Financial Statements

Financial Statements

FINANCIAL REPORT FOR THE MONTH ENDED FEBRUARY 28, 2014 TABLE OF CONTENTS FINANCIAL HIGHLIGHTS Net Asset Value Highlights...1 Financial Statement Highlights...2 Explanatory Notes to the Financial Statements...4 FINANCIAL STATEMENTS Statement of Fiduciary Net Position... 5 Statement of Changes in Net Position...7 Summary of Derivatives Financial Instruments... 9 Investment Portfolio by Type... 11 Supporting Schedules: Global Equity... 12 Emerging Market Equity... 12 Emerging Market Debt... 12 Opportunistic..12 Global Macro... 13 High-Yield Fixed Income... 13 TIPS... 13 Relative Value... 13 Treasuries......14 Real Assets... 14 Other... 14 Private Equity... 15 Real Estate... 16

NET ASSET VALUE HIGHLIGHTS Net Assets increased $203.4M 10.00 9.50 9.00 8.50 8.00 7.50 7.00 6.50 6.00 SDCERA Net Position in $ billion Ending Net Position Net Assets increased by approximately $203.4 million for the month end February 2014 and fiscal year to date is up $632.1 million. Drivers of increase / (decrease) to Net Asset Value: Net Investment Income generated income of $214.7 million for the month of February and gains of $691.5 million fiscal year to date. The overall February increase is primarily attributable to: $174.5 million in unrealized gains driven by valuation increase in stocks, bonds and swaps. $33.9 million in realized gains primarily driven by gains within equity and fixed income futures. $6.3 million in interest, dividend and other income, net of investment expenses. Total Contributions from county and members were $38.0 million for the month of February. Fiscal year to date county and members contributions were $331.3 million, an increase of $30.4 million or 10.1% from the same time last year. Administrative Expenses were $1.1 million in February and $8.3 million fiscal year to date; $0.8 million lower than plan year to date and $0.8 million higher than previous year to date. Drivers of increase/(decrease) to Net Position in $ million For the month of February 2014: Net Investment Income: $214.7M Unrealized: $174.5M Realized: $33.9M Div,Int & Other: $9.5M Expenses: $(3.2M) 250 150 50-50 -150-250 -350 Contributions Net Investment Income Benefit Payments Other Deductions SDCERA Financial Highlights Page 1

FINANCIAL STATEMENT HIGHLIGHTS Statement of Fiduciary Net Position and February 28, 2013 (Dollars in 000s) 2014 2013 $ Increase % Increase Cash $ 3,019,817 $ 2,354,446 $ 665,371 28.3% Securities Lending Cash Collateral 139,948 188,888 (48,940) -25.9% Receivables 31,876 27,728 4,148 15.0% Investments 6,767,801 6,994,589 (226,788) -3.2% Property, Plant & Equipment 13,109 12,236 873 7.1% Total Assets 9,972,551 9,577,887 394,664 4.1% Securities Lending 140,578 189,862 (49,284) -26.0% Investments Purchased 8,611 24,864 (16,253) -65.4% County Advance 122,378 113,514 8,865 7.8% Other 4,717 6,227 (1,510) -24.2% Total Liabilities 276,285 334,467 (58,182) -17.4% Net Position Retricted for Pension Benefits $ 9,696,266 $ 9,243,420 452,846 4.9% Net Assets Held in Trust for Pension Benefits are currently $9.7 billion, $452.8 million or 4.9% above February 2013 levels. This year over year increase is from SDCERA s operating results, primarily from investment income, and from the county and employee contributions. Some details of the $452.8 million increase are as follows: $561.6 million in Net Investment Income. $404.1 million in County Contributions. $72.4 million in Employee Contributions, net of refunds. Less: $573.1 million in Benefits paid. $12.2 million in Administrative Expenses SDCERA Financial Highlights Page 2

FINANCIAL STATEMENT HIGHLIGHTS Plan Net Assets for the eight months ending have increased by $632.1 million which was $90.8 million or 12.6% lower than the same period last year. Net Investment Income decreased by $108.6 million compared to the same period last year. This consisted of $155.0 million less in unrealized gains, $24.4 million more in realized gains, $19.9 million more in interest, dividend and other income, and $2.1 million less in net securities lending income, offset by a decrease in Investment Expenses of $4.3 million. Contributions to the plan were $331.3 million, an increase of $30.4 million or 10.1% over last year. The pension contributions have increased by $29.7 million, while the fiscal year-to-date 401h contributions have increased by $0.8 million. The pension contribution increase was due to a higher employer contribution rate (29.26 vs. 27.02) and the contributions impact of the 2% bonus payment in July. Benefit payments year over year have increased $12.2 million. Healthcare costs have decreased $0.3 million. Fiscal year to date supplemental benefits payments were $9.4 million, which have decreased $7.9 million compared to this time last year. The death benefits went up by $0.2 million. The service retirements and disability benefits went up by $20.1 million as a result of an increase of 544 in retired members since last year. Statement of Changes in Fiduciary Net Position For the Eight Months Ending and February 28, 2013 (Dollars in 000s) 2014 2013 $ Increase % Increase Contributions $ 331,303 300,880 30,423 10.1% Investment Income: Unrealized Gains (Losses) 172,592 327,631 (155,039) -47.3% Realized Gains (Losses) 429,980 405,587 24,393 6.0% Income 139,989 120,062 19,927 16.6% Less: Investment Expenses (51,679) (55,983) 4,304 7.7% Net Securities Lending 656 2,797 (2,141) -76.5% Net Investment Income 691,537 800,093 (108,556) -13.6% Total Additions 1,022,840 1,100,973 (78,134) -7.1% Benefits 380,838 368,650 12,188 3.3% Refunds 1,626 1,818 (191) -10.5% Administrative Expenses 8,344 7,554 789 10.5% Healthcare Administrative Expenses (42) 33 (75) -224.3% Total Deductions 390,767 378,056 12,711 3.4% Net Increase $ 632,073 722,917 (90,845) -12.6% SDCERA Financial Highlights Page 3

EXPLANATORY NOTES TO THE FINANCIAL STATEMENTS STATEMENT OF NET PLAN ASSETS Cash and Short-Term Investments The majority of this balance consists of short-term cash investment managed by Pimco. Cash equivalents for futures are reported in the appropriate investment category. Receivables Securities sold before the end of the month that have not yet settled totaled $14.5 million at the end of February. This category can vary significantly depending on the number of transactions near the end of the month. Accrued interest and dividends totaled $13.3 million. Contribution receivables added another $2.7 million. Investments Most investments are reported at fair value as of the last business day of the month. Real estate investments are adjusted quarterly to the market based on the Townsend Group reports. The valuation date for real estate investments included in this report is September 30, 2013. Private equity, natural resources, and infrastructure investments are adjusted to market on a quarterly basis and are valued mostly as of September 30, 2013 and some as of December 31, 2013. The valuation process is more complex for the real estate, private equity, infrastructure, and natural resources investment categories which generally results in a quarter lag. However, cash flows resulted from these investments through are included in this report. Property, Plant & Equipment Fixed Assets are reported at cost less accumulated depreciation. The majority of fixed assets consist of computer software and equipment, which is depreciated over three to five years. The capitalization limit is $1,000 per item. Liabilities Major categories include securities purchased before the end of the month that have not yet settled, securities lending collateral, and the deferred portion of the County advance contribution. The County advanced $379.5 million to the retirement fund at the beginning of this fiscal year. These funds are fully invested but are recognized monthly as an addition to plan net assets based on actual County payroll results. STATEMENT OF CHANGES IN PLAN NET ASSETS Additions County and employee contributions are reported as earned. Investment income reflects both realized and unrealized gains and losses. Deductions Benefits are reported as incurred and refunds as they are paid. Investment fees and administrative expenses are reported as paid throughout the year. In addition, investment management fees are accrued on a quarterly basis. At the end of the fiscal year, a thorough review is completed to ensure that all costs are identified and adjusted to an accrual basis. SDCERA Financial Highlights Page 4

STATEMENT OF FIDUCIARY NET POSITION As of and February 28, 2013 Assets 2014 2013 Cash and Short-Term Investments Cash and Cash Equivalents with Fiscal Agent $ 245,540,298 $ 165,165,360 ERRP Cash 19,005 19,005 Cash and Cash Equivalents with Pimco 2,774,257,442 2,189,261,480 Total Cash and Short-Term Investments 3,019,816,745 2,354,445,845 Securities Lending Cash Collateral 139,948,232 188,888,223 Receivables Contribution - County and Employees 2,710,181 5,909,134 Accrued Interest and Dividends 13,317,414 16,625,473 Sale of Investments 14,504,284 4,454,916 Other 1,344,578 738,862 Total Receivables 31,876,457 27,728,385 Investments at Fair Value Domestic Equity Securities 319,815,188 362,441,211 International Equity Securities 642,336,257 589,952,786 Total Equity 962,151,445 952,393,997 US Government Obligations 632,278,944 730,638,016 Domestic Investment Grade Bonds 228,649,181 307,968,398 Domestic Convertible Bonds 231,297,448 75,083,141 Domestic High Yield Bonds 238,796,060 128,555,872 International Bonds 968,700,763 983,798,501 Interest Rate and Credit Default Swaps 0 (7,762) Total Fixed Income Securities 2,299,722,396 2,226,036,166 Global Macro Hedge Funds 445,307,998 592,916,847 Long/Short Hedge Funds 35,691,771 282,346,882 Multi-Strategy Hedge Funds 19,794,607 21,158,133 Relative Value Funds 593,890,952 551,098,360 Opportunistic Funds 29,618,158 7,785,569 Private Equity 467,377,348 382,186,636 Natural Resources Funds 319,063,877 246,682,912 Infrastructure 192,603,962 226,310,207 SDCERA Financial Statements Page 5

STATEMENT OF FIDUCIARY NET POSITION As of and February 28, 2013 Assets (Cont.) 2014 2013 Real Estate $ 954,229,219 $ 970,090,153 Cash and Securities for Futures 383,663,321 502,660,649 Cash and Securities for Swaps 60,247,602 26,297,769 Unallocated Fund 4,438,090 6,624,233 Total Investments 6,767,800,746 6,994,588,513 Property, Plant & Equipment Computer Equipment 1,587,052 970,379 Office Equipment 1,464,392 1,403,226 Computer Software 16,140,720 15,543,653 Leasehold Improvements 1,641,873 1,641,873 Total Property, Plant & Equipment 20,834,037 19,559,131 Less Accumulated Depreciation 7,724,918 7,323,048 Total Fixed Assets 13,109,119 12,236,083 TOTAL ASSETS 9,972,551,299 9,577,887,049 --------------------------- ------------------------ Liabilities Collateral Payable for Securities Lending 140,578,485 189,862,374 Investments Purchased 8,611,087 24,864,099 Professional Services 1,954,131 3,515,159 Death Benefits 719,002 654,940 Retirement Allowances 398,918 304,758 Refunds to Members 306,993 266,100 County Advance Contribution 122,378,350 113,513,587 Health Insurance Premiums (13,078) 19,602 ERRP Funds 18,538 18,692 Cash In Transit 328,996 395,998 Other 1,003,605 1,051,771 TOTAL LIABILITIES 276,285,027 334,467,080 --------------------------- ------------------------ NET POSITION RESTRICTED FOR PENSION $ 9,696,266,272 $ 9,243,419,969 ================== ================ SDCERA Financial Statements Page 6

Additions STATEMENT OF CHANGES IN NET POSITION For the one month and eight months ended Contributions County $ 31,615,083 $ 280,289,531 Plan Members 6,374,611 ---------------------------- 51,013,236 -------------------------------- Total Contributions 37,989,694 ---------------------------- 331,302,767 -------------------------------- INVESTMENT INCOME Net Appreciation (Depreciation) in Fair Value of Investments Unrealized Gains/(Losses) Stocks 29,308,666 16,484,951 Bonds 57,906,605 (12,237,160) Opportunistic Funds (5,060,260) 3,512,425 Relative Value Funds (3,469,972) 13,798,476 Managed Futures 1,938,967 2,348,158 Foreign Currency Overlay 1,409 (7,290,581) Overlay Futures 858,622 (197,672) Swaps 79,409,620 73,714,173 Natural Resources Funds 2,322,056 1,864,206 Infrastructure 0 13,418,127 Real Estate 0 40,262,516 Private Equity 11,229,005 ---------------------------- 26,914,244 -------------------------------- Total Unrealized Gains/(Losses) 174,444,719 ---------------------------- 172,591,864 -------------------------------- Realized Gains/(Losses) Stocks 926,023 39,301,092 Bonds 1,466,182 8,299,006 Opportunistic Funds (197,144) 2,817,459 Relative Value Funds (2,506,732) (3,787,661) Multi-Strategy Funds 158,035 1,267,656 Managed Futures 866,548 (7,060,514) Foreign Currency Overlay (1,435) (428,451) Futures 35,746,757 204,818,198 Swaps (1,865,776) 164,751,980 Natural Resources Funds (603,351) 741,487 Infrastructure 0 209,000 Real Estate 484,260 9,321,094 Private Equity (524,790) 9,729,479 ---------------------------- -------------------------------- Total Realized Gains/(Losses) 33,948,577 ---------------------------- 429,979,824 -------------------------------- Total Net Appreciation/(Depreciation) in Fair Value of Investments 208,393,296 ---------------------------- 602,571,687 -------------------------------- Income Interest & Dividend Income Bond Investments 2,590,140 31,455,246 STIF & County Pool Cash 57,936 523,685 Pimco Cash Management 2,143,588 24,392,698 Dividends on Stock Investments 3,154,140 49,902,457 ---------------------------- -------------------------------- Total Interest & Dividend Income $ 7,945,803 $ 106,274,086 ---------------------------- -------------------------------- MTD YTD SDCERA Financial Statements Page 7

STATEMENT OF CHANGES IN NET POSITION For the one month and eight months ended INVESTMENT INCOME (CONT.) MTD YTD Other Investment Income Natural Resources Funds $1,027,295 $2,212,768 Real Estate Equity 229,978 27,918,090 Private Equity 155,711 3,583,875 Misc. Income 0 ---------------------------- 3 -------------------------------- Total Other Investment Income 1,412,984 33,714,736 ------- Total Investment Income, other than Securities Lending 217,752,084 742,560,509 Less: Investment Expenses (3,173,511) ---------------------------- (51,679,495) -------------------------------- Net Investment Income, other than Securities Lending 214,578,574 ---------------------------- 690,881,014 -------------------------------- Securities Lending Net appreciation/(depreciation) in Fair Value 6,159 358,540 Securities Lending Income 11,723 72,090 Rebates and Bank Charges 79,038 225,287 ---------------------------- -------------------------------- Net Securities Lending 96,921 ---------------------------- 655,917 -------------------------------- NET INVESTMENT INCOME 214,675,494 691,536,931 ---------------------------- -------------------------------- TOTAL ADDITIONS 252,665,188 1,022,839,698 ================ ================== DEDUCTIONS Benefits Payments Service Retirement and Disability Benefits 45,048,864 357,101,008 Death Benefits 134,852 967,927 Health Benefits 1,756,207 13,373,188 Supplemental Retirement Benefits 1,195,308 9,396,185 Total Benefits Payments ---------------------------- -------------------------------- 48,135,231 380,838,308 ---------------------------- -------------------------------- Refunds of Contributions 132,094 1,626,464 Administrative Expenses 1,068,321 8,343,922 Healthcare Administrative Expenses (54,240) (41,636) ---------------------------- -------------------------------- TOTAL DEDUCTIONS 49,281,407 390,767,058 ================== ================ Net in Net Position 203,383,781 632,072,640 Net Position Restricted for Pension Beginning of Year 0 9,064,193,632 ----------------------------- ---------------------------- End of Period $ 203,383,781 $ 9,696,266,272 ================== ================ SDCERA Financial Statements Page 8

SUMMARY OF DERIVATIVE FINANCIAL INSTRUMENTS As of SDCERA has the following Derivatives contracts managed by Salient. SDCERA also employs swap contracts on the Goldman Sachs Commodity Index and MSCI World Index to gain synthetic passive exposure to these markets. SDCERA enters into these Derivatives products for the purpose of adding value to SDCERA's Total Fund performance. The fair value of Derivatives contracts is reported on SDCERA's Statement of Net Assets. A. Futures Notional Amount Fair Value Global Equity and Currency Futures $ 562,186,956 $ 12,460,794 Private Equity Futures 358,955,280 11,577,925 US Core Futures 3,202,196,563 15,470,828 Trend Strategy (8,165,414) (4,444,453) Total Futures $ 4,115,173,385 $ 35,065,094 B. Swaps Notional Amount Fair Value Commodity Swaps $ 174,299,518 $ 7,584,206 Global Equity Swaps 1,411,170,316 60,259,891 Total Swaps $ 1,585,469,834 $ 67,844,097 SDCERA Financial Statements Page 9

INVESTMENT PORTFOLIO BY ASSET ALLOCATION (Dollars in 000s) As of Market Mkt Change and/or Manager Style Current Mo. Additions/Withdraw als % Actual Global Equity Allianz Global Investors Convertible 277,968 165,374 2.83% Unallocated Cash 63 1 0.00% Global Equity Sw ap 60,260 58,040 0.61% Global Equity Overlay Global Equity OVL Futures 55,587 (12,121) 0.57% TOTAL GLOBAL EQUITY 393,878 211,295 4.02% Emerging Market Equity DFA EM Fund Emerging Markets 248,377 5,393 2.53% Genesis Emerging Markets 243,330 8,075 2.48% Emerging Market Equity ETF Emerging Markets 71,363 1,842 0.73% TOTAL EMERGING MARKET EQUITY 563,070 15,311 5.74% Private Equity Buyouts 262,598 11,159 2.68% Distress & Special Situations 188,865 5,169 1.93% Niche and Other 16,980 1,083 0.17% Private Equity Overlay PE Overlay Futures 39,445 4,680 0.40% TOTAL PRIVATE EQUITY 507,888 22,092 5.18% High Yield//Credit Blackrock Credit Investors, LP Credit 9,594-0.10% Hotchkis & Wiley Cap Mgt High Yield 241,740 5,195 2.46% Oaktree g Capital Mgt High g Yield 241,005 4,398 2.46% Silver Point Credit/Multi-Strategy 11,620 73 0.12% Zazove Associates High Yield High Yield 131 0 0.00% TOTAL HIGH YIELD FIXED INCOME/CREDIT 504,091 9,666 5.14% US Treasuries Hoisington Treasuries 193,888 2,234 1.98% US Core Overlay US Core Overlay Futures 138,232 (26,652) 1.41% TOTAL US TREASURIES 332,120 (24,418) 3.39% Core Bond Pimco Core Plus 733-0.01% TOTAL CORE BOND 733-0.01% Emerging Market Debt Wellington Emerging Market Debt 972,135 132,518 9.91% TOTAL EMERGING MARKET DEBT 972,135 132,518 9.91% Global Macro Brevan How ard Global Macro 191,952 (2,612) 1.96% Bridgew ater Pure Alpha II Global Macro 76,095 2,329 0.78% Bridgew ater Pure Alpha Major Market Global Macro 57,863 1,640 0.59% Cantab Managed Futures 101,032 2,684 1.03% DE Shaw Heliant Fund Systematic & Discret. Macro 119,399 (6,403) 1.22% Kenmar Collateral - (11,740) 0.00% Trend Strategy Global Macro Futures Overlay 44,877 (5,782) 0.46% TOTAL GLOBAL MACRO 591,216 (19,884) 6.03% SDCERA Financial Statements Page 10

INVESTMENT PORTFOLIO BY ASSET ALLOCATION (Dollars in 000s) As of CONT. Market Mkt Change and/or Manager Style Current Mo. Additions/Withdraw als % Actual Relative Value AQR Delta Relative Value 364,340 (6,424) 3.71% Blue Mountain Credit Alternatives Relative Value 137,458 1,027 1.40% DE Shaw Multi-Strategy 8,174 (134) 0.08% Moon Capital EM L/S Equity 30,040 (225) 0.31% Saba Capital Partners Relative Value 91,462 (1,781) 0.93% Stark Investments Multi-Strategy 5,618 (14) 0.06% UBS O'Connor Multi-Strategy/Equity L/S 5,652-0.06% TOTAL RELATIVE VALUE 642,744 (7,553) 6.55% Opportunistic Oaktree European Dislocation Fund High Yield 8,250 (8,235) 0.08% DE Shaw Alkali II High Yield 15,750-0.16% TOTAL OPPORTUNISTIC 24,000 (8,235) 0.24% Real Estate Real Estate Core+Non-core 954,229 (525) 9.73% TOTAL REAL ESTATE 954,229 (525) 9.73% Real Assets Commodity Swap and Future Commodity Sw ap and Western Asset Enhanced Cash & Commodities 8,528 11,469 0.09% Total Commodity Swap & Future 8,528 11,469 0.09% Infrastructure Actis Energy 3 Infrastructure 3,941-0.04% Actis Energy 3 Co-Investment Infrastructure 1,963 1,963 0.02% Brookfield Americas infrastructure Infrastructure 74,382-0.76% JP Morgan Global Maritime Fund Infrastructure 19,583-0.20% Global Infrastructure Infrastructure 35,549 (155) 0.36% Macquarie Infrastructure Partner II Infrastructure 57,186-0.58% Total Infrastructure 192,604 1,808 1.96% Natural Resources and Other Real Assets SSgA Materials Materials 177,496 11,647 1.81% S&P MLP MLP 174,461 (23) 1.78% Encap,Enervest,Kayne, Merit Commodity 29,153 (377) 0.30% Falcon E&P Opp Commodity 38,858 4,021 0.40% Amerra Agri Fund II Natural Resources 38,395-0.39% Hancock Agricultural Investment Group Natural Resources 29,458-0.30% Brookfield Brazil Agriland Fund Natural Resources 53,714-0.55% Denham Commodity Partners VI Natural Resources 11,984-0.12% Molpus Woodland III LP Natural Resources 46,027-0.47% Red Kite Mine Finance Fund I Natural Resources 35,998 610 0.37% Taurus Resources Fund No. 2 Natural Resources 28,224 1,486 0.29% Total Natural Resources and Other Real Assets 663,769 17,365 6.77% TOTAL REAL ASSETS 864,901 30,642 8.82% Treasury Inflation Protected Securities PIMCO TIPS Inflation protected 86-0.00% SSGA TIPS Inflation protected 438,427 1,946 4.47% TOTAL TREASURY INFLATION PROTECTED SECURITIES 438,513 1,946 4.47% Other Derivative Cash Short-term Cash Invst 2,776,401 10,188 28.31% Operational Cash Cash 237,340 (202,615) 2.42% Unallocated Fund Pending Receivable 4,438 (58) 0.05% Securities Lending Securities Lending (630) 6-0.01% TOTAL OTHER 3,017,549 (192,479) 30.77% TOTAL INVESTMENTS 9,807,067 170,374 100.00% Excess Cash Equitization & Receivables/(Payables) 280 57 0.00% GRAND TOTAL 9,807,346 170,431 100.00% SDCERA Financial Statements Page 11

INVESTMENT PORTFOLIO BY ASSET ALLOCATION SUPPORTING SCHEDULES As of Global Equity Portfolio % Allianz Global Investors * $ 277,968,151 $ 112,593,813 $ 165,374,338 146.9% Unallocated Cash 62,775 61,410 1,364 2.2% Global Equity Swaps ** 60,259,891 $ 2,220,270 58,039,620 2614.1% Global Equity Overlay *** 55,586,787 67,707,580 (12,120,793) -17.9% Total Global Equity Portfolio $ 393,877,603 $ 182,583,074 $ 211,294,529 115.7% * Includes $150 MM transfer from the Operational Cash Account ** Includes $9.4 MM SWAP reset transfer from the Derivatives Cash Account *** Includes $24 MM transfer to the Operational Cash Account Emerging Market Equity % Emerging Market Equity ETF $ 71,363,220 $ 69,520,905 $ 1,842,316 2.7% DFA Emerging Market Fund 248,377,212 242,983,878 $ 5,393,334 2.2% Genesis 243,329,586 235,254,604 $ 8,074,983 3.4% Total Emerging Market Portfolio $ 563,070,019 $ 547,759,387 $ 15,310,632 2.8% Emerging Market Debt % Wellington * $ 972,135,247 $ 839,616,808 $ 132,518,440 15.8% Total EMD Portfolio $ 972,135,247 $ 839,616,808 $ 132,518,440 15.8% * Includes $100 MM transfer from the Operational Cash Account Opportunistic % DE Shaw Alkali II $ 15,750,000 $ 15,750,000 $ - 0.0% Oaktree European Dislocation Fund * 8,250,003 16,485,003 (8,235,000) -50.0% Total Opportunistic Portfolio $ 24,000,003 $ 32,235,003 $ (8,235,000) -25.5% * Includes $8.2 MM cash distribution transfer into the Operational Cash Account SDCERA Financial Statements Page 12

INVESTMENT PORTFOLIO BY ASSET ALLOCATION SUPPORTING SCHEDULES As of High-Yield/Credit % Blackrock Credit Investors, LP ** $ 9,593,847 $ 9,593,847 $ - 0.0% Hotchkis & Wiley Cap Mg 241,740,463 236,545,582 5,194,882 2.2% Oaktree Capital Mgmt 241,005,134 236,606,832 4,398,302 1.9% Silver Point 11,620,469 11,547,727 72,743 0.6% Zazove Associates High Yield * 130,965 130,963 1 NA Total Fixed Income Portfolio $ 504,090,878 $ 494,424,950 $ 9,665,928 2.0% * Liquidation ** Quarterly updates TIPS % PIMCO - TIPS * $ 85,759 $ 85,759 $ - NA SSGA TIPS 438,426,869 436,481,023 $ 1,945,846 0.4% Total TIPS Portfolio $ 438,512,628 $ 436,566,782 $ 1,945,846 0.4% * Liquidation Global Macro % Brevan Howard $ 191,952,109 $ 194,564,424 $ (2,612,315) -1.3% Bridgewater Pure Alpha II 76,094,649 73,766,064 2,328,585 3.2% Bridgewater Pure Alpha Major Market 57,862,558 56,222,069 1,640,489 2.9% Cantab 101,031,834 98,348,022 2,683,812 2.7% DE Shaw Heliant Fund, LLC 119,398,682 125,801,388 (6,402,706) -5.1% Kenmar * - 11,739,637 (11,739,637) N/A Trend Strategy 44,876,609 50,659,032 (5,782,423) -11.4% Total Global Macro Portfolio $ 591,216,441 $ 611,100,637 $ (19,884,196) -3.3% * Full Redemption AQR Delta $ 364,339,650 $ 370,763,917 $ (6,424,267) -1.7% Blue Mountain Credit Alternatives 137,458,255 136,431,354 1,026,901 0.8% DE Shaw Opportunistic 8,174,137 8,308,414 (134,277) -1.6% Moon Cap Global - Opportunistic 30,039,632 30,264,954 (225,322) -0.7% SABA Capital Partners 91,462,345 93,243,584 (1,781,240) -1.9% Stark Investments 5,618,155 5,632,468 (14,314) -0.3% UBS O'Connor Market Neutral * 5,652,139 5,652,139 - NA Total Relative Value Portfolio $ 642,744,313 $ 650,296,831 $ (7,552,519) -1.2% * Liquidation Relative Value SDCERA Financial Statements Page 13 %

Treasuries INVESTMENT PORTFOLIO BY ASSET ALLOCATION SUPPORTING SCHEDULES As of % Hoisington $ 193,888,287 $ 191,654,244 $ 2,234,043 1.2% US Core Overlay * 138,231,572 164,883,900 $ (26,652,328) -16.2% Total Treasuries Portfolio $ 332,119,859 $ 356,538,144 $ (24,418,285) -6.8% * Includes $37.5 MM transfer into the Operational Cash Account Real Assets Commodity Swap & Futures Commodity Swap & Western Asset $ 8,528,389 $ (2,940,426) $ 11,468,815 Total Commodities $ 8,528,389 $ (2,940,426) $ 11,468,815 Infrastructure Actis Energy 3 $ 3,941,413 $ 3,941,413 $ - Actis Energy 3 Co-Investment * 1,963,447-1,963,447 Brookfield Americas Infrastructure Fd 74,381,943 74,381,943 - Global Infrastructure 35,548,567 35,704,007 (155,440) JP Morgan Global Maritime Fund 19,582,822 19,582,822 - Macquarie Infrastructure Partner II 57,185,769 57,185,769 - Total Infrastructure $ 192,603,962 $ 190,795,954 $ 1,808,008 Natural Resources and Other Real Assets Amerra Agri Fund II $ 38,395,250.61 $ 38,395,251 $ - Brookfield Brazil Agriland 53,713,740 53,713,740 - Hancock Agricultural Invstmt Group 29,458,062 29,458,062 - Denham Commodity Partners VI, LP 11,984,027 11,984,027 - Encap,Enervest,Kayne, Merit 29,152,677 29,529,453 (376,776) Falcon E&P Opp 38,858,138 34,836,998 4,021,140 Molpus Woodland Fund III, LP 46,027,461 46,027,461 - Red Kite Mine Finance Fund I *** 35,998,033 35,388,027 610,005 S&P MLP 174,460,699 174,483,987 (23,288) SSgA Materials 177,496,383 165,849,065 11,647,318 Taurus Resources Fund No. 2 ** 28,224,054 26,737,704 1,486,349 Total Natural Resources & Other $ 663,768,523 $ 646,403,775 $ 17,364,748 Total Real Assets $ 864,900,874 $ 834,259,303 $ 30,641,571 * Initial funding - $1.96 MM from the Operational Cash Account ** MV updated as of December 31, 2013 *** MV updated as of Additions/ (Withdrawals) Other SDCERA Financial Statements Page 14 Additions/ (Withdrawals) Derivatives Cash $ 2,776,401,030 $ 2,766,212,822 $ 10,188,208 Operational Cash * 231,387,272 433,720,178 (202,332,906) SDCERA County Pool 4,644,629 4,641,282 3,348 Mellon DDA 230,248 275,966 (45,717) Union Bank 1,077,828 1,318,010 (240,182) Unallocated Fund 4,438,090 4,496,175 (58,086) Securities Lending (630,253) (636,412) 6,159 Total Other $ 3,017,548,844 $ 3,210,028,021 $ (192,479,176) * Includes $150 MM transfer to Allianz Global Investors, $100 MM transfer to Wellington EMD and $76.5 MM transfer from Salient Overlay Accounts

INVESTMENT PORTFOLIO BY ASSET ALLOCATION SUPPORTING SCHEDULES As of Private Equity Portfolio Buyout & Growth Bain Capital Fund IX, L.P. $ 3,959,086 $ 4,321,817 $ (362,731) Bain Capital Fund IX, L.P. Coinvestment 942,438 942,438 - Bain Capital Fund X, L.P. 14,184,139 13,996,639 187,500 Baring Asia Private Equity V 33,068,187 33,068,187 - Blackstone Capital Partners IV, LP * 7,444,294 6,675,842 768,452 Blackstone Capital Partners V, LP * 14,039,227 13,130,297 908,930 Blackstone Capital Partners VI, LP * 38,079,202 32,321,676 5,757,526 Capital International PE Fund V, LP 5,732,681 5,732,681 - Capital International PE Fund VI, LP 17,439,968 17,439,968 - Charterhouse Capital Partners VIII * 5,024,957 5,378,271 (353,313) Code, Hennessy & Simmons IV, LP 358,364 358,364 - Emerging Europe Growth Fund II, LP 5,468,929 5,468,929 - EQT VI, LP * 25,213,733 21,650,379 3,563,354 FountainVest Capital Growth II 6,038,495 4,508,205 1,530,290 Graham Partners II, LP 5,838,199 6,346,730 (508,531) Greenbriar Equity Fund II, LP 6,782,595 6,777,263 5,332 HarbourVest Partners Int'l Private Equity III 2,433,650 2,433,650 - Hellman & Friedman VI, LLC 8,082,348 8,082,348 - Hellman & Friedman VII, LLC 8,207,693 7,016,587 1,191,106 Northgate Private Equity Partners II, LP 7,951,586 8,429,997 (478,411) Northgate Private Equity Partners III, LP 9,413,411 9,857,611 (444,201) Oak Hill Capital Partners, LP 140,981 140,981 - Providence Equity Partners V, LP 4,603,219 4,603,219 - TA Associates IX, LP * 442,297 388,283 54,014 TA Associates X, LP * 7,979,828 7,417,608 562,220 TA Subordinated Debt Fund II, LP * 1,774,549 1,728,784 45,765 Thomas H. Lee Equity Fund V, LP 1,480,385 1,480,385 - Texas Pacific Group 3,470,316 4,738,328 (1,268,012) TPG Asia VI 17,002,876 17,002,876 - Total Buyouts $ 262,597,633 $ 251,438,343 $ 11,159,291 Distress and Special Situations Cerberus Institutional Partners, LP (Series Two) $ 2,273,890 $ 2,273,890 $ - Cerberus Institutional Partners, LP (Series Four) 11,299,033 11,647,797 (348,764) Coller International Partners V-A * 5,527,199 4,927,065 600,134 Gores Capital Partners III, LP 37,660,417 37,660,417 - Gores Small Capitalization Partners, LP 7,681,066 5,357,105 2,323,961 GSO Capital Partners 44,314,779 44,746,874 (432,095) GSO Capital Solutions Fund II, LP 128,062 128,062 - Lexington Capital Partners V, LP 1,546,011 1,546,011 - Lexington Capital Partners VI, LP 5,726,888 5,725,973 915 OCM Opportunity Fund II, LP * 9,690 9,690 - OCM Opportunity Fund III, LP * 121,948 164,466 (42,518) OCM Opportunity Fund IV, LP * 27,607 37,110 (9,503) OCM Opportunity Fund VI, LP * 894,228 894,228 - OCM Opportunities Fund VII * 1,868,795 1,868,795 - OCM Opportunties Fund VII-B * 3,034,054 3,034,054 - Oaktree European Principal Fund III * 39,492,325 36,941,908 2,550,418 Onex Partner III * 14,031,069 13,504,236 526,833 Paul Capital Partners VIII-B, LP 5,527,139 5,527,139 - Paul Capital Partners IX, LP 7,701,051 7,701,051 - Total Distress and Special Situations $ 188,865,251 $ 183,695,869 $ 5,169,381 Niche and Other Drug Royalty II/Sarl II $ 11,256,405 $ 11,398,969 $ (142,564) Drug Royalty II Co-Investment/RMF 4,473,773 4,473,773 - Drug Royalty III, LP 1,249,492 23,488 1,226,004 Total Niche and Other $ 16,979,670 $ 15,896,230 $ 1,083,440 Private Equity Overlay ** $ 39,445,376 $ 34,765,690 4,679,686 Total Private Equity Portfolio $ 507,887,930 $ 485,796,132 $ 22,091,798 * MV updated as of December 31, 2013 ** Includes $15 MM transfer to the Operational Cash Account SDCERA Financial Statements Page 15

INVESTMENT PORTFOLIO BY ASSET ALLOCATION SUPPORTING SCHEDULES As of Real Estate Portfolio Core Investments J.P. Morgan Strategic Property Fund 254,358,168 254,358,168 - RREEF IMA $ 293,948,455 293,948,455 $ - RREEF/Rio San Diego Plaza 23,046,390 23,046,390 - Total Core Investments $ 571,353,013 $ 571,353,013 $ - Value Added Investments Allegis Value Trust $ 24,770,977 24,770,977 $ - Amstar SD Partners, LP 151,965,108 151,724,126 240,982 CB Richard Ellis Strategic Partners 5, LP 2,866,572 2,866,572 - PRISA II Fund 31,442,645 31,442,645 - PRISA III Fund LP 56,117,306 56,117,306 - Total Value Added Investments $ 267,162,609 $ 266,921,627 $ 240,982 Opportunistic Investments Blackstone Real Estate Partners VI LP 63,409,190 $ 63,593,449 (184,259) California Smart Growth Fund IV 12,875,528 13,409,528 (534,000) Canyon Johnson Urban Fund II 10,964,516 10,964,516 - Cornerstone Apartment Ventures III, LLC 6,361,227 6,361,227 - Cornerstone CHIEF 940,767 940,767 - Hearthstone I 27,843 27,843 - LaSalle Asia Opps II 4,521,659 4,521,659 - Prologis Japan Fund 1, LP 2,436,769 2,436,769 - Southern California Smart Growth Fund 7,557,320 7,605,265 (47,945) Trophy Property GP LTD 6,618,778 6,618,778 - Total Opportunistic Investments $ 115,713,597 $ 116,479,801 $ (766,204) Total Real Estate Portfolio $ 954,229,219 $ 954,754,440 $ (525,222) SDCERA Financial Statements Page 16

Exposure Report

San Diego County Employees Retirement Association Exposure Report as of ($000) Derived from Report Derived from Performance Report Allocation % A B C D E Percentage Limits SUM (A:C) D/SUM(A) Target Min. Max. Asset Type Cash Collateral Derivative Exposure Asset Allocation % Actual % Target % Target % Target Within Limits Global Equity** 393,878 (115,847) 1,879,491 2,157,522 22% 20% 15% 25% YES Emerging Market Equity 563,070 563,070 6% 5% 2% 10% YES High Yield Fixed Income 504,091 504,091 5% 5% 2% 10% YES Private Equity 507,888 (39,445) 358,955 827,398 8% 10% 5% 15% YES Emerging Market Debt 972,135 972,135 10% 10% 5% 15% YES Global Macro/CTA 591,216 591,216 6% 10% 5% 15% YES Relative Value 642,744 642,744 7% 10% 5% 15% YES Treasuries 332,120 (138,232) 3,202,197 3,396,085 35% 40% 20% 60% YES Opportunistic 24,000 24,000 0% 0% 0% 5% YES Core Bond* 733 733 0% 0% Real Estate 954,229 954,229 10% 10% 5% 15% YES Real Assets 864,901 (8,528) 174,300 1,030,673 11% 10% 5% 15% YES TIPS 438,513 438,513 4% 5% 2% 15% YES Gross Total Investments 6,789,518 (302,052) 5,614,942 12,102,408 123% 135% Available Cash 3,017,829 302,052-3,319,881 34% 0% N/A Total Exposure 9,807,347-5,614,942 15,422,289 157% N/A Less Derivatives Notional - (5,614,942) -57% Net Total Investments 9,807,347 9,807,347 100% 135% *Core Bond - PIMCO ** $1,879,491K Derivative Exposure for Global Equity Futures excluded $154,685K for Futures Currency Exposure