INVESTMENT COMMITTEE MEETING SENATOR FABIAN CHAVEZ JR. BOARD ROOM PERA BUILDING. May 25, 2017 at 9:00 AM AGENDA

INVESTMENT COMMITTEE MEETING SENATOR FABIAN CHAVEZ JR. BOARD ROOM PERA BUILDING May 25, 2017 at 9:00 AM COMMITTEE MEMBERS John Melia, Chair John Reynolds, Vice Chair Dan Esquibel, Member Loretta Naranjo Lopez, Member James Maxon, Member Jackie Kohlasch, Member AGENDA 1. Roll Call 2. Approval of Agenda 3. Approval of Consent Agenda 4. Current Business ITEM A. Chief Investment Officer s Report. 1. Investment Performance April 2017 2. Cash Plan Update 3. Other Updates B. Action Item: Alternative Asset recommendation for approval, to be funded according to the cash plan and subject to legal review by General Counsel: 1. Recommendation to Commit up to $100 Million to Encap Energy Capital Fund XI, L.P. 2. Recommendation to Commit up to $100 million to Cerberus Residential Opportunity Fund, LP (Fund of One) PRESENTER Jude Pérez Interim Chief Investment Officer Jude Pérez, Kristin Varela, Senior Portfolio Manager, Real Assets Mark White, Albourne Jude Pérez, Joaquin Lujan, Director of Rates & Credit, Mike Krems, TorreyCove C. Information Item: Q3 FY17 Performance Review. Jude Pérez, Eileen Neill, Wilshire Associates

5. Other Business 6. Adjournment Consent Agenda Approval of minutes of April 27, 2017 Investments Committee meeting. Any person with a disability who is in need of a reader, amplifier, qualified sign language interpreter, or any other form of auxiliary aid or service to attend or participate in the hearing or meeting, please contact Trish Winter at (505) 476-9305 at least one week prior to the meeting, or as soon as possible. Public documents, including the agenda and minutes, can be provided in various accessible formats. Please contact Trish Winter if a summary or other type of accessible format is needed.

PERA Executive Summary April 2017 Market Values, Asset Allocation & Performance Data: TABLE I: Fund Market Values (in millions $) Asset Class 4/30/2017 Prev. Month's Chg Global Equity 7,112-271 Risk Reduction & Mitigation 3,642-395 Credit Oriented Fixed Income 1,905 363 Real Assets 2,132 426 STO Cash Balances 107-13 TOTAL FUNDS 14,897 110 TABLE II: Fund Asset Allocation Comparison Asset Class Actual Target Variance Actual with Overlay Ranges $ in Millions Inclusive of Overlay Global Equity 47.74% 43.5% 4.2% 51.2% 38.5-48.5% 631.9 1,151.0 Risk Reduction & Mitigation 24.45% 21.5% 2.9% 23.6% 18.5-24.5% 439.1 319.0 Credit Oriented Fixed Income 12.79% 15.0% -2.2% 12.8% 11.0-19.0% -329.7-329.7 Real Assets 14.31% 2% -5.7% 14.3% 16.0-24.0% -847.8-847.8 STO Cash Balances 0.72% 0% 0.7% % 0% 106.6 TABLE III: PERA Performance for Month and Fiscal Year to Date (in percent %) 4/30/2017 Fiscal YTD 1 Year 3 Year TOTAL FUND 1.09% 9.24% 9.88% 5.00% Policy Index 1.09% 9.71% 11.82% 5.68% Value Added 0% -0.47% -1.94% -0.68% Global Equity 1.72% 16.03% 15.76% N/A Policy Index 1.65% 14.40% 16.38% N/A Value Added 7% 1.63% -0.62% N/A Risk Reduction & Mitigation 0.65% -0.53% 1.05% N/A Policy Index 0.75% -0.92% 0.91% N/A Value Added -0% 0.39% 4% N/A Credit Oriented Fixed Income 0.65% 7.23% 8.28% N/A Policy Index 1.46% 11% 14.01% N/A Value Added -0.81% -2.78% -5.73% N/A Real Assets 0% 7.51% 9.71% N/A Policy Index -5% 11.24% 12.52% N/A Value Added 5% -3.73% -2.81% N/A Cash (BNYM) 9% 0.63% 0.81% 0.81%

PERA Executive Summary April 2017 Market Values, Asset Allocation & Performance:. Market Value & Asset Allocation: The Total Fund market value increased by $110 million in April and finished the month at $14.9 billion. The PERA Board updated the strategic asset allocation (SAA) in April 2016. PERA s SAA is 43.5% Global Equity, 21.5% Risk Reduction and Mitigation, 15.0% Credit Oriented Fixed Income, and 20% Real Assets. Based on current market values, excluding the cash overlay, Global Equity is 4.2% overweight and Risk Reduction and Mitigation is overweight by 2.9%, which are both inside of the policy range. Credit Oriented Fixed Income is 2.2% underweight, which is inside policy range, and Real Assets is underweight by 5.7%, which is outside of policy range. The Board and Staff, with the advice of the investment consultants, are working on an implementation plan for the new SAA. Per section IV. A., Strategic Asset Allocation Targets, of the Investment Policy, "The Board recognizes that the long-term target allocation may take an extended period to implement. Asset Transfers: PERA transferred $39 million at month-end from the cash account to the PERA STO account for beneficiary payments and operating expenses. For the fiscal year, PERA has transferred $462 million to the PERA fund, $1.7 million to the Magistrates account, $3.3 million to the Judicial account and $0.9 million to the Volunteer Fire Fighter account. Private partnerships called $48 million and distributed $27 million during the month. For last fiscal year capital calls averaged $39 million per month and totaled $469 million while distributions averaged $23 million per month and totaled $270 million. Fund Returns & Performance: The Total Fund returned 1.09%, net of fees, for the month. The Global Equity custom benchmark returned 1.65%, the Risk Reduction and Mitigation benchmark returned 0.75%, the Credit Oriented Fixed Income benchmark returned 1.46%, and the Real Assets benchmark returned -5%. The Fund has returned 9.24% for the fiscal year, 9.88% for the one-year and 5.00% for the three-year period. Watch List Update: One of PERA s active Global Public Equity managers is on the Watch List and PERA s illiquid investments are currently being reviewed by the new consultants.

Public Employees Retirement Assoc of NM Monthly Performance Summary April 30, 2017

April, 2017: $14,897,466,499 14.31% 0.72% 20% Policy Index 12.79% 47.74% 43.50% 15.00% 24.45% Market Value ($) Allocation (%) Allocation (%) Global Equity $ 7,112,290,309 47.74% Global Equity 43.50% Risk Reduction & Mitigation $ 3,642,074,443 24.45% Risk Reduction & Mitigation 21.50% Credit Oriented Fixed Income $ 1,904,873,528 12.79% Credit Oriented Fixed Income 15.00% Real Assets $ 2,131,647,098 14.31% Real Assets 20% STO Balance $ 106,581,121 0.72% 21.50% Allocations shown may not sum to 100% due to rounding 2

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month QTD Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years 10 Years Inception Return Market Value $(000) Percent NM PERA Total Fund Policy Index Value Added 1.11 1.09 1.09 1 1.11 1.09 1.09 1 9.45 9.24 9.71-0.47 5.43 5.38 5.21 7 14 9.88 11.82-1.94 5.27 5.00 5.68-0.68 7.95 7.70 7.62 8 4.17 3.99 4.91-0.92 9.10 9.04 9.00 4 14,790,885 100 Global Equity Policy Index Value Added 1.73 1.72 1.65 7 1.73 1.72 1.65 7 16.20 16.03 14.40 1.63 8.66 8.64 7.90 0.74 15.98 15.76 16.38-0.62 7.08 6.88 7.16-0.28 7,112,290 48.09 Risk Reduction & Mitigation Policy Index Value Added 0.65 0.65 0.75-9 0.65 0.65 0.75-9 -0.44-0.53-0.92 0.39 1.48 1.45 1.51-6 1.16 1.05 0.91 3 3.38 3.27 2.74 0.53 3,642,074 24.62 Credit Oriented Fixed Income Policy Index Value Added 0.66 0.65 1.46-0.81 0.66 0.65 1.46-0.81 7.42 7.23 11-2.78 3.35 3.29 3.65-0.36 8.54 8.28 14.01-5.73 5.02 4.79 7.05-2.25 1,904,874 12.88 3

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month QTD Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years 10 Years Inception Return Market Value $(000) Percent Real Assets Policy Index Value Added 3 0-5 5 3 0-5 5 8.23 7.51 11.24-3.73 3.70 3.49 4.56-1.07 10.62 9.71 12.52-2.81 4.11 3.17 4.33-1.15 2,131,647 14.41 4

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months CYTD Returns FYTD 6/30/16 1 Year 3 Years 5 Years 10 Years Market Value $(000) Percent Global Equity Policy Index Value Added Global Low Volatility Equity MSCI ACWI Min Vol (N) Value Added Global Public Stock Global Public Stock Benchmark Value Added Hedged Equity Comp HFRI Equity Hedge (Total) Index Value Added Private Equity Comp Russell 3000 +3% 1Q Lag Value Added 1.73 1.72 1.65 7 1.17 1.17 1.14 4 1.81 1.81 1.61 0.21 0.34 0.34 0.89-0.56 2.13 2.00 2.24-0.24 5.94 5.92 6.23-0.31 5.55 5.54 5.19 0.35 6.30 6.27 5.64 0.63 3.73 3.73 3.90-7 4.10 4.17 9.28-5.11 8.66 8.64 7.90 0.74 7.34 7.34 7.00 0.33 9.42 9.38 8.50 0.88 4.23 4.23 4.77-0.54 4.92 4.96 7.08-2.12 16.20 16.03 14.40 1.63 17.34 17.22 16.00 1.23 7.05 7.05 9.61-2.57 12.13 11.29 15.70-4.41 15.98 15.76 16.38-0.62 16.90 16.74 15.40 1.35 9.55 9.55 11.55-2.01 13.16 12.15 24.73-12.58 6.37 6.20 6.03 7 9.78 9.59 10-0.51 3.96 4.85-1.03 7,112,290 675,329 5,513,496 241,261 682,205 100 83.42 3.65 10.32 5

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months CYTD Returns FYTD 6/30/16 1 Year 3 Years 5 Years 10 Years Market Value $(000) Percent Global Equity Overlay 5.86 5.86 29.28 29.23 52.11 52.05 100.88 100.79 172,390 2.61 6

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Returns FYTD Month 3 Months CYTD 6/30/16 1 Year 3 Years Market Value $(000) Percent Risk Reduction & Mitigation Policy Index Value Added Domestic Core Fixed Income Comp Bloomberg Aggregate Value Added Global Core Fixed Income Bloomberg Global Aggregate Hdg Value Added Cash Composite Risk Mitigation Overlay Policy Index Value Added 0.65 0.65 0.75-9 0.75 0.75 0.77-2 0.70 0.70 0.68 2-0.47-0.47-2.60-2.60 1.41-4.01 1.32 1.30 1.38-9 1.45 1.42 1.40 2 1.72 1.68 1.49 9-0.52-0.53-4.12-4.16 4.29-8.45 1.48 1.45 1.51-6 1.65 1.62 1.59 2 1.60 1.57 1.12 0.44-0.44-0.45-4.69-4.73 6.29-11.02-0.44-0.53-0.92 0.39-0.74-0.83-0.98 5 7 7-0.71 0.78 2.39 2.34 2.25 2.14 9.84-7.70 1.16 1.05 0.91 3 1.07 0.96 0.83 3 2.25 2.11 1.60 0.50 1.33 1.26-1.32-1.47 11-11.48 2.89 2.76 2.66 0 2.48 2.30 3 2.17 5.36 5.29 3,642,074 2,940,816 462,242 239,016 73,996 100 80.75 12.69 6.56 2.03 7

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Returns FYTD Month 3 Months CYTD 6/30/16 1 Year 3 Years Market Value $(000) Percent Credit Oriented Fixed Income Policy Index Value Added Liquid Credit Bloomberg Global High Yield Value Added Emerging Markets Debt Composite JPM EMBI Global Diversified Value Added Illiquid Credit Comp Bloomberg Global High Yield +1% Value Added 0.66 0.65 1.46-0.81 0.48 0.48 1.73-1.25 0.64 0.64 1.49-0.85 0.82 0.81 1.90-1.09 2.47 2.42 2.76-0.34 2.03 1.97 3.05-1.09 2.42 2.42 3.91-1.49 2.86 2.77 2.22 0.55 3.35 3.29 3.65-0.36 3.21 3.15 4.96-1.81 2.93 2.93 5.41-2.48 3.77 3.66 2.08 1.58 7.42 7.23 11-2.78 7.92 7.75 10.32-2.56 5.62 5.62 5.26 0.37 7.48 7.13 12.61-5.48 8.54 8.28 14.01-5.73 8.81 8.60 11.37-2.78 7.93 7.93 8.61-0.68 8.36 7.85 19.15-11.30 1,904,874 673,951 495,834 735,088 100 35.38 26.03 38.59 8

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Returns FYTD Month 3 Months CYTD 6/30/16 1 Year 3 Years Market Value $(000) Percent Real Assets Policy Index Value Added Liquid Real Assets Comp Alerian MLP Index Value Added Illiquid Real Assets Comp Illiquid Real Assets Benchmark Value Added Liquid Real Estate Comp Liquid Real Estate Benchmark Value Added Illiquid Real Estate Comp NCREIF ODCE +1 (1Q Lag) Value Added 3 0-5 5-1.80-1.80-1.28-0.52 1.27 1.19 0 1.19-0.24-0.24 0.63-0.87 0.78 0.74 8 0.66 2.62 2.43 4.02-1.59-1.17-1.28-2.17 0.89 5.20 5.03 7.63-2.60 1.30 1.26 1.92-0.65 4.22 3.60 2.34 1.26 3.70 3.49 4.56-1.07 2.46 2.34 2.62-0.28 6.04 5.84 7.63-1.79 1.12 1.08 1.68-0.60 4.36 3.74 2.42 1.31 8.23 7.51 11.24-3.73 8.99 8.65 5.83 2.82 15.42 14.54 18.94-4.41-2.22-2.35-2.42 7 7.18 5.28 7.27-1.99 10.62 9.71 12.52-2.81 17.57 17.02 14.08 2.94 15.74 14.62 16.70-2.08 2.92 2.72 2.78-6 8.83 6.61 9.77-3.16 6.78 6.61 4.96 1.65 2,131,647 302,563 773,416 562,185 301,624 100 14.19 36.28 26.37 14.15 9

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Returns FYTD Month 3 Months CYTD 6/30/16 1 Year 3 Years Market Value $(000) Percent Market Neutral Hedge Fund Comp Libor +2% 1M Lag Value Added -1.10-1.10 0.26-1.36-0.55-0.55 0.77-1.32 0.29 0.29 1.02-0.73 2.36 2.36 2.44-8 1.96 1.96 2.89-0.93 191,860 9.00 10

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years Inception Inception Date Return Market Value $(000) Percent Global Public Stock Global Public Stock Benchmark Value Added BlackRock MSCI ACWI Minimum Volatility MSCI ACWI Min Vol (N) Value Added SSgA ACWI IMI Index Fund MSCI AC World IMI Index (N) Value Added BlackRock Equity Transition 1.81 1.81 1.61 0.21 1.17 1.17 1.14 4 1.65 1.65 1.61 4-0.54-0.54 6.30 6.27 5.64 0.63 5.55 5.54 5.19 0.35 5.82 5.82 5.64 8 0.92 0.92 17.34 17.22 16.00 1.23 8.62 8.62 9.42 9.38 8.50 0.88 7.34 7.34 7.00 0.33 8.69 8.68 8.50 8 2.70 2.70 16.90 16.74 15.40 1.35 6.37 6.20 6.03 7 9.78 9.59 10-0.51 5/31/98 5/31/98 5/31/98 5/31/98 10/31/16 10/31/16 10/31/16 10/31/16 9/30/16 9/30/16 9/30/16 9/30/16 5/31/16 5/31/16 6.41 5.68 0.66 7.85 7.84 7.11 0.74 10.33 10.33 9.88 0.45 8.62 8.62 5,513,496 675,329 3,124,775 17,957 Domestic Equity Composite Russell 3000 Value Added 0.75 0.75 1.06-0.31 3.90 3.86 4.89-1.03 15.75 15.66 16.26-0.60 5.80 5.76 6.86-1.10 17.88 17.77 18.58-0.82 9.63 9.47 10-0.62 13.98 13.79 13.57 0.22 5/31/85 5/31/85 5/31/85 5/31/85 11.48 11.43 10.72 0.72 956,893 11

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years Inception Inception Date Return Market Value $(000) Percent Domestic Large Cap Equity Composite Russell 1000 Value Added SSgA Russell 1000 Index Fund Russell 1000 Value Added Portable Alpha Composite Custom Policy +3% Value Added 0.93 0.93 1.06-3 1.19 1.19 1.27-9 4.97 4.96 5.04-8 5.10 5.10 5.90-0.80 15.65 15.63 15.73-1 19.73 19.72 18.03 1.69 7.40 7.39 7.15 0.24 8.64 8.64 8.15 0.49 17.94 17.91 18.03-1 22.56 22.52 20.92 1.60 10.33 10.30 10.20 1 11.22 11.18 13.48-2.29 14.31 14.27 13.63 0.64 16.56 16.53 16.75-0.23 5/31/85 5/31/85 5/31/85 5/31/85 9/30/07 9/30/07 9/30/07 9/30/07 10.85 10.83 10.83-0 6.05 6.03 19-4.06 57,882 83 57,799 100 4 99.86 12

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years Inception Inception Date Return Market Value $(000) Percent AQR Alphaport Russell 3000 + 1% Value Added 0.84 0.84 1.14-0.30 4.63 4.63 5.14-0.51 15.97 15.97 17.09-1.13 6.77 6.77 7.20-0.43 18.28 18.28 19.58-1.30 6/30/15 6/30/15 6/30/15 6/30/15 9.50 9.50 10.82-1.32 492,262 13

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years Inception Inception Date Return Market Value $(000) Percent Domestic Equity Small/Mid Equity Comp Russell 2500 Value Added TimesSquare Capital SMID Cap Growth Russell 2500 Growth Value Added DFA US Target Value Russell 2000 Value Value Added RBC GAM Small Cap Growth Russell 2000 Growth Value Added 0.60 0.60 0.77-7 1.73 1.73 1.76-3 -8-8 0.39-0.47 0.53 0.53 1.84-1.31 1.89 1.78 3.13-1.35 5.22 5.12 5.62-0.49 4-4 0.98-1.03 1.52 1.33 5.57-4.25 18.05 17.70 18.24-0.54 14.36 14.07 18.67-4.60 24.19 23.85 24.51-0.67 12.67 12.28 21.37-9.09 2.57 2.45 4.56-2.10 7.95 7.86 8.12-0.26 0.31 0.22 0.26-4 0.74 0.55 7.29-6.74 19.34 18.85 20.69-1.84 15.60 15.22 20.72-5.50 23.30 22.83 27.18-4.35 16.79 16.21 24.06-7.85 8.02 7.38 8.55-1.17 6.40 5.82 9.15-3.33 7.89 7.38 8.71-1.33 8.14 7.46 9.27-1.81 13.29 12.64 12.94-0.30 12.06 11.34 12.75-1.41 14.30 13.80 12.96 0.84 12.96 12.25 12.88-0.64 8/31/92 8/31/92 8/31/92 8/31/92 3/31/05 3/31/05 3/31/05 3/31/05 9/30/10 9/30/10 9/30/10 9/30/10 3/31/05 3/31/05 3/31/05 3/31/05 13.18 13.00 11.06 1.94 11.69 11.13 9.61 1.52 13.85 13.38 12.76 0.62 9.88 9.37 9.11 0.26 406,749 120,152 185,674 100,923 100 29.54 45.65 24.81 14

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years Inception Inception Date Return Market Value $(000) Percent Int l Equity Composite MSCI ACWI Ex USA IMI ($N) Value Added NT MSCI ACWI X US Index Fund MSCI ACWI X US (N) Value Added Int l Equity Devloped Equity Comp MSCI EAFE Index (N) Value Added KBI Global Investors EAFE Developed MSCI EAFE Value (N) Value Added MFS International Value Equity MSCI EAFE Value (N) Value Added 2.45 2.45 2.26 9 2.18 2.18 2.14 4 3.87 3.87 2.54 1.33 2.70 2.70 2.10 0.60 3.84 3.84 2.10 1.74 7.22 7.12 6.61 0.52 6.81 6.78 6.40 0.38 8.76 8.61 6.87 1.74 8.25 8.19 5.67 2.52 8.06 7.85 5.67 2.18 16.26 16.01 16.35-0.34 16.13 16.08 16.30-0.23 15.75 15.17 16.21-1.04 18.19 17.94 21.80-3.86 7.44 6.78 21.80-15.02 10.75 10.65 10.43 0.23 10.46 10.43 17 0.26 12.04 11.89 9.97 1.92 10.98 10.91 8.27 2.64 10.68 10.47 8.27 2.20 13.37 13.07 12.57 0.50 12.53 12.47 12.59-3 12.79 12.08 11.29 0.79 14.71 14.39 13.92 0.47 7.53 6.70 13.92-7.22 2.05 1.84 1.19 0.64 1.02 0.98 0.83 5 4.74 4.21 0.86 3.35 0.69 0.46-0.64 1.10 5.64 4.95-0.64 5.59 6.15 5.93 5.44 0.49 5.40 5.37 5.13 0.23 8.95 8.30 6.78 1.51 7.52 7.27 6.66 0.61 10.99 10.29 6.66 3.63 6/30/95 6/30/95 6/30/95 6/30/95 12/31/10 12/31/10 12/31/10 12/31/10 6/30/06 6/30/06 6/30/06 6/30/06 3/31/10 3/31/10 3/31/10 3/31/10 3/31/10 3/31/10 3/31/10 3/31/10 7.37 7.23 5.17 2.06 3.40 3.37 3.10 0.26 3.71 3.37 2.87 0.50 5.54 5.29 4.16 1.13 19 9.54 4.16 5.38 1,259,437 326,540 552,927 154,317 154,605 100 27.91 27.96 15

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years Inception Inception Date Return Market Value $(000) Percent Principal Intl Small Cap Equity MSCI World Ex USA Small Index ($ Value Added Schroder Intl Small Composite MSCI EAFE Small Cap (N) Value Added 3.74 3.74 3.54 0.20 5.57 5.57 4.28 1.29 7.95 7.80 7.55 0.25 11.15 10.96 8.75 2.21 17.79 17.25 17.03 0.22 22.32 21.39 18.83 2.57 12.27 12.11 11.42 0.69 14.96 14.76 12.59 2.17 14.25 13.57 12.00 1.57 16.03 14.92 13.14 1.78 6.96 6.22 4.00 2.22 6.41 5.71 5.34 0.37 11.91 11.09 8.65 2.45 11.52 10.91 10.22 0.69 11/30/07 11/30/07 11/30/07 11/30/07 4/30/12 4/30/12 4/30/12 4/30/12 4.84 4.29 3.36 0.93 11.52 10.91 10.22 0.69 120,945 123,060 21.87 22.26 16

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years Inception Inception Date Return Market Value $(000) Percent Emerging Markets Composite MSCI EM Index (N) Value Added Parametric MSCI EM Index (N) Value Added Aberdeen Emerging Markets Equity MSCI EM Index (N) Value Added 2.01 2.01 2.19-7 1.67 1.67 2.19-0.51 2.36 2.36 2.19 8 7.86 7.76 7.98-0.22 6.57 6.47 7.98-1.51 9.21 9.10 7.98 1.13 15.88 15.51 18.99-3.47 16.64 16.27 18.99-2.72 15.20 14.85 18.99-4.14 13.09 12.98 13.88-0.91 11.78 11.67 13.88-2.21 14.45 14.34 13.88 0.45 16.45 15.98 19.13-3.15 15.28 14.80 19.13-4.33 17.70 17.24 19.13-1.89 1.94 1.50 1.79-0.29 1.27 0.81 1.79-0.99 2.62 2.20 1.79 0.41 3.09 2.56 1.49 1.07 3.06 2.54 1.49 1.06 3.06 2.49 1.49 1.00 6/30/06 6/30/06 6/30/06 6/30/06 10/31/07 10/31/07 10/31/07 10/31/07 10/31/09 10/31/09 10/31/09 10/31/09 4.69 4.32 4.94-0.61 0.92 0.53-0.94 1.48 6.97 6.40 3.30 3.10 362,012 182,690 179,322 100 50.47 49.53 17

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years Inception Inception Date Return Market Value $(000) Percent BlackRock Transition II CVC Global Credit Opportunities Bloomberg Global High Yield Value Added Ellington HF Bloomberg Global High Yield Value Added Guggenheim Global High Yield Bloomberg Global High Yield Value Added Lazard Emerging Markets Debt JPM EMBI Global Diversified Value Added -0.30-0.30 1.73-2.03 9 9 1.73-1.54 1.14 1.14 1.73-0.59 0.64 0.64 1.49-0.85 2.38 2.38 3.05-0.68 0.67 0.67 3.05-2.39 2.56 2.44 3.05-0.61 2.42 2.42 3.91-1.49 10.85 10.85 10.32 0.54 11.30 10.93 10.32 0.61 5.62 5.62 5.26 0.37 4.63 4.63 4.96-0.33 0.46 0.46 4.96-4.50 3.96 3.84 4.96-1.12 2.93 2.93 5.41-2.48 15.66 15.66 11.37 4.29 13.09 12.59 11.37 1.22 7.93 7.93 8.61-0.68 9/30/15 9/30/15 9/30/15 9/30/15 12/31/16 12/31/16 12/31/16 12/31/16 9/30/15 9/30/15 9/30/15 9/30/15 6/30/15 6/30/15 6/30/15 6/30/15 5.84 5.84 11.56-5.72 0.46 0.46 4.96-4.50 11.43 11.07 11.56-0.49 4.50 4.50 8.21-3.71 136 191,334 178,599 292,373 495,834 1 16.52 15.42 25.24 42.81 18

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years Inception Inception Date Return Market Value $(000) Percent Core Fixed Income Policy Index Value Added Domestic Fixed Income Composite Bloomberg Aggregate Value Added BlackRock Core Active Bloomberg Aggregate Value Added MacKay Shields Core Investment Grade Bloomberg Aggregate Value Added Prudential Core Conservative Bloomberg Aggregate Value Added 0.74 0.74 0.76-2 0.75 0.75 0.77-2 0.75 0.75 0.77-2 0.74 0.74 0.77-3 0.76 0.76 0.77-1 1.48 1.45 1.41 4 1.45 1.42 1.40 2 1.56 1.54 1.40 4 1.36 1.33 1.40-6 1.39 1.37 1.40-3 -0.63-0.72-0.94 0.22-0.74-0.83-0.98 5-0.64-0.72-0.98 0.26-0.68-0.77-0.98 0.20-1.03-1.10-0.98-3 1.64 1.61 1.52 9 1.65 1.62 1.59 2 1.78 1.75 1.59 6 1.55 1.52 1.59-8 1.59 1.56 1.59-3 1.21 1.10 0.95 5 1.07 0.96 0.83 3 1.27 1.16 0.83 0.34 1.07 0.95 0.83 2 0.73 0.63 0.83-0.20 2.76 2.60 2.80-0.20 2.88 2.74 2.66 8 3.24 3.12 2.66 0.46 2.54 2.42 2.66-0.24 3.07 2.95 2.66 0.29 3.23 3.05 2.23 0.83 2.99 2.83 2.27 0.57 2.82 2.67 2.27 0.40 5/31/85 5/31/85 5/31/85 5/31/85 5/31/85 5/31/85 5/31/85 5/31/85 9/30/06 9/30/06 9/30/06 9/30/06 6/30/12 6/30/12 6/30/12 6/30/12 5/31/12 5/31/12 5/31/12 5/31/12 7.27 7.22 6.74 0.48 7.26 7.22 6.83 0.39 5.14 5.01 4.38 0.63 2.52 2.40 2.15 0.26 3.60 3.47 2.12 1.35 3,403,058 2,940,816 998,643 1,193,331 748,842 100 86.42 29.35 35.07 22.00 19

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years Inception Inception Date Return Market Value $(000) Percent Global Core Fixed Income Bloomberg Global Aggregate Hdg Value Added Manulife Core Global Agg. Fixed Income Bloomberg Global Aggregate Hdg Value Added 0.70 0.70 0.68 2 0.70 0.70 0.68 2 1.72 1.68 1.49 9 1.72 1.68 1.49 9 7 7-0.71 0.78 7 7-0.71 0.78 1.60 1.57 1.12 0.44 1.60 1.57 1.12 0.44 2.25 2.11 1.60 0.50 2.25 2.11 1.60 0.50 2.48 2.30 3 2.17 2.70 2.48 3.16-0.68 5.26 5.02 0.84 4.17 3.95 3.77 2.88 0.88 4/30/11 4/30/11 4/30/11 4/30/11 4/30/11 4/30/11 4/30/11 4/30/11 4.72 4.48 1.25 3.23 3.78 3.61 3.62-0 462,242 462,242 13.58 13.58 20

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years Inception Inception Date Return Market Value $(000) Percent Liquid Real Estate Comp Liquid Real Estate Benchmark Value Added BlackRock Real Estate Transition DFA Real Estate Securities LaSalle US Real Estate Securities FTSE NAREIT All Equity REIT Inde Value Added Security Capital REIT -0.24-0.24 0.63-0.87 1.64 1.64 0.43 1.21 1.30 1.26 1.92-0.65 3.94 3.85 2.82 1.03-2.22-2.35-2.42 7-2 -0.29-1.58 1.30 1.12 1.08 1.68-0.60 3.38 3.30 2.99 0.31 2.92 2.72 2.78-6 6.20 5.76 7.66-1.90 6.78 6.61 4.96 1.65 9.54 9.16 9.63-0.47 9.47 9.13 9.83-0.70 8/31/12 8/31/12 8/31/12 8/31/12 12/31/08 12/31/08 12/31/08 12/31/08 7.33 7.17 7.04 3 15.82 15.61 15.05 0.56 562,185 1,406 281,847 28 278,904 100 0.25 53 1 49.61 21

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years Inception Inception Date Return Market Value $(000) Percent Harvest MLP Alpha Alerian MLP Index Value Added -1.80-1.80-1.28-0.52-1.17-1.28-2.17 0.89 8.99 8.65 5.83 2.82 2.46 2.34 2.62-0.28 17.57 17.02 14.08 2.94 5/31/14 5/31/14 5/31/14 5/31/14-4.15-4.68-8.13 3.44 302,563 22

Monthly Summary Investment Performance and Market Values For Periods Ending April 30, 2017 Month 3 Months Returns FYTD 6/30/16 CYTD 1 Year 3 Years 5 Years Inception Inception Date Return Market Value $(000) Percent Cash-Corporate Action 5,894 2.47 Cash Account 91-Day Treasury Bill Value Added 9 9 7 3 0.30 0.30 3 7 0.63 0.63 0.35 0.28 0.44 0.44 7 0.27 0.81 0.81 0.40 0.42 0.81 0.81 9 0.62 1.62 1.61 5 1.46 5/31/06 5/31/06 5/31/06 5/31/06 2.88 2.86 1.02 1.84 159,126 66.58 Risk Mitigation Overlay Policy Index Value Added -2.60-2.60 1.41-4.01-4.12-4.16 4.29-8.45 2.25 2.14 9.84-7.70-4.69-4.73 6.29-11.02-1.32-1.47 11-11.48 8/31/14 8/31/14 8/31/14 8/31/14 8.11 7.89 3.55 4.33 73,996 30.96 Global Equity Overlay 5.86 5.86 29.28 29.23 100.88 100.79 52.11 52.05 5/31/16 5/31/16 100.88 100.79 172,390 Cash Composite -0.47-0.47-0.52-0.53 2.39 2.34-0.44-0.45 1.33 1.26 5.36 5.29 4.22 4.17 2/28/89 2/28/89 5.28 5.26 239,016 100 23

Public Employees Retirement Assoc of NM Asset Allocation by Composite Month Ended 4/30/17 Equity $(000) % Bonds $(000) % Cash $(000) % Intl Equity $(000) % Intl Bonds $(000) % Real Estate $(000) % Special Invest $(000) % Other $(000) % As Allocated To Manager $(000) % BlackRock Transition II Anchorage Capital Partners, L.P. Atalaya SOF VI Athyrium Opportunities Fund II, L.P. CVC Global Credit Opportunities Canyon Value Realization Fund, L.P. Cerberus Inst. Partners L.P- Series 4 European Real Estate Debt Fund II Garrison Opportunity Fund IV A LLC GoldenTree Offshore, Ltd.-Side Proj. Guggenheim Global High Yield HIG Bayside Loan Opportunity Fund II JCAM Global Fund Ltd. King Street Capital, L.P. Lazard Emerging Markets Debt Madison Real Estate Debt Marathon Special Opp Fund, L.P. OCM Opportunities Fund VII, L.P. OCM Opportunities Fund VIII, L.P OCM Opportunities Fund VIIb, L.P. Oaktree Eur. Prin. Fund III(US), LP Selene Res. Mortgage Opp. Fund II LP Selene Residential Mortgate Opp. Fd LP Silver Point Capital Fund, L.P. TPG Opportunities Partners III LP Wayzata Opportunities Fund II, L.P. Wayzata Opportunities Fund III, L.P. European Real Estate Debt Fund III Napier Park LP Ellington HF Tennenbaum Credit Oriented Fixed Income 136 136 0 0 0 292,373 495,834 788,207 2.0 3.4 5.3 23,118 40,197 8,382 132 27,229 15,259 114,317 0.2 0.3 0.2 0.8 31,996 34,073 195 121 9,609 1,129 33,068 306,359 416,551 0.2 0.2 0.2 2.1 2.8 35,543 40,027 191,334 6,385 50,892 11,509 1,541 6,962 2,902 21,071 23,030 4,609 11,257 178,599 585,662 0.2 0.3 1.3 0.3 0.2 1.2 4.0 136 31,996 35,543 40,027 191,334 34,073 6,385 23,118 50,892 195 292,373 11,509 121 9,609 495,834 40,197 1,129 1,541 6,962 2,902 21,071 8,382 132 33,068 23,030 4,609 11,257 27,229 306,359 178,599 15,259 1,904,874 0.2 0.2 0.3 1.3 0.2 0.2 0.3 2.0 3.4 0.3 0.2 0.2 0.2 2.1 1.2 12.9 24

Public Employees Retirement Assoc of NM Asset Allocation Month Ended 4/30/17 AQR Alphaport Aberdeen Emerging Markets Equity Carlyle Partners V, L.P. Carlyle Partners VI LP Charterhouse Capital Partners IX CVC European Equity Partners V Century Focused Fund IV Coller International Partners V, L.P. DFA US Target Value Davidson Kempner Inst Partners, L.P. Draper Fisher Jurveston X, LP Elliott Associates, L.P. GTCR X, L.P. GTCR XI, L.P. Glide Buy-Out Fund IV Hellman & Friedman Cap. Part. VI Hellman & Friedman Cap. Partners VII Highline Capital Partners QP, LP Institutional Venture Partners XIII Institutional Venture Partners XIV LP JMI Equity Fund VI, L.P. JMI Equity Fund VII, L.P. KRG Capital Fund IV, L.P. Kelso Investment Advisors IX Kelso Investments Assoc. VIII, L.P. KBI Global Investors EAFE Developed Lincolnshire Equity Fund IV, L.P. Linsalata Capital Partners Fund VI, LP Madison Dearburn Cap. Partners VI, LP Mason Capital LP MFS International Value Equity NT MSCI ACWI X US Index Fund New Enterprise Associates 13 New Enterprise Associates 14 Equity $(000) % 492,262 3.3 185,674 1.3 Bonds $(000) % Cash $(000) % Intl Equity $(000) % 179,322 154,317 154,605 326,540 1.2 1.0 1.0 2.2 Intl Bonds $(000) % Real Estate $(000) % Special Invest $(000) % 43,883 0.3 51,888 0.4 51,868 0.4 225 Other $(000) % 11,082 25,574 0.2 5,787 11,107 3,806 4,071 19,919 22,879 0.2 17,124 10,724 4,285 20,836 18,138 46,114 0.3 1,554 15,743 7,384 30,629 0.2 16,906 14,210 12,097 11,167 26,949 0.2 35,681 0.2 As Allocated To Manager $(000) % 492,262 179,322 11,082 25,574 5,787 11,107 3,806 4,071 185,674 43,883 19,919 51,888 22,879 17,124 10,724 4,285 20,836 51,868 18,138 46,114 1,554 15,743 7,384 30,629 16,906 154,317 14,210 12,097 11,167 225 154,605 326,540 26,949 35,681 3.3 1.2 0.2 1.3 0.3 0.4 0.2 0.4 0.3 0.2 1.0 1.0 2.2 0.2 0.2 25

Public Employees Retirement Assoc of NM Asset Allocation Month Ended 4/30/17 Nordic Capital Fund VII Onex Partners III, L.P. Onex Partners IV L.P. Parametric Pelican Value Equity Pershing Square, LP Portable Alpha Principal Intl Small Cap Equity Providence Equity Partners VI, L.P. RBC GAM Small Cap Growth RRJ Capital Master Fund III LP Samlyn Onshore Fund, L.P. Schroder Intl Small Composite The Resolute Fund II,L.P. The Resolute Fund III, L.P. SSgA Beta Overlay SSgA Russell 1000 Index Fund Sun Capital Partners V, L.P. TPG Asia V, L.P. TPG Partners VI, LP Taconic Opportunity Fund L.P. Technology Crossover Ventures VII, L.P TimesSquare Capital SMID Cap Growth TPG-Axon Partners, LP Trinity Ventures XII Warburg Pincus PE XII Pine Bridge Passport I BlackRock Equity Transition Global Equity Overlay DFJ Fund XII LP SSgA ACWI IMI Index Fund BlackRock MSCI ACWI Minimum Volatility Charterhouse Capital Partners X Technology Crossover Ventures IX, LP Equity $(000) % 0 44,839 0.3 100,923 0.7 12,960 83 120,152 0.8 17,957 3,124,775 21.1 675,329 4.6 Bonds $(000) % Cash $(000) % 172,390 1.2 Intl Equity $(000) % 182,690 1.2 120,945 0.8 123,060 0.8 Intl Bonds $(000) % Real Estate $(000) % Special Invest $(000) % 2,093 52,745 0.4 37,574 0.3 985 Other $(000) % 15,245 21,525 30,313 12,453 20,138 13,409 26,484 11,353 13,224 17,177 31,664 4,916 18,720 17,413 3,226 28,637 1,243 0.2 0.2 0.2 0.2 As Allocated To Manager $(000) % 15,245 21,525 30,313 182,690 0 2,093 44,839 120,945 12,453 100,923 20,138 52,745 123,060 13,409 26,484 12,960 83 11,353 13,224 17,177 37,574 31,664 120,152 985 4,916 18,720 17,413 17,957 172,390 3,226 3,124,775 675,329 28,637 1,243 0.2 1.2 0.3 0.8 0.7 0.4 0.8 0.2 0.3 0.2 0.8 1.2 21.1 4.6 0.2 26

Public Employees Retirement Assoc of NM Asset Allocation Month Ended 4/30/17 FountainVest Fund II RCP Fund of One Global Equity Equity $(000) % 4,774,954 32.3 Bonds $(000) % 0 Cash $(000) % 172,390 1.2 Intl Equity $(000) % 1,241,479 8.4 Intl Bonds $(000) % 0 Real Estate $(000) % 0 Special Invest $(000) % 851 450 242,562 1.6 Other $(000) % 680,904 4.6 As Allocated To Manager $(000) % 851 450 7,112,290 48.1 AG Super Fund L.P. Ardian Infrastructure IV BPG Investment Partnership VIII BlackRock Real Estate Securities Blackstone Real Estat Part Euro III LP Blackstone Real Estate Partners VII Brevan Howard LP Brookfield Infrastructure Fund II LP Brookfield Infrastructure Fund III Capula Global Relative Value Fund L.P. Carlyle Power Partners II Carlyle Realty Partners V L.P. Carlyle Realty Partners VI, L.P. Denham Cap. Part. VI Coinvestment Denham Commodity Partners Fund VI, LP EnCap Flatrock Midstream Fund III Encap Energy Capital Fund IX, L.P. Encap Energy Capital VII, L.P. Encap Energy Capital VIII, L.P. EnerVest Energy Institutional Fund XII Eton Park, L.P. Farallon Capital Inst. Partners, LP First Reserve Fund XII, LP Graham Global Investment Fund I SPC Harrison Street Real Estate Partners V Harvest MLP Alpha IFM Global Infrastructure Fund, L.P. KKR Global Infrastructure Investors II KSL Capital Partners IV Kayne Anderson Energy Fund V, LP 7,216 0 14,884 33,786 10,005 9,147 35,154 10,595 0.2 0.2 2,672 42,054 18,752 41,508 21,959 384 1,573 39,692 0.3 0.3 0.3 22,642 38,567 16,842 14,730 11,085 20,143 2,867 11,087 9,916 9,001 302,563 29,939 21,016 9,556 0.2 0.3 2.0 0.2 2,672 22,642 7,216 0 14,884 33,786 42,054 38,567 18,752 41,508 21,959 10,005 9,147 16,842 14,730 11,085 20,143 2,867 11,087 9,916 384 1,573 9,001 39,692 35,154 302,563 29,939 21,016 10,595 9,556 0.2 0.2 0.3 0.3 0.3 0.3 0.2 2.0 0.2 27

Public Employees Retirement Assoc of NM Asset Allocation Month Ended 4/30/17 LIM Asia Multi-Strategy Fund, Inc LaSalle US Real Estate Securities Lime Rock Partners V, L.P. Lime Rock Partners VI, L.P. Lime Rock Resources III Lynx (Bermuda) Ltd. MS Real Estate Fund VII Global, L.P. NGP Natural Resources XI, L.P. Natural Gas Partners Fund IX Natural Gas Partners X Morgan Stanley Global Real Estate Sec. OZ Domestic Partners II, L.P. Paine and Partners Capital Fund IV Quantum Energy Partners IV, L.P. Quantum Energy Partners V, L.P. R/C Global Energy & Power Fund IV R/C Renewable and Alt. Energy II Riverstone Global Energy & Power Fd V Rockwood Cap. Real Estate Part. IX, LP Rockwood Real Estate Partners VIII Stark Investments Starwood Distressed Opportunity IX, LP Starwood Global Opportunity VIII, LP Starwood Opportunity Fund X Walton Street Real Estate Fund VI Wheelock Street Real Estate Fund II Praedium Fund VII ACM II Deutsche Listed Infrastructure Rockwood Cap. Real Estate Part. X, LP Perella Weinberg III Harrison Street Real Estate Partners VI Antin III Tillridge Equity $(000) % Bonds $(000) % Cash $(000) % Intl Equity $(000) % Intl Bonds $(000) % Real Estate $(000) % 28 4,044 0 27,533 1,063 16,878 6,154 41,905 13,097 33,046 204 13,023 20,709 3,180 0.2 0.3 0.2 Special Invest $(000) % 31,432 0.2 30,093 0.2 1,203 1,249 296,703 2.0 Other $(000) % 4,560 20,214 38,311 0.3 25,982 0.2 3,088 11,293 20,231 6,104 36,573 0.2 15,973 11,929 16,689 6,470 708 483 As Allocated To Manager $(000) % 31,432 28 4,560 20,214 38,311 30,093 4,044 25,982 3,088 11,293 0 1,203 20,231 6,104 36,573 15,973 11,929 16,689 27,533 1,063 1,249 16,878 6,154 41,905 13,097 33,046 204 6,470 296,703 13,023 20,709 3,180 708 483 0.2 0.3 0.2 0.2 0.2 0.2 0.3 0.2 2.0 28

Public Employees Retirement Assoc of NM Asset Allocation by Composite Month Ended 4/30/17 BlackRock Real Estate Transition DFA Real Estate Securities Security Capital REIT Real Assets Equity $(000) % 0 Bonds $(000) % 0 Cash $(000) % 0 Intl Equity $(000) % 0 Intl Bonds $(000) % 0 Real Estate $(000) % 1,406 281,847 278,904 863,808 1.9 1.9 5.8 Special Invest $(000) % 529,275 3.6 Other $(000) % 738,564 5.0 As Allocated To Manager $(000) % 1,406 281,847 278,904 2,131,647 1.9 1.9 14.4 BlackRock Core Active Cash Account Cash-Corporate Action MacKay Shields Core Investment Grade Manulife Core Global Agg. Fixed Income Risk Mitigation Overlay Prudential Core Conservative Risk Reduction & Mitigation 0 998,643 1,193,331 462,242 748,842 3,403,058 6.8 8.1 3.1 5.1 23.0 159,126 5,894 73,996 239,016 1.1 0.5 1.6 0 0 0 0 0 998,643 159,126 5,894 1,193,331 462,242 73,996 748,842 3,642,074 6.8 1.1 8.1 3.1 0.5 5.1 24.6 As Invested by Managers 4,775,090 32.3 3,403,058 23.0 411,407 2.8 1,241,479 8.4 788,207 5.3 978,126 6.6 1,188,388 8.0 2,005,130 13.6 14,790,885 10 29

Monthly Change in Market Value NM PERA Total Fund Periods Ended April 30, 2017 Start Period Market Value (4/01/17) Ending Period Market Value (4/30/17) % Change BlackRock Transition II Anchorage Capital Partners, L.P. Atalaya SOF VI Athyrium Opportunities Fund II, L.P. CVC Global Credit Opportunities Canyon Value Realization Fund, L.P. Cerberus Inst. Partners L.P- Series 4 European Real Estate Debt Fund II Garrison Opportunity Fund IV A LLC GoldenTree Offshore, Ltd.-Side Proj. Guggenheim Global High Yield HIG Bayside Loan Opportunity Fund II JCAM Global Fund Ltd. King Street Capital, L.P. Lazard Emerging Markets Debt Madison Real Estate Debt Marathon Special Opp Fund, L.P. OCM Opportunities Fund VII, L.P. OCM Opportunities Fund VIII, L.P OCM Opportunities Fund VIIb, L.P. Oaktree Eur. Prin. Fund III(US), LP Selene Res. Mortgage Opp. Fund II LP Selene Residential Mortgate Opp. Fd LP Silver Point Capital Fund, L.P. TPG Opportunities Partners III LP Wayzata Opportunities Fund II, L.P. Wayzata Opportunities Fund III, L.P. European Real Estate Debt Fund III Napier Park LP Ellington HF 150 32,007,454 36,910,093 43,475,046 113,894,406 33,983,230 5,753,931 22,344,325 50,891,565 108,255 229,133,899 11,509,320 121,457 9,603,970 432,696,737 40,197,180 1,145,180 1,532,077 6,599,923 2,951,459 20,000,196 8,381,845 132,315 33,312,751 23,030,429 4,609,202 11,530,080 26,318,025 229,800,960 100,272,193 135,612 31,995,822 35,543,039 40,027,498 191,334,324 34,073,085 6,384,856 23,118,054 50,891,565 195,292 292,372,845 11,509,320 121,457 9,608,793 495,834,219 40,197,180 1,129,490 1,541,090 6,962,197 2,901,539 21,070,840 8,381,845 132,315 33,067,875 23,030,429 4,609,202 11,257,080 27,229,353 306,359,309 178,599,312 100-4 -3.70-7.93 67.99 0.26 10.97 3.46 0 80.40 27.60 0 0 5 14.59 0-1.37 0.59 5.49-1.69 5.35 0 0-0.74 0 0-2.37 3.46 33.32 78.11 30

Monthly Change in Market Value NM PERA Total Fund Periods Ended April 30, 2017 Start Period Market Value (4/01/17) Ending Period Market Value (4/30/17) % Change Tennenbaum Credit Oriented Fixed Income 9,509,265 1,541,756,918 15,258,690 1,904,873,528 60.46 23.55 AQR Alphaport Aberdeen Emerging Markets Equity Carlyle Partners V, L.P. Carlyle Partners VI LP Charterhouse Capital Partners IX CVC European Equity Partners V Century Focused Fund IV Coller International Partners V, L.P. DFA US Target Value Davidson Kempner Inst Partners, L.P. Draper Fisher Jurveston X, LP Elliott Associates, L.P. GTCR X, L.P. GTCR XI, L.P. Glide Buy-Out Fund IV Hellman & Friedman Cap. Part. VI Hellman & Friedman Cap. Partners VII Highline Capital Partners QP, LP Institutional Venture Partners XIII Institutional Venture Partners XIV LP JMI Equity Fund VI, L.P. JMI Equity Fund VII, L.P. KRG Capital Fund IV, L.P. Kelso Investment Advisors IX Kelso Investments Assoc. VIII, L.P. KBI Global Investors EAFE Developed Lincolnshire Equity Fund IV, L.P. 488,156,431 175,180,974 9,330,188 24,757,327 5,683,499 10,908,907 3,613,325 4,480,334 185,815,434 43,648,200 19,918,797 51,888,000 22,878,793 15,806,995 10,277,365 4,326,737 20,812,758 51,643,003 18,137,860 46,114,490 1,553,867 15,742,599 12,688,214 30,628,736 18,401,702 150,260,334 14,286,931 492,262,341 179,322,422 11,082,205 25,573,776 5,786,589 11,106,778 3,806,322 4,070,774 185,674,116 43,882,977 19,918,797 51,888,000 22,878,793 17,124,495 10,724,378 4,285,098 20,835,982 51,867,986 18,137,860 46,114,490 1,553,867 15,742,599 7,383,588 30,628,736 16,906,389 154,317,162 14,210,477 0.84 2.36 18.78 3.30 1.81 1.81 5.34-9.14-8 0.54 0 0 0 8.33 4.35-0.96 1 0.44 0 0 0 0-41.81 0-8.13 2.70-0.54 31

Monthly Change in Market Value NM PERA Total Fund Periods Ended April 30, 2017 Start Period Market Value (4/01/17) Ending Period Market Value (4/30/17) % Change Linsalata Capital Partners Fund VI, LP Madison Dearburn Cap. Partners VI, LP Mason Capital LP MFS International Value Equity NT MSCI ACWI X US Index Fund New Enterprise Associates 13 New Enterprise Associates 14 Nordic Capital Fund VII Onex Partners III, L.P. Onex Partners IV L.P. Parametric Pelican Value Equity Pershing Square, LP Portable Alpha Principal Intl Small Cap Equity Providence Equity Partners VI, L.P. RBC GAM Small Cap Growth RRJ Capital Master Fund III LP Samlyn Onshore Fund, L.P. Schroder Intl Small Composite The Resolute Fund II,L.P. The Resolute Fund III, L.P. SSgA Beta Overlay SSgA Russell 1000 Index Fund Sun Capital Partners V, L.P. TPG Asia V, L.P. TPG Partners VI, LP Taconic Opportunity Fund L.P. Technology Crossover Ventures VII, L.P TimesSquare Capital SMID Cap Growth 12,096,777 11,604,111 225,162 148,892,694 319,671,833 25,284,893 33,339,264 18,527,667 19,963,740 30,022,992 179,681,141 0 2,093,232 44,665,810 116,580,013 13,014,122 100,393,031 20,260,939 52,579,735 116,569,082 13,453,897 26,483,680 12,454,739 411,597,815 11,554,826 11,713,904 17,808,685 37,378,030 31,663,882 118,110,900 12,096,777 11,166,682 225,162 154,604,628 326,540,377 26,948,915 35,680,872 15,244,622 21,524,617 30,312,975 182,689,553 0 2,093,232 44,838,968 120,945,332 12,452,759 100,923,278 20,137,893 52,744,910 123,059,960 13,409,347 26,483,680 12,960,306 82,778 11,352,893 13,224,437 17,176,548 37,573,740 31,663,882 120,151,658 0-3.77 0 3.84 2.15 6.58 7.02-17.72 7.82 0.97 1.67 NA 0 0.39 3.74-4.31 0.53-0.61 0.31 5.57-0.33 0 4.06-99.98-1.75 12.90-3.55 0.52 0 1.73 32

Monthly Change in Market Value NM PERA Total Fund Periods Ended April 30, 2017 Start Period Market Value (4/01/17) Ending Period Market Value (4/30/17) % Change TPG-Axon Partners, LP Trinity Ventures XII Warburg Pincus PE XII Pine Bridge Passport I BlackRock Equity Transition Global Equity Overlay DFJ Fund XII LP SSgA ACWI IMI Index Fund BlackRock MSCI ACWI Minimum Volatility Charterhouse Capital Partners X Technology Crossover Ventures IX, LP FountainVest Fund II RCP Fund of One Global Equity 998,554 3,770,413 18,949,698 16,530,321 5,274,005 162,852,061 3,226,194 3,074,053,138 667,506,732 14,344,404 1,021,931 437,358 75,000 7,383,668,205 984,845 4,915,659 18,720,198 17,412,800 17,957,268 172,390,381 3,226,194 3,124,775,014 675,328,653 28,637,370 1,242,931 851,221 450,000 7,112,290,309-1.37 30.37-1.21 5.34 100 5.86 0 1.65 1.17 99.64 21.63 94.63 100-3.68 AG Super Fund L.P. Ardian Infrastructure IV BPG Investment Partnership VIII BlackRock Real Estate Securities Blackstone Real Estat Part Euro III LP Blackstone Real Estate Partners VII Brevan Howard LP Brookfield Infrastructure Fund II LP Brookfield Infrastructure Fund III Capula Global Relative Value Fund L.P. Carlyle Power Partners II Carlyle Realty Partners V L.P. Carlyle Realty Partners VI, L.P. Denham Cap. Part. VI Coinvestment Denham Commodity Partners Fund VI, LP 2,649,693 22,238,727 7,216,000 46,327,582 14,883,854 32,816,641 43,294,892 38,567,277 13,421,444 41,521,745 21,955,439 9,636,366 9,015,355 16,842,442 14,730,248 2,672,498 22,642,104 7,216,000 0 14,883,854 33,786,113 42,053,517 38,567,277 18,752,042 41,507,797 21,959,124 10,004,752 9,147,470 16,842,442 14,730,248 0.86 1.81 0 NA 0 2.95-2.87 0 39.72-3 2 3.82 1.47 0 0 33

Monthly Change in Market Value NM PERA Total Fund Periods Ended April 30, 2017 Start Period Market Value (4/01/17) Ending Period Market Value (4/30/17) % Change EnCap Flatrock Midstream Fund III Encap Energy Capital Fund IX, L.P. Encap Energy Capital VII, L.P. Encap Energy Capital VIII, L.P. EnerVest Energy Institutional Fund XII Eton Park, L.P. Farallon Capital Inst. Partners, LP First Reserve Fund XII, LP Graham Global Investment Fund I SPC Harrison Street Real Estate Partners V Harvest MLP Alpha IFM Global Infrastructure Fund, L.P. KKR Global Infrastructure Investors II KSL Capital Partners IV Kayne Anderson Energy Fund V, LP LIM Asia Multi-Strategy Fund, Inc LaSalle US Real Estate Securities Lime Rock Partners V, L.P. Lime Rock Partners VI, L.P. Lime Rock Resources III Lynx (Bermuda) Ltd. MS Real Estate Fund VII Global, L.P. NGP Natural Resources XI, L.P. Natural Gas Partners Fund IX Natural Gas Partners X Morgan Stanley Global Real Estate Sec. OZ Domestic Partners II, L.P. Paine and Partners Capital Fund IV Quantum Energy Partners IV, L.P. Quantum Energy Partners V, L.P. 10,863,268 20,009,391 3,170,160 11,176,947 9,915,872 447,343 1,522,202 8,914,463 39,451,742 38,308,814 308,117,979 29,015,438 20,468,676 9,442,282 9,556,332 31,416,437 107,674,337 4,480,273 20,213,817 38,310,749 31,234,682 4,044,101 25,982,325 3,088,491 11,292,700 93,823,333 1,198,774 15,411,767 6,853,123 31,447,810 11,085,032 20,143,473 2,867,289 11,086,605 9,915,872 384,217 1,572,682 9,000,561 39,692,197 35,154,251 302,562,669 29,939,272 21,016,166 10,595,060 9,556,332 31,431,823 28,202 4,560,460 20,213,817 38,310,749 30,093,357 4,044,101 25,982,325 3,088,491 11,292,700 0 1,202,954 20,231,466 6,103,554 36,572,556 2.04 0.67-9.55-0.81 0-14.11 3.32 0.97 0.61-8.23-1.80 3.18 2.67 12.21 0 5-99.97 1.79 0 0-3.65 0 0 0 0 NA 0.35 31.27-10.94 16.30 34

Monthly Change in Market Value NM PERA Total Fund Periods Ended April 30, 2017 Start Period Market Value (4/01/17) Ending Period Market Value (4/30/17) % Change R/C Global Energy & Power Fund IV R/C Renewable and Alt. Energy II Riverstone Global Energy & Power Fd V Rockwood Cap. Real Estate Part. IX, LP Rockwood Real Estate Partners VIII Stark Investments Starwood Distressed Opportunity IX, LP Starwood Global Opportunity VIII, LP Starwood Opportunity Fund X Walton Street Real Estate Fund VI Wheelock Street Real Estate Fund II Praedium Fund VII ACM II Deutsche Listed Infrastructure Rockwood Cap. Real Estate Part. X, LP Perella Weinberg III Harrison Street Real Estate Partners VI Antin III Tillridge BlackRock Real Estate Transition DFA Real Estate Securities Security Capital REIT Real Assets 15,973,258 11,887,291 17,083,994 27,533,261 2,008,223 1,250,176 17,674,015 6,154,497 35,904,997 13,097,089 33,046,062 204,015 6,470,081 203,359,647 11,822,711 16,109,417 3,179,861 695,208 483,162 NA NA NA 1,705,908,299 15,973,258 11,928,581 16,689,279 27,533,261 1,062,775 1,249,354 16,877,788 6,154,497 41,904,997 13,097,089 33,046,062 204,015 6,470,081 296,703,400 13,022,711 20,709,083 3,179,861 707,818 483,162 1,405,700 281,846,609 278,904,249 2,131,647,098 0 0.35-2.31 0-47.08-7 -4.51 0 16.71 0 0 0 0 45.90 15 28.55 0 1.81 0 NA NA NA 24.96 BlackRock Core Active Cash Account Cash-Corporate Action MacKay Shields Core Investment Grade Manulife Core Global Agg. Fixed Income Risk Mitigation Overlay 1,267,032,587 199,619,962 5,533,835 1,286,422,658 459,019,368 75,972,719 998,643,352 159,126,004 5,894,104 1,193,330,797 462,242,172 73,996,013-21.18-20.29 6.51-7.24 0.70-2.60 35

Monthly Change in Market Value NM PERA Total Fund Periods Ended April 30, 2017 Start Period Market Value (4/01/17) Ending Period Market Value (4/30/17) % Change Prudential Core Conservative Risk Reduction & Mitigation 743,199,369 4,036,800,500 748,842,003 3,642,074,443 0.76-9.78 NM PERA Total Fund 14,668,133,921 14,790,885,378 0.84 36

Total Fund Policy Index 2.03% 5.19% 1.29%1.60% 4.53% 0.72% 8.40% 0.43% 4.35% 1.00% 3.77% 2.02% 2.80% 37.01% 7.60% 2.00% 28.28% 4.93% 1.00% 3.00% 3.33% 4.52% 3.10% 1.62% 4.58% 19.74% Market Value ($) Allocation (%) Global Public Stock $ 5,513,495,541 37.01% Hedged Equity $ 241,260,852 1.62% Private Equity $ 682,205,263 4.58% Domestic Core FI $ 2,940,816,151 19.74% Global Core FI $ 462,242,172 3.10% Liquid Credit $ 673,951,413 4.52% Emerging Mkt. Debt $ 495,834,219 3.33% Illiquid Credit $ 735,087,896 4.93% Credit Orient Hedge Funds $ 416,551,124 2.80% Liquid Real Estate $ 562,184,760 3.77% Illiquid Real Estate $ 301,623,739 2.02% Liquid Real Assets $ 302,562,669 2.03% Illiquid Real Assets $ 773,415,535 5.19% Market Neutral Hedge Funds $ 191,860,396 1.29% Cash $ 239,016,120 1.60% STO Cash Balance $ 106,581,121 0.72% Global Low Vol $ 675,328,653 4.53% Allocations shown may not sum to 100% due to rounding 6.00% 3.00% 3.00% 2.58% 8.70% 18.49% Allocation (%) Global Public Stock 28.28% Hedged Equity 2.18% Private Equity 8.70% Domestic Core FI 18.49% Global Core FI 2.58% Liquid Credit 3.00% Emerging Mkt. Debt 3.00% Illiquid Credit 6.00% Credit Orient Hedge Funds 3.00% Liquid Real Estate 1.00% Illiquid Real Estate 7.60% Liquid Real Assets 2.00% Illiquid Real Assets 8.40% Market Neutral Hedge Funds 1.00% Cash 0.43% Global Low Volatility Equity 4.35% 2.18% 37

Since Inception Dates COMPOSITES NM PERA Total Fund 6/30/85 Domestic Equity 6/30/85 International Equity 6/30/95 Core & Global Fixed Income 6/30/85 Fixed Income Plus Sectors 9/30/14 Cash 3/31/89 Alternative Assets 12/31/06 Absolute Return/HF 12/31/06 Private Equity 12/31/06 Real Estate 12/31/06 Real Asset 3/31/07 Global Equity 5/31/2016 Risk Reduction & Mitigation 5/31/2016 Real Assets 5/31/2016 Credit Oriented FI 5/31/2016 DOMESTIC EQUITY Domestic Large Cap 6/30/85 Domestic Large Cap x PA 6/30/85 SSgA Russell 1000 6/30/10 INTECH US Enhanced Plus 9/30/04 Portable Alpha 9/30/07 Domestic Small/Mid Equity 9/30/92 SSgA Russell 2500 6/30/10 TimesSquare SMID Growth 3/31/05 DFA US Targeted Value 9/30/10 Pelican Value Equity 9/30/10 RBC GAM Small Growth 3/31/05 JP Morgan Small Growth 9/30/11 INTERNATIONAL EQUITY NT MSCI ACWI xus 12/31/10 Int l Equity Developed 6/30/06 Kleinwort Benson EAFE Dev. 3/31/10 MFS International Value 3/31/10 SSgA EAFE Growth 12/31/07 Principal Int l Small Cap 12/31/07 Schroder Int l Small 6/30/12 Emerging Markets Comp 6/30/06 Parametric EM 12/31/07 Aberdeen EM 12/30/09 FIXED INCOME Domestic Fixed Income 6/30/85 BlackRock Core Active 9/30/06 MacKay Shields Core IG 6/30/12 PIMCO Total Return FA 3/31/11 Prudential Core Plus 6/30/12 Manulife Strategic FI 3/31/11 Global Fixed Income 6/30/11 Performance Related Comments Performance shown is gross of fees unless otherwise noted. Fiscal year ends on June 30th. Performance is preliminary and subject to change. "Inception Date" refers to the first full month following initial funding. "Inception Date" for Alternatives is as of the first funding of the asset class. Indices show N/A for since inception returns when the fund contains more history than the corresponding index. The Cash Equivalent Composite return includes tax reclaims on two bond issues which were received by the Corporate Action Clearing Account. This accounts for the additional return over the JP Morgan STIF account in the longer-term periods. Updated returns for the NCREIF Property Index are currently unavailable for use in calculating the Long-Term Target Allocation Index and the Real Estate Custom Index. As such, a 0% return is assumed for the NCREIF Property Index. Therefore, returns for these custom indices are preliminary and subject to change. 38

Custom Index Comments Long-Term Target Allocation Index consists of: 40% S&P 500 Index (Cap Wtd), 60% LB Aggregate Bond Index until 08/31/1992 55% S&P 500 Index (Cap Wtd), 45% LB Aggregate Bond Index until 08/31/1995 52.5% S&P 500 Index (Cap Wtd), 2.5% MSCI EAFE Blend, 45% LB Aggregate Bond Index until 11/30/1995 50% S&P 500 Index (Cap Wtd), 5% MSCI EAFE Blend, 45% LB Aggregate Bond Index until 02/29/1996 45% S&P 500 Index (Cap Wtd), 10% MSCI EAFE Blend, 45% LB Aggregate Bond Index until 11/30/1997 45% S&P 500 Index (Cap Wtd), 15% MSCI EAFE Blend, 40% LB Aggregate Bond Index until 02/28/1999 42% Russell 3000 Index, 18% MSCI EAFE Blend, 40% LB Aggregate Bond Index until 05/31/1999 45% Russell 3000 Index, 15% MSCI EAFE Index (Gross), 40% LB Aggregate Bond Index until 06/30/2000 42% Russell 3000 Index, 18% MSCI EAFE Index (Gross), 40% LB Aggregate Bond Index until 06/30/2005 40% Russell 3000 Index, 25% MSCI EAFE Index (Gross), 35% LB Aggregate Bond Index until 06/30/2007 35% Russell 3000 Index, 25% MSCI ACW Ex US Blended Index (Gross), 25% LB Aggregate Bond Index, 5% 3 Mo LIBOR Index + 4%, 5% Venture Economics All Private Equity Index (lagged one quarter), 2.5% NCREIF Property Index, and 2.5% CPI + 5% until 10/31/2009 35% Russell 3000 Index, 25% MSCI ACW Ex US Blended Index (Gross), 25% Barclays Global Agg Blended Index, 5% 3 Mo LIBOR Index + 4%, 5% Venture Economics All Private Equity Index (lagged one quarter), 2.5% NCREIF Property Index, 1% Barclays US TIPS Index, 1% S&P GSCI Light Energy Index, and 0.5% CPI + 5% until 06/30/2010 27% Russell 3000 Index, 27% MSCI ACW Ex US Blended Index (Gross), 26% Barclays Global Agg Blended Index, 9% HFRI Fund of Funds Composite Index, 5% Private Equity Custom Index, 3% Real Estate Custom Index, and 3% Real Assets Custom Index until 11/30/2012 29% Russell 3000 Index, 20% Int'l Equity Custom Index, 26% Fixed Income Custom Index, 5% Liquid Alpha Index, 7% HFRI Fund of Funds Composite Index, 5% Private Equity Custom Index, 3% Real Estate Custom Index, and 5% Real Assets Custom Index until 12/31/2012. 21.1% Russell 3000 Index, 24.8% Int'l Equity Custom Index, 26.1% Core and Global Fixed Income Custom Index, 5% Fixed Income Plus Sectors Custom Index, 4% HFRI Fund of Funds Composite Index, 7% Private Equity Custom Index, 5% Real Estate Custom Index, and 7% Real Assets Custom Index until 04/30/2016. 43.5% Global Equity, 21.5% Risk Reduction & Mitigation, 20% Real Assets, 15% Credit Oriented Fixed Income thereafter. 39

Total Fund Actual Monthly Allocation Index is calculated monthly based on a weighted average of the Global Equity composite, Risk Reduction & Mitigation composite, Real Assets composite, and Credit Oriented Fixed Income composite; and their corresponding primary index return. R 3000/MSCI ACW Ex US Blended Index consists of 61.54% R 3000 Index and 38.46% MSCI EAFE Index(Gross) until 6/30/2007 and 61.54% R 3000 Index and 38.46% MSCI ACW Ex US Index (Gross) thereafter. Portable Alpha Custom Index + 3% consists of 100% S&P 500 + 3% until 2/28/09; 100% custom S&P 500 + 3% until 6/30/09; and 100% S&P 500 + 3% thereafter. The custom S&P 500 was calculated by Cliffwater LLC and an annual rate of 3% was added; the custom S&P 500 + 3% accounts for the defunding of the Beta Overlay program. Russell 1000 Growth Blended Index consists of 100% BT Large Cap Growth Index until 06/30/99 and 100% Russell 1000 Growth Index thereafter. Int'l Equity Custom Index consists of 100% MSCI EAFE Index (Gross) until 06/30/2007; 100% MSCI ACW Ex US Index (Gross) until 11/30/2012; and 100% MSCI ACW Ex US IMI Index (Gross) thereafter. MSCI World Ex US Sm Cap Blended Index (Gross) consists of 100% MSCI World Ex US Sm Cap Provisional Index (Gross) until 06/30/2008 and 100% MSCI World Ex US Sm Cap Index (Gross) thereafter. Fixed Income Custom Index consists of 100% Barclays US Agg Bond Index until 03/31/2011; 100% Barclays Global Agg Bond Index until 11/30/2012; and 85% Barclays US Agg Bond Index, 15% Barclays Multiverse Index thereafter. Liquid Alpha Custom Index consists of 60% MSCI ACW IMI Index (Gross) and 40% Barclays US Agg Bond Index. Alternative custom index consists of 35% HFRI Fund of Funds Composite Index, 25% Private Equity Custom Index, 15% Real Estate Custom Index, and 25% Real Assets Custom Index from 1/1/2012. Absolute Returns/Hedge Funds Index consists of 100% Libor 3 Month +4% until 09/30/2014; 100% Libor 3 Month + 5% thereafter. Private Equity Custom Index consists of actual Private Equity Composite performance through 2014, and Venture Economics Pooled IRR thereafter. Real Estate Custom Index consists of 70% NCREIF Property Index + 3%, 20% FTSE NAREIT Equity REITs Total Return Index until 11/30/2012, and 70% NCREIF Property Index + 3%, 20% FTSE NAREIT Equity REITs Total Return Index, 10% NCREIF ODCE Index (gross) (AWA) thereafter. Real Assets Custom Index consists of 75% Cliffwater Private Energy Index lagged one quarter and 25% S&P GSCI Light Energy Index until 11/30/2012, and Consumer Price Index + 5% thereafter. Clifton Parametric Custom Index consists of 29.31% Russell 3000 Index, 34.44% MSCI ACWI Ex USA IMI Index, 36.25% (85%)Barclays Aggregate/(25%)Barclays Multiverse Index. ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- Global Equity Custom Index consists of 65% MSCI ACWI IMI Index, 20% Russell 3000 +3% Index 1Q Lagged, 10% MSCI ACWI Minimum Volatility Index, and 5% HFRI Equity Hedge Total Index 1M Lagged. Risk Reduction & Mitigation Custom Index consists of 86% Barclays US Aggregate Index, 12% Barclays Global Aggregate Hedged Index, and 2% 91 Day Treasury Bill. Real Assets Custom Index consists of 42% Cambridge Natural Resources 1Q Lagged Index, 38% NCREIF ODCE +1% 1Q Lagged Index, 10% Alerian MLP Index, 5% Wilshire Global REIT Index, and 5% LIBOR +2% 1M Lagged Index. 40

Credit Oriented Fixed Income Custom Index consists of 40% Barclays Global High Yield +1% 1Q Lagged Index, 20% Barclays Global High Yield Index, 20% JP Morgan EMBI Global Diversified Index, and 20% HFRI Credit 1M Lagged Index. Manager Transition Comments During April 2017 DFA REIT, Security Capital REIT and BlackRock REIT Transition were funded. BlackRock REIT, LaSalle REIT, Morgan Stanley REIT and SSGA Russell 1000 were defunded. During March 2017 Tennenbaum and RCP Fund of One were funded. During February 2017 FountainVest Fund II was funded. During January 2017 Tillridge and Antin III were funded. During December 2016 Harrison Street VI, Ellington HF, Charterhouse Capital Partners X and TCV IX LP were funded. During November 2016 Napier Park L.P. was funded. During October 2016 BlackRock MSCI ACWI Minimum Volatility and Perella Weinberg III Fund were funded. Pelican Value Equity was defunded. During September 2016 SSGA ACWI IMI Index Fund, European Real Estate Debt III, and Rockwood Capital Real Estate Partners X were funded. During August 2016 ACM II & Deutsche Listed Infrastructure were funded. During July 2016 DFJ Fund XII, L.P. was funded During June 2016 Pine Bridge Passport I was funded. During May 2016 Brookfield Infrastructure Fund III was funded. During March 2016 KSL Capital Partners Fund IV was funded. During February 2016 Century Focused Fund IV was funded. During January 2016 Carlyle Power Partners IO was funded. During December 2015 RRJ Capital Master Fund III L.P. and Warburg Pincus PE XII were funded. During November 2015 Madison RE Debt Fund III was funded. During October 2015 CVC Global Credit Opportunities and Guggenheim Global High Yield were funded. During September 2015 Atalaya SOF VI and Kelso Investment Advisors IX were funded During July 2015 Lazard Emerging Market Debt, Ardian Infrastructure IV, AQR Alphaport was funded. During June 2015 Athyrium Opportunities Fund II, L.P. was funded. During May 2015 IFM Global Infrastructure Fund, L.P. was funded. 41

During March 2015 Harrison Street Real Estate Partners V was funded. During January 2015 Paine & Partners was funded. During January 2015 Kleinwort Benson Dividend Plus strategy changed its product name to Kleinwort Benson EAFE Developed Equity strategy. During December 2014 Garrison Opportunity Fund IV A LLC and KKR Global Infrastructure Investors II L.P. was funded. During November 2014 Onex Partners IV L.P. and NGP Natural Resources XI, L.P. was funded During September 2014 GTCR Fund XI L.P. was funded. During August 2014 The Resolute Fund III L.P.,Wheelock Street Real Estate Fund II LLC, Parametric Clifton were funded. During July 2014 EnCap Flatrock Midstream Fund III L.P. was funded. During June 2014 Harvest MLP Alpha was funded. During February 2014 TPG Opp Fund III was funded. During January 2014 Lime Rock III was funded. During December 2013 Denham Coinvestment IX was funded. During November 2013 Brookfield Infrastructure II and Carlyle Partners VI was funded. During February 2013, Wayzata Opportunities III and IVP XIV were funded. During January 2013, Encap Energy Capital Fund IX was funded. During December 2012, Linsalata Capital Partners VI and Rockwood Capital RE IX were funded. During November 2012, Lime Rock Partners VI was funded. During September 2012, State Street International Alpha Select was liquidated. The account was fully liquidated in December 2012, but received tax reclaims in the amount of 1,232 in January 2013. Blackstone RE Partners VII, Highline Capital Partners, LP, and Saba Capital Partners, LP were funded along with the Market Neutral Composite. During August 2012, Graham Global Investment Fund was funded. During June 2012, MacKay Shields Core Investment Grade and New Enterprise Associates LP XIV were funded. During May 2012, Prudential Core Plus was funded with proceeds from the liquidation of Western Asset Management US Core Full, which was fully liquidated in November 2012. Riverstone Global Energy & Power Fund V, LP was also funded. During April 2012, Schroder International Small Companies and Denham Commodity Partners Fund VI were funded During January 2012, NGP X, LP was funded. During November 2011, OCM European Principal Opp Fund III, LP was funded. During September 2011, Carlyle Realty Partners VI (CF) was funded During August 2011, JP Morgan US Small Cap Growth and Hellman & Friedman Cap Ptnr VIII were funded. During July 2011, GTCR Fund X was funded 42

During April 2011, Manulife Strategic Fixed Income and F. Templeton Global Multi-Sector Plus were funded. During March 2011, PIMCO Total Return Full Authority was funded and F. Templeton Opp Core Plus (Fiduciary Trust) was liquidated. During December 2010, Northern Trust EAFE Index and State Street Emerging Markets Index were liquidated and Northern Trust ACW Ex US Index was funded. Additionally, assets were transitioned through Credit Suisse ACWI Ex US Transition Account. This account was subsequently used to manage the liquidation of Artio International II, which took place in April 2011. Artio International Equity II was fully liquidated in February 2012, but it received tax reclaims in the amount of 1,697 in January 2013. During September 2010, BlackRock EAFE Transition Account was incepted to manage the transition from Domestic Equity to EAFE. This account was subsequently used to manage the liquidation of Loomis Sayles High Yield Conservative, which took place in March 2011. Accordingly, the transition account has been reclassified as fixed income and renamed to BlackRock Manulife Transition Account. During June 2012, the transition account was used to manage the funding of MacKay Shields Core Investment Grade. During September 2012, the transition account was used to manage the liquidation of State Street International Alpha Select and has since been reclassified as international equity and renamed to BlackRock Transition Account. During October 2013, Wellington Emerging Markets was terminated and the assets were moved to the BlackRock Transition Account and then Aberdeen Emerging Markets. During March 2014, CS McKee and Russell 1000 Growth was defunded and the assets were moved to the BlackRock Transition Account. There is currently $135,612 in the transition account. 43

NM Public Employees Retirement Association Cash Flow Projection - FY 17 FY16 AVG. PROJECTED July August September October November December January February March April May June Month Beginning Cash 159 $114 $85 $79 $141 $325 $188 $327 $203 $223 $200 $159 $151 Uses of Cash: Illiquid Asset Capital Calls: PE, RE, RA, Credit 39 28 35 66 62 14 78 29 30 33 48 39 39 Private asset drawdowns. Asset Class Purchases: Global Equity Risk Reduction & Mitigation Credit Oriented Fixed Income 14 0 353 175 75 351 SAA Implementation Real Assets 280 80 547 REIT & SAA Implementation Total Benefit Payments 87 90 91 91 91 92 91 93 93 93 93 90 90 Refunds 4 4 3 5 3 3 4 3 4 5 3 3 3 Operational Exp 2 1 1 1 1 2 3 2 4 1 2 2 2 Other: 0 Sources of Cash: Asset Class Sales: Global Equity 5 330 239 167 4 378 9 80 16 398 Equity Transition Risk Reduction & Mitigation 378 SAA Implementation Credit Oriented Fixed Income 75 235 0 Real Assets 141 REIT Redemption Illiquid Asset Distributions 23 13 26 28 44 38 60 12 23 45 27 23 23 Private asset distributions. Illiquid Asset Redemption 30 0 0 0 0 0 0 50 50 Employee / Employer Contributions 50 45 49 53 58 47 48 47 47 64 46 50 50 Other: 1 1 0 2 1 1 1 1 0 Suspense account / Corporate Action Month Ending Cash, BNYM 155 $85 $79 $141 $325 $188 $327 $203 $223 $200 $159 $151 $143 Corporate Action 8 3 3 7 5 4 5 4 5 6 6 5 5 Overlay Cash 107 173 174 178 167 181 191 211 227 239 246 246 246 Month Ending Cash, STO 104 108 110 112 115 113 111 103 103 119 107 104 101 Month's Activity Month-End Allocations April Current Month's Weights Chg in Value Actual Target Var. Range* Global Equity 7,929 7,637 7,453 7,152 7,253 7,015 7,190 7,310 7,384 7,112 7,157 7,201 (271.4) 47.7% 43.5% 4.2%.+/-5 Risk Reduction & Mitigation 4,034 4,027 4,090 4,244 3,984 4,131 4,012 4,061 4,037 3,642 3,652 3,661 (394.8) 24.4% 21.5% 2.9%.+/-3 Credit Oriented Fixed Income 1,115 1,124 1,175 1,098 1,210 1,410 1,499 1,530 1,542 1,905 1,916 1,927 363.1 12.8% 15.0% -2.2%.+/-4 Real Assets 1,223 1,545 1,630 1,620 1,623 1,656 1,684 1,698 1,706 2,132 2,146 2,160 425.8 14.3% 2% -5.7%.+/-4 STO Cash 108 110 112 115 113 111 103 103 119 107 104 101 (12.5) 0.7% % 0.7% Total $14,409 $14,442 $14,459 $14,229 $14,182 $14,322 $14,488 $14,702 $14,787 $14,897 $14,974 $15,051 110.2 10% 10% *The PERA Board updated the strategic asset allocation (SAA) in April 2016. This report reflects the previous SAA and will be updated in the following month to reflect the new SAA. Per section IV. A., Strategic Asset Allocation, of the Investment Policy "The Board recognizes that the long-term target allocation may take an extended period to implement."

Policy Summary Plan Summary Portfolio NM PERA Date Mar 17 Plan Assets ($) $14,668,133,921 Standard Deviation (3Yr) 6.0 Monthly Plan VaR (%) (2.73 %) (1) Asset vs Policy Analysis (2) Assets vs Policy Policy Weights Asset Allocation % Over/Under VaR Plan Asset Risk Standard Deviation (1YR) Returns (1YR) Risk Contribution Credit Oriented Fixed Income 15.00% 10.57% (4.43 %) (2.59 %) 1.98 % 9.40 % 8.03 % Global Equity 43.50% 53% 6.53 % (3.61 %) 5.15 % 15.56 % 63.65 % Real Assets 20% 11.87% (8.13 %) (6.75 %) 3.66 % 11 % 25.96 % Risk Reduction & Mitigation 21.50% 27.53% 6.03 % (1.01 %) 2.99 % 1.21 % 2.35 % 60% 3/31/2017 Allocation by Strategy (2) 50% 40% 43.50% 53% 30% 27.53% 20% 10% 15.00% 10.57% 20% 11.87% 21.50% 0% Credit Oriented Fixed Income Global Equity Real Assets Risk Reduction & Mitigation Policy Weights Asset Allocation 1. 1 Month Monte Carlo VaR at 95% Confidence Interval. 2. Policy and Asset Allocation weights are stated as a percent of Total Plan Assets. Page 1 of 5

Plan Assets Region Exposure 80% Region Exposure (1) 70.57 % 64.49% 60% 40% 20% 11.76 % 13.91% 0% 20% 3.21 % 0.68 % 1.45 % 2.99% 2.78 % 0.48% 0.95% 1 % 1% 0.92 % 1.09% 1.53% (2 %) (0.27 %) (3 %) (0 %) (3 %) (3.98 %) CENTRAL AMERICA EMERGING EUROPE EUROPE GLOBAL LATIN AMERICA MID EAST AND AFRICA NORTH AMERICA (8.36 %) SOUTH AMERICA Contribution to Risk Long Notional % Short Notional % (7 %) Market Value MV % Long MV % Short MV % Notional Value 3 Notional % Long Notional % 3 Short Notional % 3 Gross Exposure 3 1 Month VaR ($) 95% VaR % MV 95% Contribution to Risk Total $1,545,361,688 849.17% 11.25% (0.86 %) $2,113,529,953 682.20% 12.01% (2.39 %) 14.41% ($51,794,701) (3.35 %) 91.37% CENTRAL AMERICA $90,334,136 5.85% 0.62% (0 %) $73,822,647 3.49% 0.48% (2 %) 0.50% ($4,512,557) (5.00 %) 0.68 % EMERGING EUROPE $111,108,777 7.19% 0.99% (0.24 %) $178,539,000 8.45% 0.95% (0.27 %) 1.22% ($6,783,572) (6.11 %) 1.45 % EUROPE $1,858,693,826 120.28% 13.09% (0.56 %) $2,624,253,451 124.16% 13.91% (3.98 %) 17.89% ($61,196,317) (3.29 %) 11.76 % GLOBAL $91,458,532 5.92% 0.64% (2 %) $443,337,970 20.98% 2.99% (3 %) 3.02% ($15,616,201) (17.07 %) 3.21 % LATIN AMERICA $554,986 4% 0% (0 %) $1,024,226 5% 1% (0 %) 1% ($65,068) (11.72 %) 1 % MID EAST AND AFRICA $191,242,733 12.38% 1.34% (6 %) $178,577,903 8.45% 1.09% (3 %) 1.22% ($6,993,700) (3.66 %) 0.92 % NORTH AMERICA $10,526,280,482 681.15% 68.67% (3.93 %) $10,684,870,183 505.55% 64.49% (8.36 %) 72.84% ($292,919,526) (2.78 %) 70.57 % SOUTH AMERICA $253,098,762 16.38% 1.72% (1 %) $234,098,381 11.08% 1.53% (7 %) 1.60% ($12,812,668) (5.06 %) 2.78 % Top 10 Country by Notional Exposure Market Value Notional Value VaR % MV 95% Coontribution to Risk Total $14,668,133,921 $16,532,053,714 (2.73 %) 100 % UNITED STATES $10,098,531,991 $10,019,766,453 (2.73 %) 66.32 % JAPAN $611,281,735 $807,073,306 (3.79 %) 2.77 % UNITED KINGDOM $541,421,518 $722,144,101 (4.36 %) 4.40 % CANADA $267,576,950 $448,842,741 (6.66 %) 3.41 % FRANCE $210,973,572 $229,227,144 (4.05 %) 0.79 % SWITZERLAND $209,284,820 $285,523,295 (2.91 %) 0.84 % GERMANY $208,648,315 $308,222,415 (4.16 %) 1.27 % CHINA $190,436,897 $204,968,906 (4.36 %) 0.70 % AUSTRALIA $171,444,060 $261,871,158 (6.14 %) 2.04 % BRAZIL $140,900,285 $143,618,207 (6.84 %) 1.97 % OTHER $2,017,633,778 $3,100,795,990 n/a 15.49 % 80 % 70 % 60 % 50 % 40 % 30 % 20 % 10 % 0 % (10 %) 68.31 % 66.32 % Gross Exposure 10 Yr Equiv Contribution to Risk 5.50 % 4.92 % 4.40 % 3.06 % 3.41 % 2.77 % 1.56 % 1.95 % 0.84 % 2.10 % 1.27 % 1.40 % 0.70 % 1.79 % 2.04 % 0.98 % 1.97 % 0.79 % 1. Long and Short Notional as a percent of the Total Plan Assets. 2. Global Countries denotes assets which are not necesarrily associated with a specific county exposure (ie commodity futures, ETFs, Index Derivatives, etc.). 3. As of 10/31/14 Gross Notional is using the 10 Yr Equivalent Gross Notional. Page 2 of 5

Plan Assets Sector Exposure 25.00% 22.90% Top 10 Contributors to Risk Contribution to Risk % Gross Notional % 10 Yr Equv 20% 17.60% 18.40% 15.00% 10% 5.00% 8/31/2015 9.16% 10.59% 12.66% 8.99% 8.88% 7.84% 11.72% 6.53% 6.61% 6.42% 6.64% 5.71% 5.31% 3.84% 2.73% 2.92% 1.72% 0% Financial Energy Consumer Non cyclical Industrial Equity Index Communications Consumer Cyclical Technology Basic Materials Utilities Top Down Plan Asset Class Exposure and Contribution to Risk Contribution to Risk 10 Yr Equiv Gross % Notional 70 % 63.65 % 63.89 % 60 % 50 % 40 % 30 % 25.96 % 21.90 % 20 % 16.48 % 10 % 8.03 % 10.43 % 2.35 % 0 % Credit Oriented Fixed Income Global Equity Real Assets Risk Reduction & Mitigation Page 3 of 5

Sensitivity Plan vs Policy Total Plan Assets Plan Assets Equities DN 30% Equities DN 10% Equities UP 10% Equities UP 30% IR Prl +100bps all IR Prl 100bps all IR Steepening all IR Flattening all NM Strategy 100% 19.36% 6.39% 6.32% 18.86% 1.52% 1.51% 1.01% 0.28% Credit Oriented Fixed Income 10.57 % (0.55 %) (8 %) 4 % 0.38 % (0.22 %) 0.23 % (3 %) 3 % Global Equity 53 % (15.67 %) (5.22 %) 5.21 % 15.61 % 1 % (1 %) 1 % (1 %) Real Assets 11.87 % (3.12 %) (0.99 %) 0.97 % 2.84 % 3 % (3 %) 1 % 0 % Risk Reduction & Mitigation 27.53 % (2 %) (1 %) 1 % 2 % (1.34 %) 1.32 % (0.90 %) 0.25 % Total Plan Assets PnL (%) 25.00% 18.86% 15.00% 5.00% 6.32% 1.51% 0.28% 5.00% 15.00% 6.39% 1.52% 1.01% 19.36% 25.00% Equities DN 30% Equities DN 10% Equities UP 10% Equities UP 30% IR Prl +100bps all IR Prl 100bps all IR Steepening all IR Flattening all Plan Sensitivity 19.36% 6.39% 6.32% 18.86% 1.52% 1.51% 1.01% 0.28% Page 4 of 5

Correlation by Asset Class Credit Oriented Fixed Income Global Equity Real Assets Risk Reduction & Mitigation TOTAL Credit Oriented Fixed Income 1.00 0.54 0.93 0.21 0.77 Global Equity 0.54 1.00 0.69-6 0.94 Real Assets 0.93 0.69 1.00 4 0.88 Risk Reduction & Mitigation 0.21-6 4 1.00 3 TOTAL 0.77 0.94 0.88 3 1.00 Page 5 of 5

April Rebalance Update Rebalance to Implement New Strategic Asset Allocation - April 2017 Asset Class Physical Exposure Targeted Trade Amount Exposure Post Rebalance Rebalance Range Notes Global Equity 49.93% $398 47.74% 38.5% - 48.5% Equity Transition U.S. & Non-U.S. Equity Composite $398 Risk Reduction & Mitigation* 27.30% $359 24.45% 18.5% - 24.5% Domestic Core Fixed Income $378 Equity sales from transition & SAA SAA Implementation Plan BlackRock & Mackay Shields - SAA Cash -$19 Cash for funding SAA SAA Implementation Credit Oriented Fixed Income 10.43% -$351 12.79% 11.0% - 19.0% Plan Leveraged Loans/Structured Credit -$156 CVC & Ellington - SAA High Yield Composite -$60 Guggenheim - SAA Emerging Market Debt Composite -$60 Lazard - SAA Hedged Credit Composite -$75 Napier Park - SAA SAA Implementation Real Assets 11.54% -$406 14.31% 16.0% - 24.0% Plan REIT Composite $141 RFP REIT Composite -$457 RFP - DFA & SC - SAA SAA Implementation Listed Infrastructure -$90 Plan - Deutsche Bank *Cash is a portion of the Risk Reduction & Mitigation Composite & PERA's operating cash at STO

Attestation Memo May 19 th 2017 Public Employees Retirement Association of New Mexico EnCap Energy Capital Fund XI Summary of the recommendation with strategy and deal size Albourne, as the Real Assets consultant to the New Mexico Public Employees Retirement Association ( NMPERA ), works with NMPERA senior staff to develop and implement investment strategies suitable for the inflation sensitive Real Assets Portfolio. As part of our ongoing discussions with NMPERA staff, Albourne has completed due diligence on Encap Energy Capital Fund XI ( EnCap or the Fund ) and EnCap Investments (the Manager ) for potential inclusion in the NMPERA Real Assets Portfolio. The purpose of this memo is to provide Albourne s opinion of the Manager, as more fully discussed in Albourne s Investment Due Diligence report and other supporting Albourne reports on Encap. Albourne supports the proposed allocation of up to $100m to Fund as part of a broader diversified real assets portfolio. EnCap's investment strategy is to provide equity commitments to high quality management teams which invest largely in oil & gas assets through two strategies: higher risk lease & drill, and lower risk acquire & exploitation. EnCap benefits from wide industry recognition and has attracted strong caliber management teams. The active portfolio has numerous operating partners, which likely means that some teams are better quality than others. Thus, EnCap's ability to increase or fully commitment funding to its management teams with the best economic investment opportunities and cease funding to those with poor opportunities allows the funds to maximize returns potential. Many of the management teams come from large public independent oil & gas companies which have chosen to become entrepreneurs. The Fund will target commitments of $200m to $500m per transaction. EnCap is typically the lead investor and maintains board control over its companies. The Firm will play a key role in setting the company strategy but will generally leave company operations and leasing and drilling decisions to management. EnCap is actively engaged in risk management, capital allocation, capital structure and hedging policies. Summary of key benefits Albourne supports a proposed allocation of up to $100 million for EnCap investment strategy for the following main reasons: The allocation will meet the investment criteria and overall portfolio objectives of NMPERA by extending and improving the portfolio s existing energy profile across the market cycle, through a high quality market leading entity. The allocation will improve the overall pacing of the Real Assets portfolio, moving NMPERA closer to its target allocation and maintaining a level of liquidity that could allow for future adjustments to portfolio construction. For the exclusive use of Public Employees Retirement Association of New Mexico

Attestation Memo Summary of key concerns (attributes and issues) No investment is without risk. The objective of the selection process is to improve the probability of success in an investment strategy within a predefined portfolio objective. As such, Albourne believes the Manager exhibits the following strengths and issues above that highlighted in the full due diligence report available to staff. Strengths Long track record with strong returns: EnCap's track record spans over 25 years with very strong results. Its multiple of invested capital (MoIC) and distributions are particularly impressive relative to its peers'. The loss rates are also low even through the 2008 collapse in crude oil and natural gas prices. Because of its early shift from acquire & exploit to lease & drill, and backing of high quality teams, EnCap entered attractive emerging plays prized by strategics. Note one exception to its track record is that Fund VIII (2010) is underperforming. EnCap Flatrock midstream: There are strong strategic, industry insight, and structuring benefits in understanding both upstream and midstream segments given the greater interconnectedness of the two parts of the value chain since the rise of resource plays. The Flatrock team helps the Fund avoid certain contracting pitfalls and can help its upstream operators get product to market. The midstream activities are managed by a separate investment team with oversight by the EnCap Principals on the Flatrock Investment Committee. "Repeat" management team investments: The Fund will continue EnCap's approach to backing repeat management teams. Within the past few funds, ~50% of the funds' capital was committed to repeat management teams. The ability to work with prior successful teams mitigates some of the blind pool risk and interoperability risks. In-house technical team: The Manager has had in-house technical staff for 20 years and various technically-trained investment staff. Since 2014, EnCap has bolstered its technical team to a team of six to enhance its technical data analytics. Team continuity and generational planning: The senior team has worked together for many years, and there has been very limited turnover at the senior and mid-levels. The four founders/principals still lead the firm but have paved the way for the future leadership. See Dyal sale in Issues below. Issues Growth in fund sizes: Fund and transactions sizes have grown significantly. Some commitments to a single management team have exceeded $500m. Positively, EnCap has demonstrated exits/monetizations from some of its largest investments thus far and it is notable that the industry has become much more capital intensive when drilling in the resource plays. Fund size and allocations are in line with industry growth. Management teams competing against one another: Partly as a function of the growth in transaction sizes and the industry's focus on certain key basins, EnCap often has various management teams operating in the same basins, sometimes competing for the same assets. Based on prior reference checks with management teams, EnCap has done a good job at minimizing and resolving such conflicts. For the exclusive use of Public Employees Retirement Association of New Mexico

Attestation Memo Rapid fundraising cycles and large active/unfunded portfolio: EnCap's fundraising cycles have averaged ~2 years, far more rapidly than that of peers. EnCap has ~50 active companies totalling $10.4bn of invested capital across its active upstream funds. Senior management may be preoccupied in managing these investments while making new investments. The gap between management team commitments and invested capital has historically been high, but has allowed EnCap to evade some vintage year concentration risks. Dyal vs. senior ownership: The Founders' and other staff's ownership will transition to ~17% and 58% interest over time. While Dyal's ownership stake should have limited impact on the Manager, it may be worthwhile to monitor. Cross-fund exposures: Occasionally, there will be cross-fund investments across the EnCap funds, with Flatrock funds, and with Flatrock upstream/midstream partnerships. These exposures can pose transfer pricing risks as well as conflicts of interest. EnCap states that third-party valuations, its LPAC, and the portfolio company boards mitigate some conflicts. Ownership: 75% owned by EnCap s senior employee group, including: - The Founding Partners (Miller, Petersen, Philips and Zorich) 55.5% - The Managing Partners (DeLorenzo, Markham, and Swanson) 14% - Other EnCap Partners (Jason McMahon, Sean Smith and Wynne Snoots) 5.5% 25% owned by Dyal Manager AUM: USD 27,200m (Feb 2017) Manager Inception:1988 Main Office: Dallas, Texas Staff: 65/29 (Total/Non-Investment) Summary of portfolio fit: Encap is a highly rated fund within Albourne s existing due diligence framework. The allocation will act as a core position in the portfolio s exploration and production (E&P) segment within the Energy sector. Complementing existing energy and infrastructure exposure. Many of the existing energy strategies can invest in production and midstream related assets; thus, there is likely to be a higher correlation with respect to these assets and the profile provided by EnCap. However, EnCap sets itself apart as one of a handful of established players in the E&P sector with a long track record of strong performance in the energy space. The firm has a 28-year track record of making oil & gas investments. They have demonstrated the ability to manage progressively larger teams and transactions as the sector continues to evolve in the US managing through past and current energy cycles. EnCap also has integration of the combined exposure of production and midstream allocating accordingly to the best opportunities in each sub-strategy rather than a forced allocation due to structure. The primary vintage also ties in well with existing investment to ensure a high probability of cash flows meeting the longer-term portfolio requirements due to existing allocations with the Manager. The allocation will likely lead to future portfolio rationalization as exposures and profiles are reviewed and monitored going forward. For the exclusive use of Public Employees Retirement Association of New Mexico

Attestation Memo Summary of universe and fund selection process Albourne covers a universe of more than 600 liquid and illiquid funds in the energy sector across 300 plus management firms. This includes a wide range of opportunities across the energy spectrum. Consideration is given to strategy, team, performance, risk, and terms. Attributes are aligned with key success factors for the strategy as determined through time and considered for the current market environment. Consideration was given to the nature of the existing relationship and portfolio fit both currently and projected against future allocations. The evaluation was matched against 12 funds that currently, or will be soon, in the market and meet the highest standards established by the above-mentioned criteria. Encap, with an established relationship with NMPERA was selected as it met the high standards of the criteria and formed a quality base allocation that is accretive to the objectives of the Real Assets portfolio. Albourne Check List: This checklist represents a partial summary of the work undertaken by Albourne America LLC, in reviewing this fund. Summary of Albourne Review: - Investment strategy review: COMPLETE - Operational due diligence review: COMPLETE - IT systems review: COMPLETE - Compliance and Media Searches: COMPLETE - Reference checks: COMPLETE - Performance review: COMPLETE - Financial Statement review: COMPLETE - Legal Document review: COMPLETE - Onsite due diligence visit: COMPLETE - Newsletter review COMPLETE Please feel free to contact us if you have any questions. Sincerely, James Walsh Portfolio Analyst Mark White Portfolio Analyst For the exclusive use of Public Employees Retirement Association of New Mexico

Attestation Memo Disclosure of Potential Conflicts Albourne Partners Limited and/or its affiliates ( Albourne ) advises an entity that it believes (i) to be an affiliate of the management company of this Fund or (ii) has an economic interest in the revenues of the management company of this Fund. Albourne does not believe that this potential conflict of interest impacts its ability to provide objective advice regarding this Fund but is disclosing this to you nonetheless. Additionally, based on a review of Albourne s gifts logs for the period from 2012 to present, we disclose the following gratuities that were given by Encap to employees of the Albourne Group (which includes Albourne America LLC). - In October 2012, during a meeting with Encap, an employee of Albourne was provided lunch. The total value of the gratuities received by the employee in connection with the event was approximately $15. - In October 2014, an employee of Albourne was invited to attend an investor conference by Encap. The total value of the gratuities received by the employee in connection with the event was approximately $55. If you have any questions, please contact your Albourne client account manager. Important Notice The information in this report does not contain all material information about the fund that is the subject of this report, its investment manager, any of their affiliates or any other related entity to which this report relates, including important disclosures and risk factors associated with an investment in the fund. As used herein, the term Fund refers to (i) the specific fund that is the subject of this report, (ii) collectively, the specific fund that is the subject of this report, its investment manager, any of their affiliates or any other related entity to which this report relates, or (iii) investment funds generally, as the context requires. Before making an investment, Public Employees Retirement Association of New Mexico should obtain and carefully review the relevant fund offering documents before investing in the Fund mentioned herein, as such documents may contain important information needed to evaluate the investment and may provide important disclosures regarding risks, fees and expenses. Funds are speculative, involve a high degree of risk, and are illiquid. Past performance may not be indicative of future results and Public Employees Retirement Association of New Mexico could lose all or a substantial amount of any investment it makes in such Funds. Furthermore, Funds may involve complex tax structures and delays in the distribution of important tax information, may have a limited operating history, may be highly volatile, and there may not be a secondary market for Fund interests. There may be restrictions on redemptions and transfers of Fund interests and such interests may otherwise be illiquid. Funds may also be highly leveraged and may have a fund manager with total investment and/or trading authority over the Fund. It should also be noted that, in the case of hedge funds, there may be a single adviser applying generally similar trading programs with the potential for a lack of diversification and corresponding higher risk; hedge funds may also affect a substantial portion of trades on foreign exchanges, which have higher trading costs. This report, and the information contained herein, is confidential and for the sole use of Public Employees Retirement Association of New Mexico and its Approved Persons. This report may not be reproduced, distributed or transmitted in whole or in part to any third party, except as otherwise For the exclusive use of Public Employees Retirement Association of New Mexico

Attestation Memo permitted under the agreement between Albourne America LLC and Public Employees Retirement Association of New Mexico. For the exclusive use of Public Employees Retirement Association of New Mexico

MEMORANDUM TO: PERA Investment Committee Members FROM: TorreyCove Capital Partners ( TorreyCove ) DATE: May 16, 2017 RE: Fund-of-One in connection with Cerberus Residential Opportunity Fund, L.P. (the Fund ) Strategy: The Separate Account will focus primarily on the acquisition, pooling and securitization of residential reperforming loans ( RPLs ), defined as a loan where the borrower had previously gone delinquent, had their loan modified, and returned to being current on the mortgage. Cerberus plans to execute six securitizations in North America and six in Europe each year while the opportunity is still attractive. Please see the attached investment memorandum for further detail on the investment opportunity. Portfolio Fit: An investment would be complimentary to the existing NM PERA credit portfolio. The Fund will provide exposure to a market segment, re-performing loans, which is not directly pursued in other areas. The returns which Cerberus has been able to generate through its residential mortgage back security investing historically is attractive, and should provide a return stream that is not highly correlated with certain other asset classes. As such, the Fund will provide the overall portfolio with a further degree of diversification. Finally, this commitment would be to a General Partner with whom NM PERA has an existing relationship, having invested in Cerberus Investment Partners IV, a 2006 vintage private equity and distressed debt fund. Allocation: A new commitment to the Funds would be allocated 100% to the credit investment asset type. It is important to note that since allocation is based on fair market value, a commitment to the Funds would not have an immediate impact on NM PERA s current portfolio allocation. Conclusion: The Fund offers NM PERA an opportunity to participate in a differentiated portfolio of investments with relatively attractive overall terms. TorreyCove s review of the General Partner and the proposed Fund indicates that the potential returns available justify the risks associated with an investment. TorreyCove recommends that NM PERA make a commitment of up to $100 million to the Fund. TorreyCove s recommendation is contingent upon the following: (1) Satisfactory negotiation or clarification of certain terms of the investment; (2) Satisfactory completion of legal documents; (3) Satisfactory continuation and finalization of due diligence; (4) No material changes to the investment opportunity as presented; and

(5) Confidentiality maintained regarding the commitment of NM PERA to the Partnerships until such time as all the preceding conditions are met. (6) To be funded according to PERA s cash plan.

New Mexico PERA Q3 FY17 Investment Performance Review May 2017 Eileen L. Neill, CFA Managing Director Thomas Toth, CFA Managing Director

Total Fund Asset Allocation* Total Fund Market Value (3/31/17): $14.7 Billion STO Cash Balance: $119.4 Million Previous Quarter Market Value (12/31/16): $14.2 Billion Change from previous quarter: +$456.8 Million: $149.8 Million in net distributions $606.6 Million in investment gains 6% 5% 43.5% 50.3% Policy Actual 4% 3% 27.5% 2% 1% 21.5% 15.0% 10.5% 2% 11.6% % Global Equity Risk Reduction & Mitigation Credit Oriented Fixed Income Real Assets * The Board adopted a new asset allocation as of April 28 th, 2016, therefore the policy index and actual portfolio are likely to have some degree of mismatch as the transition to the new asset allocation takes place. 2

Total Fund Performance as of 3/31/17 Quarter Fiscal YTD 1 Year 3 Years 5 Years 10 Years Since Inception NM PERA Total Fund 4.24% 8.06% 9.92% 4.75% 7.49% 4.18% 8.75% Policy 4.08% 8.53% 11.33% 5.52% 7.35% 5.10% 8.97% Value Added 6% (0.47%) (1.41%) (0.77%) 4% (0.92%) (0.22%) Universe ranking 51st 78th 81st 81st 71st 95th Beta 1.03 1.13 1.08 1.09 Information Ratio 2 0.48 0 1.00 Sharpe Ratio 2.90 0.76 1.14 0.25 Index Sharpe Ratio 4.00 1.01 1.27 0.42 Standard Deviation 3.39 6.03 6.43 11.04 Index Standard Deviation 2.59 5.19 5.86 11 Performance shown is net of fees. GOF universe ranking based on public plans > $1bn. 3

Total Fund Composites Quarter CYTD FYTD 1 Year Since Inception NM PERA Total Fund 4.24% 4.24% 8.06% 9.92% 8.75% Policy 4.08% 4.08% 8.53% 11.33% 8.97% Value Added 6% 6% (0.47%) (1.41%) (0.22%) Universe ranking 51st 51st 78th 81st Beta 1.03 Information Ratio 2 Sharpe Ratio 2.90 Index Sharpe Ratio 4.00 Standard Deviation 3.39 Index Standard Deviation 2.59 Quarter CYTD FYTD 1 Year Since Inception Global Equity 6.80% 6.80% 14.06% 15.42% 6.18% Policy Index 6.15% 6.15% 12.54% 14.76% 6.51% Value Added 0.65% 0.65% 1.52% 0.66% (0.33%) Risk Reduction & Mitigation 0.79% 0.79% (1.17%) 1.10% 3.04% Policy Index 0.76% 0.76% (1.65%) 0.52% 2.43% Value Added 3% 3% 0.48% 0.58% 0.61% Credit Oriented Fixed Income 2.62% 2.62% 6.54% 9.32% 4.64% Policy Index 2.16% 2.16% 8.43% 13.34% 6.51% Value Added 0.46% 0.46% (1.89%) (4.02%) (1.87%) Real Assets 3.39% 3.39% 7.40% 9.88% 3.27% Custom Benchmark 4.62% 4.62% 11.30% 13.81% 4.57% Value Added (1.23%) (1.23%) (3.90%) (3.93%) (1.30%) 4

Total Fund Attribution for Q3FY17 Attribution 3 Month Attribution NM PERA Policy Active Policy Inter Mgr. Weight Return Weight Return Weight Return Mix action Select Total Global Public Stock Equity 41 7.47 28.28 6.79 11.83 0.68 0.33 8 9 0.60 Global Low Vol 3.51 6.10 4.35 5.80 0.84 0.30 3 0 1 2 Hedged Equity 1.62 3.88 2.18 3.81 0.56 6 0 0 0 0 Private Equity 4.56 2.73 8.70 4.72 4.14 1.99 4 9 8 3 Domestic Core FI Comp 22.78 0.89 18.49 0.82 4.29 7 4 0 1 2 Global Core Fixed Inc Comp 3.17 0.90 2.58 0.45 0.59 0.45 2 0 1 1 Cash Comp 2.31 4 0.43 0 1.88 4 7 0 0 7 Liquid Credit Comp 3.12 2.71 3.00 3.17 2 0.46 0 0 1 2 EMD Comp 2.96 2.27 3.00 3.94 4 1.67 0 0 5 5 Illiquid Credit 4.19 2.92 9.00 8 4.81 2.74 8 4 0.25 0.30 Liquid Real Estate 1.72 1.36 1.00 1.05 0.72 0.31 2 0 0 2 Illiquid Real Estate 1.99 3.55 7.60 2.33 5.61 1.22 9 7 0 2 Liquid Real Assets 2.11 4.34 2.00 3.94 1 0.40 0 0 1 1 Illiquid Real Assets 4.51 4.72 8.40 7.63 3.89 2.91 5 2 0.26 0.29 Market Neutral HF 1.33 1.40 1.00 0.75 0.33 0.65 1 0 1 0 Total B/H 10 4.29 10 3.99 0.31 4 9 8 0.31 Trading 0 0 0 Total 4.29 0.31 0.31 5

Financial Reconciliation and Schedule of Investable Assets 3/31/17 Financial Reconciliation Quarter to Date Beg. Market Value $(000) Contributions $(000) Distributions $(000) Fees $(000) Return on Investment $(000) End Market Value $(000) NM PERA Total Fund $ 14,211,348 $ 3,886 $ (148,196) $ (5,459) $ 606,554 $ 14,668,133 NM PERA Total Fund ex Alt $ 11,423,489 #REF! $ (118,169) $ (3,533) $ 235,287 #REF! NM PERA Total Fund Schedule of Investable Assets Quarter to Date Periods Beg. Market Value $(000) Net Cash Flow $(000) Gain/Loss $(000) End Market Value $(000) Time Wtd Return (%) Unit Value QTD $ 14,211,348 $ (149,769) $ 606,554 $ 14,668,133 4.24 104.24 Performance shown is net of fees. 6

Universe Comparison Wilshire's Trust Universe Comparison Service (Wilshire TUCS ) is a collaborative effort between Wilshire Associates and custodial organizations. Custodians submit asset positions and performance data to be pooled into universes of managed taxexempt portfolios. Wilshire TUCS is the most widely accepted benchmark for the performance of institutional assets. It provides comprehensive information on the effects of risk, allocation, and style, creating powerful decision-making tools based on accurate and timely information. 7

Total Fund Universe Comparison (GOF) All Public 8

Total Fund Universe Comparison (GOF) Public Plans > $1 Billion 9

Total Fund Universe Comparison (GOF) Public Plans > $5 Billion 10

Global Equity

Global Equity Structure (3/31/17) Manager GLOBAL EQUITY Benchmark Market Value $(000) Actual % SSgA ACWI IMI Index MSCI ACWI IMI Index $ 3,074,053 47.5% Global Equity Overlay n/a $ 162,852 2.5% BlackRock MSCI ACWI Minimum Volatility MSCI ACWI Min Vol Index $ 667,507 10.3% SSgA Russell 1000 Index Russell 1000 $ 411,598 6.4% AQR Alphaport Russell 3000 + 1% $ 488,156 7.5% Portable Alpha S&P 500 + 3% $ 57,121 0.9% TimesSquare SMID Growth Russell 2500 Growth $ 118,111 1.8% DFA US Targeted Value Russell 2000 Value $ 185,815 2.9% RBC GAM Small Growth Russell 2000 Growth $ 100,393 1.5% NT MSCI ACWI x US Index MSCI ACWI ex US $ 319,672 4.9% KBI Global Investors EAFE Dev MSCI EAFE Value $ 150,260 2.3% MFS International Value MSCI EAFE Value $ 148,893 2.3% Principal International Small Cap MSCI World ex US Small $ 116,580 1.8% Schroder International Small MSCI EAFE Small $ 116,569 1.8% Aberdeen Emerging Markets MSCI Emerging Markets $ 175,181 2.7% Parametric Emerging Markets MSCI Emerging Markets $ 179,681 2.8% BlackRock Equity Transition n/a $ 5,274 % Global Public Equity Composite 65% MSCI ACWI IMI ($n) / 10% MSCI ACWI Min Vol ($n) $ 6,477,716 87.7% Hedged Equity Composite 5% HFRI Equity Hedge (Total) $ 240,454 3.3% Private Equity Composite 20% Russell 3000 + 3% $ 665,498 9.0% TOTAL GLOBAL EQUITY COMPOSITE $ 7,383,668 12

Global Public Equity Region Allocation Region NM PERA MSCI ACWI Over / Under weight Europe 22.6% 20.7% 1.9% Pacific Basin 13.7% 11.7% 2.0% Emerging Markets 20.2% 11.2% 9.0% U.S.A. 41.1% 53.2% 12.1% Canada 1.9% 3.2% 1.3% Total 100% 100% 13

Global Equity Composite Performance Quarter CYTD FYTD 1 Year Since Inception GLOBAL EQUITY 6.80% 6.80% 14.06% 15.42% 6.18% Policy Index 6.15% 6.15% 12.54% 14.76% 6.51% Value Added 0.65% 0.65% 1.52% 0.66% (0.33%) Beta 1.13 Information Ratio 4 Sharpe Ratio 2.99 Index Sharpe Ratio 3.58 Standard Deviation 5.14 Index Standard Deviation 3.82 Global Public Stock 7.43% 7.43% 14.97% 16.42% 9.62% Policy Index 6.79% 6.79% 14.16% 15.52% 9.97% Value Added 0.64% 0.64% 0.81% 0.90% (0.35%) Beta 1.03 Information Ratio 0.30 Sharpe Ratio 2.80 Index Sharpe Ratio 2.56 Standard Deviation 5.83 Index Standard Deviation 5.64 Hedged Equity Composite 3.88% 3.88% 6.69% 9.66% (1.50%) HFRI Equity Hedge (Total) Idx 3.81% 3.81% 8.61% 14.32% 1.47% Value Added 7% 7% (1.92%) (4.66%) (2.97%) Beta 1 Information Ratio 0.20 Sharpe Ratio 3.95 Index Sharpe Ratio 3.49 Standard Deviation 2.43 Index Standard Deviation 3.81 Private Equity Composite 2.90% 2.90% 9.11% 10.60% 11.57% Russell 3000 + 3% (1Q lag) 4.73% 4.73% 13.16% 15.74% 8.94% Value Added (1.83%) (1.83%) (4.05%) (5.14%) 2.63% Beta 0.55 Information Ratio 1.86 Sharpe Ratio 6.25 Index Sharpe Ratio 5.48 Standard Deviation 1.64 Index Standard Deviation 2.79 14

Global Public Stock Performance Quarter CYTD FYTD 1 Year Since Inception Market Value $(000) GLOBAL PUBLIC STOCK 7.43% 7.43% 14.97% 16.42% 9.62% $ 5,810,209 Policy Index 6.79% 6.79% 14.16% 15.52% 9.97% Value Added 0.64% 0.64% 0.81% 0.90% (0.35%) Beta 1.03 Information Ratio 0.30 Sharpe Ratio 2.80 Index Sharpe Ratio 2.56 Standard Deviation 5.83 Index Standard Deviation 5.64 BlackRock MSCI ACWI Minimum Volatility 6.09% 6.09% $ 667,507 MSCI ACWI Min Vol ($n) 5.80% 5.80% Value Added 0.29% 0.29% Beta Information Ratio Sharpe Ratio Index Sharpe Ratio Standard Deviation Index Standard Deviation SSgA ACWI IMI Index Fund 6.92% 8.54% $ 3,074,053 MSCI AC World IMI Index ($n) 6.79% 8.14% Value Added 3% 0.40% Beta Information Ratio Sharpe Ratio Index Sharpe Ratio Standard Deviation Index Standard Deviation BlackRock Equity Transition $ 5,274 15

Domestic Equity Composite (GOF) TUCS Universe: All Public Plans > $1 Billion 16

Domestic Equity Performance Large Cap Quarter Fiscal YTD 1 Year 3 Years 5 Years 10 Years Since Inception Market Value $(000) Domestic Equity Composite 4.98% 14.80% 17.70% 8.91% 13.47% 7.59% 11.16% $ 1,361,194 Russell 3000 5.74% 15.04% 18.07% 9.76% 13.18% 7.54% 10.68% Value Added (0.76%) (0.24%) (0.37%) (0.85%) 0.29% 5% 0.48% Universe ranking 79th 52nd 45th 45th 8th 5th Beta 1.07 1.03 1.03 1.03 Information Ratio 6 0.68 0.23 7 Sharpe Ratio 2.55 0.80 1.24 0.38 Index Sharpe Ratio 2.62 0.89 1.25 0.43 Standard Deviation 6.92 10.95 10.79 16.36 Index Standard Deviation 6.44 10.55 10.36 15.84 Large Cap Equity Comp 6.40% 14.57% 17.44% 13% 13.95% 7.49% 10.56% $ 468,719 Russell 1000 6.03% 14.52% 17.43% 9.99% 13.26% 7.58% 10.79% Value Added 0.37% 5% 1% 4% 0.69% (9%) (0.23%) Universe Ranking 24th 52nd 42nd 39th 18th 51st Beta 1.02 1.00 1.00 1.01 Information Ratio 1 0.37 1.18 3 Sharpe Ratio 2.78 0.96 1.34 0.39 Index Sharpe Ratio 2.66 0.93 1.27 0.44 Standard Deviation 6.24 10.41 10.27 15.82 Index Standard Deviation 6.13 10.37 10.21 15.59 SSgA Russell 1000 Index Fund 6.31% 14.35% 17.22% 9.90% 13.19% 15.44% $ 411,598 Russell 1000 6.03% 14.52% 17.43% 9.99% 13.26% 15.53% Value Added 0.28% (7%) (0.21%) (9%) (7%) (9%) Portable Alpha Composite 7.36% 18.31% 21.41% 11.03% 16.14% 5.96% $ 57,121 Custom Policy + 3% 6.81% 16.61% 27% 13.37% 16.38% 14% Value Added 0.55% 1.70% 1.24% (2.34%) (0.24%) (4.08%) AQR Alphaport 5.87% 15.00% 17.91% 18.01% $ 488,156 Russell 3000 + 1% 5.99% 15.79% 19.07% 18.08% Value Added (2%) (0.79%) (1.16%) (7%) Performance shown is net of fees. Universe rankings based on GOF returns. 17

Domestic Equity Performance SMID Cap Quarter Fiscal YTD 1 Year 3 Years 5 Years 10 Years Since Inception Market Value $(000) Small/Mid Cap Equity Comp 1.84% 17.00% 21% 6.01% 12.27% 8.01% 13.07% $ 404,319 Russell 2500 3.76% 17.34% 21.53% 7.43% 12.61% 7.71% 11.03% Value Added (1.92%) (0.34%) (1.52%) (1.42%) (0.34%) 0.30% 2.04% Universe Ranking 44th 71st 80th 75th 55th 81st Beta 1.06 1.03 1.04 0.96 Information Ratio 9 0.50 3 0.25 Sharpe Ratio 1.81 0.42 0.91 0.36 Index Sharpe Ratio 2.01 0.54 0.98 0.37 Standard Deviation 10.99 14.04 13.33 18.50 Index Standard Deviation 17 13.35 12.60 19.02 DFA US Targeted Value 0.30% 23.94% 25.49% 6.65% 13.35% 13.58% $ 185,815 Russell 2000 Value (3%) 24.03% 29.37% 7.62% 12.54% 12.87% Value Added 0.43% (9%) (3.88%) (0.97%) 0.81% 0.71% Universe Ranking 57th 22nd 38th 65th 45th Beta 1.05 0.99 1.02 Information Ratio 0.21 0.27 0.23 Sharpe Ratio 1.71 0.42 0.91 Index Sharpe Ratio 2.00 0.48 0.88 Standard Deviation 14.83 15.40 14.59 Index Standard Deviation 13.82 15.15 13.91 Performance shown is net of fees. Universe rankings based on GOF returns. 18

Domestic Equity Performance SMID Cap, cont. Quarter Fiscal YTD 1 Year 3 Years 5 Years 10 Years Since Inception Market Value $(000) TimesSquare SMID Cap Growth 6.03% 12.13% 15.96% 4.28% 11.28% 11% 11.05% $ 118,111 Russell 2500 Growth 6.25% 16.62% 19.77% 7.23% 12.17% 8.47% 9.52% Value Added (0.22%) (4.49%) (3.81%) (2.95%) (0.89%) 1.64% 1.53% Universe Ranking 79th 67th 44th 81st 35th 9th Beta 0.80 0.88 0.90 0.89 Information Ratio 0.21 0.87 0.26 0.90 Sharpe Ratio 1.83 0.32 0.89 0.49 Index Sharpe Ratio 1.76 0.48 0.88 0.39 Standard Deviation 8.67 12.94 12.51 17.81 Index Standard Deviation 10.53 14.37 13.52 19.63 RBC GAM Small Cap Growth 2% 11.69% 15.29% 5.83% 12.25% 9.36% 9.39% $ 100,393 Russell 2000 Growth 5.35% 19.17% 23.03% 6.72% 12.10% 8.05% 9.01% Value Added (5.33%) (7.48%) (7.74%) (0.89%) 5% 1.31% 0.38% Universe Ranking 98th 92nd 88th 52nd 41st 21st Beta 0.83 0.80 0.82 0.83 Information Ratio 0.27 6 3 0.51 Sharpe Ratio 1.39 0.41 0.92 0.45 Index Sharpe Ratio 1.79 0.39 0.78 0.36 Standard Deviation 10.96 13.75 13.16 17.62 Index Standard Deviation 12.09 16.39 15.11 20.54 Performance shown is net of fees. Universe rankings based on GOF returns. 19

International Equity Composite (GOF) TUCS Universe: All Public Plans > $1 Billion 20

International Equity Performance Quarter Fiscal YTD 1 Year 3 Years 5 Years 10 Years Since Inception Market Value $(000) International Equity Composite 8.00% 13.23% 12.96% 1.39% 5.17% 0.61% 7.14% $ 1,212,110 MSCI ACWI ex US IMI ($n) 7.99% 13.78% 13.01% 0.82% 4.66% 1.59% 5.08% Value Added 1% (0.55%) (5%) 0.57% 0.51% (0.98%) 2.06% Universe Ranking 61st 43rd 52nd 52nd 72nd 78th Beta 0.96 0.97 0.98 0.97 Information Ratio 1 0.63 0.64 1.11 Sharpe Ratio 1.68 0 0.40 4 Index Sharpe Ratio 1.52 5 0.35 5 Standard Deviation 7.66 11.78 12.44 18.71 Index Standard Deviation 7.94 12.07 12.72 19.25 NT MSCI ACWI x US Index 8.07% 13.60% 13.04% 0.72% 4.61% 3.06% $ 319,672 MSCI ACWI x US ($n) 7.86% 13.87% 13.13% 0.56% 4.36% 2.80% Value Added 0.21% (0.27%) (9%) 6% 0.25% 0.26% Int'l Developed Equity Comp 7.71% 10.88% 9.34% 3.08% 7.29% 1.58% 3.04% $ 532,302 MSCI EAFE Index ($n) 7.24% 13.33% 11.67% 0.50% 5.83% 1.05% 2.65% Value Added 0.47% (2.45%) (2.33%) 2.58% 1.46% 0.53% 0.39% Universe Ranking 43rd 60th 65th 17th 25th 71st Beta 0.97 0.88 0.88 0.96 Information Ratio 3 0.87 0.55 0.44 Sharpe Ratio 1.04 0.27 0.61 1 Index Sharpe Ratio 1.25 3 0.43 2 Standard Deviation 8.93 10.86 11.73 18.05 Index Standard Deviation 8.62 12.05 13.10 18.63 Performance shown is net of fees. Universe rankings based on GOF returns. 21

International Equity Performance Developed Quarter Fiscal YTD 1 Year 3 Years 5 Years 10 Years Since Inception Market Value $(000) KBI Global Investors EAFE Dev 8.00% 14.84% 13.52% 0.68% 6.28% 4.95% $ 150,260 MSCI EAFE Value ($n) 6.05% 19.30% 15.98% (0.61%) 5.56% 3.90% Value Added 1.95% (4.46%) (2.46%) 1.29% 0.72% 1.05% Universe Ranking 41st 33rd 25th 67th 59th Beta 0.74 0.88 0.89 Information Ratio 9 0.36 0.23 Sharpe Ratio 1.66 4 0.48 Index Sharpe Ratio 1.57 6 0.38 Standard Deviation 8.10 11.81 12.90 Index Standard Deviation 9.48 12.93 14.24 MFS International Value Equity 6.39% 2.84% 4.07% 3.99% 9.48% 9.07% $ 148,893 MSCI EAFE Value ($n) 6.05% 19.30% 15.98% (0.61%) 5.56% 3.90% Value Added 0.34% (16.46%) (11.91%) 4.60% 3.92% 5.17% Universe Ranking 86th 99th 96th 5th 12th Beta 0.48 0.65 0.69 Information Ratio 0.24 0.61 0.56 Sharpe Ratio 0.46 0.37 0.83 Index Sharpe Ratio 1.57 6 0.38 Standard Deviation 8.76 10.24 11.25 Index Standard Deviation 9.48 12.93 14.24 Performance shown is net of fees. Universe rankings based on GOF returns. 22

International Equity Performance Small Cap Quarter Fiscal YTD 1 Year 3 Years 5 Years 10 Years Since Inception Market Value $(000) Principal International Small Cap 8.07% 13.02% 11.28% 4.34% 10.31% 4.42% $ 116,580 MSCI World ex USA Small ($n) 7.61% 13.03% 11.58% 2.70% 7.78% 3.36% Value Added 0.46% (1%) (0.30%) 1.64% 2.53% 1.06% Universe Ranking 59th 63rd 61st 46th 40th - Beta 0.97 0.96 0.95 Information Ratio 2 0.58 0.89 Sharpe Ratio 1.08 0.35 0.82 Index Sharpe Ratio 1.04 0.21 0.59 Standard Deviation 10.37 11.92 12.46 Index Standard Deviation 10.25 12.07 12.83 Schroder International Small 8.71% 14.99% 9.31% 3.55% 12.44% $ 116,569 MSCI EAFE Small ($n) 7.97% 13.95% 10.99% 3.60% 11.81% Value Added 0.74% 1.04% (1.68%) (5%) 0.63% Universe Ranking 47th 42nd 72nd 54th - - Beta 1.05 0.99 Information Ratio 9 2 Sharpe Ratio 0.79 0.28 Index Sharpe Ratio 0.94 0.28 Standard Deviation 11.72 12.00 Index Standard Deviation 10.74 11.90 Performance shown is net of fees. Universe rankings based on GOF returns. 23

International Equity Performance Emerging Markets Quarter Fiscal YTD 1 Year 3 Years 5 Years 10 Years Since Inception Market Value $(000) Emerging Markets Composite 10.74% 13.23% 16.31% 1.30% 1.98% 2.03% 4.16% $ 354,862 MSCI Emerging Markets ($n) 11.44% 16.44% 17.21% 1.17% 0.80% 2.72% 4.76% Value Added (0.70%) (3.21%) (0.90%) 3% 1.18% (0.69%) (0.60%) Universe Ranking 68th 68th 64th 65th 51st 83rd Beta 0.99 0.87 0.91 0.93 Information Ratio 5 3 0.35 0.31 Sharpe Ratio 1.51 8 3 3 Index Sharpe Ratio 1.55 6 4 9 Standard Deviation 10.75 14.17 14.13 22.08 Index Standard Deviation 10.35 15.86 15.19 23.42 Parametric Emerging Markets 9.83% 14.35% 15.81% 0.53% 2.13% 0.88% $ 179,681 MSCI Emerging Markets ($n) 11.44% 16.44% 17.21% 1.17% 0.80% (0.45%) Value Added (1.61%) (2.09%) (1.40%) (0.64%) 1.33% 1.33% Universe Ranking 80th 57th 63rd 66th 64th Beta 0.86 0.84 0.85 Information Ratio 7 6 0.36 Sharpe Ratio 1.65 3 5 Index Sharpe Ratio 1.55 6 4 Standard Deviation 9.51 13.64 13.32 Index Standard Deviation 10.35 15.86 15.19 Aberdeen Emerging Markets 11.70% 12.19% 16.88% 2.07% 1.95% 5.20% $ 175,181 MSCI Emerging Markets ($n) 11.44% 16.44% 17.21% 1.17% 0.80% 1.96% Value Added 0.26% (4.25%) (0.33%) 0.90% 1.15% 3.24% Universe Ranking 52nd 69th 55th 49th 66th Beta 1.11 0.90 0.95 Information Ratio 1 7 0.23 Sharpe Ratio 1.36 3 2 Index Sharpe Ratio 1.55 6 4 Standard Deviation 12.33 15.06 15.17 Index Standard Deviation 10.35 15.86 15.19 BlackRock Transition II - - - - - - - $ 5,274 Performance shown is net of fees. Universe rankings based on GOF returns. 24

Risk Reduction & Mitigation

Risk Reduction & Mitigation Investment Structure RISK REDUCTION & MITIGATION Manager Benchmark Market Value $(000) Actual % BlackRock Core Active Bloomberg U.S. Aggregate $ 1,267,033 38.4% MacKay Shields Core Inv Grade Bloomberg U.S. Aggregate $ 1,286,423 39.0% Prudential Core Conservative Bloomberg U.S. Aggregate $ 743,199 22.5% Domestic Core Fixed Income Comp $ 3,296,655 81.7% Manulife Core Global Aggregate Bloomberg Global Aggregate $ 459,019 Global Core Fixed Income Comp $ 459,019 11.4% Cash Composite 3 month Treasury Bills $ 281,127 7.0% 86% Bloomberg U.S. Aggregate / RISK REDUCTION & MITIGATION 12% Bloomberg Global Aggregate / COMPOSITE 2% 3 month Treasury Bills $ 4,036,801 26

Risk Reduction & Mitigation Composite Performance Quarter CYTD FYTD 1 Year Since Inception RISK REDUCTION & MITIGATION 0.79% 0.79% (1.17%) 1.10% 3.04% Policy Index 0.76% 0.76% (1.65%) 0.52% 2.43% Value Added 3% 3% 0.48% 0.58% 0.61% Beta 0.94 Information Ratio 0.24 Sharpe Ratio 0.35 Index Sharpe Ratio 5 Standard Deviation 2.95 Index Standard Deviation 3.10 Domestic Core Fixed Income 0.86% 0.86% (1.56%) 0.68% 4.51% Bloomberg US Agg Index 0.82% 0.82% (1.73%) 0.44% 3.52% Value Added 4% 4% 7% 0.24% 0.99% Beta 1.01 Information Ratio 0.32 Sharpe Ratio 9 Index Sharpe Ratio 2 Standard Deviation 3.25 Index Standard Deviation 3.22 Global Core Fixed Income 0.86% 0.86% (0.63%) 1.53% (1.79%) Bloomberg Global Agg Hedged 0.44% 0.44% (1.38%) 1.09% 1.19% Value Added 0.42% 0.42% 0.75% 0.44% (2.98%) Beta 0.95 Information Ratio 0.20 Sharpe Ratio 0.52 Index Sharpe Ratio 0.24 Standard Deviation 2.80 Index Standard Deviation 2.94 Cash Composite 3% 3% 2.83% 5.32% 5.24% 27

Domestic & Global Core Fixed Income Composite (GOF) TUCS Universe: All Public Plans > $1 Billion 28

Risk Reduction & Mitigation Performance Quarter Fiscal YTD 1 Year 3 Years 5 Years 10 Years Since Inception Market Value $(000) Core & Global Fixed Income 0.86% (1.45%) 0.79% 2.62% 3.17% 4.58% 6.89% $ 3,755,674 Policy Index 0.76% (1.68%) 0.54% 2.82% 2.31% 4.02% 6.72% Value Added 0% 0.23% 0.25% (0.20%) 0.86% 0.56% 7% Universe ranking 87th 87th 87th 72nd 40th 56th Beta 1.01 0.96 0.98 0.92 Information Ratio 0.31 0.32 0.73 0.52 Sharpe Ratio 0.22 0.88 0.98 0.81 Index Sharpe Ratio 6 0.91 0.73 0.92 Standard Deviation 3.18 2.79 3.11 3.98 Index Standard Deviation 3.15 2.85 2.93 3.59 BlackRock Core Active 1.00% (1.46%) 1.03% 3.17% 2.85% 4.95% 4.98% $ 1,267,033 Bloomberg Barclays Aggregate 0.82% (1.73%) 0.44% 2.68% 2.34% 4.27% 4.34% Value Added 8% 0.27% 0.59% 0.49% 0.51% 0.68% 0.64% Universe Ranking 63rd 69th 61st 34th 54th 33rd Beta 1.03 0.99 1.06 1.03 Information Ratio 0.41 1.15 0.84 1.85 Sharpe Ratio 0.29 1.04 0.88 1.03 Index Sharpe Ratio 2 0.85 0.76 1.08 Standard Deviation 3.32 2.89 3.09 3.47 Index Standard Deviation 3.22 2.89 2.86 3.27 MacKay Shields Core Inv Grade 0.77% (1.50%) 0.56% 2.46% 2.29% $ 1,286,423 Bloomberg Barclays Aggregate 0.82% (1.73%) 0.44% 2.68% 2.02% Value Added (5%) 0.23% 2% (0.22%) 0.27% Universe Ranking 85th 69th 75th 75th Beta 0.99 0.96 Information Ratio 3 0.71 Sharpe Ratio 5 0.82 Index Sharpe Ratio 2 0.85 Standard Deviation 3.18 2.78 Index Standard Deviation 3.22 2.89 Performance shown is net of fees. Universe rankings based on GOF returns. 29

Risk Reduction & Mitigation Performance Quarter Fiscal YTD 1 Year 3 Years 5 Years 10 Years Since Inception Market Value $(000) Prudential Core Conservative 0.80% (1.85%) 0.32% 3.03% 3.32% $ 743,199 Bloomberg Barclays Aggregate 0.82% (1.73%) 0.44% 2.68% 2.02% Value Added (2%) (2%) (2%) 0.35% 1.30% Universe Ranking 80th 83rd 85th 50th Beta 1.01 1.07 Information Ratio 0.20 0.56 Sharpe Ratio 0.70 0.91 Index Sharpe Ratio 2 0.85 Standard Deviation 3.26 3.15 Index Standard Deviation 3.22 2.89 Manulife Core Global Agg 0.86% (0.63%) 1.53% 2.40% 3.74% 3.73% $ 459,019 Bloomberg Global Agg Hdg 0.44% (1.38%) 1.09% 3.22% 2.97% 3.72% Value Added 0.42% 0.75% 0.44% (0.82%) 0.77% 1% Universe Ranking 85th 87th 76th 58th 52nd Beta 0.95 0.86 0.85 Information Ratio 0.20 0.80 0.39 Sharpe Ratio 0.52 0.88 1.18 Index Sharpe Ratio 0.24 0.99 0.95 Standard Deviation 2.80 2.53 3.04 Index Standard Deviation 2.94 2.73 2.76 Performance shown is net of fees. Universe rankings based on GOF returns. 30

Credit Oriented Fixed Income

Credit Oriented Fixed Income Investment Structure CREDIT ORIENTED FIXED INCOME Manager Benchmark Market Value $(000) Actual % Guggenheim Global High Yield Bloomberg Global High Yield $ 229,134 50.4% CVC Global Credit Opp Bloomberg Global High Yield $ 113,894 25.0% Ellington HF Bloomberg Global High Yield $ 100,272 22.0% HIG II Bloomberg Global High Yield $ 11,509 2.5% Liquid Credit Composite $ 454,809 29.5% Lazard Emerging Market Debt JP Morgan EMBI Global Div ($) $ 432,697 10% Emerging Market Debt Composite $ 432,697 28.1% Credit Oriented Hedge Funds HFRI Credit Index $ 340,083 22.1% Private Debt Bloomberg Global High Yield + 1% $ 150,358 9.8% Distressed Debt Bloomberg Global High Yield + 1% $ 163,809 10.6% Illiquid Credit Composite $ 654,250 42.4% 20% Bloomberg Global High Yield / 20% JP Morgan EMBI Global CREDIT ORIENTED FIXED INCOME Diversified ($) / 40% Bloomberg COMPOSITE Global High Yield + 1% / 20% HFRI $ 1,541,757 Credit Index 32

Credit Oriented Fixed Income Composite Performance Quarter CYTD FYTD 1 Year Since Inception CREDIT ORIENTED FIXED INCOME 2.62% 2.62% 6.54% 9.32% 4.64% Policy Index 2.16% 2.16% 8.43% 13.34% 6.51% Value Added 0.46% 0.46% (1.89%) (4.02%) (1.87%) Beta 4 Information Ratio 0.21 Sharpe Ratio 4.68 Index Sharpe Ratio 4.41 Standard Deviation 1.98 Index Standard Deviation 2.82 Liquid Credit Composite 2.65% 2.65% 7.23% 10.42% 5.16% Bloomberg Global HY Index 3.18% 3.18% 8.44% 13.25% 6.97% Value Added (0.53%) (0.53%) (1.21%) (2.83%) (1.81%) Beta 0.54 Information Ratio 0.22 Sharpe Ratio 4.07 Index Sharpe Ratio 2.69 Standard Deviation 2.54 Index Standard Deviation 4.54 Emerging Markets Debt Comp 2.27% 2.27% 4.95% 8.71% 8.06% JPM EMBI Global Diversified 3.86% 3.86% 3.71% 8.91% 10.30% Value Added (1.59%) (1.59%) 1.24% (0.20%) (2.24%) Beta 0.63 Information Ratio 1 Sharpe Ratio 2.03 Index Sharpe Ratio 1.27 Standard Deviation 4.26 Index Standard Deviation 6.38 Illiquid Credit Comp 2.83% 2.83% 6.27% 7.93% 3.92% Bloomberg Global HY + 1% (1QA) 8% 8% 10.51% 15.27% 6.86% Value Added 2.65% 2.65% (4.24%) (7.34%) (2.94%) Beta 0.27 Information Ratio 5 Sharpe Ratio 2.74 Index Sharpe Ratio 2.26 Standard Deviation 2.87 Index Standard Deviation 6.30 33

Credit Oriented Fixed Income Performance Quarter Fiscal YTD 1 Year 3 Years 5 Years 10 Years Since Inception Market Value $(000) CVC Global Credit Opportunities 4.95% 11.19% 18.07% 9.01% $ 113,894 Bloomberg Global High Yield 3.18% 8.44% 13.25% 14.08% Value Added 1.77% 2.75% 4.82% (5.07%) Beta 1 Information Ratio 5 Sharpe Ratio 5.70 Index Sharpe Ratio 2.70 Standard Deviation 3.16 Index Standard Deviation 4.54 Guggenheim Global High Yield 2.67% 9.68% 14.21% 10.88% $ 229,134 Bloomberg Global High Yield 3.18% 8.44% 13.25% 10.96% Value Added (0.51%) 1.24% 0.96% (8%) Beta 0.61 Information Ratio 8 Sharpe Ratio 4.67 Index Sharpe Ratio 2.70 Standard Deviation 3.03 Index Standard Deviation 4.54 Lazard Emerging Markets Debt 2.27% 4.95% 8.71% 8.06% $ 432,697 JPM EMBI Global Diversified 3.86% 3.71% 8.91% 10.30% Value Added (1.59%) 1.24% (0.20%) (2.24%) Beta 0.63 Information Ratio 1 Sharpe Ratio 2.03 Index Sharpe Ratio 1.27 Standard Deviation 4.26 Index Standard Deviation 6.38 Ellington HF 0.27% 0.27% $ 100,272 Bloomberg Global High Yield 3.18% 3.18% Value Added (2.91%) (2.91%) Napier Park LP 2.11% 2.11% $ 229,801 HFRI Credit Index (1M lag) 3.37% 3.37% Value Added (1.26%) (1.26%) Performance shown is net of fees. 34

Real Assets

Real Assets Investment Structure REAL ASSETS Manager/Composite Benchmark Market Value $(000) Actual % Liquid Real Assets 10% Alerian MLP Index $ 308,118 18.1% Illiquid Real Assets 42% Cambridge Natural Resources $ 663,880 38.9% Liquid Real Estate 5% Wilshire Global RESI $ 247,825 14.5% Illiquid Real Estate 38% NCREIF ODCE + 1% $ 292,098 17.1% Market Neutral Hedge Funds / Risk Premia 5% LIBOR + 2% $ 193,988 11.4% REAL ASSETS COMPOSITE $ 1,705,909 36

Real Assets Composite Performance Quarter CYTD FYTD 1 Year Since Inception REAL ASSETS 3.39% 3.39% 7.40% 9.88% 3.27% Policy Index 4.62% 4.62% 11.30% 13.81% 4.57% Value Added (1.23%) (1.23%) (3.90%) (3.93%) (1.30%) Beta 1 Information Ratio 2 Sharpe Ratio 2.70 Index Sharpe Ratio 2.50 Standard Deviation 3.64 Index Standard Deviation 5.11 Liquid Real Assets Comp 4.22% 4.22% 10.65% 33.19% (5.14%) Alerian MLP Index 3.95% 3.95% 7.21% 28.32% (3.97%) Value Added 0.27% 0.27% 3.44% 4.87% (1.17%) Beta 0.94 Information Ratio 0.23 Sharpe Ratio 2.59 Index Sharpe Ratio 2.02 Standard Deviation 12.81 Index Standard Deviation 13.17 Illiquid Real Assets Comp 4.60% 4.60% 13.19% 11.18% (2.10%) Policy Index 7.63% 7.63% 18.94% 16.70% (1.50%) Value Added (3.03%) (3.03%) (5.75%) (5.52%) (0.60%) Beta 3 Information Ratio 8 Sharpe Ratio 1.89 Index Sharpe Ratio 1.58 Standard Deviation 5.88 Index Standard Deviation 9.86 37

Real Assets Composite Performance, continued Quarter CYTD FYTD 1 Year Since Inception Liquid Real Estate Comp 1.32% 1.32% (2.11%) 1.09% 7.81% Policy Index 1.04% 1.04% (3.03%) 2.29% 6.63% Value Added 0.28% 0.28% 0.92% (1.20%) 1.18% Beta 0.97 Information Ratio 0 Sharpe Ratio 9 Index Sharpe Ratio 7 Standard Deviation 10.96 Index Standard Deviation 11.13 Illiquid Real Estate Comp 2.97% 2.97% 4.50% 6.81% 11.91% NCREIF ODCE + 1% (1Q lag) 2.34% 2.34% 7.18% 9.77% 12.51% Value Added 0.63% 0.63% (2.68%) (2.96%) (0.60%) Beta 8 Information Ratio 3 Sharpe Ratio 2.29 Index Sharpe Ratio 2.59 Standard Deviation 2.94 Index Standard Deviation 3.45 Market Neutral Hedge Fund Comp 1.40% 1.40% 3.49% 2.76% 0.91% LIBOR + 2% (1M lag) 0.75% 0.75% 2.17% 2.85% 2.67% Value Added 0.65% 0.65% 1.32% (9%) (1.76%) Beta 1.08 Information Ratio 4 Sharpe Ratio 1.20 Index Sharpe Ratio 30.62 Standard Deviation 2.00 Index Standard Deviation 8 38

Watch List

Watch List Criteria The following represent guidelines to be used in making a recommendation to the Investment Committee with regards to placing a traditional asset class manager on the Watch List: Test 1: If the manager s rolling three-year return (net of fees) falls below the rolling three-year benchmark return for three (3) consecutive quarters. Test 2: If the manager s rolling three-year return (gross of fees) for three (3) consecutive quarters ranks in the bottom third of the Consultant s peer group universe. Passive mandates have been excluded from the watch list analysis. For managers with less than three quarters of rolling three year history, composite returns are used prior to the fund s inception into the portfolio. 40

Watch List Domestic Equity Manager 3 years ending 3/31/2017 12/31/2016 9/30/2016 Pass Test? TimesSquare SMID Cap Growth 4.28 1.83 4.78 Russell 2500 Growth Index 7.23 5.45 7.43 Difference (2.95) (3.62) (2.65) No Universe Median 6.78 4.35 7.37 Manager Universe Ranking 81st 89th 81st No DFA US Targeted Value 6.65 7.21 6.41 Russell 2000 Value Index 7.62 8.31 6.77 Difference (0.97) (1.10) (0.36) No Universe Median 8.28 8.94 7.79 Manager Universe Ranking 65th 66th 70th Yes RBC GAM Small Cap Growth 5.83 5.21 6.61 Russell 2000 Growth Index 6.72 5.05 6.59 Difference (0.89) 6 2 Yes Universe Median 6.61 4.21 6.71 Manager Universe Ranking 52nd 36th 38th Yes Performance shown is net of fees. Universe rankings based on GOF returns. 41

Watch List Non-US Equity (Developed, Emerging) Manager 3 years ending 3/31/2017 12/31/2016 9/30/2016 Pass Test? KBI Global Investors EAFE Dev 0.68 (1.22) 0.66 MSCI EAFE Value Index ($n) (0.61) (2.14) (1.49) Difference 1.29 0.92 2.15 Yes Universe Median 1.56 (0.48) 2.46 Manager Universe Ranking 67th 57th 74th Yes MFS International Value Equity 3.99 2.25 6.84 MSCI EAFE Value Index ($n) (0.61) (2.14) (1.49) Difference 4.60 4.39 8.33 Yes Universe Median 1.56 (0.48) 2.46 Manager Universe Ranking 5th 10th 5th Yes Manager 3 years ending 3/31/2017 12/31/2016 9/30/2016 Pass Test? Parametric EM 0.53 (2.34) (0.65) MSCI EM Index ($n) 1.17 (2.56) (0.56) Difference (0.64) 0.22 (9) Yes Universe Median 2.38 (0.86) 1.12 Manager Universe Ranking 66th 66th 74th Yes Aberdeen Emerging Mkts Eq 2.07 (1.14) 0.46 MSCI EM Index ($n) 1.17 (2.56) (0.56) Difference 0.90 1.42 1.02 Yes Universe Median 2.38 (0.86) 1.12 Manager Universe Ranking 49th 46th 57th Yes Principal Int'l Small Cap Equity 4.34 3.06 7.15 MSCI World ex US Small ($n) 2.70 1.36 4.15 Difference 1.64 1.70 3.00 Yes Universe Median 4.63 2.89 6.00 Manager Universe Ranking 46th 37th 28th Yes Schroder Int'l Small Comp 3.55 2.40 6.64 MSCI EAFE Small Index ($n) 3.60 2.10 5.08 Difference (5) 0.30 1.56 Yes Universe Median 4.63 2.89 6.00 Manager Universe Ranking 54th 48th 33rd Yes Performance shown is net of fees. Universe rankings based on GOF returns. 42

Watch List Fixed Income (Core, Global) Manager 3 years ending 3/31/2017 12/31/2016 9/30/2016 Pass Test? BlackRock Core Active 3.17 3.55 4.58 Bloomberg Aggregate Bond Idx 2.68 3.03 4.03 Difference 0.49 0.52 0.55 Yes Universe Median 3.16 3.40 4.52 Manager Universe Ranking 34th 34th 37th Yes MacKay Shields Core Inv Grade 2.46 2.92 4.05 Bloomberg Aggregate Bond Idx 2.68 3.03 4.03 Difference (0.22) (1) 2 Yes Universe Median 3.16 3.40 4.52 Manager Universe Ranking 75th 65th 75th Yes Prudential Core Conservative 3.03 3.67 5.00 Bloomberg Aggregate Bond Idx 2.68 3.03 4.03 Difference 0.35 0.64 0.97 Yes Universe Median 3.16 3.40 4.52 Manager Universe Ranking 50th 26th 15th Yes Manulife Core Global Agg 2.40 2.93 4.34 Bloomberg Global Aggregate 3.22 3.73 4.63 Difference (0.82) (0.80) (0.29) No Universe Median 3.40 2.66 4.21 Manager Universe Ranking 58th 49th 44th Yes Performance shown is net of fees. Universe rankings based on GOF returns. 43

Placement Agent Disclosure

Placement Agent Disclosure As provided by New Mexico PERA 45

Placement Agent Disclosure, continued As provided by New Mexico PERA 46

Placement Agent Disclosure, continued As provided by New Mexico PERA 47

Placement Agent Disclosure, continued As provided by New Mexico PERA 48

Placement Agent Disclosure, continued As provided by New Mexico PERA 49

Placement Agent Disclosure, continued As provided by New Mexico PERA 50

Placement Agent Disclosure, continued As provided by New Mexico PERA 51

Placement Agent Disclosure, continued As provided by New Mexico PERA 52

Additional Information

Benchmarks NEW MEXICO PERA BENCHMARKS Global Equity 43.5% Global Public Stock MSCI ACWI IMI ($n) 65% 28.28% Global Low Volatility Equity MSCI ACWI Minimum Volatility ($n) 10% 4.35% Hedged Equity HFRI Equity Hedge (Total) Index 5% 2.18% Private Equity Russell 3000 + 3% 20% 8.70% Risk Reduction & Mitigation 21.5% Core Fixed Income Bloomberg U.S. Aggregate 86% 18.49% Global Core Fixed Income Bloomberg Global Aggregate 12% 2.58% Cash 3 Month Treasury Bills 2% 0.43% Credit Oriented Fixed Income 15.0% Liquid Credit Bloomberg Global High Yield 20% 3.00% Emerging Market Debt JP Morgan EMBI Global Diversified ($) 20% 3.00% Illiquid Credit Bloomberg Global High Yield + 1% 40% 6.00% Credit Oriented Hedge Funds HFRI Credit Index 20% 3.00% Real Assets 2% Liquid Real Estate Wilshire Global Real Estate Securities 5% 1.00% Illiquid Real Estate NCREIF ODCE + 1% 38% 7.60% Liquid Real Assets Alerian MLP Index 10% 2.00% Illiquid Real Assets Cambridge Natural Resources Index 42% 8.40% Market Neutral Hedge Funds/Risk Premia LIBOR + 2% 5% 1.00% 54

Total Fund Universe Comparison (NOF) All Public Plans 55

Total Fund Universe Comparison (NOF) Public Plans > $1 Billion 56

Total Fund Universe Comparison (NOF) Public Plans > $5 Billion 57