Invesco Balanced-Risk Commodity Strategy Annual Update

Invesco Balanced-Risk Commodity Strategy Annual Update 2017-2018 Water and Power Employees Retirement Plan August 8, 2018 For one-on-one U.S. institutional investor use only. All material presented is compiled from sources believed to be reliable and current, but accuracy cannot be guaranteed. This is being provided for informational purposes only, is not to be construed as an offer to buy or sell any financial instruments and should not be relied upon as the sole factor in any investment making decision. This should not be considered a recommendation to purchase any investment product. As with all investments there are associated inherent risks. This does not constitute a recommendation of any investment strategy for a particular investor. Investors should consult a financial professional before making any investment decisions if they are uncertain whether an investment is suitable for them. Please read all financial material carefully before investing. For additional educational information about the strategy, contact Invesco. Past performance is not indicative of future results. This portfolio is actively managed. Portfolio holdings and characteristics are subject to change. The opinions expressed herein are based on current market conditions and are subject to change without notice. These opinions may differ from those of other Invesco investment professionals. Investment products offered are Not FDIC Insured, May Lose Value, and are Not Bank Guaranteed. Invesco Advisers, Inc. is an investment adviser and does not sell securities. US 7097-7/18

Table of contents Company Overview Investment Process and Discipline Market Overview Water & Power Employees Retirement Plan Performance Review Fee Schedule Additional Information and Disclosures Glossary of Investment Terms 2

Introduction Michael McHugh, CFA Client Portfolio Manager, Invesco Global Asset Allocation Joined Invesco in 1998 and the Global Asset Allocation team in 2011. Began working in the financial industry in in 1996 as a financial advisor for American Express Financial Advisors, Inc. Received his B.S. in business information systems from Bellevue University. He is a CFA charter holder and holds the Series 3, 7, 30, 63 and 66 registrations. Delia M. Roges Managing Director, Public Funds Sales & Service Team Joined Invesco in 2011. Over 20 years of institutional investment management experience. Serves on the Board of Regents Loyola Marymount University and the Board of Visitors at the School of Education at Loyola Marymount University. Received her B.B.A. in Finance from Loyola Marymount University and her M.B.A. from the University of Southern California. 3

Depth of investment capabilities Our wide range of investment capabilities is designed to support a variety of financial objectives Invesco offers a wide range of single-country, regional and global capabilities across major equity, fixed income and alternative asset classes, delivered through a diverse set of investment vehicles. A wide range of investment capabilities Equity Fixed Income and Balanced Alternative Money Market AUM: $431.2 B AUM: $304.5 B AUM: $57.7 B AUM: $144.2 B Market cap Investment style Global/regional/ single country Developed/emerging Sector Quantitative Directional long/ short (130/30) Cash management Duration Sector Investment grade/ high yield Global/regional Developed/emerging Tax-free bonds Active balanced Risk parity (risk premia capture) Target maturity Target risk Traditional balanced Absolute return Market neutral Multistrategy Global macro Private equity Fund of funds Buyout, emerging Commodities Financial structures Bank loans Credit arbitrage Opportunistic Real estate Public real estate securities Private direct US, Asian, European, global Delivered to investors through diverse investment vehicles Institutional separate accounts Collective trusts Funds (open/closed end, on/offshore) Exchange-traded funds (ETFs) Unit investment trusts (UITs) Private placements Sub-advised Separately managed accounts/unified managed accounts Variable insurance funds Customized solutions Source: Invesco Ltd. All data as of Dec. 31, 2017 and includes all assets under advisement, distributed and overseen by Invesco. Invesco Distributors, Inc. is the US distributor for Invesco Ltd. s retail products. Not all investors are eligible to invest in each investment vehicle. Specific residency restrictions apply to offshore funds. Invesco s variable insurance funds are used solely as investment vehicles by insurance company separate accounts to fund variable insurance products. Invesco Distributors, Inc. does not offer any variable products. Investment vehicles listed, including ETFs, in and of themselves, do not qualify as diversified investment strategies. For more information, contact your Invesco representative. 4

Invesco Global Asset Allocation Investment strategies Research Focus Risk Allocation and Management - balance risk exposures and create well-defined risk budgets Purpose-built Portfolios - improve the expected Sharpe Ratio within asset classes Tactical Allocation emphasize attractive assets and deemphasize unattractive assets Asset Class Focus Equities Fixed Income Commodities Implement primarily with futures and other derivatives providing ample liquidity though will adjust where client outcomes require (e.g., income) Client Outcomes Balanced Core Balanced-Risk Allocation (9/08)* $19.0 Billion Commodities Balanced-Risk Commodity (9/08)* $2.8 Billion Equities Defensive Growth (12/17)* $13.6 Million Global Macro Macro Allocation (9/12)* $0.9 Billion Income Multi-Asset Income (12/11)* $0.7 Billion $25.9 Billion AUM** Source: Invesco as of 06/30/18. *Inception dates. **Total GAA assets include $2.5 billion managed in multi-asset portfolios. 5

Invesco Global Asset Allocation Team summary Deep, Experienced Team Long Tenure Low Turnover Team Members Years with Invesco Research & PM Changes 1 17 9 15 13 17 5 1 9 8 5 Research & PM CPM, Implementation, Business Support Total Team Research & PM CPM, Implementation, Business Support Research & PM @ Inception Added Resources Lost Resources Current Average Experience 22 21 24 Senior Portfolio Managers Member Role Strats Owned 2 Yrs Exp Ttl / IVZ Scott Wolle CIO 25 / 17 Mark Ahnrud Sr. PM 31 / 16 Senior PM Changes 1 1 0 5 Total Team Research & PM CPM, Implementation, Business Support Chris Devine Sr. PM 20 / 18 Scott Hixon Sr. PM, Hd of Research 24 / 22 Christian Ulrich Sr. PM 29 / 16 4 Research & PM @ Inception Added Resources Lost Resources Current Source: Invesco. As of 06/30/18. 1 Since Invesco Balanced-Risk Allocation inception 09/30/2008. 2 % of 4 key strategies that each team member invests in. indicates all strategies, indicates none of the strategies. 6

Invesco Global Asset Allocation Key Invesco contacts Delia Roges Managing Director, Invesco Public Funds 101 California Street, Suite 1800 San Francisco, CA 94111 415-445-3388 Michael McHugh, CFA Client Portfolio Manager, Invesco Global Asset Allocation 11 Greenway Plaza, Suite 1000 Houston, TX 77046 713-214-4861 George Avery Client Portfolio Manager, Invesco Global Asset Allocation 1555 Peachtree Street, NE Atlanta, GA 30309 404-439-3460 Mark Ahnrud, CFA Senior Portfolio Manager, Invesco Global Asset Allocation 1555 Peachtree Street, NE Atlanta, GA 30309 404-439-3392 Scott Wolle, CFA Chief Investment Officer, Invesco Global Asset Allocation 1555 Peachtree Street, NE Atlanta, GA 30309 404-439-3064 Source: Invesco. As of 06/30/18. 7

Invesco Balanced-Risk Commodity Strategy Investment objective Strategy objectives The investment objective is to provide total return. Outperform the Bloomberg Commodity Index by 5% per year over a full market cycle Seeks better risk diversification and smaller drawdowns than common benchmarks Additional benefits No lock-up Daily liquidity Transparency Please see the derivatives and leverage risk disclosures in the additional information section of this document. 9

Invesco Balanced-Risk Commodity Strategy Investment universe Agriculture/ Livestock Energy Industrial Precious Soy Meal WTI Crude Copper Gold Soybeans Brent Crude Aluminum Silver Soybean Oil Gasoline Nickel* Sugar Heating Oil Zinc* Assets Corn Wheat Cotton Gas Oil Natural Gas Coffee Cocoa** Live Cattle** Lean Hogs** Universe covers each of the four major complexes Minimum liquidity of $1 billion trading volume standardized for 10% volatility for strategic assets Source: Invesco. As of 06/30/18. *Tactical assets only. **Limited allocation 10

Invesco Balanced-Risk Commodity Strategy Drivers of return: four key sources Structural Sources Tactical Sources Term Structure Weighting Equal Risk Contribution Optimal Roll Tactical Allocation Long-term returns driven by average term structure which is determined by scarcity and difficulty of storage Take advantage of low correlation between assets and across complexes to manage overall risk exposure Term structure of commodity futures creates opportunity to achieve higher returns than available through front-month investments Alter exposure to commodities based on three considerations: Supply and demand balance Economic environment Price trends 11

Invesco Balanced-Risk Commodity Strategy Investment process Strategic 1 Asset The universe of 23 assets is evaluated based on two key concepts; term Selection structure (TS) and equal risk contribution (ERC). 2 Portfolio The strategic allocation is built by balancing the risk contribution from the term Construction structure (TS) and equal risk contribution (ERC) concepts. Tactical 3 Tactical Take advantage of optimal roll as well as short- to medium-term tactical Allocation opportunities with 3% ex-ante risk target. Final portfolio Four targeted sources of return Target return objective of Bloomberg Commodity Index +5% Source: Invesco. For illustrative purposes only. 12

Invesco Balanced-Risk Commodity Strategy Step one: Asset selection- term structure Focus on Term Structure Strategic Commodity Selection 20% 15% Backwardation Universe Define universe of commodities: Liquid commodities Average Annualized Excess Return (%) Gasoline 10% Soymeal 5% Copper Brent Soybean Silver Gasoil Heating Oil Gold Live Cattle Sugar 0% WTI Crude Oil SoyBean Oil -5% Cotton Aluminum Corn Coffee -10% Wheat Contango -15% Natural Gas -20% -20% -15% -10% -5% 0% 5% 10% 15% Backwardation Contango 100% 0% Term Structure Adjustment Top 30% get a weight multiplier of 1.0 and the bottom 30% are excluded Commodities between the 30 th and 70 th percentile are ranked according to their term structure Strategic allocation based on term structure to emphasize commodities that are scarce or difficult to store Average Annualized Term Structure (%) Sources: Invesco analysis and Bloomberg L.P. Time period represented: 09/30/90 12/31/17. Backwardation refers to a status where prices of futures contracts with a longer maturity are lower than the spot price of the commodity. Contango refers to a status where prices of futures contracts with a longer maturity are higher than the spot price of the commodity. Excess return relative to cash. For illustrative purposes only. Past performance cannot guarantee future results. 13

Invesco Balanced-Risk Commodity Strategy Step one: Term structure weighting Benchmark Excess Returns Tertile Excess Returns 6 6 4 4 Annualized Excess Return (%) 2 0-2 -4-2.19-0.25 Annualized Excess Return (%) 2 0-2 -4 3.08 2.39-2.12-6 GSCI Light Energy* Bloomberg** -6 Top 30% Middle 40% Bottom 30% Term structure is an important influence on long-term commodity returns. Sources: Bloomberg Commodity Index, GSCI Light Energy Commodity Index and Invesco analysis. Period covered: 01/31/91 12/31/17. *Inception date is 5/01/91. **Inception date 7/14/98. Performance prior to inception dates is back-tested and not actual performance. Index returns are not representative of strategy returns and provide no assurance of future performance. Returns are in excess of cash. Past performance cannot guarantee future results. 14

Invesco Balanced-Risk Commodity Strategy Step one: Asset selection low complex correlation 1.00 Correlation Within Commodity Complexes* Average correlation 0.75 0.50 0.66 0.71 0.54 0.73 0.25 0.27 0.00 Across Complexes Agriculture Energy Industrial Precious *GSCI Index. Past performance is not a guarantee of future results. For illustrative purposes only. Sources: Invesco analysis and DataStream. Time period represented: 09/30/90 12/31/17. Inception date is 05/07/07. Performance prior to inception dates is back-tested and not actual performance. 15

Invesco Balanced-Risk Commodity Strategy Step one: Asset selection equal risk contribution Bloomberg Commodity Index Asset Weight Risk Contribution (%) Weight (%) 100 80 60 40 20 0 Precious 15 Industrial 17 Agriculture/ Livestock 36 Energy 32 Asset weights drive risk allocation Industrial 15 Precious 9 Energy 49 Agriculture/ Livestock 27 Equal Risk Contribution Risk Contribution (%) Asset Weight Agriculture/ Livestock 25 Precious 25 Energy 25 Industrial 25 Risk allocation drives asset weights Weight (%) 100 80 60 40 20 0 Precious 28 Industrial 23 Agriculture/ Livestock 28 Energy 21 Sources: Invesco analysis and DataStream. As of 12/31/17. 16

Invesco Balanced-Risk Commodity Strategy Step two: Portfolio construction combined approach Summary Annualized Risk & Return by Commodity Allocation Approach (1/91 12/17) 12% The strategic combination of TS and ERC reduces both volatility and material concentration in unattractive assets. The combination is riskbalanced so each concept contributes equally to the Annualized Return 10% 8% 6% 4% 2% Higher return, similar risk and beta. TS & ERC ß = 0.91 ERC ß = 0.81 BCOM ß = 1.0 TS ß = 1.05 strategic allocation. 0% 0% 5% 10% 15% 20% 25% Annualized Risk ß = 1.0 Bubble size reflects beta to Bloomberg Commodity Index (BCOM). Bubble to left reflects a beta of 1.0. TS stands for Term Structure, ERC for Equal Risk Contribution and BCOM for Bloomberg Commodity Index. Sources: CRB, Bloomberg L.P., Datastream, Invesco analysis. Bloomberg Commodity Index used as a proxy for portfolios. Inception date 7/14/98. Performance prior to inception dates is back-tested and not actual performance. Index returns are not representative of strategy returns and provide no assurance of future performance. 17

Invesco Balanced-Risk Commodity Strategy Step three: Tactical allocation - optimal roll yield Term Structure Optimal Roll vs. Front Month: Excess Return and Risk 42 10 40 Contract Price on 02/28/16 38 36 34 32-5.2-1.2 Annualized Excess Return (%) 5 0 Optimal Roll 5.45 / 26.30 Front Month -0.92 / 31.89 30 04/16 06/16 08/16 10/16 12/16 02/17 Contract Expiration -5 20 25 30 35 40 Standard Deviation (Risk) Sources: Invesco analysis and DataStream. Data from 12/31/91 to 12/31/17. For illustrative purposes only. Front Month return is the GSCI Crude Oil excess return. Optimal Roll return is the Deutsche Bank Optimum Yield Light Crude Oil excess return. Past performance is not a guarantee of future results. 18

Invesco Balanced-Risk Commodity Strategy Step three: Tactical allocation - signal generation Supply and Demand Objectively determine the supply demand balance and understand the impact on future prices 1.0 Composite Tactical Strategy - Signal Allocation Range Maximum Bullish + Economic Environment Measure the impact of the economic environment on asset prices 0.5 0.0 Target Strategy Neutral + Investor Positioning = Composite Signal Take advantage of behavioral biases as expressed in shortand intermediate-term price movements Combine the signals into a composite score -1.0 Maximum Bearish Each asset is modeled individually relative to cash Model signals implemented monthly 3% risk target Source: Invesco analysis. For illustrative purposes only. Although every effort will be made, it cannot be guaranteed that the stated targets will be reached. 19

Invesco Balanced-Risk Commodity Strategy Step three: Tactical allocation - decision diversification Max. Net Investment (%) Tactical Range Allocation Range 0 Min. Low-Risk Uncorrelated Assets A B C D E High-Risk Correlated Asset D 20% E 20% A 20% Risk Allocation C 20% B 20% Net Notional Exposure (%) 125 100 75 50 25 0 Tactical 75% 125% Balance risk among available decisions Unique operating range for each allocation decision Investment process determines positioning within operating range Tactical process results in net notional exposure that can range from 75% to 125% invested Source: Invesco analysis. For illustrative purposes only. Although every effort will be made, it cannot be guaranteed that the stated targets will be reached. 20

Invesco Balanced-Risk Commodity Strategy Step three: Risk contribution and notional exposure Risk Contribution (%) 100 75 Agriculture 75% Energy 50 50% Industrial 25 25% Precious 0 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Total Notional Exposure (%) 125 100 75 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Source: Invesco analysis. The risk contributions represent each asset class as a percentage of the total portfolio standard deviation in the month in which it was implemented. Notional exposure in the month in which it was implemented. Data as of 06/30/18. 21

Invesco Balanced-Risk Commodity Strategy Representative commodity performance returns Agriculture Energy Industrial Precious 2Q 2018 (%) 20 15 10 5 0-5 -10-15 -20 1 Year (%) 80 60 40 20 0-20 -40 Sources: Bloomberg L.P., GSCI and Invesco analysis. Data as of 06/30/18 based on continuous future return indices. Commodities represented by the S&P GSCI sub-indices. Past performance is not a guarantee of future results. 23

Invesco Balanced-Risk Commodity Strategy Directional tactical model signals 1.0 April July Tactical Model Signal 0.5 0.0-0.5-1.0 Agriculture Energy Industrial Precious Target Risk Contribution (%) Total Notional Weight (%) April 2018 July 2018 April 2018 July 2018 Agriculture 36.64 32.09 45.75 31.15 Energy 34.31 47.14 31.32 31.67 Industrial 14.80 15.07 19.52 15.64 Precious 14.25 5.70 21.82 8.10 Total 100.00 100.00 118.41 86.56 Source: Invesco analysis. *Not included in strategic allocation. Tactical model signal represents the magnitude of overweights/underweights of each asset relative to its strategic allocation from a risk perspective in the month in which it was implemented. -1 is the maximum underweight, 0 represents neutral and +1 is the maximum overweight. Each signal is mapped based on the determined tactical allocation ranges for each asset. 24

Invesco Balanced-Risk Commodity Trust Water & Power Employees Retirement Plan account portfolio summary Total Account Summary Month/ Year Market Value ($) Portfolio (gross %) Gross Excess Return Portfolio (net %) Net Excess Return Benchmark 1 (%) 06/2018 139,042,003 (4.58) (1.08) (4.63) (1.13) (3.50) 05/2018 145,708,400 2.29 0.88 2.24 0.82 1.42 04/2018 142,443,226 2.25 (0.34) 2.19 (0.39) 2.58 03/2018 139,314,101 (0.10) 0.52 (0.15) 0.47 (0.62) 02/2018 139,450,150 (1.25) 0.48 (1.31) 0.42 (1.73) 01/2018 141,218,786 0.97 (1.01) 0.92 (1.07) 1.99 12/2017 139,858,297 4.05 1.06 3.99 1.01 2.99 11/2017 134,416,339 0.61 1.07 0.56 1.02 (0.46) 10/2017 133,600,046 3.04 0.90 2.99 0.84 2.14 09/2017 129,654,627 (1.95) (1.81) (2.01) (1.86) (0.15) 08/2017 132,239,557 2.86 2.45 2.80 2.40 0.40 07/2017 128,566,236 4.07 1.81 4.02 1.76 2.26 Client Performance Chart (%) 1 Portfolio (gross) Portfolio (net) Benchmark 15 Return (%) 10 5 0-5 -10-0.20-0.36 0.40 0.00-0.58-0.91 12.56 11.83 7.35 1.10 0.40-4.54-3.90-4.57-7.27 QTD YTD 1 Year 3 Years Since Inception (08/22/13) Performance Table (%) Period Portfolio (gross %) Gross Excess Return Portfolio (net %) Net Excess Return Benchmark 1 QTD (0.20) (0.60) (0.36) (0.76) 0.40 YTD (0.58) (0.58) (0.91) (0.91) (0.00) 1 Year 12.56 5.21 11.83 4.48 7.35 3 years 1.10 5.64 0.40 4.94 (4.54) Since Inception (3.90) 3.37 (4.57) 2.70 (7.27) All data as of 06/30/18. Source: Invesco analysis. Water & Power s combined account fee schedule is 70 bp on the first $100mm and 55 bp thereafter. 1 Bloomberg Commodity Index. The Dow Jones-UBS Commodity Index changed it s name to the Bloomberg Commodity Index on July 1, 2014. 26

Invesco Institutional Trust Balanced-Risk Commodity Fund Water & Power Retiree Health Benefits Fund portfolio summary Total Account Summary Month/ Year Market Value ($) Portfolio (gross %) Gross Excess Return Portfolio (net %) Net Excess Return Benchmark 1 (%) 06/2018 22,109,765 (4.53) (1.03) (4.57) (1.08) (3.50) 05/2018 23,158,487 2.23 0.81 2.18 0.77 1.42 04/2018 22,653,329 2.32 (0.26) 2.27 (0.31) 2.58 03/2018 22,139,788 (0.13) 0.49 (0.18) 0.44 (0.62) 02/2018 22,168,974 (1.25) 0.48 (1.29) 0.44 (1.73) 01/2018 22,448,645 0.95 (1.03) 0.91 (1.08) 1.99 12/2017 22,236,421 4.14 1.15 4.09 1.10 2.99 11/2017 21,353,267 0.55 1.01 0.50 0.96 (0.46) 10/2017 21,236,255 3.09 0.94 3.04 0.89 2.14 09/2017 20,600,450 (1.93) (1.79) (1.98) (1.83) (0.15) 08/2017 21,006,890 2.63 2.23 2.58 2.18 0.40 07/2017 20,468,671 4.10 1.84 4.05 1.79 2.26 Client Performance Chart (%) 1 Portfolio (gross) Portfolio (net) Benchmark 15 Return (%) 10 5 0-5 -10-0.14-0.27 0.40 0.00-0.57-0.84 12.45 11.83 7.35 0.45 1.00-4.54-4.05-4.57-7.28 QTD YTD 1 Year 3 Years Since Inception (08/21/13) Performance Table (%) Period Portfolio (gross %) Gross Excess Return Portfolio (net %) Net Excess Return Benchmark 1 QTD (0.14) (0.54) (0.27) (0.67) 0.40 YTD (0.57) (0.57) (0.84) (0.84) (0.00) 1 Year 12.45 5.10 11.83 4.48 7.35 3 years 1.00 5.54 0.45 4.99 (4.54) Since Inception (4.05) 3.23 (4.57) 2.71 (7.28) All data as of 06/30/18. Source: Invesco analysis. Water & Power s combined account fee schedule is 70 bp on the first $100mm and 55 bp thereafter. 1 Bloomberg Commodity Index. The Dow Jones-UBS Commodity Index changed it s name to the Bloomberg Commodity Index on July 1, 2014. 27

Invesco Balanced-Risk Commodity Strategy Composite Performance attribution 1 year absolute attribution (gross %) 1 year relative attribution to BCOM (gross %) 14 7 12 10 8 6 4 2 0 1.44-0.43 Cash Precious 8.09 Energy 1.80-1.86 Industrial Agriculture / Livestock 3.45 12.49 Tactical Allocation Total 5 3 1-1 -3-0.04-0.13-0.80 Cash Precious Energy -0.90 Industrial 3.56 Agriculture/ Livestock 3.45 5.14 Tactical Allocation Total 3 year absolute attribution (gross %) 3 year relative attribution to BCOM (gross %) 1.5 1.0 0.5 0.0-0.5-1.0-1.5 0.69 Cash 0.31 Precious -1.54 Energy 0.82 Industrial -1.58 Agriculture / Livestock 2.36 1.06 Tactical Allocation Total 6 5 4 3 2 1 0-1 -0.02 Cash 0.17 Precious 1.59 Energy -0.36 Industrial 1.85 Agriculture / Livestock 2.37 5.60 Tactical Allocation Total Source: Invesco analysis. Data as of 06/30/18. Note: Returns are gross of fees; net returns will be lower. *Composite Inception 09/30/2008. Past performance is not a guarantee of future results. 28

Invesco Balanced-Risk Commodity Strategy Performance attribution Since Inception return attribution (gross %) Since Inception return attribution (gross %) Water & Power Employees Retirement Plan Water & Power Retiree Health Benefits Plan 1 0-1 -2-3 -4-5 -6 0.44 Cash -1.03 Precious -2.86 Energy -0.69 Industrial -1.50 1.79 Agriculture/ Livestock Tactical Allocation -3.90 Total 1 0-1 -2-3 -4-5 -6 0.44 Cash -1.22 Precious -2.88 Energy -0.56 Industrial -1.58 Agriculture/ Livestock 1.75 Tactical Allocation -4.05 Total Since Inception relative attribution to BCOM (gross%) Water & Power Employees Retirement Plan Since Inception relative attribution to BCOM (gross%) Water & Power Retiree Health Benefits Plan 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0-0.5-1.0-0.01-0.59 Cash Precious 1.46 Energy -0.87 Industrial 1.56 Agriculture/ Livestock 1.72 Tactical Allocation 3.27 Total 4 3 2 1 0-1 -2-0.01-0.80 Cash Precious 1.49-0.72 Energy Industrial 1.48 Agriculture/ Livestock 1.68 3.12 Tactical Allocation Total Source: Invesco analysis and gross of fees. Data as of 06/30/18. *Portfolio performance inception: 09/01/13. Note: Returns are gross of fees; net returns will be lower. Past performance is not a guarantee of future results. 29

Invesco Balanced-Risk Commodity Fund Asset growth Portfolio Changes (Retirement Plan) Amount Initial Value Invested as of 8/22/13 $105,761,290 Net Additions/(Withdrawals) $47,000,000 Income Received $0 Market Appreciation $(13,719,287) Market Value as of 6/30/18 $139,042,003 Portfolio Changes (Retiree Health Benefits Fund) Amount Initial Value Invested as of 8/21/13 $18,499,898 Net Additions/(Withdrawals) $6,500,000 Income Received $0 Market Appreciation $(2,890,134) Market Value as of 6/30/18 $22,109,765 Past performance is not indicative of future results. 30

Invesco Balanced-Risk Commodity Strategy Asset allocation versus the Bloomberg Commodity Index Invesco Strategic Tactical Total Bloomberg Agriculture/Livestock 40.82% -9.67% 31.15% 34.82% Cocoa 0.07% 0.00% 0.07% 0.00% Coffee 1.79% -1.46% 0.33% 2.30% Corn 2.00% -1.36% 0.64% 6.19% Cotton 8.35% 0.34% 8.69% 1.54% Lean Hogs 0.20% -0.38% -0.18% 2.19% Live Cattle 0.72% -1.77% -1.05% 3.80% Soybean 7.80% -1.25% 6.55% 5.33% Soybean Oil 1.80% -1.36% 0.44% 2.39% Soymeal 7.96% -0.14% 7.82% 3.07% Sugar 8.17% -1.73% 6.44% 2.83% Kansas Wheat 0.00% 0.00% 0.00% 1.44% Wheat 1.96% -0.56% 1.40% 3.74% Energy 22.19% 9.48% 31.67% 34.01% Gas Oil 1.99% 1.67% 3.66% 0.00% Natural Gas 2.80% 2.09% 4.89% 8.35% Brent Crude Oil 4.77% 1.06% 5.83% 8.87% WTI Crude Oil 3.02% 1.52% 4.54% 8.51% Heating Oil 1.74% 1.59% 3.33% 3.92% Unleaded Gasoline 7.87% 1.55% 9.42% 4.36% Precious 17.61% -9.51% 8.10% 14.56% Silver 6.51% -6.31% 0.20% 3.39% Gold 11.10% -3.20% 7.90% 11.17% Industrial 19.38% -3.74% 15.64% 16.62% Copper 12.12% -0.86% 11.26% 6.48% Aluminum 7.26% -1.16% 6.10% 4.30% Nickel 0.00% -0.74% -0.74% 3.24% Zinc 0.00% -0.98% -0.98% 2.60% Grand Total 100.00% -13.44% 86.56% 100.00% Sources: Invesco analysis and Bloomberg. Past allocations are not a guarantee of future allocations. Data as of 06/30/18. 31

Water and Power Employees Retirement Plan Fee Schedule Management Fee: o 70 basis points on the first $100 million o 55 basis points thereafter 33

Invesco Balanced-Risk Commodity Strategy Why even talk about commodities? Z Score: GSCI Light Energy Inverted Z Score and Forward Excess 1 Returns Excess Return Z Score -4-3 -2-1 0 1 2 3 4 Dec-74 Commodities inexpensive Commodities expensive Jun-78 Dec-81 Jun-85 Dec-88 Jun-92 Dec-95 Jun-99 Dec-02 Jun-06 Dec-09 Jun-13 Dec-16 5 Year Forward Annualized Rtn 30% 20% 10% 0% -10% -20% -30% Dec-74 Jun-78 Dec-81 Low index level Positive forward returns High index level Negative forward returns Jun-85 Dec-88 Jun-92 Dec-95 Jun-99 Dec-02 Jun-06 Dec-09 Jun-13 Dec-16-4 -3-2 -1 0 1 2 3 4 Excess Return Z Score Sources: DataStream and Invesco analysis. Data from 12/31/74 to 12/31/17. GSCI Light Energy inception date is 5/01/91. Performance prior to inception dates is back-tested and not actual performance. Index returns are not representative of strategy returns and provide no assurance of future performance. Past performance cannot guarantee future results. 1 Excess return above Treasury bills. 35

Why continue to hold commodities? 125% Historical Bloomberg Commodity Index excess returns over every 5-year period since 1991 105% 85% 65% Excess Return 45% 25% 5% -15% -35% 2014 - YTD 2013-2017 -55% -75% 0 1 2 3 4 5 Year 2014 - YTD 2013-2017 Sources: Bloomberg L.P., and Invesco analysis. The inception date of the Bloomberg Commodity Index is 7/14/98. Performance prior to inception is backtested. Period covered: 1/1/91 06/30/18. Each line represents excess return of the Bloomberg Commodity Index above cash over a 5-year period. Based on monthly returns. Past performance cannot guarantee future results. An investment cannot be made in an index. 36

Invesco Balanced-Risk Commodity Strategy Term structure - based asset selection for strategic allocation Strategic Commodity Selection 100% 70% 30% 0% Soy Meal Brent Crude Heating Oil Soybeans Gold Soybean Oil Unleaded Gasoline Silver Aluminum Cotton WTI Crude Coffee Sugar Corn Wheat Copper Gas Oil Natural Gas Source: Invesco analysis. As of 06/30/18. For illustrative purposes only. 37

Invesco disclaimer For one-one-one Institutional Investor use only. All material presented is compiled from sources believed to be reliable and current, but accuracy cannot be guaranteed. This is not to be construed as an offer to buy or sell any financial instruments and should not be relied upon as the sole factor in an investment making decision. As with all investments there are associated inherent risks. Please obtain and review all financial material carefully before investing. Past performance is not indicative of future results. This does not constitute a recommendation of the suitability of any investment strategy for a particular investor. The opinions expressed herein are based on current market conditions and are subject to change without notice. Derivatives Risk The Invesco Balanced-Risk Commodity Strategy invests (directly or indirectly) a substantial portion of its assets in "derivatives" so-called because their value "derives" from the value of an underlying asset (including an underlying security), reference rate or index the value of which may rise or fall more rapidly than other investments. The strategy invests principally in exchange-traded futures across a diverse mix of assets including equities, bonds and commodities. The Invesco Balanced-Risk Commodity Strategy is a long-only strategy, so the portfolio will hold no net short positions at any time. For some derivatives, it is possible to lose more than the amount invested in the derivative. If the portfolio uses derivatives to "hedge" a portfolio risk, it is possible that the hedge may not succeed. This may happen for various reasons, including unexpected changes in the value of the rest of the portfolio. Over the counter derivatives are also subject to counterparty risk, which is the risk that the other party to the contract will not fulfill its contractual obligation to complete the transaction with the Fund. Leverage Risk The Invesco Balanced-Risk Commodity Strategy employs leverage as a fundamental element within the investment strategy. The implementation of a risk parity strategy requires the use of leverage in order to increase the risk of the government bond allocation in the strategy so that it can be balanced against the portfolio s exposure to stocks and commodities. The use of derivatives facilitates the ability to create the desired level of leverage in the portfolio. Leverage may cause the portfolio to be more volatile than if the portfolio had not been leveraged because leverage can exaggerate the effect of any increase or decrease in the value of securities held by the portfolio. 38

Table of contents Company Overview Investment Process and Discipline Market Overview Water & Power Employees Retirement Plan Performance Review Fee Disclosure Additional Information and Disclosures Glossary of Investment Terms 39

Glossary of Investment Terms Backwardation. A status where prices of futures contracts with a longer maturity are lower than the spot price of the commodity. Contango. A status where prices of futures contracts with a longer maturity are higher than the spot price of the commodity. Front Month. Used in futures trading to refer to the contract month with an expiration date closest to the current date, which is often in the same month. Futures Contract. A financial contract obligating the buyer to purchase an asset (or the seller to sell an asset), such as a physical commodity or a financial instrument, at a predetermined future date and price. Futures contracts detail the quality and quantity of the underlying asset; they are standardized to facilitate trading on a futures exchange. Roll Yield. The amount of return generated in a backwardated futures market that is achieved by rolling a short-term contract into a longer-term contract and profiting from the convergence toward a higher spot price. Spot Price. The current price at which a particular security can be bought or sold at a specified time and place. A security's spot price is regarded as the explicit value of the security at any given time in the marketplace. Standard Deviation. Standard deviation measures a fund s range of total returns and identifies the spread of a fund s short-term fluctuations. Term Structure. Term Structure of futures contracts refers to the price curve formed by the prices of futures contracts over various expiration months. Optimal Roll. Optimizing the roll yield by choosing the most attractive futures contract. 40

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