2019 INPRS UPDATEPension Management Oversight Committee

August 27, 2019

Steve RussoExecutive Director

About INPRSWith approximately $36B in assets, INPRS serves the retirement needs of approximately

465,000 members and more than 1,200 public employers Eight Defined Benefit Retirement Funds

Public Employees’ Defined Benefit Account (PERF DB) Teachers’ Pre-1996 Defined Benefit Account (TRF Pre-’96 DB) Teachers’ 1996 Defined Benefit Account (TRF ’96 DB) 1977 Police Officers’ and Firefighters’ Retirement Fund (’77 Fund) Judges Retirement System (JRS) Excise, Gaming and Conservation Officers’ Retirement Fund (EG&C) Prosecuting Attorneys’ Retirement Fund (PARF) Legislators’ Defined Benefit Fund (LE DB)

Five Defined Contribution Retirement Funds Public Employees’ Defined Contribution Plan (PERF DC) Teachers’ Defined Contribution Plan (TRF DC) My Choice: Retirement Savings Plan for Public Employees Legislators’ Defined Contribution Fund (LE DC) My Choice: Retirement Savings Plan for Teachers

Two Non-Retirement Funds Local Public Safety Pension Relief Fund Special Death Benefit Fund (SDBF)

One OPEB (Other Postemployment Benefits) Funds Retirement Medical Benefits Account (RMBA)

2

Agenda

General Update

National Trends

INPRS Requests For PMOC Consideration

3

INPRS – FY19 in ReviewINPRS’ managed pension plans remain well funded with no expected increase in 2021

employer contribution rates

Estimated aggregate funded status of the pre-funded defined benefit plans remained relatively unchanged from 88.3% to 88.1%

More than assumed employer contributions slightly outpaced less than assumed 5 year investment returns

TRF ’96 DB funded status increased from 98.5% to 101.3% due to the incremental $150M appropriation from the State Of Indiana

‘77 Fund funded status decreased from 102% to 98.6% due to granted benefit increases

Teacher Pre-‘96 Pay-Go plan remains stable with $10.7B in unfunded liabilities, projected peak appropriations in 2026 and projected 100% funded in 2038

4

FY2019 ActualChange In Net Position*

Net Assets – June 30, 2018 $34.2B

Contributions + $2.7BInvestment Income + $2.3B

Payments - $3.1B

Net Assets – June 30, 2019 $36.1B

* Preliminary unaudited results

5

INPRS’ Net Assets increased 6% from July 1, 2018 to June 30, 2019

Estimated Funded Statusas of June 30, 2019

6

$ in Millions1

Defined BenefitRetirement Plans

ActuarialAccruedLiability

ActuarialValue ofAssets

UnfundedActuarialAccruedLiability

FundedStatus

ActuarialAccruedLiability

ActuarialValue ofAssets

UnfundedActuarialAccruedLiability

FundedStatus

PERF 16,576.1$ 13,158.0$ 3,418.1$ 79.4% 16,091.4$ 12,823.9$ 3,267.5$ 79.7% TRF '96 5,980.4 6,056.3 (75.9) 101.3% 5,563.3 5,478.5 84.8 98.5% '77 Fund 6,389.0 6,299.8 89.2 98.6% 5,839.7 5,954.0 (114.3) 102.0%JRS 586.5 538.6 47.9 91.8% 547.6 516.7 30.9 94.4%EG&C 152.2 140.6 11.6 92.3% 140.0 132.4 7.6 94.6%PARF 110.1 64.9 45.2 59.0% 103.3 61.7 41.6 59.7%LE DB 3.3 3.0 0.3 90.0% 3.5 3.1 0.4 87.5%

Aggregate Pre-Funded Plans 29,797.6$ 26,261.2$ 3,536.4$ 88.1% 28,288.8$ 24,970.3$ 3,318.5$ 88.3%

TRF Pre-'96 (Pay-As-You-Go) 14,389.2 3,695.0 10,694.2 25.7% 14,583.2 3,721.3 10,861.9 25.5%

Aggregate All INPRS Plans 44,186.8$ 29,956.2$ 14,230.6$ 67.8% 42,872.0$ 28,691.6$ 14,180.4$ 66.9%

1 Results are preliminary and reflect defined benefit liabilities and assets only.

Actuarial Value of Assets Funded Status as of June 30, 2019 Actuarial Value of Assets Funded Status as of June 30, 2018

Unfunded LiabilitiesA Year in Review

Plan provision changes reflect benefit improvements passed in the 2019 legislative session for PERF, TRF, and the ‘77 Fund. There are no changes to the actuarial assumptions this year.

7

$ In Millions

INPRS Unfunded Liability - 6/30/2018 14,180.4$ Actuarial Expected Change (215.4)Expected Unfunded Liability (6/30/2019) 13,965.0

Investment Return 415.2 Additional Liability Due to Plan Provision Change - (HEA 1059 and SEA 85) 172.9 Contribution Experience (433.0) Demographics / Other1 110.5

INPRS Actual Unfunded Liability - 6/30/2019 14,230.6

1 Includes demographic gains/losses, gains due to 13th check

Contributions - A Year in Review INPRS’ Funding Policy establishes adequate contribution rates that seek

appropriate levels of stability At least the amount of the Actuarial Determined Contribution (ADC) Not less than the prior year’s rate until 105% funded

Collected $2.668B in pension plan contributions $1,226M General Fund Appropriations $994M Employer contributions paid as a % of actual payroll $361M Member Contributions $87M Other

Employers paid 116.6% of the Actuarial Determined Contribution (ADC)

8

Estimated FY19 INPRSActuarial Determined Contributions (ADC)

9

$ in Thousands

Defined BenefitRetirement Plans

ActuarialDeterminedContribution (ADC) Adj for

Actual Payroll

GF Appropriation/

Employer/ Other

Contributions1

ActuarialDeterminedContribution (ADC) Adj for

Actual Payroll

GF Appropriation/

Employer/ Other

Contributions1

PERF 529,122$ 581,580$ 110.0 % 502,206$ 571,099$ 113.7 %TRF 1996 Account 226,099 393,279 173.9 210,586 235,675 111.9

1977 Fund 78,010 154,228 197.7 74,491 147,074 197.4

Judges 14,862 16,031 107.9 14,853 15,117 101.8 EG&C Plan 4,874 6,982 143.2 4,393 6,175 140.6

PARF 3,543 3,216 90.8 2,533 3,014 119.0

LEDB 240 269 112.2 237 237 100.0

Aggregate Pre-Funded Plans 856,750 1,155,585 134.9 809,298 978,391 120.9

TRF Pre-1996 Account (Pay-As-You-Go) 947,405 2 947,405 100.0 922,068 2 922,068 100.0

Aggregate All INPRS Plans 1,804,155$ 2,102,990$ 116.6 % 1,731,367$ 1,900,459$ 109.8 %

1 Excludes member DC contributions.2 TRF Pre-1996 Appropriation is determined by State Statute & is therefore shown in lieu of ADC.

PercentageContributed

FY2018 (Actual Payroll Based Adj)

PercentageContributed

FY2019 (Actual Payroll Based Adj)

FY2019 Board Approved Contribution Ratesvs. the Actuarial Determined Contribution

10

($ in thousands)

Defined Benefit Retirement Fund

PERF DB 8.50 % 11.20 %TRF '96 DB 4.48 5.50 '77 Fund 13.24 17.50 EG&C 8.99 20.75

Actuarially Determined

Contribution (ADC) Plus Surcharge

Board Approved Contribution Plus

SurchargeContribution Rate

Investments - A Year in Review

INPRS’ total market value of assets = $36.1 billion as of June 30, 2019.

INPRS’ defined benefit plan returned 7.35% for fiscal year 2019.

The actuarial value of assets is used in calculating the funded ratio and actuarial required contributions. Investment returns are smoothed over five years. INPRS’ five year return is 5.09% annualized.

INPRS continues to target a 6.75% long-term rate of return assumption; a more realistic return assumption among state plans.

Synergies of the combined PERF/TRF assets continue to reduce fees: Net Present Value Savings = $427.9M

11

INPRS Assets

12

INPRS$36 Billion

Defined Benefit Assets$30 Billion

Managed by INPRS

Defined Contribution Assets(Annuity Savings Account)

$6 Billion

Managed by INPRS

Selections Made by Members

INPRS assets are a mix of Defined Benefit and Defined Contribution monies

INPRS’ Defined BenefitInvestment Imperatives

Achieve a 6.75% return over the long term.

Achieve the return as efficiently & effectively as possible.

Always have enough cash on hand to pay benefits.

13

Defined Benefit Target Asset Allocation

14

22.0%

14.0%

20.0%7.0%

8.0%

7.0%

10.0%

12.0%Public Equity

Private Markets

FI (Ex Inflation Linked)

FI (Inflation Linked)

Commodities

Real Estate

Absolute Return

Risk Parity

No changes from the asset-liability study in FY2015. There will be a new asset-liability conducted in FY2020.

Private Markets include Private Equity and Private Credit.

Defined Benefit Balance Through Time

INPRS DB Market Value As of 6/30/2019

15

$10,000

$15,000

$20,000

$25,000

$30,000

$35,000

Jun-07 Jun-08 Jun-09 Jun-10 Jun-11 Jun-12 Jun-13 Jun-14 Jun-15 Jun-16 Jun-17 Jun-18 Jun-19

Previous Peak Market Value: $20,175

Trough Market Value: $11,519

2007 Peak to Trough (-43%): -$8,6562007 Peak to Current (+51%): +$10,195Trough to Current (+164%): +$18,851

Defined Benefit Performance vs. Benchmarks

16

7.35%8.21%

5.09%

7.77%6.73% 7.16%

4.54%

7.30%

0%

4%

8%

12%

1 Year 3 Year 5 Year 10 Year

Annualized Net of Fee Returns as of 06/30/2019

INPRS Return Benchmark Return

Target 6.75% Return

Defined Benefit Performance vs. 6.75% Objective

17

Sharpe Ratio = (Total Return – Cash Return) / Volatility. Sharpe Ratio measures the return per unit of risk taken.

Annualized Return VolatilityReturn/

Risk RatioActual 6.41% 4.56% 1.26

Expected 6.75% 10.00% 0.45

Jul 2012 - June 2019

INPRS DB “Value Add”July 2012 – June 2019

18

$512M

+

$440M

$952M-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

Jul-12 Jul-13 Jul-14 Jul-15 Jul-16 Jul-17 Jul-18

Asset Allocation Value Add Manager Selection Value Add

Defined Contribution (DC) Imperatives

19

Provide a simple and diversified default optionMost members elect to stay invested in the default option through retirement.

Provide a simple and diversified menu of stand-alone options

Reducing complexity & the number of investment options is believed to lead to better outcomes based on research from leading Defined Contribution experts.

Leverage the DB asset base to provide low-cost investment options

Leverage the size of the Defined Benefit assets in an effort to lower the fees across Defined Contribution investment options.

Defined Contribution (DC)Fund Allocation

20

Public Safety Officers’

Special Death Benefit Fund

$4,500,000

2012

2007 2019

8%

12%3%1%

76%

Large Cap Equity Index Fund Small/Mid Cap Equity FundInternational Equity Fund Fixed Income FundGuaranteed Fund

19%

14%

4%

3%1%1%

46%

12%

Large Cap Equity Index Fund Small/Mid Cap Equity Fund

International Equity Fund Fixed Income Fund

Inflation-Linked Fixed Income Fund Money Market Fund

Stable Value Target Date Funds

Sudan, Terror States, and Anti-Israel BDS Divestment Update 2019

MSCI provided INPRS with a list of potential restricted businesses.

MSCI engages with businesses quarterly to allow for responses to their actions.

Unresponsive potential restricted businesses received an INPRS-specific engagement letter.

INPRS provided its investment managers a list of restricted businesses and instructions to divest by December 31st, 2018.

21

INPRS continues to be in full compliance with the Sudan, Terror States, and Anti-Israel BDS Divestment legislation

Low Cost and High ServiceINPRS is a low cost/high service system in comparison to peers

FY13

FY14

FY19

FY17

FY16

FY15

FY18

Six consecutive

years of improving

service while lowering

cost!

FY19 Year End Performanceand Year over Year Improvement

DB Rate of Return

Fees Below Peer Median

Minimum Investment Return

DC - Rate of Return

Funded Status -- Prefunded plans

Employer Contributions

Actuarial Determined Contributions

Member Complaints

Member Satisfaction

Benchmark (CEM) Service Score

Portfolio Performance

Customer and Financial

Benefits Paid on Time

Cost per Member

Performance to Budget

Unmodified Audit Opinion

Pending Code Changes

Projects on Time

Employee Engagement

Audit Findings

Compliance

Manage Enterprise Risk

Process

Learning/Growth & Risk

FY19 Strategic Plan Accomplishments

100% of our 69 annual key operational requirements (KORs) were met

96% of 27 strategic objectives ended the year with a status of “Completed” or “On-track”

Major Accomplishments Improved service while decreasing cost for the 6th consecutive year Launched a much improved Annual Member Statement Implemented the TRF My Choice Plan for newly hired school teachers Implemented a process to collect and analyze “Voice Of the Customer” data to better

understand stakeholder expectations Completed assessments of key business processes to better understand process capabilities

25

FY20 Top Priorities

Conduct an asset liability study to determine the asset allocation and targeted rate of return and risk for the next 5 year timeframe

Improve INPRS’ data integrity for business critical data elements

Refine the new member plan enrollment and onboarding education process

Recruit, train and retain the desired INPRS Call Center personnel

Define and build the desired organizational and departmental cultures to attract and retain employees

26

PERF: My Choice Plan For Political Subdivision Employers

2014 HEA1466 created an optional My Choice Plan for PERF local units known as political subdivisions (PSDs) The PSDs are able to offer PERF: My Choice, PERF Hybrid or a choice between each to new hires

The PERF: My Choice Plan provides PSDs employers more control over their contribution rates The mandatory 3% contributions may be paid by the employer, employee or shared by the employer

and employee (same as today) Employer contribution is determined by the employer:

Employers can pay between 0 % and the DB normal cost (4.1%) into an employee’s PERF: My Choice Employer is also required to pay the supplemental rate which funds the unfunded liability in the PERF

Hybrid plan (7.1%). Employers pay this amount to INPRS, not the employee’s PERF: My Choice New employers who have never offered the PERF Hybrid, but who choose to offer only the PERF: My

Choice will not have to pay the supplemental rate

Currently we have 26 employers who have signed up for the PERF: My Choice Plan 7 employers are only offering the PERF: My Choice to new hires 14 employers are offering new hires a choice between PERF: My Choice and PERF Hybrid 5 employers offerings to employees differ by job classification

26

Teachers’ Retirement Fund (TRF)Pre-1996 Account Forecast

27

*Based on the 6/30/2018 Valuation

-

200.0

400.0

600.0

800.0

1,000.0

1,200.0

1,400.0

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

2022

2023

2024

2025

2026

2027

2028

2029

2030

2031

2032

2033

2034

2035

2036

2037

2038

2039

2040

2041

2042

2043

2044

2045

2046

2047

2048

2049

2050

2051

$ M

illio

nsTRF Pre-’96 Contributions and Benefit Payouts

0.4% assumed COLA 2021-2032, 0.5% 2033-2037, 0.6% thereafterAppropriations increase 3% per year until contributions equal base plan payments

Constant lottery and declining other revenue through projection period

SRA Benefit Payouts

Base Plan Payouts

SRA Appropriations

Base Appropriations

Teachers’ Pre-1996 Defined BenefitFiduciary Net Position

28

Balance as of June 30, 2019 = $3.7B

$0.000

$0.500

$1.000

$1.500

$2.000

$2.500

$3.000

$3.500

$4.000

$4.500

$5.000

FY07 FY08 FY09 FY10 FY11 FY12 FY13 FY14 FY15 FY16 FY17 FY18 FY19 FY20 FY21 FY22

Assets excluding ASA Balance Forecast HB1376 Excess Reserve Contribution & 13th Check Prefunding

TRF Pre-'96 Fiduciary Net Position ($billions)

Teachers’ Pre-1996 Defined Benefit Account Update

3% year-over-year appropriations growth for FY2020 – FY2022

29

$ Millions Actual Actual Actual Actual Forecast 1 Forecast 1 Forecast 1

FY16 FY17 FY18 FY19 FY20 FY21 FY22Total:Benefit Payments (1,118.1)$ (1,135.7)$ (1,153.4)$ (1,165.1)$ (1,218.6)$ (1,227.2)$ (1,212.7)$ Base Appropriations (General Fund) 816.5 841.0 866.2 892.2 919.0 946.6 975.0

Amount Withdrawn (301.6)$ (294.7)$ (287.2)$ (272.9)$ (299.6)$ (280.6)$ (237.7)$

SRA Appropriations(Lottery Transfer) 30.0$ 30.0$ 30.0$ 30.0$ 30.0$ 30.0$ 30.0$

Investment Gains / (Losses) 40.8 288.9 354.9 269.0 245.5 245.3 246.4 13th Check Prefunding 2 41.0 - 21.7 21.7 22.1 - - Other Income / (Expenses) 33.7 28.8 16.5 0.1 - - -

Net Position3 3,522.4$ 3,575.4$ 3,711.3$ 3,759.2$ 3,757.2$ 3,751.9$ 3,790.6$

1 Based on the 6/30/2018 Actuarial Valuation. FY20, FY21 and FY22 forecast benefit payments could change.2 13th Check Prefunding: Received 13th Check Prefunding for FY16 & FY17 ($41M) in FY16. 2017 Budget Bill prefunded 13th Check for FY19 ($21.7M). The 2019 Budget Bill appropriates 22.1M for 13th Check for FY20.3 Includes ASA balances annuitized prior to January 1, 2018 (approximately $1.2B).

Pension Relief

30

Established in 1977 to help cities and towns with the costs of legacy police and firefighter retirement plans

$ in millions

FY2015 Actual

FY2016 Actual

FY2017 Actual

FY2018 Actual

FY2019 Actual

FY2020 Forecast

FY2021 Forecast

FY2022 Forecast

Additions General Fund Appropriation (State) 155.0$ 160.0$ 150.0$ 145.0$ 145.0$ 145.0$ 152.5$ Lottery (State) 30.0 30.0 30.0 30.0 30.0 30.0 30.0 Cigarette Tax (State) 23.6 23.1 22.3 21.5 21.1 20.8 20.4 Alcohol Tax (State) 3.7 3.9 4.1 4.2 4.2 4.2 4.2 Public Deposit Insurance Fund (PDIF) 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Investment Income 0.3 0.7 1.4 1.8 0.1 0.1 0.1Total Additions 212.6$ 217.7$ 207.8$ 202.5$ 200.4$ 200.1$ 207.2$

Deductions Pension Relief Distributions 215.8$ 213.3$ 212.6$ 212.3$ 208.3$ 206.1$ 203.4$ Death Benefits 0.0 0.3 0.0 0.0 0.0 0.0 0.0 Other (Local Unit Withdrawals & Admin. Expenses) 0.0 0.0 0.0 0.0 0.0 0.0 0.0Total Deductions 215.8$ 213.6$ 212.6$ 212.3$ 208.3$ 206.1$ 203.4$

Pension Relief Fund Balance 33.0$ 29.8$ 33.9$ 29.0$ 19.2$ 11.3$ 5.3$ 9.1$

Memo: Local Unit Balances 1.6$ 1.7$ 1.7$ 1.7$ 1.6$ 1.6$ 1.6$ 1.6$

SEA373 - Supplemental Reserve Accounts (SRAs)

Background

As of June 30th, 2018 any post retirement benefit increases (including a 13th Check and/or COLA) granted by the General Assembly must be pre-funded through available funds in segregated supplemental allowance reserve accounts (SRAs) for PERF, TRF Pre-’96, TRF ’96, EG&C and LE DB.

Previously: Postretirement benefit increases (PBI) were granted by the General Assembly

on an ad hoc basis. Increases were paid out of plan assets. No income sources were segregated for the sole purpose of PBI

31

SRA Funded Status

32

$ in thousands PERF TRF Pre-’96 TRF ‘96 EG&C LE DBAssets as of 6/30/2019 $ 11,506 $ 31,916 $ 2,417 $ 125 $ - Liabilities as of 6/30/2019 - - - - -

Surplus / (Deficit) as of 6/30/2019 $ 11,506 $ 31,916 $ 2,417 $ 125 $ -

Committed Balance $ - $ - $ - $ - $ - Uncommitted Balance 11,506 31,916 2,417 125 -

One North Capitol, Suite 001 | Indianapolis, IN, 46204 | (844) GO-INPRS | www.inprs.in.gov33

Supplemental Reserve AccountsJune 2019

(dollars in thousands)PERF

DBTRF Pre-'96

DBTRF '96

DB EG&C LE DBSRATotal

Net Position - Beginning of Period -$ -$ -$ -$ -$ -$ Contributions:

Employer 11,022 - 2,314 120 - 13,456 Lottery - 30,000 - - - 30,000

Total Contributions 11,022 30,000 2,314 120 - 43,456

Net Investment Income/(Loss) 484 1,916 103 5 - 2,508 Benefit Payouts and Expenses - - - - - -

Net Inc/(Dec) in Net Position 11,506 31,916 2,417 125 - 45,964

Ending Net Position Restricted 11,506$ 31,916$ 2,417$ 125$ -$ 45,964$

Employer Contribution Rates: 0.43% N/A 0.14% 0.73% N/A

Note:

Year to date

TRF Pre-'96 DB receives $2.5m each month from the Lottery. When benefits are known, lottery money will be allocated to the LE DB to pay for the benefit.

National Trends Aggregate funded ratios have remained flat at approximately 72% for the last 7 years

Continued reductions in assumed rates of return (FY19 public pension plan median = 7.25%) Recognition of mortality improvements Movement from open to closed amortization periods and towards shorter amortization periods

More employers continue to fund their ADCs

Pension buyout programs have started in the public pension space Missouri state employee inactive vested members were offered a upfront cash option in exchange

their future DB benefit. 25% of eligible members elected the buyout at a 60% discount to the Net Present Value of their earned DB benefit

34

Risk Analysis Report 2019 SEA545 requires INPRS to report to PMOC on any stress tests or risk

assessments performed Actuarial Standard of Practice (ASOP) No. 51 Assessment and Disclosure of Risk

Associated with Measuring Pension Obligations and Determining Pension Plan Contributions, is now in effect

INPRS actuaries Cavanaugh Macdonald issued their first 80 page report on August 16, 2019 based upon the June 30, 2018 INPRS actuarial valuation. The most significant risks discussed on the report include:

Investment risk – What if actual investment returns differ from the assumption?Other Economic risks – What if actual inflation, wage growth and COLAs differ from assumptions?Mortality risk – What if members live longer or shorter than assumed?Termination & Retirement risk – What if members separate from employment differently than

assumed?Active Membership and Payroll Growth risk – What if the active population increases or decreases in

an unexpected manner?Contribution risk - What if the funding policy does not adequately fund the ADC?

A copy of the report will be submitted to PMOC on or before August 30th

35

INPRS Request For PMOC Consideration

1. Eliminate the 30 day employer separation period for access to DC monies

2. Add a DC Annuity option that provides members an industry standard option that does not have a cash refund option

Current Indiana Code requires that should a member pass away before they receive the amount paid to purchase the annuity, the difference will be paid to the member’s beneficiary

The current legislatively mandated provision provides a lower annuity payment than an option that would not guarantee the difference to be paid to a beneficiary

37

Other Potential Policy Considerations

The IRS no longer requires an employee to separate from an employer before an employee can receive a retirement benefit from that employer

Employers now have flexibility to allow in-service distributions of retirement benefits at age 59 ½ or once an employee reaches their plan’s normal retirement age

‘77 Fund Disability – Mental Disorders PTSD claims are on the rise with growing concern for fraud and abuse Given the nature of the diagnosis and treatment of mental disorders, public safety funds

are reviewing their statutory provisions for Independent second opinions from certified psychiatric specialist at onset Requirements to undergo treatment Reviews after treatment periods

Indiana Code is somewhat ambiguous as to the determination of the class of disability in the event of a line of duty related mental disorder

37

APPENDIX

38

Overview – Member Demographics(Census Data as of June 30, 2018)

410,000 + DB MembersDB Members by Fund

39

40

Overview – Member Demographics(Census Data as of June 30, 2018)

DB Members by Status

41

Overview – Member Demographics(Census Data as of June 30, 2018)

310,000 + DC MembersDC Members by Fund

Overview – Employer Demographics(as of June 30, 2018)

1,200+ Employers

42

Pension Funding SourcesFY2019 – FY2022

43

(dollars in millions)

FundGeneral Fund Appropriation Other 2

General Fund Appropriation Other 2

General Fund Appropriation Other 2

General Fund Appropriation Other 2

PERF DB 577.4$ 581.3$ 590.2$ 599.0$ - 13th Check 3 4.8$ 5.0$ TRF Pre-'96 DB 892.2 33.5 919.0 33.1 946.6$ 32.8 975.0$ 32.4 - 13th Check 3 21.7 22.1 TRF '96 DB 150.0 243.3 190.1 197.6 205.2 - 13th Check 3

'77 Fund 207.9 201.2 200.9 200.6 JRS 8.9 10.6 11.0 10.4 11.5 10.5 12.1 10.6 EG&C 8.1 7.5 7.6 7.6 - 13th Check 3 0.1 - PARF 3.2 1.3 4.2 1.3 4.4 1.3 4.4 1.4 LE DB 0.3 0.2 0.2 0.2 - 13th Check 3

Total DB 1,081.2 1,082.1 961.5 1,024.9 962.7 1,040.9 991.7 1,056.8

PERF DC 178.1 180.9 183.6 186.4 TRF DC 123.4 123.7 125.5 127.5 LE DC 1.9 1.9 1.9 1.9 Total DC - 303.4 - 306.5 - 311.0 - 315.8

Special Death 0.5 0.5 0.5 0.5 Pension Relief 145.0 55.7 145.0 55.4 145.0 55.1 152.5 54.7 Total 1,226.2$ 1,441.7$ 1,106.5$ 1,387.3$ 1,107.7$ 1,407.5$ 1,144.2$ 1,427.8$

1 Based on the June 30, 2018 actuarial valuation. Forecast could change.2 Other includes member and employer contributions, lottery proceeds, docket and court fees, cigarette and alcohol taxes.3 The General Fund Appropriation represents pre-funding for a 13th check.

FY2022 Forecast 1FY2019 Actual FY2020 Forecast 1 FY2021 Forecast 1

INPRS’ Asset Allocation Process

44

“The board shall invest its assets with the care, skill, prudence, and diligence that a prudent person acting in a like capacity and familiar with such matters would use in the conduct of an enterprise of a like character with like aims. The board also shall diversify investments in accordance with prudent investment standards”

1) Understand liabilities, cash flows & profile of employers2) Understand stakeholders’ risk tolerance3) Analyze various asset allocations vs. INPRS’ objectives

Mean Variance Optimization based on established principles of Modern Portfolio Theory Run as many historical scenarios & stress tests as possible Seek input from the best asset allocators across the globe

4) Select target asset allocation & ranges for asset classes5) Avoid “knee-jerk” portfolio changes (volatility & scary headlines are normal)

Diversification means you’re always saying “sorry” for something.

Purposes of the Asset Classes Outside of Stocks & Bonds

Private MarketsTo provide risk-adjusted returns in excess of public markets through various strategies (e.g. driving operational improvements at the invested companies).

Real EstateTo provide attractive risk-adjusted returns by producing stable income and preserving capital. It also serves as a diversifier and protection against inflation in certain environments.

Absolute Return To provide unique, diversifying return streams and reduce volatility by utilizing strategies that are less constrained.

Commodities To provide protection when inflation is higher than expected and linked to goods / inputs.

45

Asset Allocation & PerformanceAs of 6/30/19

Public Equity

PrivateMarkets

Fixed Income (Ex Inflation-

Linked)

Fixed Income (Inflation-

Linked)Commodities Real Estate

Absolute Return

Risk Parity

1 YearReturn 5.38% 20.40% 9.99% 5.66% -8.16% 8.67% 4.24% 8.43%

3 Year Return 12.51% 16.32% 4.28% 3.74% 1.49% 10.40% 5.82% 7.04%

5 Year Return 6.89% 13.28% 4.63% 3.28% -10.15% 9.97% 3.62% 3.85%

10 Year Return 11.16% 14.39% 5.92% 4.75% -3.25% 10.11% 5.43%

46

21.3%

12.5%

20.1%

7.4% 7.6% 6.0%9.6%

13.2%

0%

5%

10%

15%

20%

25%

30%Target Range Actual

INPRS’ Split Between Active & Passive Portfolios

47

Actual asset allocation as of June 30, 2019. Cash excluded from the analysis.

INPRS’ Return Projections

1Approved at the June 2015 INPRS Board meeting.2Source: Verus. Annualized, geometric returns. Due to the historically low interest rates and slow growth across the globe, expectations remain low.

INPRS’ Target Weight1

Projected 10-yr Returns2(June 30, 2019)

U.S. Inflation 2.0%U.S. Large Cap Stock 10.3% 5.8%U.S. Small Cap Stock 0.9% 5.4%Int'l Developed Mkt Stock 8.4% 7.7%Emerging Mkt Stock 2.4% 8.6%Private Equity 10.0% 8.8%Private Credit 4.0% 7.7%Fixed Income 20.0% 3.5%Inflation-Linked Bonds (TIPS) 7.0% 3.0%Commodities 8.0% 4.2%Real Estate 7.0% 7.6%Hedge Funds 10.0% 4.4%Risk Parity 12.0% 7.1%

10-yr Projected Return 6.4%30-yr Projected Return 6.57 – 6.87%

48

FY19 Defined BenefitInvestment Management & Performance Fees1

$13.0M Passive Fees

+ $39.0M Active Mgmt. + Performance Fees in Public Asset Classes3

+ $136.3M Alternative Asset Class Mgmt. + Performance Fees4

= $188.3M Total INPRS Investment Mgmt. + Performance Fees

49

1 Unaudited estimates.2 Based on average market values of the individual portfolios throughout the year.3 Includes performance fees for Public Equity and Fixed Income asset classes.4 Includes performance fees for Absolute Return asset class.

0.68% of INPRS’ Total DB Market Value2

CEM Benchmarking, an industry-leader in evaluating the efficiency of public pensions, analyzed INPRS’ CY17 investment management fees. INPRS’ fees were slightly higher than peers (0.06%) due to fixed income & absolute return performance fees

Alternative Investments

50

INPRS’ total returns have been higher than they would have been without alternative investments2…

…and INPRS’ total volatility has been lower because of them.

Although more expensive than merely investing in public markets, alternative investments1 have had two positive results:

1 Alternative investments includes Private Equity, Real Estate, and Absolute Return.2 Assumed that any allocation to alternative investments would have been allocated pro-rata to the remaining asset classes based on INPRS’ asset allocation.

-40%

-20%

0%

20%

40%

60%

80%

2008 2010 2012 2014 2016 2018

10 yr. Cumulative Returns (Net of Fees)

Total INPRS

0%

5%

10%

15%

20%

2009 2011 2013 2015 2017 2019

3 yr. Rolling VolatilityTotal INPRS Total INPRS less Alternative Investments

Peer ComparisonsINPRS vs InvestorForce Public DB > $1B Net Universe

51

1 Year (Net of Fees) 5 Year (Net of Fees)

DC Performance (Net of Fees)As of June 30, 2019

1All returns are hypothetical composite returns, with the exception of the Stable Value Fund , which is actual. 2Returns and indices are on the Target Date Funds Performance slide.

52

Market Value ($MM) % of DC

Cal YTD 1 Year 3 Year 5 Year

Large Cap Equity Index Fund 1,108 19.3 18.57 10.43 14.18 10.70 S&P 500 Index 18.54 10.42 14.19 10.71

Small/Mid Cap Equity Fund 757 13.2 19.53 2.22 13.33 7.75 Russell Small Cap Completeness Index 19.62 2.36 13.37 7.94

International Equity Fund 240 4.2 14.60 2.39 10.36 3.44 MSCI ACWI ex US 13.29 1.02 9.29 2.11

Fixed Income Fund 178 3.1 6.23 7.69 2.71 2.96 Barclays Aggregate 6.11 7.87 2.31 2.95

Inflation Linked Fixed Income Fund 35 0.6 6.13 4.77 2.19 1.65 Barclays US TIPS Index 6.15 4.84 2.08 1.76

Stable Value Fund 2,507 43.6 1.20 2.35 1.98 1.74 3yr Constant Maturity Treasury 1.08 2.49 1.94 1.56

Money Market Fund 52 0.9 1.25 2.39 1.56 1.01 FTSE 3 Month T-Bill Index 1.21 2.30 1.36 0.84

Target Date Funds1 869 15.1

TOTAL DC ASSETS2 5,746 100

INPRS Market Values

  06/30/20196/30/186/30/176/30/166/30/15

INPRS

PR8GCRIF0000 Defined Benefit Retirement Funds$30,370,572,758$28,475,758,997$26,365,129,280$24,775,551,542$24,629,820,379verify to CAFR

Defined Contribution Retirement Funds$5,745,596,849$5,643,721,464$5,250,566,130$5,134,445,798$5,302,270,927

TOTAL INPRS ASSETS$36,116,169,607$34,119,480,461$31,615,695,410$29,909,997,339$29,932,091,306

OTHER

PR8G00030000 Local Public Safety Pension Relief Fund $16,184,251$26,167,053$30,859,090$26,956,823$30,355,619

PR8GDTHBEN40 Special Death Benefit Fund$15,185,143$14,843,946$14,980,668$14,591,579$13,641,927

TOTAL OTHER ASSETS$31,369,394$41,010,999$45,839,758$41,548,403$43,997,546

TOTAL COMBINED ASSETS$36,147,539,001$34,160,491,460$31,661,535,168$29,951,545,742$29,976,088,852

    June 2019June 2018June 2017June 2016June 2015

DB Defined Benefit Retirement Funds$30,370,573$28,475,759$26,365,129$24,775,552$24,629,820

    June 2019June 2018June 2017June 2016June 2015

DC Defined Contribution Retirement Funds$5,745,597$5,643,721$5,250,566$5,134,446$5,302,271

    June 2019June 2018June 2017June 2016June 2015

Pension Relief Local Public Safety Pension Relief Fund $16,184,251$26,167,053$30,859,090$26,956,823$30,355,619

    June 2019June 2018June 2017June 2016June 2015

Special Death Special Death Benefit Fund$15,185,143$14,843,946$14,980,668$14,591,579$13,641,927

    March 2019June 2018June 2017June 2016June 2015

Defined Benefit$30,370,573$28,475,759$26,365,129$24,775,552$24,629,820

Defined Contribution$5,745,597$5,643,721$5,250,566$5,134,446$5,302,271

Total$36,116,170$34,119,480$31,615,695$29,909,997$29,932,091

Market Values - Defined Benefit (DB) Plans (in millions)

DB Defined Benefit Retirement FundsJune 2019June 2018June 2017June 2016June 201530370572.75800000128475758.99700000126365129.28000000124775551.54163999924629820.379000001

Market Values - Defined Contribution (DC) Plans (in millions)

DC Defined Contribution Retirement FundsJune 2019June 2018June 2017June 2016June 20155745596.84900000045643721.46399999975250566.135134445.79750000035302270.9270000001

Market Values - Local Public Safety Pension Relief Fund

Pension Relief Local Public Safety Pension Relief Fund June 2019June 2018June 2017June 2016June 201516184251261670533085909026956823.21000000130355619

Market Values - Special Death Benefit Fund

Special Death Special Death Benefit FundJune 2019June 2018June 2017June 2016June 201515185143148439461498066814591579.3313641927

Assets under Management for Members ($MM)

$34.9 billion as of March 31, 2019

Defined BenefitMarch 2019June 2018June 2017June 2016June 201530370572.75800000128475758.99700000126365129.28000000124775551.54163999924629820.379000001Defined ContributionMarch 2019June 2018June 2017June 2016June 20155745596.84900000045643721.46399999975250566.135134445.79750000035302270.9270000001

29,358

INPRS Peak to Trough

DatePERF CRIF Market ValueTRF DB Market ValueINPRS DB Market ValueINPRS DB Market Value

Oct-0512,752,954,8714,104,290,28316,857,245,154

Nov-0513,134,070,7114,301,631,15317,435,701,864

Dec-0513,266,584,1954,307,783,90917,574,368,104

Jan-0613,793,205,5694,537,775,48618,330,981,05529,357,612,929.09

Feb-0613,763,706,8994,542,932,23118,306,639,130

Mar-0613,936,583,7144,544,131,20018,480,714,914

Apr-0614,185,321,3764,696,026,01018,881,347,386

May-0613,724,054,5144,470,815,35218,194,869,866Note: Verify the min-max date range for horizontal axis

Jun-0613,694,137,3504,470,054,84118,164,192,191

Jul-0613,680,312,6674,483,411,93818,163,724,605

Aug-0614,025,429,3144,569,361,78818,594,791,102

Sep-0614,196,783,9024,600,994,37618,797,778,278

Oct-0614,618,211,0494,724,721,08919,342,932,138

Nov-0614,944,567,0714,828,987,77219,773,554,843

Dec-0615,041,890,1334,994,972,49520,036,862,628

Jan-0715,244,419,1845,041,706,62820,286,125,812

Feb-0715,241,916,1665,038,454,54320,280,370,709

Mar-0715,361,414,4305,199,057,16620,560,471,5962,316,625,85213,044,788,57818,243,845,743.5418,243,845.74

Apr-0715,897,651,6785,362,925,68521,260,577,3632,316,625,85213,581,025,82518,943,951,510.24

May-0716,287,465,6325,527,475,53821,814,941,1702,316,625,85213,970,839,78019,498,315,317.64

Jun-0716,114,207,1495,499,619,77621,613,826,9252,316,625,85213,797,581,29719,297,201,072.60

Jul-0715,789,319,2925,424,097,45621,213,416,7482,316,625,85213,472,693,43918,896,790,895.29

Aug-0715,811,030,5715,441,009,80521,252,040,3762,316,625,85213,494,404,71918,935,414,523.74

Sep-0716,315,157,7295,634,981,89921,950,139,6282,316,625,85213,998,531,87719,633,513,775.83

Oct-0716,731,913,1245,759,908,12222,491,821,2462,316,625,85214,415,287,27120,175,195,393.39

Nov-0716,162,744,8865,738,403,62221,901,148,5082,316,625,85213,846,119,03319,584,522,655.43

Dec-0716,002,602,0635,736,130,89821,738,732,9612,316,625,85213,685,976,21119,422,107,109.00

Jan-0815,286,873,2455,563,755,05920,850,628,3042,316,625,85212,970,247,39318,534,002,451.88

Feb-0815,092,857,5385,484,669,12820,577,526,6662,316,625,85212,776,231,68618,260,900,814.16

Mar-0814,931,173,7575,378,509,60920,309,683,3662,316,625,85212,614,547,90417,993,057,513.20Peak to Trough-8,655,930,224-42.9%

Apr-0815,511,277,0485,593,253,47421,104,530,5222,316,625,85213,194,651,19618,787,904,669.67Peak to Current9,278,332,00546.0%

May-0815,758,466,3905,611,289,96121,369,756,3512,316,625,85213,441,840,53719,053,130,498.23Trough to Current17,934,262,229155.7%

Jun-0814,849,949,4345,346,139,33120,196,088,7652,316,625,85212,533,323,58217,879,462,913.05

Jul-0814,713,982,7065,500,237,69320,214,220,3992,316,625,85212,397,356,85417,897,594,546.770.5375

Aug-0814,623,049,8115,413,291,78420,036,341,5952,316,625,85212,306,423,95817,719,715,742.220.0000902978

Sep-0813,300,048,8454,812,067,59218,112,116,4372,316,625,85210,983,422,99215,795,490,584.3122.5744426942

Oct-0811,448,523,6744,357,500,10115,806,023,7752,316,625,8529,131,897,82213,489,397,922.86

Nov-0810,835,946,4964,117,151,88114,953,098,3772,316,625,8528,519,320,64412,636,472,524.67

Dec-0811,122,965,0994,357,009,61315,479,974,7122,316,625,8528,806,339,24613,163,348,859.34

Jan-0910,665,171,9254,039,081,91114,704,253,8362,316,625,8528,348,546,07212,387,627,983.35

Feb-0910,071,647,4103,764,243,61213,835,891,0222,316,625,8527,755,021,55711,519,265,169.31

Mar-0910,447,850,3153,828,308,52614,276,158,8412,316,625,8528,131,224,46311,959,532,988.56

Apr-0911,141,374,2633,991,276,17515,132,650,4382,316,625,8528,824,748,41112,816,024,586.08

May-0911,793,158,7844,279,248,14516,072,406,9292,316,625,8529,476,532,93113,755,781,076.44

Jun-0911,795,144,9954,235,522,62916,030,667,6242,316,625,8529,478,519,14313,714,041,772.10

Jul-0912,438,381,6814,474,722,08516,913,103,7662,316,625,85210,121,755,82914,596,477,913.88

Aug-0912,794,878,9794,616,902,07717,411,781,0562,316,625,85210,478,253,12615,095,155,203.45

Sep-0913,092,245,5044,673,005,33217,765,250,8362,316,625,85210,775,619,65215,448,624,983.67

Oct-0913,082,345,8004,560,273,28117,642,619,0812,276,250,46010,806,095,33915,366,368,620.47

Nov-0913,476,992,2364,850,689,42418,327,681,6602,359,564,50611,117,427,73015,968,117,154.11

Dec-0913,563,983,9214,837,558,69318,401,542,6142,386,943,71011,177,040,21116,014,598,904.26

Jan-1013,343,514,4444,841,500,51418,185,014,9582,245,803,85311,097,710,59115,939,211,105.45

Feb-1013,496,644,9924,820,003,67918,316,648,6712,287,817,43011,208,827,56216,028,831,240.900.56%

Mar-1013,891,723,3104,965,377,06318,857,100,3732,367,643,78611,524,079,52416,489,456,587.302.87%

Apr-1014,135,866,1774,957,982,89119,093,849,0682,325,832,56311,810,033,61416,768,016,504.831.69%

May-1013,472,926,0414,827,731,27118,300,657,3122,229,267,68511,243,658,35616,071,389,627.15-4.15%

Jun-1013,313,993,1875,072,398,00918,386,391,1962,214,961,80311,099,031,38416,171,429,393.180.62%

Jul-1013,887,942,3265,171,774,71519,059,717,0412,341,010,19911,546,932,12716,718,706,841.663.38%

Aug-1013,775,351,7845,273,660,18019,049,011,9642,322,882,43111,452,469,35316,726,129,533.310.04%

Sep-1014,349,436,2335,489,481,78519,838,918,0182,427,346,39211,922,089,84117,411,571,626.394.10%

Oct-1014,772,789,0885,609,173,84220,381,962,9302,474,288,60712,298,500,48117,907,674,322.852.85%

Nov-1014,593,477,8175,581,159,78720,174,637,6042,450,853,13112,142,624,68617,723,784,473.33-1.03%

Dec-1015,049,239,2515,712,286,76020,761,526,0112,518,362,86612,530,876,38518,243,163,145.162.93%

Jan-1115,252,783,5295,767,587,18421,020,370,7132,533,709,66412,719,073,86518,486,661,049.231.33%

Feb-1115,493,474,3935,879,186,99821,372,661,3912,572,708,57912,920,765,81518,799,952,812.811.69%

Mar-1115,553,290,8015,920,861,39421,474,152,1952,571,759,95912,981,530,84218,902,392,235.960.54%

Apr-1116,109,264,1116,010,700,08322,119,964,1942,647,299,04613,461,965,06519,472,665,148.263.02%

May-1115,971,792,2976,092,050,08122,063,842,3782,234,744,02613,737,048,27119,829,098,351.711.83%

Jun-1115,796,582,9875,984,318,82121,780,901,8082,131,254,87013,665,328,11719,649,646,938.40-0.90%

Jul-1115,890,763,3755,991,742,87721,882,506,2522,138,180,08013,752,583,29519,744,326,171.300.48%

Aug-1115,344,737,4375,873,819,08621,218,556,5232,068,258,58813,276,478,85019,150,297,935.47-3.01%

Sep-1114,516,887,6835,675,198,18020,192,085,8632,052,074,54112,464,813,14118,140,011,321.49-5.28%

Oct-1115,346,185,3145,933,344,55621,279,529,8702,271,238,56913,074,946,74519,008,291,300.544.79%

Nov-1115,110,840,2785,867,662,66120,978,502,9392,134,684,99112,976,155,28718,843,817,948.01-0.87%

Dec-1115,089,685,1015,887,728,74320,977,413,8442,115,559,20412,974,125,89718,861,854,640.050.10%

Jan-1215,531,812,8755,682,913,36721,214,726,2422,165,222,32713,366,590,54719,049,503,914.830.99%

Feb-1213,635,394,0626,217,022,37619,852,416,43813,635,394,06219,852,416,438.004.21%

Mar-1219,880,125,795.340.14%

Apr-1220,229,165,481.421.76%

May-1219,571,350,056.73-3.25%

Jun-1219,708,882,089.000.70%

Jul-1220,401,657,496.003.52%

Aug-1220,513,796,857.820.55%

Sep-1220,730,492,788.771.06%

Oct-1221,005,964,024.041.33%

Nov-1221,352,695,462.471.65%

Dec-1221,570,535,151.001.02%

Jan-1322,104,409,166.252.48%

Feb-1322,004,168,907.84-0.45%

Mar-1322,221,418,182.450.99%

Apr-1322,473,696,387.291.14%

May-1322,103,673,154.95-1.65%

Jun-1321,488,701,119.79-2.78%

Jul-1322,270,115,950.503.64%

Aug-1322,026,038,569.05-1.10%

Sep-1322,470,011,124.802.02%

Oct-1322,939,919,786.712.09%

Nov-1322,919,522,754.00-0.09%

Dec-1323,034,368,925.140.50%

Jan-1422,910,194,390.22-0.54%

Feb-1423,473,814,726.722.46%

Mar-1423,655,575,200.980.77%

Apr-1423,940,051,797.581.20%

May-1424,238,392,687.111.25%

Jun-1424,560,322,873.251.33%

Jul-1424,776,696,483.940.88%

Aug-1425,005,943,255.900.93%

Sep-1424,558,937,154.93-1.79%

Oct-1424,615,954,864.950.23%

Nov-1424,741,253,065.020.51%

Dec-1424,363,367,396.72-1.53%

Jan-1524,470,908,403.840.44%

Feb-1524,761,858,524.891.19%

Mar-1524,658,597,879.99-0.42%

Apr-1525,093,171,694.201.76%

May-1524,964,623,060.60-0.51%

Jun-1524,629,820,378.62-1.34%

Jul-1524,728,561,919.530.40%

Aug-1524,268,062,980.07-1.86%

Sep-1523,823,699,627.35-1.83%

Oct-1524,313,365,352.412.06%

Nov-1524,142,948,142.58-0.70%

Dec-1523,678,488,936.70-1.92%

Jan-1623,418,593,606.16-1.10%

Feb-1623,360,993,574.94-0.25%

Mar-1624,067,690,547.463.03%

Apr-1624,376,978,665.591.29%

May-1624,476,174,466.640.41%(408,483,919.18)

Jun-1624,775,551,541.641.22%

Jul-1625,526,605,915.223.03%

Aug-1625,624,082,437.430.38%

Sep-1625,561,496,666.58-0.24%

Oct-1625,468,119,562.24-0.37%

Nov-1625,249,961,452.85-0.86%

Dec-1625,489,127,872.600.95%

Jan-1725,819,975,386.981.30%

Feb-1726,122,911,159.551.17%

Mar-1725,946,134,476.49-0.68%

Apr-1726,265,327,908.091.23%

May-1726,572,157,048.041.17%

Jun-1726,365,129,279.66-0.78%

Jul-1727,265,869,384.343.42%

Aug-1727,506,614,591.830.88%

Sep-1727,371,484,420.19-0.49%1,532,424,280.64

Oct-1727,897,553,560.301.92%

Nov-1728,005,336,883.040.39%

Dec-1728,295,861,702.351.04%

Jan-1828,766,081,658.551.66%

Feb-1828,253,939,740.46-1.78%

Mar-1828,196,405,701.11-0.20%

Apr-1828,531,386,439.141.19%

May-1828,610,413,562.850.28%

Jun-1828,475,758,996.51-0.47%

Jul-1829,075,315,988.122.11%

Aug-1829,073,208,195.15-0.01%

Sep-1829,127,197,156.220.19%

Oct-1828,326,317,492.32-2.75%

Nov-1828,136,573,942.20-0.67%

Dec-1827,615,678,382.49-1.85%

Jan-1928,689,909,489.773.89%

Feb-1928,889,238,735.020.69%

Mar-1929,357,612,929.091.62%

Apr-1929,730,518,213.501.27%

May-1929,453,527,398.36-0.93%

Jun-1930,370,572,757.693.11%

INPRS DB Market Value3923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941759417904182041851418824191241943419734200442035420634209442124421554218542216422474227742308423384236942400424014243042461424914252242552425834261442644426754270542766427944282542855428864291642947429784300843039430694310043131431594319043220432514328143312433434337343404434344346543496435244355543585436164364619297201072.59999818896790895.29000118935414523.73999819633513775.83000220175195393.38999919584522655.431942210710918534002451.87999718260900814.1617993057513.20000118787904669.66999819053130498.2317879462913.04999917897594546.7717719715742.22000115795490584.30999913489397922.86000112636472524.6713163348859.3412387627983.3511519265169.30999911959532988.55999912816024586.0813755781076.44000113714041772.114596477913.87999915095155203.45000115448624983.6715366368620.47000115968117154.11000116014598904.2615939211105.45000116028831240.916489456587.29999916768016504.8316071389627.1516171429393.1816718706841.6616726129533.30999917411571626.38999917907674322.84999817723784473.33000218243163145.1618486661049.23000318799952812.80999818902392235.95999919472665148.26000219829098351.70999919649646938.40000219744326171.29999919150297935.47000118140011321.48999819008291300.54000118843817948.00999818861854640.04999919049503914.8300021985241643819880125795.3420229165481.41999819571350056.73197088820892040165749620513796857.8220730492788.7721005964024.04000121352695462.4700012157053515122104409166.2522004168907.8422221418182.45000122473696387.29000122103673154.95000121488701119.79000122270115950.522026038569.04999922470011124.79999922939919786.7099992291952275423034368925.13999922910194390.22000123473814726.72000123655575200.9823940051797.58000224238392687.11000124560322873.2524776696483.93999925005943255.90000224558937154.9324615954864.95000124741253065.0224363367396.72000124470908403.8424761858524.88999924658597879.99000225093171694.20000124964623060.59999824629820378.61999924728561919.52999924268062980.0723823699627.34999824313365352.4124142948142.58000223678488936.70000123418593606.1623360993574.93999924067690547.45999924376978665.5924476174466.63999924775551541.63999925526605915.22000125624082437.4325561496666.58000225468119562.24000225249961452.84999825489127872.59999825819975386.9826122911159.54999925946134476.49000226265327908.0926572157048.04000126365129279.6627265869384.3427506614591.83000227371484420.18999927897553560.29999928005336883.04000128295861702.34999828766081658.54999928253939740.45999928196405701.11000128531386439.13999928610413562.84999828475758996.50999829075315988.11999929073208195.15000229127197156.22000128326317492.3228136573942.20000127615678382.49000228689909489.7728889238735.0229357612929.0929730518213.529453527398.36000130370572757.689999392343926439295393263935639387394173944839479395083953939569396003963039661396923972239753397833981439845398733990439934399653999540026400574008740118401484017940210402384026940299403304036040391404224045240483405134054440575406034063440664406954072540756407874081740848408784090940940409694100041030410614109141122411534118341214412444127541306413344136541395414264145641487415184154841579416094164041671416994175941790418204185141882419124194341973420044203542063420944212442155421854221642247422774230842338423694240042401424304246142491425224255242583426144264442675427054276642794428254285542886429164294742978430084303943069431004313143159431904322043251432814331243343433734340443434434654349643524435554358543616436460

CRIF Peak Trough

DatePERF CRIF Market ValueAll Weather ReturnAll Weather Bridgewater

Sep-0512,994,334,879.4512,994,334,879.4512994334879.45

Oct-0512,752,954,871-1.86%-2.17%0.31%-3.73%0.9612,509,646,18812728624002.6637

Nov-0513,134,070,7112.99%3.22%-0.23%1.98%1.0212,757,337,18313096397358.1618

Dec-0513,266,584,1951.01%1.22%-0.21%3.31%1.0313,179,605,04413257886280.0084

Jan-0613,793,205,5693.97%3.81%0.16%1.01%1.0113,312,719,05513745156917.8376

Feb-0613,763,706,899-0.21%-0.10%-0.11%-1.27%0.9913,143,647,52313701700961.7732

Mar-0613,936,583,7141.26%1.49%-0.23%-2.03%0.9812,876,831,47813830608490.6221

Apr-0614,185,321,3761.78%1.69%0.09%-0.73%0.9912,782,830,60814045072299.4792

May-0613,724,054,514-3.25%-3.24%-0.01%-0.83%0.9912,676,733,11413619322373.8334

Jun-0613,694,137,350-0.22%0.00%-0.22%0.01%1.0012,678,000,78713592523693.7536

Jul-0613,680,312,667-0.10%-0.03%-0.07%3.12%1.0313,073,554,41213619636841.3304

Aug-0614,025,429,3142.52%2.34%0.18%2.90%1.0313,452,687,49013968155132.0192

Sep-0614,196,783,9021.22%1.40%-0.18%-0.65%0.9913,365,245,02114113630013.5137

Oct-0614,618,211,0492.97%2.83%0.14%0.94%1.0113,490,878,32414505477776.5117

Nov-0614,944,567,0712.23%2.08%0.15%2.70%1.0313,855,132,03914835623567.4818

Dec-0615,041,890,1330.65%0.86%-0.21%-3.77%0.9613,332,793,56114870980475.4039

Jan-0715,244,419,1841.35%1.30%0.05%-0.88%0.9913,215,464,97815041523762.9969

Feb-0715,241,916,166-0.02%-0.11%0.09%3.41%1.0313,666,112,33415084335782.498

Mar-0715,361,414,4300.78%0.95%-0.17%-0.70%0.9913,570,449,54715182317941.6263

Apr-0715,897,651,6783.49%3.27%0.22%1.01%1.0113,707,511,08815678637618.5992

May-0716,287,465,6322.45%2.50%-0.05%-2.19%0.9813,407,316,59515999450728.2768

Jun-0716,114,207,149-1.06%-0.82%-0.24%-1.73%0.9813,175,370,01815820323435.8314

Jul-0715,789,319,292-2.02%-2.23%0.21%3.06%1.0313,578,536,34015568240996.5073

Aug-0715,811,030,5710.14%0.20%-0.06%1.30%1.0113,755,057,31315605433245.2549

Sep-0716,315,157,7293.19%3.33%-0.14%2.76%1.0314,134,696,89516097111645.7196

Oct-0716,731,913,1242.55%2.37%0.18%4.35%1.0414,749,556,21016533677432.3158

Nov-0716,162,744,886-3.40%-3.29%-0.11%1.66%1.0214,994,398,84316045910281.4599

Dec-0716,002,602,063-0.99%-0.84%-0.15%-0.61%0.9914,902,933,01015892635157.9788

Jan-0815,286,873,245-4.47%-4.77%0.30%1.73%1.0215,160,753,75115274261295.7778

Feb-0815,092,857,538-1.27%-1.17%-0.10%2.61%1.0315,556,449,42415139216727.0196

Mar-0814,931,173,757-1.07%-0.87%-0.20%-0.33%1.0015,505,113,14114988567694.9457Peak to Trough-6,660,265,714-0.40

Apr-0815,511,277,0483.89%3.49%0.40%-0.66%0.9915,402,779,39415500427282.5959Peak to Current-1,948,935,549-0.12

May-0815,758,466,3901.59%1.64%-0.05%-0.34%1.0015,350,409,94415717660745.0059Trough to Current4,711,330,1660.47

Jun-0814,849,949,434-5.77%-5.54%-0.23%0.21%1.0015,382,645,80514903219071.4322

Jul-0814,713,982,706-0.92%-1.49%0.57%-1.92%0.9815,087,299,00514751314336.0348

Aug-0814,623,049,811-0.62%-0.44%-0.18%2.36%1.0215,443,359,26214705080755.6926

Sep-0813,300,048,845-9.05%-8.79%-0.26%-9.90%0.9013,914,466,69513361490629.68

Oct-0811,448,523,674-13.92%-14.44%0.52%-21.07%0.7910,982,688,56211401940163.0105

Nov-0810,835,946,496-5.35%-5.21%-0.14%2.86%1.0311,296,793,45510882031191.928

Dec-0811,122,965,0992.65%2.92%-0.27%11.74%1.1212,623,037,00711272972289.496

Jan-0910,665,171,925-4.12%-4.41%0.29%-4.20%0.9612,092,869,45310807941677.4759

Feb-0910,071,647,410-5.57%-5.67%0.10%-4.92%0.9511,497,900,27610214272696.2329

Mar-0910,447,850,3153.74%4.19%-0.45%7.17%1.0712,322,299,72510635295255.9337

Apr-0911,141,374,2636.64%6.18%0.46%1.93%1.0212,560,120,11011283248848.0716

May-0911,793,158,7845.85%5.74%0.11%2.89%1.0312,923,107,58111906153663.5136

Jun-0911,795,144,9950.02%0.31%-0.29%2.94%1.0313,303,046,94411945935190.2963

Jul-0912,438,381,6815.45%5.08%0.37%3.60%1.0413,781,956,63412572739176.4971

Aug-0912,794,878,9792.87%2.82%0.05%2.64%1.0314,145,800,28912929971109.824

Sep-0913,092,245,5042.32%2.82%-0.50%3.03%1.0314,574,418,03813240462757.3984

Oct-0913,082,345,800-0.08%0.23%-0.31%0.47%1.0014,642,917,80313238402999.8622

Nov-0913,476,992,2363.02%2.72%0.30%4.91%1.0515,361,885,06713665481519.4028

Dec-0913,563,983,9210.65%0.93%-0.28%-1.70%0.9815,100,733,02113717658830.7761

Jan-1013,343,514,444-1.63%-1.49%-0.14%-0.26%1.0015,061,471,11513515310111.3497

Feb-1013,496,644,9921.15%0.87%0.28%1.46%1.0115,281,368,59313675117351.9634

Mar-1013,891,723,3102.93%3.22%-0.29%2.85%1.0315,716,887,59814074239739.194

Apr-1014,135,866,1771.76%1.25%0.51%3.13%1.0316,208,826,18014343162176.8479

May-1013,472,926,041-4.69%-4.41%-0.28%0.18%1.0016,238,002,06713749433643.9433

Jun-1013,313,993,187-1.18%-0.86%-0.32%1.16%1.0116,426,362,89113625230157.273

Jul-1013,887,942,3264.31%3.97%0.34%2.84%1.0316,892,871,59714188435252.6594

Aug-1013,775,351,784-0.81%-0.78%-0.03%4.38%1.0417,632,779,37314161094543.3187

Sep-1014,349,436,2334.17%4.88%-0.71%2.65%1.0318,100,048,02614724497412.5053

Oct-1014,772,789,0882.95%2.42%0.53%1.70%1.0218,407,748,84315136285063.2452

Nov-1014,593,477,817-1.21%-0.82%-0.39%-3.08%0.9717,840,790,17914918209053.4311

Dec-1015,049,239,2513.12%3.46%-0.34%0.17%1.0017,871,119,52215331427278.2535

Jan-1115,252,783,5291.35%1.00%0.35%-0.39%1.0017,801,422,15615507647391.849

Feb-1115,493,474,3931.58%1.83%-0.25%1.81%1.0218,123,627,89715756489743.7128

Mar-1115,553,290,8010.39%0.72%-0.33%0.16%1.0018,152,625,70115813224291.0523

Apr-1116,109,264,1113.57%3.23%0.34%4.29%1.0418,931,373,34416391475034.32

May-1115,971,792,297-0.85%-0.57%-0.28%1.70%1.0219,253,206,69116299933736.5217

Jun-1115,796,582,987-1.10%-0.83%-0.27%0.15%1.0019,282,086,50116145133338.4803

Jul-1115,890,763,3750.60%0.06%0.54%5.76%1.0620,392,734,68316340960505.763

Aug-1115,344,737,437-3.44%-3.11%-0.33%0.90%1.0120,576,269,29515867890623.2369

Sep-1114,516,887,683-5.40%-4.93%-0.47%-2.78%0.9720,004,249,00915065623815.4197

Oct-1115,346,185,3145.71%5.15%0.56%3.88%1.0420,780,413,87115889608169.5826

Nov-1115,110,840,278-1.53%-0.95%0.9920,582,999,93915658056243.7626

Dec-1114,782,977,575-2.17%2.29%1.0221,054,350,63715410114881.4174

PERF CRIF vs. BWater RP Market Value Over Time

PERF CRIF Market Value3859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087812994334879.45000112752954870.9113134070710.95999913266584195.1513793205569.29999913763706899.45000113936583714.2514185321376.29000113724054513.79999913694137350.0113680312666.80999914025429314.46999914196783901.54000114618211048.95999914944567070.62000115041890132.5215244419183.54999915241916165.69000115361414429.87000115897651677.5716287465631.96999916114207148.9315789319291.62000115811030571.0716315157729.1616731913123.71999916162744885.7616002602063.3315286873245.20999915092857538.4914931173756.5300011551127704815758466389.55999914849949434.37999914713982706.114623049810.54999913300048844.63999911448523674.1900011083594649611122965098.6710665171924.6810071647409.63999910447850314.88999911141374263.4111793158783.7711795144995.4312438381681.20999912794878978.7800011309224550413082345799.54000113476992236.3513563983920.78000113343514444.29000113496644991.8313891723310.4314135866176.5113472926041.37999913313993186.86000113887942325.513775351784.45999914349436233.1814772789087.7314593477817.30999915049239251.19000115252783529.20000115493474393.37999915553290801.0216109264111.03000115971792297.1615796582987.11000115890763374.9315344737437.44000114516887682.79999915346185313.9215110840277.6514782977575.200001All Weather3859638626386573868738718387493877738808388383886938899389303896138991390223905239083391143914239173392033923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087812994334879.45000112509646188.44651612757337182.97775813179605043.73432213312719054.67603913143647522.68165212876831477.97121412782830608.18202412676733114.13411312678000787.44552613073554412.01382413452687489.96222513365245021.27747213490878324.4774813855132039.23837113332793561.35908513215464978.01912513666112333.76957713570449547.43318913707511087.86226513407316595.0380813175370017.94392213578536340.49300613755057312.91941314134696894.75598914749556209.67787614994398842.75852814902933009.81770115160753750.88754815556449423.78571315505113140.68722215402779393.95868515350409944.01922615382645804.90166715087299005.44755615443359261.97611813914466695.04048310982688562.39545411296793455.27996412623037006.92983212092869452.63877911497900275.56895112322299725.32724612560120110.02606212923107581.20581413303046944.09326713781956634.08062614145800289.22035414574418037.9837314642917802.76225315361885066.87787815100733020.74095315061471114.88702615281368593.16437515716887598.06955916208826179.88913716238002067.01293816426362890.99028816892871597.09441217632779373.0471518100048026.43289918407748842.88225617840790178.52148117871119521.82496617801422155.6898518123627896.70783618152625701.34257118931373343.93016819253206690.77697819282086500.81314520392734683.25998320576269295.40932120004249008.99694120780413870.54602120582999938.77583321054350637.37379890/1012994334879.45000112728624002.66365213096397358.16177613257886280.00843213745156917.83760313701700961.77316713830608490.62212214045072299.47920413619322373.83341213592523693.75355313619636841.33038313968155132.01922214113630013.51374814505477776.51174714835623567.48183814870980475.4039115041523762.99691215084335782.49795915182317941.6263215678637618.59922615999450728.27680615820323435.83139215568240996.50730115605433245.2549416097111645.71959916533677432.31578816045910281.45985215892635157.97876915274261295.77775415139216727.01957314988567694.94572315500427282.59586915717660745.00592214903219071.43216714751314336.03475614705080755.69261213361490629.6800511401940163.01054610882031191.92799611272972289.49598310807941677.47587810214272696.23289510635295255.93372311283248848.07160611906153663.51358411945935190.29632812572739176.49706112929971109.82403613240462757.39837313238402999.86222613665481519.40278813717658830.77609613515310111.34970513675117351.96343614074239739.19395614343162176.84791613749433643.94329313625230157.27303114188435252.65944314161094543.31871414724497412.50529115136285063.24522614918209053.43114915331427278.25349815507647391.84898615756489743.71278415813224291.05225816391475034.32001716299933736.52169816145133338.48031416340960505.76299915867890623.23693315065623815.41969515889608169.58260215658056243.76258515410114881.417381

Beginning MV: $12,994,334,879

CRIF Current MV: $14,782,977,575

RP Current MV: $21,054,350,637

TRF Peak Trough

DateTRF DB Market ValueAll Weather Return

Oct-054,104,290,283

Nov-054,301,631,153-3.73%0.96

Dec-054,307,783,9091.98%1.02

Jan-064,537,775,4863.31%1.03

Feb-064,542,932,2311.01%1.01

Mar-064,544,131,200-1.27%0.99

Apr-064,696,026,010-2.03%0.98

May-064,470,815,352-0.73%0.99

Jun-064,470,054,841-0.83%0.99

Jul-064,483,411,9380.01%1.00

Aug-064,569,361,7883.12%1.03

Sep-064,600,994,3762.90%1.03

Oct-064,724,721,089-0.65%0.99

Nov-064,828,987,7720.94%1.01

Dec-064,994,972,4952.70%1.03

Jan-075,041,706,628-3.77%0.96

Feb-075,038,454,543-0.88%0.99

Mar-075,199,057,1663.41%1.03

Apr-075,362,925,685-0.70%0.99

May-075,527,475,5381.01%1.01

Jun-075,499,619,776-2.19%0.98

Jul-075,424,097,456-1.73%0.98

Aug-075,441,009,8053.06%1.03

Sep-075,634,981,8991.30%1.01

Oct-075,759,908,1222.76%1.03

Nov-075,738,403,6224.35%1.04

Dec-075,736,130,8981.66%1.02

Jan-085,563,755,059-0.61%0.99

Feb-085,484,669,1281.73%1.02

Mar-085,378,509,6092.61%1.03

Apr-085,593,253,474-0.33%1.00

May-085,611,289,961-0.66%0.99Peak to Trough(1,995,664,510)-0.35

Jun-085,346,139,331-0.34%1.00Peak to Current127,820,6210.02

Jul-085,500,237,6930.21%1.00Trough to Current2,123,485,1310.56

Aug-085,413,291,784-1.92%0.98

Sep-084,812,067,5922.36%1.02

Oct-084,357,500,101-9.90%0.90

Nov-084,117,151,881-21.07%0.79

Dec-084,357,009,6132.86%1.03

Jan-094,039,081,91111.74%1.12

Feb-093,764,243,612-4.20%0.96

Mar-093,828,308,526-4.92%0.95

Apr-093,991,276,1757.17%1.07

May-094,279,248,1451.93%1.02

Jun-094,235,522,6292.89%1.03

Jul-094,474,722,0852.94%1.03

Aug-094,616,902,0773.60%1.04

Sep-094,673,005,3322.64%1.03

Oct-094,560,273,2813.03%1.03

Nov-094,850,689,4240.47%1.00

Dec-094,837,558,6934.91%1.05

Jan-104,841,500,514-1.70%0.98

Feb-104,820,003,679-0.26%1.00

Mar-104,965,377,0631.46%1.01

Apr-104,957,982,8912.85%1.03

May-104,827,731,2713.13%1.03

Jun-105,072,398,0090.18%1.00

Jul-105,171,774,7151.16%1.01

Aug-105,273,660,1802.84%1.03

Sep-105,489,481,7854.38%1.04

Oct-105,609,173,8422.65%1.03

Nov-105,581,159,7871.70%1.02

Dec-105,712,286,760-3.08%0.97

Jan-115,767,587,1840.17%1.00

Feb-115,879,186,998-0.39%1.00

Mar-115,920,861,3941.81%1.02

Apr-116,010,700,0830.16%1.00

May-116,092,050,0814.29%1.04

Jun-115,984,318,8211.70%1.02

Jul-115,991,742,8770.15%1.00

Aug-115,873,819,0865.76%1.06

Sep-115,675,198,1800.90%1.01

Oct-115,933,344,556-2.78%0.97

Nov-115,867,662,6613.88%1.04

Dec-115,887,728,743-0.95%0.99

2.29%1.02

TRF DB Market Value3908339114391423917339203392343926439295393263935639387394173944839479395083953939569396003963039661396923972239753397833981439845398733990439934399653999540026400574008740118401484017940210402384026940299403304036040391404224045240483405134054440575406034063440664406954072540756407874081740848408785041706628503845454351990571665362925685552747553854996197765424097456544100980556349818995759908122573840362257361308985563755059548466912853785096095593253474561128996153461393315500237693541329178448120675924357500101411715188143570096134039081911376424361238283085263991276175427924814542355226294474722085461690207746730053324560273281485068942448375586934841500514482000367949653770634957982891482773127150723980095171774715527366018054894817855609173842558115978757122867605767587184587918699859208613946010700083609205008159843188215991742876.80000025873819085.689999656751981805933344555.81000045867662660.97999955887728742.9099998

Oct. '07 Market Value: $5,759,908,122

Current Market Value: $5,887,728,743

Trough Market Value: $3,764,243,612

PERF Total Returns

PERFORMANCE SUMMARY

December 31, 2011PERF TOTAL CRIF PERFORMANCE (Net of Fees)

Market Value ($MM)%MonthTrailing 3 MonthsFiscal YTDCal YTD1 Year3 Year5 Year9 Year

Total CRIF14,783100(0.14)3.75(4.37)0.840.8411.290.336.28

Dynamic Benchmark 1(0.06)3.74(2.97)1.481.489.840.786.39

Target Reference Index 20.013.64(3.25)1.261.2610.020.826.44

Actuarial Assumption0.571.713.447.007.007.007.007.00

Total Domestic Equity2,68118.10.4712.34(4.82)1.671.6715.42(0.70)6.86

Russell 30000.8212.12(5.01)1.031.0314.88(0.01)6.75

Total International Equity2,93319.8(1.64)3.06(16.53)(12.80)(12.80)10.32(1.98)9.56

MSCI ACWI Free Ex US Net(1.12)3.72(16.87)(13.71)(13.71)10.70(2.92)8.98

Total Fixed Income3,09220.91.371.721.695.165.1611.266.90-

Barclays Aggregate / Universal Blended1.131.284.677.627.627.246.51-

Total TIPS1,75211.80.822.627.4913.7513.7510.708.37-

Dynamic Benchmark 30.752.656.8212.6012.6010.007.73-

Total Real Assets 41,3559.2(1.13)2.51(3.65)0.910.9110.05--

Dynamic Benchmark 5(1.33)1.79(4.52)(0.86)(0.86)8.05--

Total Absolute Return1,0327.0(0.19)0.05(5.47)(0.78)(0.78)---

3 Month Libor plus 300 basis points0.290.851.673.333.33---

Total Private Equity 61,74611.8(1.04)0.002.1612.2712.277.094.44-

Russell 3000 plus 500 basis points1.2413.39(2.54)7.377.3721.125.28-

Cash1921.3

1 Market value weighted based on actual CRIF allocation. 2 Based on target CRIF allocation. 3 Market Value weighted based on Barclays US TIPS Index and Bridgewater Custom TIPS benchmark 4. The IRRs for the private real estate portfolio at 12/31/10 are: 28.42% QTD, 23.86% Cal YTD, 23.86% 1 Yr, 14.77% 3 Yr, 14.53% 5 Yr, and 14.47% Since Inception. 5 Market Value weighted based on FTSE EPRA/NAREIT Global Real Estate Index, S&P GSCI Commodities Index, and Dow Jones AIG Commodity Index. 6 The IRRs for the private equity portfolio at 12/31/10 are: 4.67% 1 Mo., 20.27% 3 Mo., 14.67% Cal YTD, 20.69% FYTD, 14.67% 1 Yr., 5.88% 3 Yr., 6.79% 5 Yr., 7.27% 8 Yr.

1.71%

TRF Total Returns

PERFORMANCE SUMMARY

December 31, 2011TRF DB PERFORMANCE (Net of Fees)

Market Value ($MM)%MonthTrailing 3 MonthsFiscal YTDCal YTD1 Year3 Year5 Year9 Year

TOTAL TRF DB ASSETS5,8881000.243.17(2.70)2.962.9611.001.696.95

DB Dynamic Benchmark0.665.07(2.58)1.631.63---

DB Target Benchmark0.765.20(1.91)2.182.189.850.896.71

Actuarial Assumption0.571.713.447.007.007.007.007.00

Domestic Equity1,34222.80.1611.98(6.05)0.100.1016.781.057.21

S&P 1500 Index0.9212.11(4.28)1.761.7614.640.10-

International Equity 74912.7(1.68)3.19(17.98)(13.83)(13.83)10.60(4.25)7.28

MSCI ACWI ex USA ND(1.12)3.72(16.87)(13.71)(13.71)10.70(2.92)8.98

Private Equity161810.5(0.57)(1.42)2.7816.0616.065.886.4910.56

Indiana Teachers PE Custom1.715.2310.7318.7518.7516.2415.7415.41

Equity Strategies280.5(1.47)6.58(8.74)2.462.46---

HFRX Equity Hedge Multi-Strate(0.85)(0.85)(11.73)(19.08)(19.08)---

Domestic Fixed Income2,16136.71.040.122.345.335.3310.875.785.52

Barclays Aggregate1.101.124.987.847.846.776.505.29

Non-US Fixed Income2394.11.010.221.093.763.765.27--

Barclays GL Agg Ex US Hedged1.820.723.293.943.943.88--

Credit Strategies611.00.420.99(5.93)(4.35)(4.35)---

Barclays Aggregate1.101.124.987.847.84---

Inflation-Sensitive Securities2594.40.642.787.0312.4512.459.64--

Barclays US TIPS0.042.697.3213.5613.5610.38--

Commodities641.1(1.99)(1.48)(7.94)1.361.36---

S&P GSCI Commodity TR Index(2.11)8.96(3.78)(1.18)(1.18)---

Real Estate2614.41.285.387.0815.4415.44(6.79)(2.29)-

NCREIF Open-End Divers Core NT3.313.317.8517.1917.19(7.21)(0.88)-

Absolute Return1061.80.20(1.85)(0.40)5.515.519.386.28-

GTAA Blended Benchmark0.062.37(2.77)(0.99)(0.99)4.951.85-

1 The IRR for the TRF private equity portfolio since inception is 8.35%

INPRS

12/31/111/31/12

PERFTRFINPRS%PERFTRFINPRS%

Public Equity5,6142,0917,70537.27%4,57522126,78734.65%

FI Ex Inflation-Linked3,0922,1525,24425.37%2,63321804,81324.57%

FI Inflation-Linked1,7522592,0119.73%1,7852642,04910.46%19576.97

Commodities689647533.64%708667743.95%20387.97

Absolute Return1,0321951,2275.94%1,0391871,2266.26%

Real Estate6662619274.48%6502338834.51%

Private Equity1,7466182,36411.44%1,8785402,41812.34%

Risk Parity0000.00%0000.00%

Cash1922484402.13%63806383.26%

Total14,7835,88820,671100.00%13,9065,68219,588100.00%

INPRS Peak to Trough 2

DatePERF CRIF Market ValueTRF DB Market ValueINPRS DB Market ValueINPRS DB Market Value1000000

Oct-0512,7534,10416,857

Nov-0513,1344,30217,436

Dec-0513,2674,30817,574

Jan-0613,7934,53818,331

Feb-0613,7644,54318,307

Mar-0613,9374,54418,481

Apr-0614,1854,69618,881

May-0613,7244,47118,195

Jun-0613,6944,47018,164

Jul-0613,6804,48318,164

Aug-0614,0254,56918,595

Sep-0614,1974,60118,798

Oct-0614,6184,72519,343

Nov-0614,9454,82919,774

Dec-0615,0424,99520,037

Jan-0715,2445,04220,286

Feb-0715,2425,03820,280

Mar-0715,3615,19920,5602,31713,04518,243.85

Apr-0715,8985,36321,2612,31713,58118,943.95

May-0716,2875,52721,8152,31713,97119,498.32Note: Verify the min-max date range for horizontal axis

Jun-0716,1145,50021,6142,31713,79819,297.20

Jul-0715,7895,42421,2132,31713,47318,896.79

Aug-0715,8115,44121,2522,31713,49418,935.41

Sep-0716,3155,63521,9502,31713,99919,633.51

Oct-0716,7325,76022,4922,31714,41520,175.20

Nov-0716,1635,73821,9012,31713,84619,584.52

Dec-0716,0035,73621,7392,31713,68619,422.11

Jan-0815,2875,56420,8512,31712,97018,534.00

Feb-0815,0935,48520,5782,31712,77618,260.90

Mar-0814,9315,37920,3102,31712,61517,993.062007 to Trough-8,656-42.9%

Apr-0815,5115,59321,1052,31713,19518,787.902007 to Current10,19550.5%

May-0815,7585,61121,3702,31713,44219,053.13Trough to Current18,851163.7%

Jun-0814,8505,34620,1962,31712,53317,879.46

Jul-0814,7145,50020,2142,31712,39717,897.592007 Peak to Trough (-43%): -$8,6560.5375

Aug-0814,6235,41320,0362,31712,30617,719.722007 Peak to Current (+51%): +$10,1950.0000902978

Sep-0813,3004,81218,1122,31710,98315,795.49Trough to Current(+164%): +$18,85122.5744426942

Oct-0811,4494,35815,8062,3179,13213,489.40

Nov-0810,8364,11714,9532,3178,51912,636.47

Dec-0811,1234,35715,4802,3178,80613,163.35

Jan-0910,6654,03914,7042,3178,34912,387.63

Feb-0910,0723,76413,8362,3177,75511,519.27

Mar-0910,4483,82814,2762,3178,13111,959.53

Apr-0911,1413,99115,1332,3178,82512,816.02

May-0911,7934,27916,0722,3179,47713,755.78

Jun-0911,7954,23616,0312,3179,47913,714.04

Jul-0912,4384,47516,9132,31710,12214,596.48

Aug-0912,7954,61717,4122,31710,47815,095.16

Sep-0913,0924,67317,7652,31710,77615,448.62

Oct-0913,0824,56017,6432,27610,80615,366.37

Nov-0913,4774,85118,3282,36011,11715,968.12

Dec-0913,5644,83818,4022,38711,17716,014.60

Jan-1013,3444,84218,1852,24611,09815,939.21

Feb-1013,4974,82018,3172,28811,20916,028.830.56%

Mar-1013,8924,96518,8572,36811,52416,489.462.87%

Apr-1014,1364,95819,0942,32611,81016,768.021.69%

May-1013,4734,82818,3012,22911,24416,071.39-4.15%

Jun-1013,3145,07218,3862,21511,09916,171.430.62%

Jul-1013,8885,17219,0602,34111,54716,718.713.38%

Aug-1013,7755,27419,0492,32311,45216,726.130.04%

Sep-1014,3495,48919,8392,42711,92217,411.574.10%

Oct-1014,7735,60920,3822,47412,29917,907.672.85%

Nov-1014,5935,58120,1752,45112,14317,723.78-1.03%

Dec-1015,0495,71220,7622,51812,53118,243.162.93%

Jan-1115,2535,76821,0202,53412,71918,486.661.33%

Feb-1115,4935,87921,3732,57312,92118,799.951.69%

Mar-1115,5535,92121,4742,57212,98218,902.390.54%

Apr-1116,1096,01122,1202,64713,46219,472.673.02%

May-1115,9726,09222,0642,23513,73719,829.101.83%

Jun-1115,7975,98421,7812,13113,66519,649.65-0.90%

Jul-1115,8915,99221,8832,13813,75319,744.330.48%

Aug-1115,3455,87421,2192,06813,27619,150.30-3.01%

Sep-1114,5175,67520,1922,05212,46518,140.01-5.28%

Oct-1115,3465,93321,2802,27113,07519,008.294.79%

Nov-1115,1115,86820,9792,13512,97618,843.82-0.87%

Dec-1115,0905,88820,9772,11612,97418,861.850.10%

Jan-1215,5325,68321,2152,16513,36719,049.500.99%

Feb-1213,6356,21719,85213,63519,852.424.21%

Mar-1219,880.130.14%

Apr-1220,229.171.76%

May-1219,571.35-3.25%

Jun-1219,708.880.70%

Jul-1220,401.663.52%

Aug-1220,513.800.55%

Sep-1220,730.491.06%

Oct-1221,005.961.33%

Nov-1221,352.701.65%

Dec-1221,570.541.02%

Jan-1322,104.412.48%

Feb-1322,004.17-0.45%

Mar-1322,221.420.99%

Apr-1322,473.701.14%

May-1322,103.67-1.65%

Jun-1321,488.70-2.78%

Jul-1322,270.123.64%

Aug-1322,026.04-1.10%

Sep-1322,470.012.02%

Oct-1322,939.922.09%

Nov-1322,919.52-0.09%

Dec-1323,034.370.50%

Jan-1422,910.19-0.54%

Feb-1423,473.812.46%

Mar-1423,655.580.77%

Apr-1423,940.051.20%

May-1424,238.391.25%

Jun-1424,560.321.33%

Jul-1424,776.700.88%

Aug-1425,005.940.93%

Sep-1424,558.94-1.79%

Oct-1424,615.950.23%

Nov-1424,741.250.51%

Dec-1424,363.37-1.53%

Jan-1524,470.910.44%

Feb-1524,761.861.19%

Mar-1524,658.60-0.42%

Apr-1525,093.171.76%

May-1524,964.62-0.51%

Jun-1524,629.82-1.34%

Jul-1524,728.560.40%

Aug-1524,268.06-1.86%

Sep-1523,823.70-1.83%

Oct-1524,313.372.06%

Nov-1524,142.95-0.70%

Dec-1523,678.49-1.92%

Jan-1623,418.59-1.10%

Feb-1623,360.99-0.25%

Mar-1624,067.693.03%

Apr-1624,376.981.29%

May-1624,476.170.41%(408.48)

Jun-1624,775.551.22%

Jul-1625,526.613.03%

Aug-1625,624.080.38%

Sep-1625,561.50-0.24%

Oct-1625,468.12-0.37%

Nov-1625,249.96-0.86%

Dec-1625,489.130.95%

Jan-1725,819.981.30%

Feb-1726,122.911.17%

Mar-1725,946.13-0.68%

Apr-1726,265.331.23%

May-1726,572.161.17%

Jun-1726,365.13-0.78%

Jul-1727,265.873.42%

Aug-1727,506.610.88%

Sep-1727,371.48-0.49%1,532.42

Oct-1727,897.551.92%

Nov-1728,005.340.39%

Dec-1728,295.861.04%

Jan-1828,766.081.66%

Feb-1828,253.94-1.78%

Mar-1828,196.41-0.20%

Apr-1828,531.391.19%

May-1828,610.410.28%

Jun-1828,475.76-0.47%

Jul-1829,075.322.11%

Aug-1829,073.21-0.01%

Sep-1829,127.200.19%

Oct-1828,326.32-2.75%

Nov-1828,136.57-0.67%

Dec-1827,615.68-1.85%

Jan-1928,689.913.89%

Feb-1928,889.240.69%

Mar-1929,357.611.62%

Apr-1929,730.521.27%

May-1929,453.53-0.93%

Jun-1930,370.573.11%

INPRS DB Market Value3923439264392953932639356393873941739448394793950839539395693960039630396613969239722397533978339814398453987339904399343996539995400264005740087401184014840179402104023840269402994033040360403914042240452404834051340544405754060340634406644069540725407564078740817408484087840909409404096941000410304106141091411224115341183412144124441275413064133441365413954142641456414874151841548415794160941640416714169941759417904182041851418824191241943419734200442035420634209442124421554218542216422474227742308423384236942400424014243042461424914252242552425834261442644426754270542766427944282542855428864291642947429784300843039430694310043131431594319043220432514328143312433434337343404434344346543496435244355543585436164364619297.20107260000118896.7908952918935.41452374000119633.51377583000120175.19539338999719584.52265543000219422.10710918534.00245187999818260.90081415999917993.05751320000118787.90466966999919053.13049822999917879.4629130517897.5945467717719.7157422215795.49058430999913489.3979228612636.4725246713163.3488593412387.62798335000111519.2651693111959.5329885612816.02458607999913755.7810764413714.04177210000114596.4779138815095.15520345000215448.62498367000115366.36862047000115968.11715411000116014.59890426000115939.21110544999816028.83124090000316489.45658729999916768.0165048316071.38962714999816171.42939318000216718.70684166000116726.12953330999917411.57162638999917907.67432284999817723.78447333000118243.16314516000118486.66104923000218799.95281280999918902.3922359619472.66514825999919829.09835170999919649.64693840000119744.32617129999919150.2979354718140.01132149000119008.29130054000118843.81794800999718861.85464004999819049.50391482999819852.41643819880.12579534000220229.16548141999719571.3500567319708.88208899999920401.65749620513.79685781999820730.4927887721005.9640240421352.69546247000121570.53515122104.4091662522004.16890784000122221.41818245000122473.69638729000122103.6731549521488.70111978999922270.115950522026.03856905000122470.01112479999922939.91978670999722919.52275400000123034.36892513999922910.1943902223473.8147267223655.57520097999823940.05179758000324238.39268711000124560.32287324999924776.69648393999925005.94325590000224558.93715493000124615.95486494999924741.25306501999924363.36739672000124470.9084038424761.85852488999824658.5978799925093.17169420000224964.62306059999924629.82037861999924728.56191952999924268.06298007000123823.69962734999724313.36535241000124142.9481425823678.488936723418.5936061623360.99357493999924067.69054745999924376.97866558999924476.17446664000124775.55154163999825526.6059152225624.08243742999925561.49666658000225468.11956224000125249.96145284999925489.12787259999825819.97538698000126122.9111595525946.13447649000226265.32790808999926572.15704804000126365.12927965999927265.8693843427506.61459183000327371.48442018999827897.55356029999928005.3368830428295.86170234999728766.0816585528253.93974045999928196.40570111000128531.38643913999828610.41356284999728475.75899650999829075.31598811999729073.2081951529127.19715622000128326.31749231999928136.57394220000127615.67838249000128689.90948977000228889.23873502000129357.61292908999929730.518213529453.52739836000230370.572757689999

Target vs. Actual Allocations

As of:6/30/19

Target RangeHigh LineActualOldTargetVariance

Public Equity19.50%24.50%21.34%20.00%25.00%22.0%-0.7%

Private Markets*10.00%18.00%12.47%7.00%13.00%14.0%-1.5%

Fixed Income (Ex Inflation Linked)17.00%23.00%20.14%21.00%27.00%20.0%0.1%

Fixed Income (Inflation Linked)4.00%10.00%7.38%7.00%13.00%7.0%0.4%

Commodities6.00%10.00%7.59%6.00%10.00%8.0%-0.4%

Real Estate3.50%10.50%6.00%4.00%11.00%7.0%-1.0%

Absolute Return6.00%14.00%9.57%6.00%14.00%10.0%-0.4%

Risk Parity7.00%17.00%13.16%5.00%15.00%12.0%1.2%Rounding97.65%100%2.35%

Cash + Cash Overlay0.0%2.35%

Strategic Asset Allocation

Target RangePublic EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk Parity0.195000000000000010.10.170.040.063.5000000000000003E-20.067.0000000000000007E-2High LinePublic EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk Parity0.2450.180.230.10.10.1050.140000000000000010.17Actual

Public EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk Parity0.213400000000000010.124700000000000010.20147.3800000000000004E-27.5899999999999995E-20.069.5700000000000007E-20.13159999999999999

Target RangePublic EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk Parity0.195000000000000010.10.170.040.063.5000000000000003E-20.067.0000000000000007E-2High LinePublic EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk Parity0.2450.180.230.10.10.1050.140000000000000010.17Actual

Public EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk Parity0.213400000000000010.124700000000000010.20147.3800000000000004E-27.5899999999999995E-20.069.5700000000000007E-20.13159999999999999

Target RangePublic EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk ParityCash + Cash Overlay0.195000000000000010.10.170.040.063.5000000000000003E-20.067.0000000000000007E-20High LinePublic EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk ParityCash + Cash Overlay0.2450.180.230.10.10.1050.140000000000000010.17Actual

Public EquityPrivate Markets*Fixed Income (Ex Inflation Linked)Fixed Income (Inflation Linked)CommoditiesReal EstateAbsolute ReturnRisk ParityCash + Cash Overlay0.213400000000000010.124700000000000010.20147.3800000000000004E-27.5899999999999995E-20.069.5700000000000007E-20.131599999999999992.35E-2

Cone Chart

Note: Verify the min-max date range for horizontal axis

Sharpe Ratio = (Total Return - Cash Return) / Volatility. Sharpe Ratio measures the return per unit of risk taken.

Jul 2012 – Mar 2019

AnnualizedReturnVolatilityReturn/

Risk Ratio

Actual6.10%4.49%1.23

Expected6.75%10.00%0.45

INPRS Net of Fees Cumulative Returns

Actual Cumulative Returns

49%

41090411214115241182412134124341274413054133341364413944142541455414864151741547415784160841639416704169841729417594179041820418514188241912419434197342004420354206342094421244215542185422164224742277423084233842369424004242942460424904252142551425824261342643426744270442735427664279442825428554288642916429474297843008430394306943100431314315943190432204325143281433124334343373434044343443465434964352443555435854361601.7147000000000023E-23.1786796771000159E-24.4519045843154359E-24.2458209765705801E-25.404617522546129E-26.114517621560478E-27.75557863657792E-27.5989020252403394E-29.0217899056221018E-20.100621848466914588.9551793915034317E-25.9813567251917332E-28.0664339374031613E-27.5598184951046088E-29.7316663501577638E-20.116219040347055770.12298779260772030.126916003906262010.121917004512933860.152080865096268610.159470311764996040.170562964237651830.191835604986742680.20528427795341320.19617956051775320.214414121738285780.188802127910825180.192706154098884360.196630157345869750.181549027472839740.189045956052154910.206958933380080760.201234327159058870.220568193654683940.218444404997724770.204884337214505050.197041745063575750.173607258820466240.1579783309547540.182818124132064330.174048710559749240.155670152044647070.141895719502426850.143182635978306160.180887085678142820.198474037045147430.202230054677246860.219263250091914050.237418079885782780.243493802658022010.252220642165075890.242567273234625350.236115863951991130.252412815502334190.267319032832443070.286943468055853360.287850763200832690.29802607208088250.317736597985430750.316528233525078080.336939687257650890.353310513728120950.359284026335716660.377824660454936010.388115632843873960.407000946028714950.433387841770537460.408369490380274590.416366212346653830.426823244092409130.435700938317151950.439333261691094320.44572965870604930.457567293151534660.462311674690742970.4