return (%) Since 1. TIPS Custom Benchmark is the Lehman US Tips Index. 36 June 30, 2016

346 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Exhibit 11 Market Value ($) % of Portfolio Policy % CBRE Clarion Global REIT 287,863, Mar-07 FTSE EPRA/NAREIT Developed Mar-07 Over/Under ea Global REIT Gross Median Mar-07 Real Estate 986,735, Jan-85 NCREIF ODCE Net Qtr Lag Jan-85 Over/Under Dune Fund II 30,882, Apr-09 NCREIF ODCE Net Qtr Lag +1.5% Apr-09 Over/Under Dune Fund III 66,806, Jul-13 NCREIF ODCE Net Qtr Lag +1.5% Jul-13 Over/Under Franklin Templeton EMREFF 48,589, Sep-11 NCREIF ODCE Net Qtr Lag +1.5% Sep-11 Over/Under Franklin Templeton FTPREF 24,895, Jul-12 NCREIF ODCE Net Qtr Lag +1.5% Jul-12 Over/Under Mesirow MFIRE II 44,673, Apr-12 NCREIF ODCE Net Qtr Lag +1.5% Apr-12 Over/Under RREEF America III Fund 1,733, May-06 NCREIF ODCE May-06 Over/Under UBS Trumbull Property Fund 358,045, Jul-06 NCREIF ODCE Jul-06 Over/Under Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Return (%) Since 1. REITS Custom Benchmark is the FTSE EPRA/NAREIT Developed Index 37 June 30, 2016

347 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Exhibit 11 Market Value ($) % of Portfolio Policy % RREEF Funds 140, May-84 NCREIF ODCE May-84 Over/Under JP Morgan Strategic 188,546, Jul-14 NCREIF ODCE Net Qtr Lag +1.5% Jul-14 Over/Under Heitman Hart Fund 185,328, Aug-14 NCREIF Property Index + 1.5% Aug-14 Over/Under Franklin Templeton MDP RE ,055, Oct-15 NCREIF ODCE Net Qtr Lag +1.5% Oct-15 Over/Under Crow Holdings Realty Partners VII 14,755, Feb-16 NCREIF ODCE Net Qtr Lag +1.5% Feb-16 Over/Under Brookfield Strategy RE Partners II 10,741, Mar-16 NCREIF ODCE Net Qtr Lag +1.5% Mar-16 Over/Under Blue Vista RE Partners IV 8,540, May-16 NCREIF ODCE Net Qtr Lag +1.5% May-16 Over/Under Private Equity 916,005, Jul-90 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Jul-90 Over/Under Adams Street ,709, May-12 Dow Jones US Total Stock Market +3% (1 Quarter Lag) May-12 Over/Under Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Return (%) Since 38 June 30, 2016

348 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Exhibit 11 Market Value ($) % of Portfolio Policy % Adams Street ,156, Mar-13 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Mar-13 Over/Under Adams Street ,844, Jun-14 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Jun-14 Over/Under Adams Street 2015 Global Fund 7,082, Oct-15 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Oct-15 Over/Under Adams Street Secondary Fund 5 8,678, Oct-12 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Oct-12 Over/Under Adams Street Partners 92,192, Jul-90 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Jul-90 Over/Under Adams Street ,510, Feb-09 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Feb-09 Over/Under Adams Street ,603, Feb-08 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Feb-08 Over/Under Adams Street Global Op 4,763, Mar-04 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Mar-04 Over/Under Adams Street ,808, Jul-07 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Jul-07 Over/Under Adams Street Non-US 17,881, Jul-98 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Jul-98 Over/Under Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Return (%) Since 39 June 30, 2016

349 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Exhibit 11 Market Value ($) % of Portfolio Policy % Fairview Capital 16,923, May-14 Dow Jones US Total Stock Market +3% (1 Quarter Lag) May-14 Over/Under Muller and Monroe ILPEFF 7,732, Feb-05 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Feb-05 Over/Under Muller and Monroe MPEFF 11,267, Dec-07 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Dec-07 Over/Under Pantheon Ventures 167,328, Mar-02 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Mar-02 Over/Under Pantheon Europe III 13,292, Jan-03 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Jan-03 Over/Under Pantheon Europe VI 25,720, Sep-08 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Sep-08 Over/Under Pantheon Europe VII 23,932, Jan-13 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Jan-13 Over/Under Pantheon Global 144, Jan-05 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Jan-05 Over/Under Pantheon Global II 5,143, Mar-04 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Mar-04 Over/Under Pantheon USA VIII 87,733, Dec-07 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Dec-07 Over/Under Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Return (%) Since 40 June 30, 2016

350 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Exhibit 11 Market Value ($) % of Portfolio Policy % Pantheon USA IX 62,281, Jan-13 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Jan-13 Over/Under Pantheon One Line Asset 4,883, Dec-07 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Dec-07 Over/Under Progress Venture Capital 356, Jul-95 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Jul-95 Over/Under Pantheon 2014 Global Fund 16,033, Feb-15 Dow Jones US Total Stock Market +3% (1 Quarter Lag) Feb-15 Over/Under Opportunity Fund 96,955, Apr-99 Opportunity Fund Custom Benchmark Apr-99 Over/Under Alinda Capital Partners 45,517, Jan-10 CPI +5% (1 Quarter Lag) Jan-10 Over/Under Macquarie Capital 31,216, May-10 CPI +5% (1 Quarter Lag) May-10 Over/Under Macquarie Inf Partners Fnd III 20,222, Nov-14 CPI + 5% 1 Qtr Lag (Seasonally Adjusted) Nov-14 Over/Under Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Return (%) Since 1. Opportunity Fund Custom Benchmark is the CPI 3 month lagged Index. 41 June 30, 2016

351 State Universities Retirement System of Illinois DB Plan Total Fund Performance Detail Net Of Fee Exhibit 11 Market Value ($) % of Portfolio Policy % Hedge Funds 466,286, Mar-16 HFRI Fund of Funds Composite Index Mar-16 Over/Under KKR Prisma Codlin Fund 270,188, Mar-16 HFRI Fund of Funds Composite Index Mar-16 Over/Under ev Alt Fund of Funds - Multi-Strategy Median Mar-16 Newport Monarch 196,097, Apr-16 HFRI Fund of Funds Composite Index Apr-16 Over/Under ev Alt Fund of Funds - Multi-Strategy Median Apr-16 Commodities 338,887, Jun-16 Bloomberg Commodity Index Jun-16 Over/Under Invesco Balanced Risk 255,670, Jul-16 Bloomberg Commodity Index Jul-16 Over/Under Pimco Commodity Alpha Fund 83,217, Jun-16 Bloomberg Commodity Index Jun-16 Over/Under Cash 225,524, Sep Day T-Bills Sep-81 Over/Under Cash 225,524, Sep Day T-Bills Sep-81 Over/Under Dow Jones US Total Stock Market +3% (1 Quarter Lag) Sep-81 ea US Cash Management Gross Median Sep-81 Total Overlay 66,052, Clifton Overlay 66,052, Oct Day T-Bills Oct-14 Over/Under XXXXX 3 Mo (%) YTD (%) 1 Yr (%) 3 Yrs (%) 5 Yrs (%) 7 Yrs (%) 10 Yrs (%) Return (%) Since 42 June 30, 2016

352 State Universities Retirement System of Illinois DB Plan Overlay Performance Detail Exhibit 11 Overlay Notional Exposure Quarter Gain/Loss YTD Gain/Loss Since Inception Gain/Loss* Domestic Equity Futures 125,381, $1,687,070 $28,040,568 $44,638,760 Non U.S. Equity Index Futures 113,329, ($649,055) $1,614,959 $9,571,686 Fixed Income Futures ($59,072,560) ($789,591) ($4,175,318) $5,109,654 Commodity Futures ($10,860,901) $34,705,743 $36,169,286 ($83,726,951) Currency & Currency Futures NA ($23,604) $471,019 $108,519 Cash NA $30,778 $228,871 $331,972 Total $168,777,668 $34,961,341 $62,349,385 ($23,966,360) Index Quarter YTD 1 Year S&P % 3.8% 4.0% MSCI EAFE -1.5% -4.4% -10.2% BC Agg. 2.2% 5.3% 6.0% Bloomberg Commodity Index 12.8% 13.3% -13.3% *The inception date of the overlay program is October 2014 **The above market values are all sourced from analysis provided by the Clifton Group 43

353 State Universities Retirement System of Illinois DB Plan Total Fund Return Summary vs. Peer Universe Exhibit 11 June 30,

354 State Universities Retirement System of Illinois DB Plan Total Fund Return Summary vs. Peer Universe Exhibit 11 June 30,

355 State Universities Retirement System of Illinois DB Plan Total Fund Risk Statistics vs. Peer Universe Exhibit 11 Total Fund vs. InvestorForce Public DB > $1B Gross 3 Years June 30,

356 State Universities Retirement System of Illinois DB Plan Total Fund Risk Statistics vs. Peer Universe Exhibit 11 Total Fund vs. InvestorForce Public DB > $1B Gross 5 Years June 30,

357 State Universities Retirement System of Illinois DB Plan Total Fund Risk Statistics vs. Peer Universe Exhibit 11 Total Fund vs. InvestorForce Public DB > $1B Gross 7 Years June 30,

358 State Universities Retirement System of Illinois DB Plan Total Fund Risk Statistics vs. Peer Universe Exhibit 11 Total Fund vs. InvestorForce Public DB > $1B Gross 10 Years June 30,

359 State Universities Retirement System of Illinois DB Plan Total Fund Allocations vs. Peer Universe Exhibit 11 June 30,

360 State Universities Retirement System of Illinois DB Plan Total Fund Attribution Analysis Exhibit 11 Attribution Summary 3 Months Ending June 30, 2016 Wtd. Wtd. Index Actual Return Return Excess Return Selection Effect Allocation Interaction Effect Effects Total Effects Domestic Equity 2.4% 2.6% -0.2% -0.1% 0.0% 0.0% -0.1% Domestic Equity ex- Progress managers 2.4% 2.5% 0.0% Total Non US Equity -1.1% -0.6% -0.5% -0.1% 0.1% 0.0% 0.0% Global Equity 1.6% 1.0% 0.6% 0.0% 0.0% 0.0% 0.0% Fixed Income 2.1% 2.2% -0.1% 0.0% 0.0% 0.0% 0.0% Emerging Market Debt 4.4% 3.7% 0.7% 0.0% 0.0% 0.0% 0.0% TIPS 1.7% 1.7% 0.0% 0.0% 0.0% 0.0% 0.0% REITs 3.1% 3.5% -0.4% 0.0% 0.0% 0.0% 0.0% Real Estate 3.3% 2.0% 1.3% 0.1% 0.0% 0.0% 0.1% Private Equity -0.4% 1.7% -2.1% -0.1% 0.0% 0.0% -0.1% Opportunity Fund 1.3% 1.9% -0.6% 0.0% 0.0% 0.0% 0.0% Hedge Funds -0.4% 0.5% -0.9% 0.0% 0.0% 0.0% 0.0% Cash 0.1% 0.1% 0.1% Total 1.6% 1.6% 0.0% -0.2% 0.0% 0.1% -0.2% 51 June 30, 2016

361 State Universities Retirement System of Illinois DB Plan Total Fund Attribution Analysis Exhibit 11 Attribution Summary 1 Year Ending June 30, 2016 Wtd. Wtd. Index Actual Return Return Excess Return Selection Effect Allocation Interaction Effect Effects Total Effects Domestic Equity 1.2% 2.0% -0.8% -0.2% -0.1% 0.0% -0.3% Domestic Equity ex- Progress managers 0.8% 4.0% -3.1% Total Non US Equity -9.4% -10.2% 0.8% 0.1% 0.5% 0.0% 0.6% Global Equity -2.0% -3.7% 1.8% 0.1% 0.1% 0.0% 0.2% Fixed Income 4.6% 6.0% -1.4% -0.3% -0.2% 0.1% -0.5% Emerging Market Debt 4.2% 4.9% -0.7% 0.0% 0.0% 0.0% -0.1% TIPS 4.0% 4.4% -0.4% 0.0% 0.0% 0.0% -0.1% REITs 13.9% 15.5% -1.7% -0.1% -0.1% 0.0% -0.2% Real Estate 11.5% 12.6% -1.2% -0.1% -0.1% 0.0% -0.2% Private Equity 3.3% 2.6% 0.7% -0.1% -0.1% 0.0% -0.1% Opportunity Fund 8.7% 6.0% 2.7% 0.0% 0.0% 0.0% 0.0% Hedge Funds % 0.0% 0.0% 0.0% Cash 0.5% 0.2% 0.3% Total 0.5% 1.4% -0.9% -0.4% -0.2% 0.1% -0.6% 52 June 30, 2016

362 State Universities Retirement System of Illinois DB Plan Total Fund Risk Statistics Exhibit 11 % of Tot Anlzd Ret Anlzd Ret Rk Anlzd Std Dev 3 Years Ending June 30, 2016 Anlzd Std Anlzd AJ Anlzd AJ Dev Rk RK Sharpe Ratio Sharpe Rk Sortino Ratio RF Sortino RF Rk Total Fund 99.6% 6.8% % % % 29 Policy Index % % % % 1 Domestic Equity 24.9% 10.6% % % % 1 Dow Jones U.S. Total Stock Market % % % % 1 Large Active 4.7% S&P % % % % 1 Large Structured Active 0.0% Russell % % % % 1 Passive US Equity 15.8% S&P % % % % -- Mid Cap 2.2% Russell MidCap % % % % 1 Small Cap 2.2% Russell % % % % 1 Domestic Equity ex-progress managers 24.9% 10.7% % % % -- S&P % % % % -- Total Non US Equity 18.4% 2.1% % % % 1 International Equity Custom Benchmark % % % % 1 Progress Emerging Non-US Equity 1.0% 2.6% % % % 1 MSCI EAFE % % % % 1 Global Equity 8.0% 7.6% % % % 3 Global Equity Custom Benchmark % % % % 1 Fixed Income 19.0% 3.5% % % % 13 Fixed Income Custom Benchmark % % % % 1 Progress Emerging Fixed Income 0.9% 4.0% % % % 48 Barclays Aggregate % % % % 1 Emerging Market Debt 3.2% Tracking Error Tracking Error Rank 53 June 30, 2016

363 State Universities Retirement System of Illinois DB Plan Total Fund Risk Statistics Exhibit 11 % of Tot Anlzd Ret Anlzd Ret Rk Anlzd Std Dev Anlzd Std Dev Rk Anlzd AJ _ Anlzd AJ RK Sharpe Ratio Sharpe Rk Sortino Ratio RF Sortino RF Rk 50% JPM GBI-EM GD/25% JPM EMBI GD/25% JPM Corp % % % % -- Broad Progress Emerging EMD 0.4% JP Morgan Corporate EMBI Broad % % % % -- TIPS 4.0% 2.0% % % % 33 TIPS Custom Benchmark % % % % 1 REITs 4.1% 9.6% % % % 1 REITs Custom Benchmark % % % % 1 Real Estate 5.9% 12.0% % % % -- NCREIF ODCE Net Qtr Lag % % % % -- Private Equity 5.4% 9.2% % % % -- Dow Jones US Total Stock Market +3% (1 Quarter Lag) % % % % -- Opportunity Fund 0.6% 7.4% % % % -- Opportunity Fund Custom Benchmark % % % % -- Hedge Funds 2.8% HFRI Fund of Funds Composite Index % % % % -- Commodities 2.0% Bloomberg Commodity Index % % % % -- Cash 1.3% 0.2% % % % Day T-Bills % % % % -- XXXXX Tracking Error Tracking Error Rank 54 June 30, 2016

364 State Universities Retirement System of Illinois DB Plan Domestic Equity Exhibit 11 Characteristics Dow Jones U.S. Portfolio Total Stock Market Number of Holdings 3,106 3,863 Weighted Avg. Market Cap. ($B) Median Market Cap. ($B) Price To Earnings Price To Book Price To Sales Return on Equity (%) Yield (%) Beta R-Squared June 30,

365 State Universities Retirement System of Illinois DB Plan Domestic Equity Exhibit 11 Top Ten Holdings APPLE 2.1% MICROSOFT 1.7% EXXON MOBIL 1.5% JOHNSON & JOHNSON 1.4% AMAZON.COM 1.2% AT&T 1.1% FACEBOOK CLASS A 1.1% VERIZON COMMUNICATIONS 1.0% GENERAL ELECTRIC 1.0% PFIZER 1.0% Top Positive Contributors Relative Contribution % Return % _ APPLE 0.0% -11.7% ALPHABET 'A' 0.0% -7.8% NEWFIELD EXPLORATION 0.0% 32.9% NVIDIA 0.0% 32.3% CONTINENTAL RESOURCES 0.0% 49.1% PERRIGO 0.0% -29.0% L3 COMMUNICATIONS HDG. 0.0% 24.4% ULTA SALON CO&FRA. 0.0% 25.8% FIRST INDL.REALTY TST. 0.0% 23.2% MICROSOFT 0.0% -6.7% Top Negative Contributors Relative Contribution % Return % _ MEDTRONIC 0.0% 15.7% EXXON MOBIL 0.0% 13.1% JOHNSON & JOHNSON 0.0% 12.9% SOUTHWEST AIRLINES 0.0% -12.3% AT&T 0.0% 11.7% AMAZON.COM 0.0% 20.5% CHEVRON 0.0% 11.1% MANPOWERGROUP 0.0% -20.1% HANESBRANDS 0.0% -11.0% CBRE GROUP CLASS A 0.0% -8.1% Equity Sector Attribution Attribution Effects Returns Sector Weights Total Selection Allocation Interaction Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark _ Energy 0.0% 0.1% -0.1% 0.0% 12.3% 11.3% 5.4% 6.1% Materials 0.0% 0.0% 0.0% 0.0% 4.0% 4.9% 3.3% 3.2% Industrials -0.1% -0.1% 0.0% 0.0% 1.0% 1.5% 10.9% 10.8% Cons. Disc. -0.1% -0.1% 0.0% 0.0% -2.2% -1.6% 13.4% 13.3% Cons. Staples 0.0% 0.0% 0.0% 0.0% 5.1% 4.8% 8.0% 9.2% Health Care 0.0% 0.0% 0.0% 0.0% 6.1% 5.9% 12.4% 13.7% Financials -0.1% -0.1% 0.0% 0.0% 2.0% 2.7% 16.5% 17.5% Info. Tech 0.1% 0.1% 0.0% 0.0% -1.7% -2.0% 19.1% 20.1% Telecomm. 0.0% 0.0% 0.0% 0.0% 7.8% 7.4% 2.2% 2.5% Utilities 0.0% 0.0% 0.0% 0.0% 7.2% 7.3% 3.2% 3.5% Cash -0.1% 0.0% -0.1% 0.0% 0.1% % 0.0% Portfolio -0.4% = -0.1% % + 0.0% 2.2% 2.6% 100.0% 100.0% _ 56 June 30, 2016

366 State Universities Retirement System of Illinois DB Plan Total Fund Risk Statistics vs. Peer Universe Exhibit 11 Domestic Equity vs. ea All US Equity Gross 3 Years June 30,

367 State Universities Retirement System of Illinois DB Plan Domestic Equity Exhibit 11 % of Tot Anlzd Ret Rank Anlzd Std Dev 3 Years Ending June 30, 2016 Rank Anlzd AJ Rank Sharpe Ratio Rank Sortino Ratio RF Domestic Equity 24.9% 10.9% % % % 1 Dow Jones U.S. Total Stock Market % % % % 1 Large Active 4.7% S&P % % % % 1 Transition 0.0% Day T-Bills % % % % -- Piedmont Advisors 2.7% 12.6% % % % 2 S&P % % % % 1 T. Rowe Price 2.0% 12.1% % % % 1 S&P % % % % 1 Large Structured Active 0.0% Russell % % % % 1 Passive US Equity 15.8% S&P % % % % -- Northern Trust Stock Market Index 9.8% 10.9% % % % 1 Dow Jones U.S. Total Stock Market % % % % 1 Rhumbline 5.9% 11.3% % % % 1 Rhumbline Custom Benchmark % % % % 1 Mid Cap 2.2% Russell MidCap % % % % 1 EARNEST Partners 0.7% 11.8% % % % 9 Russell MidCap % % % % 1 Holland Capital 0.6% 9.2% % % % 44 Holland Capital Custom Benchmark % % % % 1 Channing Capital Management 0.9% 10.4% % % % 68 Russell MidCap Value % % % % 1 Small Cap 2.2% Russell % % % % 1 Fiduciary Management Associates 0.8% 8.3% % % % 9 Russell % % % % 1 CastleArk Management 0.8% 7.3% % % % 30 Russell 2000 Growth % % % % 1 Lombardia 0.6% 3.5% % % % 25 Rank Tracking Error Rank 58 June 30, 2016

368 State Universities Retirement System of Illinois DB Plan Domestic Equity Exhibit 11 % of Tot Anlzd Ret Rank Anlzd Std Dev Rank Anlzd AJ Rank Sharpe Ratio Rank Sortino Ratio RF Russell 2000 Value % % % % 1 Domestic Equity ex-progress managers 24.9% 10.8% % % % -- S&P % % % % -- Piedmont Advisors 2.7% 12.6% % % % 2 S&P % % % % 1 T. Rowe Price 2.0% 12.1% % % % 1 S&P % % % % 1 Northern Trust Stock Market Index 9.8% 10.9% % % % 1 Dow Jones U.S. Total Stock Market % % % % 1 Rhumbline 5.9% 11.3% % % % 1 Rhumbline Custom Benchmark % % % % 1 EARNEST Partners 0.7% 11.8% % % % 9 Russell MidCap % % % % 1 Holland Capital 0.6% 9.2% % % % 44 Holland Capital Custom Benchmark % % % % 1 Channing Capital Management 0.9% 10.4% % % % 68 Russell MidCap Value % % % % 1 Fiduciary Management Associates 0.8% 8.3% % % % 9 Russell % % % % 1 CastleArk Management 0.8% 7.3% % % % 30 Russell 2000 Growth % % % % 1 Lombardia 0.6% 3.5% % % % 25 Russell 2000 Value % % % % 1 Rank Tracking Error Rank 59 June 30, 2016

369 State Universities Retirement System of Illinois DB Plan Domestic Equity % of Tot Anlzd Ret Rank Anlzd Std Dev 5 Years Ending June 30, 2016 Rank Anlzd AJ Rank Sharpe Ratio Rank Sortino Ratio RF Domestic Equity 24.9% 11.4% % % % 1 Dow Jones U.S. Total Stock Market % % % % 1 Large Active 4.7% S&P % % % % 1 Transition 0.0% Day T-Bills % % % % -- Piedmont Advisors 2.7% 12.8% % % % 1 S&P % % % % 1 T. Rowe Price 2.0% 12.5% % % % 1 S&P % % % % 1 Large Structured Active 0.0% Russell % % % % 1 Passive US Equity 15.8% S&P % % % % -- Northern Trust Stock Market Index 9.8% 11.6% % % % 1 Dow Jones U.S. Total Stock Market % % % % 1 Rhumbline 5.9% 11.8% % % % 1 Rhumbline Custom Benchmark % % % % 1 Mid Cap 2.2% Russell MidCap % % % % 1 EARNEST Partners 0.7% 10.8% % % % 18 Russell MidCap % % % % 1 Holland Capital 0.6% 10.0% % % % 38 Holland Capital Custom Benchmark % % % % 1 Channing Capital Management 0.9% 12.1% % % % 54 Russell MidCap Value % % % % 1 Small Cap 2.2% Russell % % % % 1 Fiduciary Management Associates 0.8% 8.9% % % % 19 Russell % % % % 1 CastleArk Management 0.8% Russell 2000 Growth % % % % 1 Lombardia 0.6% 7.1% % % % 24 Rank Exhibit 11 Tracking Error Rank 60 June 30, 2016

370 State Universities Retirement System of Illinois DB Plan Domestic Equity Exhibit 11 % of Tot Anlzd Ret Rank Anlzd Std Dev Rank Anlzd AJ Rank Sharpe Ratio Rank Sortino Ratio RF Russell 2000 Value % % % % 1 Domestic Equity ex-progress managers 24.9% 11.5% % % % -- S&P % % % % -- Piedmont Advisors 2.7% 12.8% % % % 1 S&P % % % % 1 T. Rowe Price 2.0% 12.5% % % % 1 S&P % % % % 1 Northern Trust Stock Market Index 9.8% 11.6% % % % 1 Dow Jones U.S. Total Stock Market % % % % 1 Rhumbline 5.9% 11.8% % % % 1 Rhumbline Custom Benchmark % % % % 1 EARNEST Partners 0.7% 10.8% % % % 18 Russell MidCap % % % % 1 Holland Capital 0.6% 10.0% % % % 38 Holland Capital Custom Benchmark % % % % 1 Channing Capital Management 0.9% 12.1% % % % 54 Russell MidCap Value % % % % 1 Fiduciary Management Associates 0.8% 8.9% % % % 19 Russell % % % % 1 CastleArk Management 0.8% Russell 2000 Growth % % % % 1 Lombardia 0.6% 7.1% % % % 24 Russell 2000 Value % % % % 1 Rank Tracking Error Rank 61 June 30, 2016

371 State Universities Retirement System of Illinois DB Plan Domestic Equity Exhibit June 30, 2016

372 State Universities Retirement System of Illinois DB Plan International Equity Exhibit 11 Characteristics MSCI ACWI ex Portfolio USA Number of Holdings 2,319 1,859 Weighted Avg. Market Cap. ($B) Median Market Cap. ($B) Price To Earnings Price To Book Price To Sales Return on Equity (%) Yield (%) Beta R-Squared Regional Allocation Total Non US Equity MSCI ACWI ex USA Region Weighting North America ex U.S United States Europe Ex U.K United Kingdom Pacific Basin Ex Japan Japan Emerging Markets Other June 30,

373 State Universities Retirement System of Illinois DB Plan International Equity Exhibit 11 Top Ten Holdings NESTLE 'R' 1.4% ROCHE HOLDING 0.8% NOVO NORDISK 'B' 0.7% SANOFI 0.7% DAITO TST.CONSTRUCTION 0.7% CASH - USD 0.6% ROYAL DUTCH SHELL A(LON) 0.6% TAIWAN SEMICON.MNFG. 0.6% NOVARTIS 'R' 0.6% NIPPON TELG. & TEL. 0.6% Top Positive Contributors Relative Contribution % Return % _ DAITO TST.CONSTRUCTION 0.1% 14.1% NOVARTIS 'R' (OTC) 0.0% 12.8% NETEASE ADR 1:25 0.0% 35.2% ACTELION 0.0% 12.7% ARISTOCRAT LEISURE 0.0% 30.7% BANCO SANTANDER 0.0% -13.0% KEYENCE (OTC) 0.0% 23.9% E ON 0.0% 10.7% NIPPON TELG. & TEL. 0.0% 8.5% KDDI 0.0% 13.5% Top Negative Contributors Relative Contribution % Return % _ ADECCO 'R' -0.1% -20.3% ITV (OTC) -0.1% -26.1% NESTLE 'R' -0.1% 6.1% PEUGEOT -0.1% -30.0% PERSIMMON -0.1% -35.5% NOVARTIS 'R' -0.1% 13.0% BAYER -0.1% -12.2% SKY 0.0% -23.0% ROYAL DUTCH SHELL B 0.0% 15.0% DAIMLER 0.0% -17.9% Equity Sector Attribution Attribution Effects Returns Sector Weights Total Selection Allocation Interaction Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark _ Energy -0.1% -0.1% -0.1% 0.0% 6.9% 8.3% 5.6% 6.4% Materials -0.1% -0.1% 0.0% 0.0% 1.3% 3.3% 6.7% 7.0% Industrials -0.3% -0.2% 0.0% -0.1% -3.5% -1.4% 12.0% 11.5% Cons. Disc. -0.3% -0.2% -0.1% -0.1% -8.7% -6.7% 13.0% 12.0% Cons. Staples 0.0% -0.1% 0.0% 0.1% 3.2% 3.1% 11.3% 11.3% Health Care 0.0% 0.0% 0.0% 0.0% 4.5% 4.5% 9.2% 8.8% Financials 0.0% -0.2% 0.1% 0.1% -4.2% -4.0% 24.1% 25.7% Info. Tech 0.0% 0.0% 0.0% 0.0% 0.5% 0.7% 8.4% 8.4% Telecomm. 0.0% 0.0% 0.0% 0.0% 0.5% -0.3% 5.5% 5.4% Utilities 0.0% 0.0% 0.0% 0.0% 2.2% 1.9% 3.1% 3.6% Cash 0.0% 0.0% 0.0% 0.0% 0.1% % 0.0% Portfolio -0.8% = -0.9% % + 0.2% -1.2% -0.4% 99.5% 100.0% _ 64 June 30, 2016

374 State Universities Retirement System of Illinois DB Plan International Equity Exhibit 11 Returns and Weights Attribution Effects Manager Index Manager Index Selection Allocation Currency Interaction Total Return Return Weight Weight Effect Effect Effect Effect Effects _ Totals Americas 2.2% 4.2% 8.4% 9.5% -0.2% 0.0% 0.0% 0.0% -0.2% Europe -3.1% -2.3% 50.8% 47.9% -0.6% 0.0% 0.1% 0.0% -0.5% Asia/Pacific 0.7% 0.9% 37.5% 39.8% -0.2% 0.1% 0.1% 0.0% -0.1% Other -1.3% -0.5% 2.8% 2.9% 0.0% 0.0% 0.0% 0.0% 0.0% Cash 0.1% % 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Total -1.2% -0.4% 100.0% 100.0% -1.1% 0.1% 0.2% 0.0% -0.8% Totals Developed -1.5% -0.8% 83.5% 78.4% -0.8% 0.0% 0.2% -0.1% -0.7% Emerging* 0.7% 1.2% 15.9% 21.6% -0.1% -0.1% 0.0% 0.0% -0.1% Cash 0.1% % 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% _ June 30,

375 State Universities Retirement System of Illinois DB Plan International Equity Exhibit 11 Country Allocation Manager Index Manager Index Allocation (USD) Allocation (USD) Return (USD) Return (USD) _ Americas Brazil* 1.2% 1.4% 15.0% 13.9% Canada 4.7% 6.6% 2.0% 3.6% Chile* 0.2% 0.3% 3.9% 3.7% Colombia* 0.1% 0.1% 3.1% 2.9% Mexico* 0.8% 1.0% -7.7% -6.9% Peru* 0.0% 0.1% 25.7% 17.1% United States 1.4% 0.0% -3.2% 2.4% Total-Americas 8.4% 9.5% 2.2% 4.2% Europe Austria 0.4% 0.1% -10.7% -9.6% Belgium 1.1% 1.0% 0.8% 2.3% Czech Republic* 0.0% 0.0% -3.4% -3.8% Denmark 1.9% 1.4% -1.0% -0.5% Finland 0.9% 0.7% -0.1% -0.9% France 8.0% 7.2% -4.1% -3.6% Germany 6.7% 6.6% -4.5% -5.0% Greece* 0.1% 0.1% -12.6% -13.7% Hungary* 0.1% 0.1% -2.9% -4.7% Ireland 0.3% 0.4% -15.8% -9.8% Italy 1.9% 1.5% -15.6% -10.1% Luxembourg 0.1% 0.0% -5.5% -0.4% Netherlands 3.0% 2.2% 1.8% -3.8% Norway 0.8% 0.4% 2.3% 2.9% Poland* 0.4% 0.3% -13.0% -17.3% Portugal 0.1% 0.1% 0.8% -5.0% Russia* 0.5% 0.8% 4.6% 4.3% Spain 2.0% 2.3% -4.2% -7.7% Sweden 2.9% 2.1% -3.9% -4.6% Switzerland 6.2% 6.5% 1.7% 2.4% United Kingdom 13.5% 13.9% -3.7% -0.6% Total-Europe 50.8% 47.9% -3.1% -2.3% _ Country Allocation Versus MSCI ACWI ex USA - Quarter Ending June 30, 2016 Manager Index Manager Index Allocation (USD) Allocation (USD) Return (USD) Return (USD) * Denotes emerging market countries. _ AsiaPacific Australia 4.8% 5.0% 0.1% 0.5% China* 2.6% 5.1% 0.1% 1.2% Hong Kong 4.0% 2.5% 1.2% 0.9% India* 1.2% 1.8% 3.2% 3.7% Indonesia* 0.4% 0.6% 5.8% 4.6% Japan 17.1% 16.1% 1.0% 1.0% Korea* 2.7% 3.4% -2.2% -1.1% Malaysia* 0.5% 0.8% -5.7% -5.9% New Zealand 0.1% 0.1% 6.0% 5.9% Philippines* 0.3% 0.3% 5.0% 6.4% Singapore 1.1% 1.0% 1.0% 0.3% Taiwan* 2.2% 2.7% 1.5% 1.1% Thailand* 0.5% 0.5% 0.0% 2.7% Total-AsiaPacific 37.5% 39.8% 0.7% 0.9% Other Egypt* 0.0% 0.0% 0.5% 0.8% Israel 0.6% 0.5% -4.0% -4.3% Qatar* 0.1% 0.2% -5.5% -4.9% South Africa* 1.6% 1.6% 1.1% 2.6% Turkey* 0.3% 0.3% -6.4% -7.5% United Arab Emirates* 0.1% 0.2% -1.8% 0.1% Total-Other 2.8% 2.9% -1.3% -0.5% Totals Developed 83.5% 78.4% -1.5% -0.8% Emerging* 15.9% 21.6% 0.7% 1.2% Cash 0.6% 0.1% _ June 30,

376 State Universities Retirement System of Illinois DB Plan International Equity Exhibit 11 International Equity Performance Attribution Returns and Weights Attribution Effects Manager Index Manager Index Selection Allocation Currency Interaction Total Return Return Weight Weight Effect Effect Effect Effect Effects _ Europe Austria -10.7% -9.6% 0.4% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% Belgium 0.8% 2.3% 1.1% 1.0% 0.0% 0.0% 0.0% 0.0% 0.0% Czech Republic* -3.4% -3.8% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Denmark -1.0% -0.5% 1.9% 1.4% 0.0% 0.0% 0.0% 0.0% 0.0% Finland -0.1% -0.9% 0.9% 0.7% 0.0% 0.0% 0.0% 0.0% 0.0% France -4.1% -3.6% 8.0% 7.2% -0.1% 0.0% 0.0% 0.0% -0.1% Germany -4.5% -5.0% 6.7% 6.6% 0.0% 0.0% 0.0% 0.0% 0.0% Greece* -12.6% -13.7% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% Hungary* -2.9% -4.7% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% Ireland -15.8% -9.8% 0.3% 0.4% 0.0% 0.0% 0.0% 0.0% 0.0% Italy -15.6% -10.1% 1.9% 1.5% -0.1% 0.0% 0.0% 0.0% -0.1% Luxembourg -5.5% -0.4% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Netherlands 1.8% -3.8% 3.0% 2.2% 0.2% 0.0% -0.1% 0.0% 0.1% Norway 2.3% 2.9% 0.8% 0.4% 0.0% 0.0% 0.0% 0.0% 0.0% Poland* -13.0% -17.3% 0.4% 0.3% 0.0% 0.0% 0.0% 0.0% 0.0% Portugal 0.8% -5.0% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% Russia* 4.6% 4.3% 0.5% 0.8% 0.0% 0.0% 0.0% 0.0% 0.0% Spain -4.2% -7.7% 2.0% 2.3% 0.1% 0.0% 0.0% 0.0% 0.1% Sweden -3.9% -4.6% 2.9% 2.1% 0.0% 0.0% 0.0% 0.0% 0.0% Switzerland 1.7% 2.4% 6.2% 6.5% -0.1% 0.0% 0.0% 0.0% 0.0% United Kingdom -3.7% -0.6% 13.5% 13.9% -0.6% 0.0% 0.2% 0.0% -0.4% Americas Brazil* 15.0% 13.9% 1.2% 1.4% 0.0% 0.0% 0.0% 0.0% 0.0% Canada 2.0% 3.6% 4.7% 6.6% -0.1% -0.1% 0.0% 0.0% -0.1% Chile* 3.9% 3.7% 0.2% 0.3% 0.0% 0.0% 0.0% 0.0% 0.0% Colombia* 3.1% 2.9% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% Mexico* -7.7% -6.9% 0.8% 1.0% 0.0% 0.0% 0.0% 0.0% 0.0% Peru* 25.7% 17.1% 0.0% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% United States -3.2% 2.4% 1.4% 0.0% 0.0% 0.0% 0.0% -0.1% 0.0% _ International Equity Performance Attribution Returns and Weights Attribution Effects Manager Index Manager Index Selection Allocation Currency Interaction Total Return Return Weight Weight Effect Effect Effect Effect Effects * Denotes emerging market countries. _ AsiaPacific Australia 0.1% 0.5% 4.8% 5.0% 0.0% 0.0% 0.0% 0.0% 0.0% China* 0.1% 1.2% 2.6% 5.1% -0.1% 0.0% 0.0% 0.0% -0.1% Hong Kong 1.2% 0.9% 4.0% 2.5% 0.0% 0.0% 0.0% 0.0% 0.0% India* 3.2% 3.7% 1.2% 1.8% 0.0% 0.0% 0.0% 0.0% 0.0% Indonesia* 5.8% 4.6% 0.4% 0.6% 0.0% 0.0% 0.0% 0.0% 0.0% Japan 1.0% 1.0% 17.1% 16.1% 0.0% -0.1% 0.0% 0.0% 0.0% Korea* -2.2% -1.1% 2.7% 3.4% 0.0% 0.0% 0.0% 0.0% 0.0% Malaysia* -5.7% -5.9% 0.5% 0.8% 0.0% 0.0% 0.0% 0.0% 0.0% New Zealand 6.0% 5.9% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% Philippines* 5.0% 6.4% 0.3% 0.3% 0.0% 0.0% 0.0% 0.0% 0.0% Singapore 1.0% 0.3% 1.1% 1.0% 0.0% 0.0% 0.0% 0.0% 0.0% Taiwan* 1.5% 1.1% 2.2% 2.7% 0.0% 0.0% 0.0% 0.0% 0.0% Thailand* 0.0% 2.7% 0.5% 0.5% 0.0% 0.0% 0.0% 0.0% 0.0% Other Egypt* 0.5% 0.8% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Israel -4.0% -4.3% 0.6% 0.5% 0.0% 0.0% 0.0% 0.0% 0.0% Qatar* -5.5% -4.9% 0.1% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% South Africa* 1.1% 2.6% 1.6% 1.6% 0.0% 0.0% 0.0% 0.0% 0.0% Turkey* -6.4% -7.5% 0.3% 0.3% 0.0% 0.0% 0.0% 0.0% 0.0% United Arab Emirates* -1.8% 0.1% 0.1% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% Totals Developed -1.5% -0.8% 83.5% 78.4% -0.8% 0.0% 0.2% -0.1% -0.7% Emerging* 0.7% 1.2% 15.9% 21.6% -0.1% -0.1% 0.0% 0.0% -0.1% Cash 0.1% % 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% _ June 30,

377 State Universities Retirement System of Illinois DB Plan International Equity Exhibit 11 June 30,

378 State Universities Retirement System of Illinois DB Plan Total Fund Risk Statistics vs. Peer Universe Exhibit 11 Total Fund vs. ea All ACWI ex-us Equity Gross 3 Years June 30,

379 State Universities Retirement System of Illinois DB Plan International Equity Exhibit 11 % of Tot Anlzd Ret Rank Anlzd Std Dev 3 Years Ending June 30, 2016 Rank Anlzd AJ Rank Tracking Error Rank Sortino Ratio RF Rank Down Mkt Cap Ratio Total Non US Equity 18.4% 2.4% % % % % 71 International Equity Custom Benchmark % % % % % 84 BlackRock Intl Equity Fund 7.0% 1.7% % % % % 83 MSCI ACWI ex USA % % % % % 87 BlackRock Emerging Markets 0.9% -1.6% % % % % 85 MSCI Emerging Markets % % % % % 86 Progress Emerging Non-US Equity 1.0% 3.2% % % % % 77 MSCI EAFE % % % % % 92 Progress - Herndon Intl Equity 0.0% -1.7% % 1-1.7% % % 1 MSCI ACWI ex USA Gross % % % % % 40 Progress - Brown Capital 0.2% 7.4% % 3 5.3% 1 4.6% % 9 MSCI EAFE Gross % % % % % 92 Progress - Cheswold Lane 0.0% 1.3% % 3 0.1% % % 11 MSCI EAFE % % % % % 92 Progress - Hanoverian 0.0% 1.3% % % % % 89 MSCI EAFE Gross % % % % % 92 Progress - John Hsu 0.0% 1.6% % % % % 81 MSCI EAFE Gross % % % % % 92 Progress - Sky Investment 0.0% 2.7% % 1 1.6% % % 4 MSCI EAFE Gross % % % % % 92 Progress - Strategic Advisors 0.3% 6.7% % 5 4.3% 2 2.9% % 32 MSCI EAFE Gross % % % % % 92 Progress - Glovista 0.0% -3.8% % % % % 58 MSCI Emerging Markets % % % % % 86 Progress - Lombardia 0.1% MSCI EAFE Gross % % % % % 92 Progress - Affinity 0.2% MSCI EAFE % % % % % 92 Progress - APEX Capital Management 0.1% MSCI EAFE % % % % % 92 Progress - Glovista Investments 0.1% MSCI EAFE % % % % % 92 Rank 70 June 30, 2016

380 State Universities Retirement System of Illinois DB Plan International Equity Exhibit 11 % of Tot Anlzd Ret Rank Anlzd Std Dev 3 Years Ending June 30, 2016 Rank Anlzd AJ Rank Tracking Error Rank Sortino Ratio RF Rank Down Mkt Cap Ratio Herndon Capital Management 0.0% 3.4% % % % % 36 MSCI EAFE % % % % % 92 BlackRock Intl Alpha Tilts 2.5% 4.6% % % % % 63 MSCI EAFE % % % % % 92 Strategic Global Advisors 1.5% 7.0% % % % % 35 MSCI EAFE % % % % % 92 XXXXX Rank 71 June 30, 2016

381 State Universities Retirement System of Illinois DB Plan Global Equity Exhibit 11 Characteristics Portfolio MSCI ACWI Number of Holdings 413 2,481 Weighted Avg. Market Cap. ($B) Median Market Cap. ($B) Price To Earnings Price To Book Price To Sales Return on Equity (%) Yield (%) Beta R-Squared Regional Allocation Global Equity MSCI ACWI Region Weighting North America ex U.S United States Europe Ex U.K United Kingdom Pacific Basin Ex Japan Japan Emerging Markets Other June 30,

382 State Universities Retirement System of Illinois DB Plan Global Equity Exhibit 11 Top Ten Holdings DELAWARE POOLED TRUST EMERGING MARKETS PORTFOLIO 4.5% AMAZON.COM 2.2% MICROSOFT 1.4% CASH - USD 1.4% ALPHABET 'A' 1.4% MASTERCARD 1.2% UNITEDHEALTH GROUP 1.2% DIAGEO 1.2% JUNIPER NETWORKS 1.1% TYCO INTERNATIONAL 1.0% Top Positive Contributors Relative Contribution % Return % _ AMAZON.COM 0.3% 20.5% APPLE 0.2% -11.7% TYCO INTERNATIONAL 0.1% 16.7% BP (OTC) 0.1% 21.1% BRISTOL MYERS SQUIBB 0.1% 15.7% HIKMA PHARMACEUTICALS 0.1% 16.6% ASTELLAS PHARMA 0.1% 17.1% KEYENCE (OTC) 0.1% 23.9% NEWFIELD EXPLORATION 0.1% 32.9% UNITEDHEALTH GROUP 0.1% 10.0% Top Negative Contributors Relative Contribution % Return % _ INTESA SANPAOLO (OTC) -0.2% -24.1% JUNIPER NETWORKS -0.2% -11.5% TELEFONICA (OTC) -0.1% -24.0% CARNIVAL -0.1% -15.6% MASTERCARD -0.1% -6.6% PALO ALTO NETWORKS -0.1% -24.8% TD AMERITRADE HOLDING -0.1% -9.2% SYNCHRONY FINANCIAL -0.1% -11.8% SAMSONITE INTERNATIONAL -0.1% -15.7% TELIASONERA -0.1% -6.5% Equity Sector Attribution Attribution Effects Returns Sector Weights Total Selection Allocation Interaction Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark _ Energy -0.1% 0.2% -0.2% -0.1% 13.0% 9.7% 4.2% 6.5% Materials 0.0% 0.0% 0.0% 0.0% 2.9% 3.4% 4.6% 4.9% Industrials 0.1% 0.1% 0.0% 0.0% 1.3% 0.5% 12.0% 10.6% Cons. Disc. 0.5% 0.5% 0.0% 0.0% 0.0% -3.7% 12.3% 12.8% Cons. Staples -0.1% 0.0% 0.0% 0.0% 3.5% 3.8% 9.8% 10.8% Health Care 0.5% 0.3% 0.0% 0.1% 8.9% 5.6% 12.8% 11.7% Financials 0.2% 0.2% 0.1% 0.0% -0.8% -1.5% 16.9% 20.6% Info. Tech -0.2% 0.0% -0.1% 0.0% -1.8% -1.3% 19.5% 14.5% Telecomm. -0.1% -0.1% 0.0% 0.0% 0.8% 2.5% 3.6% 4.0% Utilities 0.0% 0.1% 0.0% 0.0% 6.5% 4.4% 2.9% 3.5% Cash 0.0% 0.0% 0.0% 0.0% 0.1% % 0.0% Portfolio 0.8% = 1.2% % % 2.1% 1.2% 99.5% 100.0% _ The capture ratio the global equity portfolio is 99.5% 73 June 30, 2016

383 State Universities Retirement System of Illinois DB Plan Global Equity Exhibit 11 Country Allocation Manager Index Manager Index Allocation (USD) Allocation (USD) Return (USD) Return (USD) _ Americas Brazil* 0.4% 0.7% 10.1% 13.9% Canada 0.8% 3.1% 5.7% 3.6% United States 57.4% 52.6% 2.8% 2.6% Total-Americas 58.6% 57.1% 2.9% 2.8% Europe Austria 0.0% 0.1% -27.9% -9.6% Belgium 0.3% 0.5% 1.5% 2.3% Denmark 0.4% 0.7% -2.9% -0.5% France 2.2% 3.4% 2.9% -3.6% Germany 1.2% 3.1% -4.2% -5.0% Greece* 0.2% 0.0% -3.4% -13.7% Ireland 0.1% 0.2% -12.7% -9.8% Italy 1.7% 0.7% -19.1% -10.1% Luxembourg 0.5% 0.0% -0.7% 1.2% Netherlands 2.2% 1.1% -0.1% -3.8% Norway 0.0% 0.2% 31.3% 2.9% Russia* 0.1% 0.4% 25.2% 4.3% Spain 1.5% 1.1% -8.0% -7.7% Sweden 2.0% 1.0% -3.5% -4.6% Switzerland 2.7% 3.1% 1.6% 2.4% United Kingdom 8.0% 6.6% 4.2% -0.6% Total-Europe 23.2% 22.7% -0.5% -2.3% _ Country Allocation Versus MSCI ACWI - Quarter Ending June 30, 2016 Manager Index Manager Index Allocation (USD) Allocation (USD) Return (USD) Return (USD) _ AsiaPacific Australia 1.7% 2.4% 4.8% 0.5% China* 1.0% 2.4% -6.8% 1.2% Hong Kong 2.3% 1.2% 4.7% 0.9% India* 1.4% 0.8% 7.5% 3.7% Indonesia* 0.3% 0.3% 4.2% 4.6% Japan 6.5% 7.6% 4.2% 1.0% Korea* 0.5% 1.6% 10.7% -1.1% Singapore 1.9% 0.5% 1.1% 0.3% Taiwan* 0.7% 1.3% -2.3% 1.1% Thailand* 0.0% 0.2% -2.1% 2.7% Total-AsiaPacific 16.4% 18.8% 3.4% 0.9% Other Israel 0.3% 0.2% -8.8% -4.3% South Africa* 0.1% 0.7% 10.9% 2.6% United Arab Emirates* 0.4% 0.1% -11.7% 0.1% Total-Other 0.7% 1.4% -8.5% -0.5% Totals Developed 93.7% 89.8% 2.1% 1.2% Emerging* 5.2% 10.2% 1.9% 1.2% Cash 1.1% 0.1% _ June 30,

384 State Universities Retirement System of Illinois DB Plan Global Equity Exhibit 11 International Equity Performance Attribution Returns and Weights Attribution Effects Manager Index Manager Index Selection Allocation Currency Interaction Total Return Return Weight Weight Effect Effect Effect Effect Effects _ Europe Austria -27.9% -9.6% 0.0% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% Belgium 1.5% 2.3% 0.3% 0.5% 0.0% 0.0% 0.0% 0.0% 0.0% Czech Republic* % 0.0% 0.0% % 0.0% % Denmark -2.9% -0.5% 0.4% 0.7% 0.0% 0.0% 0.0% 0.0% 0.0% Finland % 0.0% 0.3% % 0.0% % France 2.9% -3.6% 2.2% 3.4% 0.2% 0.0% 0.0% -0.1% 0.2% Germany -4.2% -5.0% 1.2% 3.1% 0.0% 0.1% 0.0% 0.0% 0.1% Greece* -3.4% -13.7% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Hungary* % 0.0% 0.0% % 0.0% % Ireland -12.7% -9.8% 0.1% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% Italy -19.1% -10.1% 1.7% 0.7% -0.1% -0.1% 0.0% -0.1% -0.3% Luxembourg -0.7% 1.2% 0.5% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Netherlands -0.1% -3.8% 2.2% 1.1% 0.0% 0.0% 0.0% 0.0% 0.0% Norway 31.3% 2.9% 0.0% 0.2% 0.1% 0.0% 0.0% 0.0% 0.0% Poland* % 0.0% 0.1% % 0.0% % Portugal % 0.0% 0.1% % 0.0% % Russia* 25.2% 4.3% 0.1% 0.4% 0.1% 0.0% 0.0% -0.1% 0.0% Spain -8.0% -7.7% 1.5% 1.1% 0.0% 0.0% 0.0% 0.0% 0.0% Sweden -3.5% -4.6% 2.0% 1.0% 0.0% 0.0% 0.0% 0.0% 0.0% Switzerland 1.6% 2.4% 2.7% 3.1% 0.0% 0.0% 0.0% 0.0% 0.0% United Kingdom 4.2% -0.6% 8.0% 6.6% 0.2% 0.1% 0.1% 0.0% 0.4% Americas Brazil* 10.1% 13.9% 0.4% 0.7% 0.0% 0.0% -0.1% 0.0% -0.1% Canada 5.7% 3.6% 0.8% 3.1% 0.1% -0.1% 0.0% 0.0% 0.0% Chile* % 0.0% 0.1% % 0.0% % Colombia* % 0.0% 0.0% % 0.0% % Mexico* % 0.0% 0.5% % 0.0% % Peru* % 0.0% 0.0% % 0.0% % United States 2.8% 2.6% 57.4% 52.6% 0.1% 0.1% 0.0% 0.0% 0.1% _ International Equity Performance Attribution Returns and Weights Attribution Effects Manager Index Manager Index Selection Allocation Currency Interaction Total Return Return Weight Weight Effect Effect Effect Effect Effects _ AsiaPacific Australia 4.8% 0.5% 1.7% 2.4% 0.1% 0.0% 0.0% 0.0% 0.1% China* -6.8% 1.2% 1.0% 2.4% -0.2% 0.0% 0.0% 0.1% -0.1% Hong Kong 4.7% 0.9% 2.3% 1.2% 0.0% 0.0% 0.0% 0.0% 0.1% India* 7.5% 3.7% 1.4% 0.8% 0.0% 0.0% 0.0% 0.0% 0.1% Indonesia* 4.2% 4.6% 0.3% 0.3% 0.0% 0.0% 0.0% 0.0% 0.0% Japan 4.2% 1.0% 6.5% 7.6% 0.3% 0.1% -0.1% 0.0% 0.2% Korea* 10.7% -1.1% 0.5% 1.6% 0.2% 0.0% 0.0% -0.1% 0.1% Malaysia* % 0.0% 0.4% % 0.0% % New Zealand % 0.0% 0.1% % 0.0% % Philippines* % 0.0% 0.1% % 0.0% % Singapore 1.1% 0.3% 1.9% 0.5% 0.0% 0.0% 0.0% 0.0% 0.0% Taiwan* -2.3% 1.1% 0.7% 1.3% 0.0% 0.0% 0.0% 0.0% 0.0% Thailand* -2.1% 2.7% 0.0% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% Other Egypt* % 0.0% 0.0% % 0.0% % Israel -8.8% -4.3% 0.3% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% Qatar* % 0.0% 0.1% % 0.0% % South Africa* 10.9% 2.6% 0.1% 0.7% 0.1% 0.0% 0.0% -0.1% 0.0% Turkey* % 0.0% 0.2% % 0.0% % United Arab Emirates* -11.7% 0.1% 0.4% 0.1% 0.0% 0.0% 0.0% 0.0% -0.1% Totals Developed 2.1% 1.2% 93.7% 89.8% 0.7% 0.0% 0.0% 0.0% 0.8% Emerging* 1.9% 1.2% 5.2% 10.2% 0.1% 0.0% 0.0% -0.1% 0.0% Cash 0.1% % 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% _ June 30,

385 State Universities Retirement System of Illinois DB Plan Global Equity Exhibit 11 Returns and Weights Attribution Effects Manager Index Manager Index Selection Allocation Currency Interaction Total Return Return Weight Weight Effect Effect Effect Effect Effects _ Totals Americas 2.9% 2.8% 58.6% 57.1% 0.1% 0.0% 0.0% 0.0% 0.1% Europe -0.5% -2.3% 23.2% 22.7% 0.2% 0.0% 0.1% 0.0% 0.4% Asia/Pacific 3.4% 0.9% 16.4% 18.8% 0.5% 0.1% -0.1% -0.1% 0.4% Other -8.5% -0.5% 0.7% 1.4% -0.1% 0.0% 0.0% 0.0% 0.0% Cash 0.1% % 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Total 2.1% 1.2% 100.0% 100.0% 0.7% 0.1% 0.0% 0.0% 0.8% Totals Developed 2.1% 1.2% 93.7% 89.8% 0.7% 0.0% 0.0% 0.0% 0.8% Emerging* 1.9% 1.2% 5.2% 10.2% 0.1% 0.0% 0.0% -0.1% 0.0% Cash 0.1% % 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% _ June 30,

386 State Universities Retirement System of Illinois DB Plan Global Equity Exhibit 11 June 30,

387 State Universities Retirement System of Illinois DB Plan Total Fund Risk Statistics vs. Peer Universe Exhibit 11 Total Fund vs. ea All Global Equity Gross 3 Years June 30,

388 State Universities Retirement System of Illinois DB Plan Global Equity % of Tot Anlzd Ret Rank Anlzd Std Dev 3 Years Ending June 30, 2016 Rank Anlzd AJ Rank Tracking Error Rank Sortino Ratio RF Rank Down Mkt Cap Ratio Global Equity 8.0% 8.1% % % % % 54 Global Equity Custom Benchmark % % % % % 72 Wellington 2.1% 9.2% % % % % 71 MSCI ACWI % % % % % 72 Calamos 0.0% 6.3% % 2 2.7% % % 12 MSCI ACWI % % % % % 72 Mondrian 2.2% 5.2% % % % % 68 MSCI ACWI % % % % % 72 T. Rowe Price Global 2.3% 12.7% % % % % 44 MSCI ACWI % % % % % 72 Parametric Clifton Transition 1.4% MSCI ACWI % % % % % 72 XXXXX Exhibit 11 Rank % of Tot Anlzd Ret Rank Anlzd Std Dev 5 Years Ending June 30, 2016 Rank Anlzd AJ Rank Tracking Error Rank Sortino Ratio RF Rank Down Mkt Cap Ratio Global Equity 8.0% 6.7% % % % % 56 Global Equity Custom Benchmark % % % % % 69 Wellington 2.1% 7.9% % % % % 70 MSCI ACWI % % % % % 69 Calamos 0.0% 4.3% % 4 0.9% % % 11 MSCI ACWI % % % % % 69 Mondrian 2.2% MSCI ACWI % % % % % 69 T. Rowe Price Global 2.3% 9.8% % % % % 75 MSCI ACWI % % % % % 69 Parametric Clifton Transition 1.4% MSCI ACWI % % % % % 69 XXXXX Rank 79 June 30, 2016

389 State Universities Retirement System of Illinois DB Plan Fixed Income Exhibit 11 June 30,

390 State Universities Retirement System of Illinois DB Plan Fixed Income Exhibit 11 June 30,

391 State Universities Retirement System of Illinois DB Plan Total Fund Risk Statistics vs. Peer Universe Exhibit 11 Total Fund vs. ea All US Fixed Inc Gross 3 Years June 30,

392 State Universities Retirement System of Illinois DB Plan Fixed Income Exhibit 11 % of Tot Anlzd Ret Rank Anlzd Std Dev 3 Years Ending June 30, 2016 Rank Anlzd AJ Rank Tracking Error Rank Sortino Ratio RF Rank Down Mkt Cap Ratio Fixed Income 19.0% 3.7% % % % % 63 Fixed Income Custom Benchmark % % % % % 75 TCW / Met West 3.2% 4.2% % % % % 21 Barclays Aggregate % % % % % 74 PIMCO Total Return 2.3% 4.1% % % % % 89 Barclays Aggregate % % % % % 74 Pugh Capital 1.0% 4.4% % % % % 84 Barclays Aggregate % % % % % 74 Smith Graham 0.6% 4.5% % % % % 84 Barclays Aggregate % % % % % 74 Garcia Hamilton 0.9% 5.5% 5 3.1% % % % 81 Barclays Aggregate % % % % % 74 SSgA 2.6% 4.1% % % % % 81 Barclays Aggregate % % % % % 74 Chicago Equity Partners 2.0% 3.9% % % % % 88 Barclays Aggregate % % % % % 74 LM Capital 1.0% 4.5% % % % % 75 Barclays Aggregate % % % % % 74 Neuberger Berman 2.0% 4.3% % % % % 43 Barclays Aggregate % % % % % 74 PIMCO Unconstrained 2.6% 1.2% % % % Month LIBOR + 3% % % 1 0.0% 2 0.0% Progress Emerging Fixed Income 0.9% 4.5% % % % % 60 Barclays Aggregate % % % % % 74 Progress - Garcia Hamilton 0.1% 5.4% % 1 0.8% % % 37 Barclays Aggregate % % % % % 74 Rank 83 June 30, 2016

393 State Universities Retirement System of Illinois DB Plan TIPS Exhibit 11 June 30,

394 State Universities Retirement System of Illinois DB Plan Total Fund Risk Statistics vs. Peer Universe Exhibit 11 Total Fund vs. ea TIPS / Infl Indexed Fixed Inc Gross 3 Years June 30,

395 State Universities Retirement System of Illinois DB Plan TIPS Exhibit 11 % of Tot Anlzd Ret Rank Anlzd Std Dev 3 Years Ending June 30, 2016 Rank Anlzd AJ Rank Tracking Error Rank Sortino Ratio RF Rank Down Mkt Cap Ratio TIPS 4.0% 2.2% % % % % 75 TIPS Custom Benchmark % % % % % 66 PIMCO TIPS 2.0% 2.0% % % % % 90 Barclays US TIPS % % % % % 73 Longfellow Management 1.0% 2.0% % % % % 37 Barclays US TIPS % % % % % 73 New Century Advisors 1.0% 2.7% % % % % 44 Barclays US TIPS % % % % % 73 XXXXX Rank % of Tot Anlzd Ret Rank Anlzd Std Dev 5 Years Ending June 30, 2016 Rank Anlzd AJ Rank Tracking Error Rank Sortino Ratio RF Rank Down Mkt Cap Ratio TIPS 4.0% 2.8% % % % % 82 TIPS Custom Benchmark % % % % % 69 PIMCO TIPS 2.0% 2.8% % % % % 93 Barclays US TIPS % % % % % 76 Longfellow Management 1.0% 2.5% % % % % 35 Barclays US TIPS % % % % % 76 New Century Advisors 1.0% 2.9% % % % % 58 Barclays US TIPS % % % % % 76 XXXXX Rank 86 June 30, 2016

396 Exhibit 11 Appendix 87

397 Exhibit 11 Information Disclaimer and Reporting Methodology Information Disclaimer Past performance is no guarantee of future results. All investments carry some level of risk. Diversification and other asset allocation techniques are not guaranteed to ensure profit or protect against losses. NEPC s source for portfolio pricing, calculation of accruals, and transaction information is the plan s custodian bank. Information on market indices and security characteristics is received from other sources external to NEPC. While NEPC has exercised reasonable professional care in preparing this report, we cannot guarantee the accuracy of all source information contained within. Some index returns displayed in this report or used in calculation of a policy, allocation or custom benchmark may be preliminary and subject to change. This report is provided as a management aid for the client s internal use only. Information contained in this report does not constitute a recommendation by NEPC. This report may contain confidential or proprietary information and may not be copied or redistributed to any party not legally entitled to receive it. Reporting Methodology The client s custodian bank is NEPC s preferred data source unless otherwise directed. NEPC generally reconciles custodian data to manager data. If the custodian cannot provide accurate data, manager data may be used. Trailing time period returns are determined by geometrically linking the holding period returns, from the first full month after inception to the report date. Rates of return are annualized when the time period is longer than a year. Performance is presented gross and/or net of manager fees as indicated on each page. For managers funded in the middle of a month, the since inception return will start with the first full month, although actual inception dates and cash flows are taken into account in all Composite calculations. This report may contain forward-looking statements that are based on NEPC s estimates, opinions and beliefs, but NEPC cannot guarantee that any plan will achieve its targeted return or meet other goals. 88

398 Exhibit 11 Glossary of Terms 89

399 Informational Items Not Requiring Committee Action

400 STATE UNIVERSITIES RETIREMENT SYSTEM Exhibit 12b SURS Projected Funding Status 2017 Fiscal Year-to-Date Results $Billions $42 $40 $38 $36 $34 $32 $30 $28 $26 $24 $22 $20 $18 $16 $14 $12 $10 $8 $6 $4 $2 $0 Jun-16 Jul % 80% 60% 40% 20% 0% Percent Funded Assets Liability Funding Ratio Market Value Estimated Unfunded Funding Rate of Return Assets Liabilities Liabilities Ratio Month FYTD Jun-16 $ $ $ % Jul % 2.83% 2.8% Note: Assets and liabilities are estimated and unaudited through July 31, The fund has an actuarial value funding ratio of 43.3% at the end of Fiscal Year 2015, utilizing a 7.25% assumed rate of return.

401 Exhibit 12c To: Investment Committee From: Investment Staff Date: September 2, 2016 Re: Summary Risk Report Attached is the Summary Risk Report for the quarter ending June 30, Highlights for the quarter include: Appropriation Summary Fiscal year to date state appropriations received were $1.37 billion or 85.6% of the total FYE 2016 amount, as of June 30, An additional $141.3 million was received in July and the fiscal year ending 2016 appropriation was paid in full as of August 26, Cash Account Summary Ending cash on hand was $225.6 million as of June 30, Net private partnership cash flows during the quarter were a positive $1.1 million. Blue Vista, INVESCO Commodity Fund, and PIMCO Commodity Fund all received initial allocations during the quarter. Liquidity The portfolio remains highly liquid with 82% of assets estimated to have liquidity of less than two weeks under normal market conditions. Global Financial Stress Index The GFSI was 0.51 indicating that the market is experiencing more stress than normal, although well below the peak of 2.72 during the Global Financial Crisis. Value at Risk (1 Year Forward) Tail risk decreased during the quarter from 16.95% to 16.47%. An increase in Total Equity Risk was offset by decreases in the Opportunity Fund, Hedge Funds, Real Estate, and Total Fixed Income asset classes. Standard Deviation (5 Year Historical) Total portfolio volatility decreased from the prior quarter from 8.6% to 8.5%. Volatility was in line with the policy benchmark. Volatility (VIX) Index The VIX ended the quarter at 15.63, below the historical average of During the quarter the VIX closed in a range from 13.1 to U.S. Treasury Yield Curve The yield curve continued to flatten during the quarter with the spread between the 2-year and 10-year yields reaching the narrowest distance 2007.

402 Exhibit 12d Summary Risk Report Quarter Ending June 30, 2016

403 70% 82.15% Risk Dashboard 16.47% 18% 8.54% Exhibit 12d 10% 50% 20% 12% o o o 0% 100% 0% Liquidity VaR Standard Deviation Liquidity 50% 0% 30% Green = > 70.00% Highly Liquid, Yellow = 69.90% %, Red = < 50.00%. Liquidity Estimates Under Normal Market Conditions. Stressed Market Conditions Will Impact Both Liquidity & Pricing. Value at Risk (VaR) Green = < 18.00%, Yellow = 18.01% to 20.00%, Red = > 20.00%. 1 Year Forward Looking Maximum Data Point = 21.05% (March 2013). 1 Year Forward Looking Minimum Data Point = 14.06% (June 2015). Standard Deviation Green = < 10.00%, Yellow = %, Red = > 11.80%. 5 Year Historical Rolling Maximum = 13.89% (June 2012). 5 Year Historical Rolling Minimum = 5.74% (December 1996).

404 Appropriation Summary Exhibit 12d SURS Fiscal Year Ending 2016 Appropriation $1,601,480,000 Month Total Due Received (Under) / Over % Funded July $133,456,667 $294,755 ($133,161,919) 0.2% August $133,456,667 $66,909,457 ($66,547,210) 50.1% September $133,456,667 $200,037,623 $66,580, % October $133,456,667 $60,294,501 ($73,162,166) 45.2% November $133,456,667 $50,311,501 ($83,145,166) 37.7% December $133,456,667 $133,471,762 $15, % January $133,456,667 $201,019,923 $67,563, % February $133,456,667 $342,582 $133,114, % March $133,456,667 $89,150,012 ($44,306,655) 66.8% April $133,456,667 $222,255,431 $88,798, % May $133,456,667 $213,822,293 $80,365, % June $133,456,667 $133,700,573 $243, % Total $1,601,480,000 $1,371,610,412 ($229,869,588) 85.6% Monthly appropriation payments can be volatile, making cash management and liquidity an area of focus. Data Source: SURS.

405 Exhibit 12d Annual Benefit Payment Summary SURS Fiscal Year Ending Benefit Payments ($ Millions) Key Observations: Year Annual Benefit payments have increased significantly over the years, reaching $2.24 billion for fiscal year ending The fiscal year 2016 appropriation was $1.6 billion or 72% of the total benefits paid. 85.6% of the fiscal year 2016 appropriation was received as of June 30, An additional $141,334,436 was received in July. The fiscal year ending 2016 appropriation was paid in full as of August 26, $ $1, $1, $1, $1, $1, $1, $1, $1, $2, $2, $2,235.8 Includes Retirement & Disability Retirement Annuities, Survivor Benefit Annuities, Disability Benefits, Death Benefits, and Portable Refunds (ER Match). Data Source: SURS.

406 Cash Account Summary Exhibit 12d Key Observations: Net benefit payments totaled approximately $23 million for the quarter. Net private partnership (Private Equity, Real Estate, and Infrastructure) cash flows were positive $1.1 million for the quarter. PIMCO StocksPlus was terminated. Blue Vista, INVESCO Commodity Fund, and PIMCO Commodity Fund all received initial allocations during the quarter. SURS Cash Account Summary April 1, 2016 June 30, 2016 Beginning Balance $38,319,439 Cash In: Partnership Distributions $42,644,179 Withdrawals for Manager Funding $220,000,000 Account Terminations $193,087,471 Fund Transfers $92,346,557 Other Income $2,238,119 Total Cash In: $550,316,326 Cash Out: Partnership Capital Calls ($41,573,816) Initial Manger Funding ($344,453,497) Net Benefit Payments $22,954,331 Total Cash Out: ($363,072,982) Ending Balance $225,562,782 Cash flow detail is provided in the Quarterly Board Report. Data Source: SURS.

407 Liquidity Profile Exhibit 12d 60% 82.15% Estimated Days to Liquidate 50% 40% 30% 20% 10% 0% Cash Passive < 2 Weeks 1 Month + Illiquid Liquidity risk is the risk that SURS would not be able to meet short term financial demands due to cash flow and/or the inability to convert securities or other assets to cash without a loss of capital and/or income in the process. Currently, approximately 82.15% of the portfolio is highly liquid under normal market conditions. Data Source: SURS.

408 Exhibit 12d Global Financial Stress Index Global Financial Stress Index (GFSI) Chart The GFSI composite index aggregates over twenty measures of stress across five asset classes and various geographies, measuring three separate kinds of financial market stress: risk, as indicated by crossasset measures of volatility, solvency, and liquidity; hedging demand, implied by the skew of equity and currency options; and investor appetite for risk, as measured by trading volumes as well as flows in and out of equities, high-yield bonds, and money markets. GFSI > 0 means more stress than normal. GFSI < 0 means less stress than normal. Date source: Bloomberg.

409 Value at Risk (VaR) Exhibit 12d 68% 24.00% Total Fund (1 Year Forward Looking) 22.00% 21.05% 95% 20.00% 18.00% 16.00% 16.47% 99.7% 14.00% 14.06% 12.00% % Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Downside Risk (Left Tail) VaR VaR is the estimated loss over a one year period given a certain level of confidence (95%). VaR is best understood in terms of the bell curve or normal distribution. VaR focuses on the outcomes at the curve s left tail, two standard deviations from the mean. Data Source: Northern Trust.

410 Standard Deviation Exhibit 12d Key Observations: Total Fund (5 Years Ending) Volatility in line with policy benchmark. Lower than expected volatility based on asset allocation. Total Fund = 8.5% as of 6/30. Median universe = 7.6% % 14.00% 12.00% 10.00% 8.00% 13.89% 8.54% 82 nd percentile universe ranking. Total Fund 5 year rolling standard deviation ranges from 5.74% (Dec. 1996) to 13.89% (June 2012). 6.00% 4.00% 2.00% 0.00% Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun % Total Fund Policy Standard deviation measures the variability of investment returns. A low standard deviation indicates that the data points tend to be very close to the mean, while high standard deviation indicates that the data are spread out over a large range of values. The expected standard deviation of the SURS portfolio based on the target asset allocation is 12.5%. Data Sources: SURS and NEPC.

411 CBOE Volatility Index Exhibit 12d VIX (Month End) VIX (Month End) Historical Average Volatility Index (VIX) Chart VIX is the ticker symbol for the Chicago Board Options Exchange (CBOE) Volatility Index, which shows the market's expectation of 30-day volatility. It is constructed using the implied volatilities of a wide range of S&P 500 index options. This volatility is meant to be forward looking and is calculated from both calls and puts. The VIX is a widely used measure of market risk and is often referred to as the "investor fear gauge." Source: CBOE.com.

412 Treasury Yield Curve Exhibit 12d 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% 1 Month 3 Month 6 Month 1 Year 2 Year 3 Year 5 Year 7 Year 10 Year 20 Year 30 Year 3/31/2016 6/30/2016 A yield curve is a line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates. The U.S. Treasury yield curve is used as a benchmark for other debt in the market, such as mortgage rates or bank lending rates. The curve is also used to predict changes in economic output and growth. A normal yield curve is one in which longer maturity bonds have a higher yield compared to shorter-term bonds due to the risks associated with time. An inverted yield curve is one in which the shorter-term yields are higher than the longer-term yields, which can be a sign of upcoming recession. A flat (or humped) yield curve is one in which the shorter- and longer-term yields are very close to each other, which is also a predictor of an economic transition. The slope of the yield curve is also seen as important: the greater the slope, the greater the gap between short- and long-term rates. Source: Investopedia.com