Performance Review May 17, 2018

Performance Review May 17, 2018

Cost-Efficiencies Initiative Update Goal: Obtain $100 million of incremental cost-efficiencies for the NCRS investment program, consistent with fiduciary requirements and investment objectives The $100 million goal would be measured on a cumulative basis over a four-year timeframe The goal is comprehensive of the Pension and Supplemental Retirement Plans Progress to date: Fully Executed Activities Approx. Annual Savings ($000) Investment-related services: renegotiations / restructuring $7,985 Investment manager terminations / renegotiations $68,653 Sub-Total $76,638 In Process Investment manager & services renegotiations / restructuring $3,372 Grand Total $80,011 2

US Economic Environment GDP (Q/Q annualized) Unemployment Rate Consumer Confidence 6 5 4 3 2 1 0-1 -2 8 7.5 7 6.5 6 5.5 5 4.5 4 105 100 95 90 85 80 75 70 65 60 400 350 300 250 200 150 100 50 0 Payroll 2.5 2 1.5 1 0.5 0-0.5-1 -1.5 Retail Sales 6 5.8 5.6 5.4 5.2 5 4.8 4.6 4.4 4.2 4 Home Sales 800 700 600 500 400 300 200 100 Private NF Payroll (in thousands) Total NF Payroll (in thousands) Retail Sales (m/m) Retail Sales x Auto/Gas (m/m ) Existing Home Sales (in millions) New Home Sales (in thousands) 65 ISM 3 CPI 2.5 PCE 60 55 2.5 2 1.5 2 1.5 50 45 1 0.5 0 1 0.5 40-0.5 0 ISM Non-Manf. ISM CPI (y/y) Core CPI (y/y) PCE (y/y) Core PCE (y/y) Source: Bloomberg (data as of 03/31/18) 3

Global Economic Environment Investment Management Division Real GDP YoY Unemployment CPI YoY Real GDP YoY Unemployment CPI YoY Countries Date Value Date Value Date Value Countries Date Value Date Value Date Value U.S. 03/18 2.9 03/18 4.1 03/18 2.4 Asia/Pacific/Latam Europe China 03/18 6.8 03/18 2.1 Germany 12/17 2.9 03/18 5.3 03/18 1.6 India 12/17 7.2 03/18 4.4 France 03/18 2.1 02/18 8.9 03/18 1.6 Japan 12/17 2.0 03/18 2.5 03/18 1.1 U.K. 03/18 1.2 02/18 4.2 03/18 2.5 Indonesia 12/17 5.2 03/18 3.4 Italy 12/17 1.6 02/18 10.9 03/18 0.8 Brazil 12/17 2.1 03/18 2.7 Spain 03/18 2.9 02/18 16.1 03/18 1.2 Australia 12/17 2.4 03/18 5.5 03/18 1.9 Source: Bloomberg (data as of 03/31/18) 4

Market Environment UST (Constant Maturity) Curve Corporate Credit OAS (BofAML Indices) 3.25 3.00 2.75 2.50 2.25 2.00 1.75 1.50 1.25 1.00 0.75 0.50 20.00 15.00 10.00 5.00 0.00 Most Recent 1 Mo. Ago 3 Mo. Ago 1 Year Ago Global Equity Markets CCC & Below B BB IG Master 35,000 32,500 30,000 27,500 25,000 22,500 20,000 17,500 15,000 12,500 10,000 4,000 3,750 3,500 3,250 3,000 2,750 2,500 2,250 2,000 1,750 1,500 US Dollar Trade Weighted Broad Index Dow Jones Nikkei 225 Hang Seng Euro Stoxx 50 (Right) Volatility Indicators 130 125 120 115 110 105 100 95 50 45 40 35 30 25 20 15 10 5 125 115 105 95 85 75 65 55 45 35 VIX CS Fear MOVE (Right) Source: Federal Reserve Bank of St. Louis; Bloomberg (data as of 03/31/18) 5

Assets Under Management ($MM) $128.0 billion as of March 31, 2018 130,000 120,000 110,000 100,000 90,000 80,000 70,000 60,000 50,000 40,000 30,000 20,000 10,000 0 2,358 2,358 1,580 2,139 2,174 10,494 11,278 8,791 9,186 9,304 16,449 16,512 12,292 12,953 15,037 90,140 89,576 87,570 94,057 97,855 June 2014 June 2015 June 2016 June 2017 March 2018 NCRS Cash Management Supplemental Retirement Other Note: The Cash Management Program does not include Assets with Fiscal Agent, which are reflected in the Bond Proceeds Fund. These funds, which may have been reported in the Cash Management Program previously, have now been removed for all years shown in this report to more accurately reflect the Cash Management Program balance. 6

NCRS Asset Allocation As of March 31, 2018 Investment Management Division Market Value ($MM) % Target Range Minimum Maximum Relative % Relative $ ($MM) Growth $53,078 54.24% 58.00% 37.00% 71.00% -3.76% ($3,678) Public Equity 39,096 39.95% 42.00% 37.00% 47.00% -2.05% (2,004) Private Equity 4,928 5.04% 6.00% 0.00% 8.75% -0.96% (943) Non Core Real Estate 3,480 3.56% 3.00% 0.00% 8.00% 0.56% 544 Opportunistic Fixed Income 5,574 5.70% 7.00% 0.00% 7.50% -1.30% (1,276) Rates & Liquidity 31,659 32.35% 29.00% 24.00% 42.00% 3.35% 3,281 IG Fixed Income & Cash 28,155 28.77% 28.00% 24.00% 32.00% 0.77% 756 Pension Cash 3,504 3.58% 1.00% 0.00% 10.00% 2.58% 2,525 Inflation Sensitive & Diversifiers 11,206 11.45% 11.00% 4.00% 16.00% 0.45% 442 Inflation Sensitive 5,999 6.13% 6.00% 2.00% 7.50% 0.13% 127 Core Real Estate 5,207 5.32% 5.00% 2.00% 10.00% 0.32% 314 Multi-Strategy 1,912 1.95% 2.00% 0.00% 4.00% -0.05% (45) Grand Total $97,855 100.00% 7

NCRS Asset Allocation (Unaudited) As of April 26, 2018 Market Value ($MM) Range Minimum Maximum Growth $53,044 54.31% 58.00% 37.00% 71.00% -3.69% ($3,602) Public Equity 39,424 40.37% 42.00% 37.00% 47.00% -1.63% (1,595) Private Equity 4,905 5.02% 6.00% 0.00% 8.75% -0.98% (955) Non Core Real Estate 3,153 3.23% 3.00% 0.00% 8.00% 0.23% 223 Opportunistic Fixed Income 5,562 5.69% 7.00% 0.00% 7.50% -1.31% (1,275) Rates & Liquidity 31,494 32.25% 29.00% 24.00% 42.00% 3.25% 3,171 IG Fixed Income & Cash 27,561 28.22% 28.00% 24.00% 32.00% 0.22% 215 Pension Cash 3,933 4.03% 1.00% 0.00% 10.00% 3.03% 2,956 Inflation Sensitive & Diversifiers 11,216 11.48% 11.00% 4.00% 16.00% 0.48% 473 Inflation Sensitive 6,006 6.15% 6.00% 2.00% 7.50% 0.15% 146 Core Real Estate 5,210 5.33% 5.00% 2.00% 10.00% 0.33% 327 Multi-Strategy 1,912 1.96% 2.00% 0.00% 4.00% -0.04% (42) Grand Total $97,666 100.00% % Target Relative % Relative $ ($000) 8

Percent Total Return Investment Management Division NCRS Total Net Portfolio Return vs. Benchmarks As of March 31, 2018 10.0 9.0 8.0 7.0 6.0 5.0 4.0 3.0 2.0 1.0 0.0 (1.0) (2.0) 9.3 9.2 8.3 7.4 7.6 6.9 7.0 5.9 6.0 5.9 6.2 5.6 5.7 5.9 5.3 5.3 4.9 4.8 0.2 (0.6) (1.2) 3 Month 1 Year 3 Year 5 Year 10 Year 15 Year 20 Year NCRS Implementation Benchmark Long-Term Policy Benchmark Actuarial Assumed Investment Return (7.0%) Notes: Actuarial Assumed Investment Return was lowered from 7.2% to 7.0% in April 2018 Returns for periods greater than one year are annualized. Implementation Benchmark is a blend of the Asset Class Benchmarks at policy weights. It is currently weighted as follows: 58% Growth Benchmark; 29% Rates & Liquidity Benchmark; 11% Inflation Sensitive & Diversifiers Benchmark; and 2% Multi-Strategy Benchmark. Long-Term Policy Benchmark is comprised of 57% MSCI ACWI IMI Net; 33% BOAML 5+ Years U.S. Treasury Index; 6% Bloomberg Commodity Index; and 4% BOAML 1-3 Years U.S. Inflation-Linked Treasury Index. 9

Jun-97 Dec-97 Jun-98 Dec-98 Jun-99 Dec-99 Jun-00 Dec-00 Jun-01 Dec-01 Jun-02 Dec-02 Jun-03 Dec-03 Jun-04 Dec-04 Jun-05 Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Dec-17 Growth of a Dollar Through March 31, 2018 4.20 4.00 3.80 3.60 3.40 3.20 3.00 2.80 2.60 2.40 2.20 2.00 1.80 1.60 1.40 1.20 1.00 Investment Management Division NCRS Long-Term Policy Benchmark Notes: Long-Term Policy Benchmark is comprised of 57% MSCI ACWI IMI Net; 33% BOAML 5+ Years U.S. Treasury Index; 6% Bloomberg Commodity Index; and 4% BOAML 1-3 Years U.S. Inflation-Linked Treasury Index. 10

Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18 Mar-08 Nov-08 Jul-09 Mar-10 Nov-10 Jul-11 Mar-12 Nov-12 Jul-13 Mar-14 Nov-14 Jul-15 Mar-16 Nov-16 Jul-17 Mar-18 Investment Management Division Growth of a Dollar 5 Years Ending March 31, 2018 10 Years Ending March 31, 2018 1.55 1.90 1.50 1.45 1.40 1.35 1.30 1.25 1.20 1.15 1.10 1.05 1.00 0.95 1.80 1.70 1.60 1.50 1.40 1.30 1.20 1.10 1.00 0.90 0.80 0.70 0.60 NCRS Long-Term Policy Benchmark NCRS Alternatives NCRS Long-Term Policy Benchmark NCRS Alternatives Note: NCRS Alternatives includes the following: Core Real Estate; Inflation Sensitive Private Natural Resources; Inflation Sensitive Real Assets and Other Diversifiers; Multi-Strategy Investments; Non Core Real Estate; Opportunistic Fixed Income; Private Equity; Equity Hedge Strategies; and closedend Public Natural Resource funds. 11

NCRS Net of Fees Return Attribution Total Fund vs. Implementation Benchmark: 1 Year Ending Mar. 31, 2018 12

NCRS Net of Fees Return Attribution Total Fund vs. Implementation Benchmark: 3 Years Ending Mar. 31, 2018 13

NCRS Net of Fees Return Attribution Total Fund vs. Implementation Benchmark: 5 Years Ending Mar. 31, 2018 14

NCRS Gross of Fees Return and Risk BNY Mellon Universe: U.S. Public Funds > $20B; Data as of Mar. 31, 2018 Returns 3 Years 5 Years 10 Years 15 Years 20 Years 25th Percentile 7.67 8.58 6.80 8.86 6.81 Median Percentile 7.19 8.05 6.41 8.52 6.60 75th Percentile 6.65 7.77 6.15 8.02 6.44 NCRS 6.56 7.52 6.45 7.81 6.48 Percentile Rank (1 = highest performance) 77 83 42 88 74 Risk 3 Years 5 Years 10 Years 15 Years 20 Years 25th Percentile 5.96 5.7 9.90 8.99 9.65 Median Percentile 5.48 5.35 9.36 8.49 8.70 75th Percentile 4.85 4.83 8.14 7.95 8.16 Total Pension Plan 4.67 4.82 8.00 7.32 7.91 Percentile Rank (100 = lowest risk) 83 77 77 94 87 Note: Data shown is gross of fees with the exception of incentive payments, which have been deducted from NAV when applicable. 15

Sharpe Ratio Investment Management Division NCRS Gross of Fees Sharpe Ratio BNY Mellon Universe: U.S. Public Funds > $20B; Data as of Mar. 31, 2018 Sharpe 3 Years 5 Years 10 Years 15 Years 20 Years 25th Percentile 1.28 1.54 0.72 0.91 0.58 Median Percentile 1.24 1.40 0.67 0.84 0.54 75th Percentile 1.08 1.29 0.63 0.79 0.50 NCRS 1.27 1.46 0.78 0.89 0.58 Percentile Rank 30 36 12 32 27 1.4 10 Year Plot: Sharpe Ratio vs. Volatility 1.2 1.0 NCRS 0.8 0.6 0.4 0.2 0.0 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 Standard Deviation (%) Note: Data shown is gross of fees with the exception of incentive payments, which have been deducted from NAV when applicable. 16

Volatility Tracking Error Investment Management Division NCRS Net of Fees Risk and Return Metrics As of March 31, 2018 15.0% 12.5% 10.0% 7.5% 5.0% 2.5% 0.0% Rolling 3-Year Total Fund Volatility & Tracking Error 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% Volatility Tracking Error POSITION 36-MONTH 60-MONTH Active Active Program $ Bil % Wgt Return St. Dev Return TE IR Return St. Dev Return TE IR Total NCRS 97.9 100.0 5.9 4.8 0.7 0.7 1.0 6.9 4.9 0.9 0.8 1.1 Growth 53.1 54.2 8.6 7.8 1.4 0.9 1.5 10.0 7.7 1.5 0.9 1.7 Public Equity 39.1 40.0 8.7 10.5 0.8 0.7 1.2 10.0 10.1 0.9 0.7 1.3 Private Equity 4.9 5.0 9.7 3.1 1.2 2.0 0.6 11.1 3.2 0.6 3.2 0.2 Non-Core Real Estate 3.5 3.6 13.9 3.1 6.9 3.8 1.8 14.9 3.3 5.8 3.7 1.6 Opportunistic Fixed Income 5.6 5.7 4.3 3.0 2.2 4.5 0.5 5.7 3.1 3.4 3.8 0.9 Rates & Liquidity 31.7 32.4 1.4 3.0 0.0 0.5 0.0 2.1 3.7-0.1 0.6-0.2 IG Fixed Income & Cash 28.2 28.8 1.4 3.2 0.0 0.5 0.0 2.2 3.8-0.1 0.6-0.2 Pension Cash 3.5 3.6 1.0 0.1 0.5 0.1 4.6 -- -- -- -- -- Inflation Sensitive & Diversifiers 11.2 11.5 5.6 2.3 1.0 2.4 0.4 4.3 2.7 0.5 2.4 0.2 Inflation Sensitive 6.0 6.1 3.8 3.9 2.5 3.0 0.8 0.8 4.3 1.7 2.8 0.6 Core Real Estate 5.2 5.3 8.0 2.4-0.4 2.0-0.2 9.3 3.6-0.3 2.7-0.1 Multi-Strategy 1.9 2.0 5.7 7.4 1.1 1.0 1.1 7.5 7.2 1.0 0.9 1.0 Note: Active Return = Net Managed less benchmark returns; TE = Tracking Error; IR = Information Ratio 17

NCRS Liquidity Profile As of March 31, 2018 Liquidity Allocation ($ Market Value) Global Public Equity Private Equity Non Core Real Estate Opportunistic Fixed Income Investment Grade Fixed Income Cash Inflation Sensitive Core Real Estate Multi-Strategy Total NCRS - 20,000 40,000 60,000 80,000 100,000 Level 1 Level 2 Level 3 Level 4 Liquidity Allocation ($ Market Value + Unfunded) Global Public Equity Private Equity Non Core Real Estate Opportunistic Fixed Income Investment Grade Fixed Income Cash Inflation Sensitive Core Real Estate Multi-Strategy Total NCRS - 20,000 40,000 60,000 80,000 100,000 Level 1 Level 2 Level 3 Level 4 Liquidity Allocation (% Market Value) Global Public Equity Private Equity Non Core Real Estate Opportunistic Fixed Income Investment Grade Fixed Income Cash Inflation Sensitive Core Real Estate Multi-Strategy Total NCRS Level 1 Level 2 Level 3 Level 4 Global Public Equity Private Equity Non Core Real Estate Opportunistic Fixed Income Investment Grade Fixed Income Cash Inflation Sensitive Core Real Estate Multi-Strategy Total NCRS 0% 20% 40% 60% 80% 100% Liquidity Allocation (% Market Value + Unfunded) 0% 20% 40% 60% 80% 100% Level 1 Level 2 Level 3 Level 4 Note: Level 1 Liquidity = T+3; Level 2 = T+3 to 12 Months; Level 3 = 12 to 24 Months; Level 4 = Greater than 24 Months 18

NCRS Liquidity Profile Net benefit payments by calendar year Investment Management Division 3,500 3.50% 3,000 3.00% 2,500 2.50% 2,000 2.00% 1,500 1.50% 1,000 1.00% 500 0.50% - 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Total Net Benefit Payments ($MM) Annual Payments % 3% Guideline Linear (Total Net Benefit Payments ($MM)) 0.00% 19

NCRS Alternatives Liquidity Profile Through March 31, 2018 Prior 12-Months Total Cash Flows by Alternative Asset Class ($MM) 8,000 6,000 4,000 2,000 0 (2,000) (4,000) (6,000) 1,325 1,194 1,147 1,401 624 749 287 342 683 (262) (576) (907) (805) (886) (717) Prior 12-Months Average Monthly Cash Flows by Alternative Asset Class ($MM) 5,691 0 1,725 (75) (75) (3,966) Inflation Opp Fixed Income Private Equity Funds Real Estate - Core Real Estate - Non Core Multi-Strategy Total Alternatives Contributions Distributions Net 600 400 200 0 (200) 110 99 96 52 117 62 24 28 57 (22) (48) (76) (67) (74) (60) 0 (6) (6) 474 144 (330) (400) Inflation Opp Fixed Income Private Equity Funds Real Estate - Core Real Estate - Non Core Multi-Strategy Total Alternatives Contributions Distributions Net 20

NCRS Asset Class Net of Fees Performance As of March 31, 2018 Market Value ($MM) 1 Year 3 Years 5 Years 10 Years 15 Years 20 Years Growth $53,078 14.82 8.60 10.00 6.33 8.96 6.02 Benchmark 1 12.30 7.25 8.53 5.46 8.35 5.22 Public Equity $39,096 16.29 8.65 10.00 6.79 9.12 6.11 Benchmark 2 14.23 7.83 9.06 5.92 8.43 5.16 Private Equity $4,928 14.15 9.65 11.13 6.40 7.99 6.97 Benchmark 3 14.18 8.49 10.54 7.30 11.99 11.86 Non-Core Real Estate $3,480 14.58 13.93 14.94 2.67 7.26 7.46 Benchmark 4 10.87 7.06 9.14 0.42 7.44 7.56 Opportunistic Fixed Income $5,574 6.78 4.30 5.66 6.93 - - Benchmark 5-0.03 2.06 2.23 0.60 - - Rates & Liquidity $31,659 1.55 1.38 2.13 4.96 5.01 5.84 Benchmark 6 1.81 1.39 2.26 4.71 4.83 5.63 IG Fixed Income $28,155 1.62 1.42 2.20 5.00 5.04 5.86 Benchmark 7 1.84 1.41 2.32 4.74 4.84 5.64 Cash $3,504 1.24 0.97 - - - - Benchmark 8 1.03 0.51 0.32 - - - Inflation Sensitive & Diversifiers $11,206 7.03 5.56 4.25 0.96 4.09 5.06 Benchmark 9 4.78 4.54 3.74-0.36 3.84 5.31 Inflation Sensitive $5,999 6.11 3.75 0.79-1.28 3.00 3.20 Benchmark 10 3.01 1.29-0.89-0.23 4.37 4.14 Core Real Estate $5,207 8.43 8.03 9.32 4.71 6.61 7.02 Benchmark 11 6.91 8.48 9.61 4.57 7.24 7.88 Multi-Strategy $1,912 7.82 5.71 7.48 5.84 6.11 - Benchmark 12 7.88 4.61 6.51 4.94 7.57-21

New, Incremental, & Unfunded Investment Commitments Since February 15 IAC Meeting As of March 31, 2018 Fund Name Firm Name New or Incremental Commitment ($MM) Closing Date Public Equity Russell 200 Passive 1 Internal 1,575 2/28/18 Russell MidCap Passive 1 Internal 675 2/28/18 Russell MidCap Value Passive 1 Internal 390 2/28/18 Private Equity Landmark Equity Partners XVI, Landmark Partners 300 3/29/18 LP Landmark Equity Partners XVI Opportunities, LP 2 Landmark Partners 300 3/29/18 Landmark Equity Partners XVI Overflow, LP Non-Core Real Estate Harrison Street RE Partners VI Co-Investment 3, LP Inflation Sensitive Landmark Real Assets Fund II, LP Landmark Partners 200 3/29/18 Harrison Street Real Estate Capital 50 3/23/18 Landmark Partners 250 3/29/18 Landmark Real Estate Partners VIII, LP Landmark Partners 125 3/29/18 Landmark Real Estate Partners VIII Overflow Landmark Partners 75 3/29/18 DL Blue Diamond Fund Doubleline 425 5/1/18 NC Garnet Fund Blackrock 75 5/1/18 1 Incremental monies allocated to the internal public equity portfolios came from existing public equity managers. 2 The $300m commitment to Landmark Equity Partners XVI Opportunities is contingent upon NCDST approval of individual investments. Asset Class Unfunded Commitments ($MM) Public Equity 410 Private Equity 3,304 Non-Core Real Estate 1,779 Opportunistic Fixed Income 1,189 Inflation Sensitive 1,783 Core Real Estate 730 Multi Strategy 145 Total 9,341 22

$ Millions Investment Management Division New and Total Unfunded Private Asset Class Commitments By Calendar Year of Closing 12,000 10,000 8,000 6,000 4,000 2,000-2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 *2018 data as of 3/31/2018 Richard Moore Janet Cowell Dale Folwell Ending Total Unfunded 23

Strategic Asset Allocation Policy History 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18 Public Equity IG Fixed Inc Cash Private Equity Non-Core RE Opp Fixed Inc Core RE Inflation Sens Multi-Strat 24

Exited Investments Since February 15 IAC Meeting Public Equity Private Equity Investment Management Division Fund Name Redemption Amount ($MM) Redemption Effective BlackRock MidCap Value Passive 1 390 2/28 None -- -- Non-Core Real Estate NorthCreek Fund 611 2 4/18 Opportunistic Fixed Income None -- -- Inflation Sensitive Blackstone Granite Fund Class A 290 1/30 Blackstone Granite Fund Class B 190 1/30 Core Real Estate Multi Strategy None -- -- None -- -- 1 The internal public equity team took over the management of this account 2 Total distributions received during the life of the fund. Residual holdback still pending 25

Appendix 26

NCRS Public Equity Net of Fees Performance As of March 31, 2018 Market Value ($MM) 3 Month 1 Year 3 Years 5 Years 10 Years Public Equity $39,096 (0.02) 16.29 8.65 10.00 6.79 Benchmark 2 (0.85) 14.23 7.83 9.06 5.92 Domestic Portfolio $17,295 (0.19) 14.62 10.03 13.05 9.84 Russell 3000 (0.64) 13.81 10.22 13.03 9.62 Non-US Portfolio $18,586 0.18 20.26 8.23 7.44 3.40 Custom Benchmark (1.06) 17.10 6.75 6.24 2.52 Equity Hedge $3,206 (0.22) 6.36 3.22 5.32 - MSCI ACWI (Beta Adjusted) (0.30) 5.86 2.99 2.89 - *Public Equity returns also include the global portfolio, which has been liquidated but currently contains a residual amount of roughly $1 million. 27

NCRS Public Equity Portfolio Characteristics As of March 31, 2018 Portfolio Characteristics Portfolio MSCI ACWI IMI Price / Earnings 20.20 19.30 Dividend Yield 2.13 2.35 Price / Book 3.37 2.86 Debt / Equity 0.91 0.95 Market Cap ($B Weighted Median) 41.82 41.77 Return on Equity - 1 Year 16.20 15.90 Financials Cons. Disc. Technology Health Care Prod Durables Cons. Staples Utilities Energy Materials Other Total Equity Sector Allocation 20.97% 23.29% 15.87% 13.71% 17.11% 16.12% 10.96% 10.27% 11.27% 11.09% 6.56% 7.12% 5.51% 5.49% 5.38% 6.12% 5.69% 6.44% 0.68% 0.35% 0% 5% 10% 15% 20% 25% Portfolio MSCI ACWI IMI 60% 50% 40% 30% 20% 10% 0% 54.1% 50.7% 16.9% 14.1% 12.1% 11.5% Total Equity Regional Allocation 8.7% 8.1% 5.6% 5.5% 4.1% 3.7% 1.8% 2.8% 0.1% 0.2% United States Europe ex UK Emerging Markets Japan United Kingdom Asia / Pacific Basin ex Japan Americas ex US Portfolio Public Equity Blended Benchmark Africa / Middle East Developed 28

NCRS Private Equity Portfolio As of March 31, 2018 Investment Management Division Net of Fees Performance Market Value ($MM) 3 Month 1 Year 3 Years 5 Years 10 Years Private Equity $4,928 4.34 14.15 9.65 11.13 6.40 Benchmark 3 4.18 14.18 8.49 10.54 7.30 Buyout $2,188 6.00 16.79 11.24 10.47 5.23 Growth $1,113 2.62 12.15 7.93 13.88 8.74 Special Situations $706 2.81 10.30 6.44 5.98 5.20 Fund of Funds $890 3.99 14.03 10.65 13.28 7.37 IRR by Vintage Year Pre-2004 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Total NCRS 12.02 6.85 5.44 3.20 9.36 9.47 11.64 21.02 11.33 13.81 11.85 17.58 9.33 3.93 3.23 N/A 8.09 # of Funds 28 3 11 21 15 17 3 1 6 6 9 4 9 6 7 3 149 Strategy Allocation (Based on Valuation) Fund of Funds 18.2% Special Situations 14.4% Growth Equity 22.7% Buyout 44.7% *Private Equity returns include a stock distribution account, in the amount of roughly $30 million, which does not fall under any specific sub-section. 29

NCRS Non-Core Real Estate Portfolio As of March 31, 2018 Net of Fees Performance Market Value ($MM) 3 Month 1 Year 3 Years 5 Years 10 Years Non-Core Real Estate $3,480 5.62 14.58 13.93 14.94 2.67 Benchmark 4 4.02 10.87 7.06 9.14 0.42 Opportunistic $2,518 6.29 15.93 13.58 14.81 1.20 Value Add $962 3.93 11.24 14.28 14.95 5.07 IRR by Vintage Year Pre-2004 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Total NCRS 9.14 15.69-1.41 2.83 2.41 16.74 N/A 16.32 17.47 19.06 16.77 9.26 8.71 8.13 N/A N/A 6.52 # of Funds 17 3 15 13 8 6 N/A 6 7 5 7 7 6 7 N/A 1 108 Strategy Allocation (Based on Valuation) Value Add 27.6% Opportunistic 72.4% 30

NCRS Opportunistic Fixed Income Portfolio As of March 31, 2018 Net of Fees Performance Market Value ($MM) 3 Month 1 Year 3 Years 5 Years 10 Years Opportunistic Fixed Income $5,574 2.41 6.78 4.30 5.66 6.93 Benchmark 5 (2.43) (0.03) 2.06 2.23 0.60 Traditional Corporate Credit $859 2.38 7.37 5.53 5.93 - Distressed Credit $486 2.64 11.85 8.23 9.21 8.10 Special Situations $1,568 3.23 9.61 9.03 13.87 10.82 Hedged Fixed Income $2,661 1.94 4.22 2.15 3.56 - IRR by Vintage Year 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Total NCRS 2.87 N/A 17.07 8.67 22.42 6.62 4.65 2.28 5.39 4.28 13.82 9.43 17.54 N/A 6.27 # of Funds 1 N/A 1 3 1 4 9 2 7 3 1 8 2 N/A 42 Strategy Allocation (Based on Valuation) Hedged Fixed Income 47.7% Traditional Corporate Credit 15.4% Distressed Credit 8.7% Special Situations 28.1% 31

NCRS Rates & Liquidity Portfolio As of March 31, 2018 Net of Fees Performance Market Value ($MM) 3 Month 1 Year 3 Years 5 Years 10 Years Rates & Liquidity $31,659 (1.54) 1.55 1.38 2.13 4.96 Benchmark 6 (1.91) 1.81 1.39 2.26 4.71 IG Fixed Income $28,155 (1.74) 1.62 1.42 2.20 5.00 Core Fixed Income $25,145 (1.98) 1.67 1.50 2.29 5.02 IG Fixed Income Cash $3,011 0.34 1.23 0.93 - - Pension Cash $3,504 0.36 1.24 0.97 - - Core Fixed Income Portfolio Characteristics Avg. Coupon Yield to Maturity Duration (Years) Government (Treasury & Agency) 4.16% 2.79% 9.8 Corporate 4.52% 3.92% 9.1 Mortgage 3.71% 3.30% 4.7 Total 4.13% 3.38% 7.7 32

NCRS Core Fixed Income Portfolio Characteristics As of March 31, 2018 40% Sector Allocation 35.6% 35.0% 35.7% 35.0% 30% 27.3% 30.0% 20% 10% 0% Gov't (UST & Agency) 1.4% 0.0% 0.0% 0.0% Corporate RMBS Asset-backed CMBS Cash Portfolio Benchmark 50% Quality Allocation 40% 39.1% 35.7% 30% 20% 10% 0% 29.3% 24.7% 1.1% 1.2% 3.2% 3.6% 17.4% 21.5% 13.4% 8.7% 1.1% 0.0% Treasury Agency (Debt & MBS) AAA AA A BBB High Yield Portfolio Benchmark 33

NCRS Inflation Sensitive Portfolio As of March 31, 2018 Net of Fees Performance Market Value ($MM) 3 Month 1 Year 3 Years 5 Years 10 Years Inflation Sensitive $5,999 2.07 6.11 3.75 0.79 (1.28) Benchmark 10 0.72 3.01 1.29 (0.89) (0.23) Private Natural Resources $2,599 2.21 5.12 3.74 2.57 1.13 Public Natural Resources $228 (1.13) (1.61) (4.68) (7.92) - Inflation Linked Bonds $56 0.44 0.31 - - - Real Assets & Other Diversifiers $2,477 2.86 9.66 8.22 8.38 - IRR by Vintage Year 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Total NCRS 0.25 6.88 0.14 N/A -7.99-6.79 6.96 6.54 10.45 5.09 3.83 N/A N/A 0.56 # of Funds 3 2 2 N/A 3 9 7 11 12 4 4 N/A 3 60 Strategy Allocation (Based on Valuation) Real Assets & Other Diversifiers 41.3% Private Natural Resources 43.3% Inflation Linked Bonds 11.6% Public Natural Resources 3.8% 34

NCRS Core Real Estate Portfolio As of March 31, 2018 Net of Fees Performance Market Value ($MM) 3 Month 1 Year 3 Years 5 Years 10 Years Core Real Estate $5,207 1.57 8.43 8.03 9.32 4.71 Benchmark 11 0.85 6.91 8.48 9.61 4.57 Public Equity Real Estate $693 (3.30) 8.12 3.61 6.95 5.38 Private Equity Core Real Estate $4,515 2.37 8.43 8.95 9.99 4.56 IRR by Vintage Year Pre-2004 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 Total NCRS 7.64 9.76-8.32 5.47 1.39 10.11 N/A 23.62 N/A N/A 7.57 7.99 3.50 9.75 N/A N/A 7.25 # of Funds 5 1 1 2 3 1 N/A 1 N/A N/A 2 6 2 9 N/A 1 34 Strategy Allocation (Based on Valuation) Public Equity Real Estate 13.3% Private Equity Core Real Estate 86.7% 35

NCRS Multi-Strategy Portfolio As of March 31, 2018 Investment Management Division Net of Fees Performance Market Value ($MM) 3 Month 1 Year 3 Years 5 Years 10 Years Multi-Strategy $1,912 (0.70) 7.82 5.71 7.48 5.84 Benchmark 12 (0.96) 7.88 4.61 6.51 4.94 Hedge Funds $1 (14.14) (33.43) (17.85) (9.64) (5.31) Rebalance Strategy $1,536 (0.98) 10.03 6.76 8.60 - Event Driven $197 2.13 0.90 - - - Risk Mitigation $144 (1.86) (3.89) - - - Volatility Trading $34 2.11 (14.64) - - - Volatility Trading 1.8% Risk Mitigation 7.5% Strategy Allocation (Based on Valuation) Hedge Funds 0.1% Event Driven 10.3% Rebalance Strategy 80.3% 36

Notes: All data presented are based on currently available information at time of publication and may be revised subsequently. 1. The Growth Benchmark is a blend of the Public Equity Benchmark, Private Equity Benchmark, Non-Core Real Estate Benchmark, and Opportunistic FI Benchmark at policy weights. 2. The Public Equity Benchmark is the dynamically-weighted combination of the MSCI ACWI IMI Net (Long-Only) and a beta-adjusted MSCI ACWI IMI Net (Hedged Equity). 3. The Private Equity Benchmark is comprised of the following Burgiss Group Private iq indices: 50% Buyout, 20% Venture Capital, and 30% Distressed. 4. The Non-Core Real Estate Benchmark is comprised of the following Burgiss Group Private iq indices: 80% U.S. Non-Core Real Estate (Opportunistic and Value-Added) and 20% Non-U.S. Non-Core Real Estate (Opportunistic and Value-Added). 5. The Opportunistic Fixed Income Benchmark is a comprised of 50% HFRX Distressed Securities Index, 20% HFRX Relative Value Index, 15% Credit Suisse Leveraged Loan Index, and 15% BOAML High Yield Index*. 6. The Rates & Liquidity Benchmark is a blend of the IG Fixed Income Benchmark and the Cash Benchmark at policy weights. 7. The IG Fixed Income Benchmark is comprised 10% imoneynet First Tier Institutional Money Market Funds Net Index and 90% custom BOAML Core Investment Grade Index*. The custom BOAML core index comprised of the following weightings: 30% BOAML 5+ Years Governments, 35% BOAML 5+ Years Investment Grade Corporates, and 35% BOAML Mortgage Master. 8. The Cash Benchmark is the imoneynet First Tier Institutional Money Market Funds Net Index. 9. The Inflation Sensitive & Diversifiers Benchmark is a blend of the Inflation Sensitive Benchmark and the Core Real Estate Benchmark at policy weights. 10. The Inflation Sensitive Benchmark is the dynamically weighted combination of the Bank of America Merrill Lynch 1-3 Years U.S. Inflation-Linked Treasury Index (TIPS)*, the Bloomberg Commodities Index (Commodities), and a combination of the benchmarks of investments classified within Private Natural Resources or Other Real Assets and Diversifiers. 11. The Core Real Estate Benchmark is comprised of 80% NCREIF ODCE Net and 20% FTSE EPRA NAREIT Global Index. 12. The Multi-Strategy Benchmark is comprised of a dynamically-weighted combination of the HFRX ED: Multi-Strategy Index, net of fees, and the market value weighted benchmarks for any other total fund strategies within the Portfolio. *Source: BofA Merrill Lynch, used with permission. See disclaimer on next page. 37

Disclaimer BOFA MERRILL LYNCH IS LICENSING THE BOFA MERRILL LYNCH INDICES AS IS, MAKES NO WARRANTIES REGARDING SAME, DOES NOT GUARANTEE THE SUITABILITY, QUALITY, ACCURACY, TIMELINESS, AND/OR COMPLETENESS OF THE BOFAML INDICES OR ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM, ASSUMES NO LIABILITY IN CONNECTION WITH THEIR USE, AND DOES NOT SPONSOR, ENDORSE, OR RECOMMEND THE DEPARTMENT OF STATE TREASURER, OR ANY OF ITS PRODUCTS OR SERVICES. 38