Asset-Liability Study Update - Colorado PERA...Recap of Asset-Liability Study Findings Aon’s Capital Market Assumptions span many asset classes/techniques Aon’s return expectations

Investment advice and consulting services provided by Aon Hewitt Investment Consulting, Inc., an Aon Company.

To protect the confidential and proprietary information included in this material, it may not be disclosed or provided to any third parties without the approval of Aon.

Asset-Liability Study UpdateColorado Public Employees’ Retirement Association (PERA)November 15, 2019

Proprietary & Confidential

Investment advice and consulting services provided by Aon Hewitt Investment Consulting, Inc., an Aon Company. 2

Today’s Agenda

Recap of Asset-Liability Study Findings

Portfolio Analysis

Asset-Liability Projection Analysis

Conclusions

Appendices






Asset-Liability Study Objectives

Key Objective: Identify the appropriate risk posture for the portfolio in the context of the liabilities

Three key decisions:

1. Mix between Return-Seeking and Risk-Reducing Assets

2. Composition of Return-Seeking Portfolio

3. Composition of Risk-Reducing Portfolio

Initial Feedback from Board:

Is the current Return-Seeking/Risk-Reducing mix appropriate?

– Generally comfortable with 76% Return-Seeking (24% Risk-Reducing), and potentially higher

Can the Policy (target asset allocation) be enhanced and what are the trade-offs?

– Generally comfortable with diversification principles, pending further investigation of specific asset

classes, associated assumptions, and impact on Automatic Adjustment Provision (AAP)

Is the current liquidity profile appropriate?

– Understanding that liquidity may become stressed in severe economic environments




Aon’s Capital Market Assumptions span many asset classes/techniques

Aon’s return expectations are generally in line with the median of surveyed investment

consultants1 across many asset classes

Aon’s “Model Portfolio 2” reflects best ideas; intended as a starting point for asset allocation

analysis to be customized based on PERA’s circumstances

Modeling generally favors high return-seeking allocations and increased

diversification

Strategies with at least 70% return-seeking assets are projected to attain full

funding within 30 years in the expected case

Higher return-seeking allocations provide attractive risk/reward characteristics

given a sufficiently long-term time horizon and need for asset growth

Increased diversification mitigates downside risk in stressed economic

environments

Asset Class

Assumptions

Asset-Liability

Projection

Analysis

Additional

Portfolio

Considerations

Quantitative benefits of diversification should be weighed against liquidity needs,

implementation considerations, and governance objectives/circumstances

Liquidity becomes stressed in severe economic scenarios

Higher allocation to liquid assets dampens the impact, but does not completely solve the

problem

All of the strategies modeled have similar likelihoods of triggering the AAP

1 Source: Horizon Actuarial survey of 2018 capital market assumptions from 34 independent investment advisors



Portfolio Analysis



Portfolio AnalysisOverview

Purpose:

Analysis of Portfolios A and B, which incorporate key themes from Aon’s Model Portfolio, findings from previous asset-

liability analysis, feedback from Board Trustees, and PERA Staff’s input on constraints

Portfolios Analyzed:

Current Policy (76% Return-Seeking)

PERA’s current long-term allocation targets

Portfolio A (79% Return-Seeking):

Reduces global equity and core fixed income

Increases diversifying alternatives (private equity and real estate)

Adds to opportunity fund flexibility

Portfolio B (79% Return-Seeking):

Further reduces global equity

More opportunity fund flexibility, including:

• New asset class private debt

• Slightly higher allocations to real assets (infrastructure, farmland, and timber) and risk mitigation

Aon Model 2 (79% Return-Seeking):

Incorporates Aon’s investment beliefs and is most appropriate for a typical public pension plan, with above

average governance and tolerance for complexity, costs and illiquidity.

Intended as a starting point for asset allocation considerations and to be customized based on client

circumstances.



Portfolio AnalysisProposed Asset Allocations

Key Takeaways:

The asset allocation considerations for moving away from PERA’s Current Policy to Portfolios A or B represent

incremental changes

The implications are provided in the following analysis

Return-Seeking Assets (RS) Risk-Reducing / Safety Assets

Global Equity StrategiesPrivate

Equity

Multi

Asset

Credit

Real

Estate

Sub-

Total

Opportunity

Cash1Core

Bonds

Interm-

ediate

Gov’t

Interm-

ediate

Credit

Sub-

TotalGlobal

EquityEIRP

Equity

L/S HF

Risk

Mitigation

Opport-

unistic1

Private

Debt

Real

Assets2

Sub-

Total

Current Policy

(76% RS)53.0% -- -- 8.5% -- 8.5% 70.0% 1.7% 2.7% -- 1.7% 6.0% 1.0% 23.0% -- -- 24.0%

Portfolio A

(79% RS)51.0% -- -- 9.5% -- 9.5% 70.0% 2.0% 5.0%3 -- 2.0% 9.0% -- 21.0% -- -- 21.0%

Portfolio B

(79% RS)48.0% -- -- 9.5% -- 9.5% 67.0% 3.0% 3.0%3 3.0% 3.0% 12.0% -- 21.0% -- -- 21.0%

Aon Model 2

(79% RS)34.4% 4.9% 4.9% 10.0% 2.5% 7.4% 64.2% 9.9% 0.0% 2.5% 2.5% 14.8% -- -- 5.3% 15.8% 21.0%

1 Opportunistic/Cash modeled as the return-seeking allocation to Global Equity and (1 – RS%) to Core Bonds2 Real Assets modeled as 1/3 Timber, 1/3 Farmland, 1/3 Infrastructure except for Aon Model 2 which is all Infrastructure3 Represents the maximum allocation to Opportunistic assets



Portfolio AnalysisRisk/Return Analysis (30 Year)

Ideal

Key Takeaways:

Aon generally favors careful

diversification into a broad set of asset

classes with attractive risk and return

properties to improve portfolio efficiency,

as exhibited by Aon’s Model Portfolio

Proposed Portfolios A and B improve

expected return and risk-adjusted return

(as measured by Sharpe Ratio) by

increasing return-seeking allocation and

diversification

Expected

Nominal

Return

Expected

Nominal

Volatility

Sharpe

Ratio

Current Policy (76% R-S) 7.47% 13.00% 0.367

Portfolio A (79% R-S) 7.56% 13.13% 0.370

Portfolio B (79% R-S) 7.59% 12.55% 0.389

Aon Model 2 (79% R-S) 7.49% 10.55% 0.454

(area zoomed in on following slides)



Portfolio AnalysisRisk/Return Analysis (30 Year)

Ideal

Key Takeaways:

Aon generally favors careful

diversification into a broad set of asset

classes with attractive risk and return

properties to improve portfolio efficiency,

as exhibited by Aon’s Model Portfolio

Proposed Portfolios A and B improve

expected return and risk-adjusted return

(as measured by Sharpe Ratio) by

increasing return-seeking allocation and

diversification

Expected

Nominal

Return

Expected

Nominal

Volatility

Sharpe

Ratio

Current Policy (76% R-S) 7.47% 13.00% 0.367

Portfolio A (79% R-S) 7.56% 13.13% 0.370

Portfolio B (79% R-S) 7.59% 12.55% 0.389

Aon Model 2 (79% R-S) 7.49% 10.55% 0.454



Return-Seeking Assets Risk-Reducing / Safety Assets

Expected

Nominal

Return

Expected

Nominal

Volatility

Sharpe

Ratio

Global Equity

StrategiesPrivate

Equity

Multi

Asset

Credit

Real

Estate

Sub-

Total

Opportunity

Cash1Core

Bonds

Interm

-ediate

Gov’t

Interm

-ediate

Credit

Sub-

TotalGlobal

EquityEIRP

Equity

L/S HF

Risk

Mitigation

Opport-

unistic1

Private

Debt

Real

Assets2

Sub-

Total

Current Policy 7.47% 13.00% 0.367 53.0% -- -- 8.5% -- 8.5% 70.0% 1.7% 2.7% -- 1.7% 6.0% 1.0% 23.0% -- -- 24.0%

(1) + Increase Private Equity 7.50% 13.00% 0.369 52.0% -- -- 9.5% -- 8.5% 70.0% 1.7% 2.7% -- 1.7% 6.0% 1.0% 23.0% -- -- 24.0%

(2) + Increase Real Assets 7.50% 12.90% 0.372 51.0% -- -- 9.5% -- 9.5% 70.0% 1.7% 2.7% -- 1.7% 6.0% 1.0% 23.0% -- -- 24.0%

(3) + Increase Opportunistic

(Portfolio A)7.56% 13.13% 0.370 51.0% --- -- 9.5% -- 9.5% 70.0% 2.0% 5.0% -- 2.0% 9.0% 21.0% -- -- 21.0%

Portfolio AnalysisStepwise Progression – Current Policy to Portfolio A

1 Opportunistic/Cash modeled as the return-seeking allocation to Global Equity and (1 – RS%) to Core Bonds2 Real Assets modeled as 1/3 Timber, 1/3 Farmland, 1/3 Infrastructure except for Aon Model 2 which is all Infrastructure

Ideal

Key Takeaways:

Most impactful changes

associated with Portfolio A are:

– Increased real assets

maintains a similar expected

return with less volatility

– Increasing the opportunistic

allocation increases both

expected return and volatility




Expected

Nominal

Return

Expected

Nominal

Volatility

Sharpe

Ratio

Global Equity

StrategiesPrivate

Equity

Multi

Asset

Credit

Real

Estate

Sub-

Total

Opportunity

Cash1Core

Bonds

Interm

-ediate

Gov’t

Interm

-ediate

Credit

Sub-

TotalGlobal

EquityEIRP

Equity

L/S HFRisk

Mitigation

Opport-

unistic1

Private

Debt

Real

Assets2

Sub-

Total

Current Policy 7.47% 13.00% 0.367 53.0% -- -- 8.5% -- 8.5% 70.0% 1.7% 2.7% -- 1.7% 6.0% 1.0% 23.0% -- -- 24.0%

(1) + Increase Private Equity 7.50% 13.00% 0.369 52.0% -- -- 9.5% -- 8.5% 70.0% 1.7% 2.7% -- 1.7% 6.0% 1.0% 23.0% -- -- 24.0%

(2) + Increase Real Assets 7.50% 12.90% 0.372 51.0% -- -- 9.5% -- 9.5% 70.0% 1.7% 2.7% -- 1.7% 6.0% 1.0% 23.0% -- -- 24.0%

(3) + Increase/Diversify Opportunity Fund

(Portfolio B)7.59% 12.55% 0.389 48.0% -- -- 9.5% -- 9.5% 67.0% 3.0% 3.0% 3.0% 3.0% 12.0% 0.0% 21.0% -- -- 21.0%

Portfolio AnalysisStepwise Progression – Current Policy to Portfolio B


Ideal

Key Takeaways:


associated with Portfolio B are:

– Increased real assets

maintains a similar expected

return with less volatility

– Increasing and diversifying

the opportunity allocation

increases expected return

while reducing volatility




Expected

Nominal

Return

Expected

Nominal

Volatility

Sharpe

Ratio

Global Equity

StrategiesPrivate

Equity

Multi

Asset

Credit

Real

Estate

Sub-

Total

Opportunity

Cash1Core

Bonds

Interm

-ediate

Gov’t

Interm

-ediate

Credit

Sub-

TotalGlobal

EquityEIRP

Equity

L/S HFRisk

Mitigation

Opport-

unistic1

Private

Debt

Real

Assets2

Sub-

Total

Current Policy 7.47% 13.00% 0.367 53.0% -- -- 8.5% -- 8.5% 70.0% 1.7% 2.7% -- 1.7% 6.0% 1.0% 23.0% -- -- 24.0%

(1) + Increase Private Assets 7.52% 12.71% 0.380 49.6% -- -- 9.5% -- 8.5% 67.6% 1.7% 2.7% 2.4% 1.7% 8.4% 1.0% 23.0% -- -- 24.0%

(2) + Reconstitute & Reduce Real Assets 7.41% 12.65% 0.373 50.3% -- -- 9.5% -- 7.1% 66.9% 1.7% 2.7% 2.4% 2.4% 9.1% 1.0% 23.0% -- -- 24.0%

(3) + Increase Risk Mitigation 7.51% 11.66% 0.412 45.1% -- -- 9.5% -- 7.1% 61.8% 9.5% -- 2.4% 2.4% 14.3% 1.0% 23.0% -- -- 24.0%

(4) + Multi-Asset Credit 7.49% 11.37% 0.421 42.8% -- -- 9.5% 2.4% 7.1% 61.8% 9.5% -- 2.4% 2.4% 14.3% 1.0% 23.0% -- -- 24.0%

(5) + Global Eq Implementation 7.39% 10.41% 0.451 33.3% 4.8% 4.8% 9.5% 2.4% 7.1% 61.8% 9.5% -- 2.4% 2.4% 14.3% 1.0% 23.0% -- -- 24.0%

(6) + Reconstitute Risk-Reducing

Portfolio7.37% 10.26% 0.455 33.3% 4.8% 4.8% 9.5% 2.4% 7.1% 61.8% 9.5% -- 2.4% 2.4% 14.3% -- -- 6.0% 18.0% 24.0%

(7) + Adjust Return-Seeking Allocation

(Aon Model 2)7.49% 10.55% 0.454 34.4% 4.9% 4.9% 10.0% 2.5% 7.4% 64.2% 9.9% -- 2.5% 2.5% 14.8% -- -- 5.3% 15.8% 21.0%

Portfolio AnalysisStepwise Progression – Current Policy to Aon Model 2


Ideal

Key Takeaways:


associated with Aon’s Model

Portfolio are:

– Increased private assets

– Increased risk mitigation via

the opportunity fund

– Global equity

implementation



Portfolio AnalysisRange of Nominal Returns

Key Takeaways:

Portfolio A has slightly higher short-term return volatility than the Current Policy and higher long-term return

potential

Portfolio B has lower return volatility than the Current Policy and Portfolio A

50th

95th

75th

25th

5th

Percentile

50th

95th

75th

25th

5th

Percentile

50th

95th

75th

25th

5th

Percentile

50th

95th

75th

25th

5th

Percentile

Current

Policy (76%

R-S)

Portfolio A

(79% R-S)

Portfolio B

(79% R-S)

Aon Model 2

(79% R-S)

Current

Policy (76%

R-S)

Portfolio A

(79% R-S)

Portfolio B

(79% R-S)

Aon Model 2

(79% R-S)

Current

Policy (76%

R-S)

Portfolio A

(79% R-S)

Portfolio B

(79% R-S)

Aon Model 2

(79% R-S)

30 Year Outlook1 Year Outlook 10 Year Outlook

-0.86% -0.85% -0.48%0.65%

4.76% 4.83% 4.97% 5.28% 5.90% 5.98% 6.07% 6.21%

30.84% 31.19%30.11%

26.17%

14.37% 14.53% 14.25%13.07%

11.40% 11.53% 11.39% 10.68%

-11.72% -11.81%-11.03%

-8.43%

0.99% 1.02% 1.31%2.18%

3.68% 3.73% 3.92% 4.39%

7.47% 7.56% 7.59% 7.49% 7.47% 7.56% 7.59% 7.49% 7.47% 7.56% 7.59% 7.49%

16.50% 16.69% 16.31%14.79%

10.25% 10.37% 10.27% 9.74% 9.07% 9.17% 9.13% 8.79%

-16%

-12%

-8%

-4%

0%

4%

8%

12%

16%

20%

24%

28%

32%

36%

Po

rtfo

lio N

om

ina

l R

etu

rns

Ca

pita

l M

ark

et

Exp

ecta

tio

ns



Portfolio Analysis Key Impacts: Transition away from Current Policy

* Estimated based on PERA’s current investment management fees applied by asset class. Current fees determined as the average annual management and carry for

the 2017 and 2018 calendar years

** Provided by PERA. Estimated based on expected commissions and market impact. Does not include resource reallocation in planning and executing the transition.

*** Assume a 3-year transition period. Depending on portfolio and market conditions may take more or less time.

Impact on: Portfolio A Portfolio B Aon Model 2

Expected 30-Year Return +0.09% +0.12% +0.02%

Expected 30-Year Risk +0.13% -0.45% -2.45%

Expected 30-Year Sharpe Ratio +0.003 +0.022 +0.087

Allocation to Liquid Securities -5.0% -8.0% -12.0%

Annual Investment Management Fees:

- (%)*

- ($M)*

+0.11%

+$49.9

+0.13%

+$60.4

+0.17%

+$80.6

Transition Cost:

- Estimated One-time Cost ($M)**

- Cost Annualized over 3-years ($M / %)***

$16.6

$5.5 / 0.01%

$27.4

$9.1 / 0.02%

$45.8

$15.3 / 0.03%

Key Takeaways:

Figures above highlight change from PERA’s Current Long-Term Policy

Expected returns are net of investment management fees

Proposed Portfolios A and B offer more liquid, lower cost options relative to Aon’s Model Portfolio



Asset-Liability Projection Analysis



Asset-Liability Projection AnalysisOverview

Purpose

Stochastic analysis of potential financial conditions of the pension fund under the four portfolios

introduced in the previous section

Metrics Analyzed

Economic Cost

Funded Ratio

Liquidity

Likelihood of Trigger Automatic Adjustment Provision



Economic Cost

Present Value of Contributions plus AL Funding Shortfall/(Surplus)* at 7.25%, $millions

Strategy ($Millions) Cost Risk

8 Current Policy (76% R-S) $33,113.0 $42,065.2

20 Portfolio A (79% R-S) $33,072.2 $42,115.1

23 Portfolio B (79% R-S) $33,069.3 $41,793.4

12 Aon Model 2 (79% R-S) $33,273.1 $40,650.7

20 $0.0 $0.0 $0.0

14



20 Portfolio A (79% R-S) $39,022.0 $60,161.2

23 Portfolio B (79% R-S) $38,815.0 $58,750.9

12 Aon Model 2 (79% R-S) $39,162.1 $55,301.8

20 $0.0 $0.0 $0.0



20 Portfolio A (79% R-S) $46,731.1 $67,401.5

23 Portfolio B (79% R-S) $46,517.9 $66,366.8

12 Aon Model 2 (79% R-S) $46,659.7 $63,696.4

December 31, 2047

Economic Cost

Exp

ecte

d C

ost re

du

ctio

n December 31, 2019

December 31, 2027

$30,000

$40,000

$50,000$30,000 $40,000 $50,000 $60,000 $70,000

Risk95th Percentile

Risk reduction

Re

wa

rd5

0th

Pe

rce

ntile

December 31, 2019 (2 Years)



Asset-Liability Projection AnalysisEconomic Cost Analysis—2-Year, 10-Year, and 30-Year Horizons

* Liability projections assume discount rates of 7.25% for all investment policies studied; Reflects a utility function: Excludes 50% of surplus in excess

of 120% of Actuarial liability, and includes twice the shortfall below 40% of Actuarial liability, on a market value basis

Key Takeaways:

Strategies with additional diversification are projected to have similar expected cost (reward) and lower downside cost (risk)

Magnitude of risk/reward impact changes over different time horizons

Ideal



Strategy

Year 2027 2037 2047 2027 2037 2047 2027 2037 2047 2027 2037 2047

5th Percentile 28% 12% 4% 28% 12% 4% 29% 14% 8% 33% 21% 18%

25th Percentile 46% 44% 57% 46% 45% 58% 47% 47% 62% 49% 52% 70%

50th Percentile 63% 79% 114% 63% 80% 117% 64% 81% 118% 63% 80% 117%

75th Percentile 85% 130% >200% 86% 132% >200% 85% 131% >200% 81% 119% >200%

95th Percentile 124% >200% >200% 126% >200% >200% 123% >200% >200% 110% >200% >200%

Probability > 100% 17% 40% 56% 18% 40% 57% 17% 40% 58% 12% 37% 59%

Current Policy (76% R-S) Portfolio A (79% R-S) Portfolio B (79% R-S) Aon Model 2 (79% R-S)

Current Policy (76% R-S) Portfolio A (79% R-S) Portfolio B (79% R-S) Aon Model 2 (79% R-S)

2044 2044 2043 2043

0%

20%

40%

60%

80%

100%

120%

140%

160%

180%

200%2

01

7

20

22

20

27

20

32

20

37

20

42

20

47

20

17

20

22

20

27

20

32

20

37

20

42

20

47

20

17

20

22

20

27

20

32

20

37

20

42

20

47

20

17

20

22

20

27

20

32

20

37

20

42

20

47

Fu

nd

ed

Rati

o (

MV

A / A

L)

Mark

et

Valu

e o

f A

sse

ts /

Actu

arial L

iab

ility

5th Percentile 25th Percentile 50th Percentile 75th Percentile 95th Percentile

Asset-Liability Projection AnalysisFunded Ratio Analysis – Market Value of Assets / Actuarial Liability Funded Ratio

* Liability projections assume discount rates of 7.25% for all investment policies studied

Key Takeaways:

Strategies with additional diversification have higher likelihood of attaining full funding and lower likelihood of depleting assets

in stressed economic environments

Under the Current Policy, the distribution of funded ratios after 30 years spans from 4% to north of 200% funded



Note: Year 0 represents a starting point of December 31, 2018

Asset-Liability Projection Analysis Liquidity Analysis (Current Policy)

Base

Case

Recession

Black

Skies



Asset-Liability Projection AnalysisLiquidity Analysis – Comparison of Liquid Asset Depletion in Black Skies Scenario

Key Takeaway:

The Current Policy is expected to have the most liquid assets of the policies modeled in a Black Skies scenario (99th percentile

outcome)

Current Policy has the highest

allocation to liquid assets and is

expected to maintain sufficient

liquidity for longer

Note: Year 0 represents a starting point of December 31, 2018

Projected Allocation to Liquid Assets



Asset-Liability Projection AnalysisLikelihood of Triggering AAP (Current Policy)

Key Takeaways:

Blue shaded area represents the likelihood of the Automatic Adjustment Provision (AAP) triggering an increase in rates in a given

plan year; green shaded area represents the likelihood of triggering a decrease in rates

In the short-term, AAP is expected to adjust funding to be more in line with actuarial funding

In the longer-term, gradually lower incidence of AAP triggering after exceeding minimum/maximum provisions

Likelihood of AAP triggering (up

or down) gets lower as the

projection ages

High likelihood of AAP

increase in the near-term



Asset-Liability Projection AnalysisComparison of Likelihood of Triggering an Increase in Contribution Rates

Key Takeaway:

Of the strategies modeled, selection of investment strategy is not expected to materially affect the likelihood of triggering an

increase in the Automatic Adjustment Provision

Aon Model 2 (79% R-S) has lower

upside volatility, which will increase

the probability of triggering an AAP

increase in 2021

Note: Increases (decreases) in the contribution rates will accompany decreases (increases) in the annual increase rates



Asset-Liability Projection AnalysisComparison of Likelihood of Triggering a Decrease in Contribution Rates

Key Takeaway:

Of the strategies modeled, selection of investment strategy is not expected to materially affect the likelihood of triggering a

decrease in the Automatic Adjustment Provision

Aon Model 2 (79% R-S) has lower upside

volatility, which will decrease the probability

of triggering an AAP decrease in future years

Note: Increases (decreases) in the contribution rates will accompany decreases (increases) in the annual increase rates



Conclusions



Conclusions

Portfolios A and B represent incremental improvements to the Current Policy that incorporate key

aspects of Aon’s investment beliefs

– Increase the return-seeking allocation from 76% to 79%

– Increase the allocation to diversifying assets within the return-seeking portfolio

Portfolios A and B have certain quantitative benefits relative to the Current Policy

– Slightly higher risk-adjusted return, as measured by Sharpe Ratio

– Slightly more attractive economic cost/risk characteristics

– Slightly higher projected funded ratio and lower funded ratio volatility

PERA should weigh the quantitative benefits of these portfolios against additional quantitative and

qualitative considerations associated with adopting a new portfolio

– Adopting a new portfolio entails transaction costs and other potential resources (e.g., to manage

new asset classes)

– Current Policy has the highest projected liquidity of the strategies modeled

– All of the strategies modeled have similar effects on the program in terms of triggering the

Automatic Adjustment Provision (AAP)



Aon Portfolio Recommendation

Aon recommends the implementation of Portfolio B based on the following rationale:

– More diversified asset allocation

– Numerous quantitative benefits

– Incremental changes to asset allocation should be manageable from implementation standpoint

The drawbacks of Portfolio B include:

– Complexity of implementation

– Less liquidity, particularly in a very pessimistic “black skies” scenario

– No significant change in overall downside risk to the program, as measured by likelihood of

triggering AAP

If the Board and/or Staff have concerns with implementing Portfolio B, Aon suggests maintaining the

Current Policy since Portfolio A does not have the same compelling quantitative benefits as Portfolio

B



Eliminating the Cash Allocation from the Current Policy Recommendation

If the Board decides to maintain the Current Policy, we recommend re-allocating the Cash target

allocation of 1% to Global Equity

– PERA’s Cash component currently applies a cash overlay program that provides equivalent

market exposure to both global equity and fixed income

– The 1% increase to Global Equity will result in a minimal increase in the expected risk and return

of the Current Policy

Return-Seeking Assets (RS)Risk-Reducing / Safety

Assets

Global

Equity

Private

Equity

Real

EstateTotal

Opportunity

FundCash

Core

BondsTotal

Current Policy 53.0% 8.5% 8.5% 70.0% 6.0% 1.0% 23.0% 24.0%

Adjusted Current Policy 54.0% 8.5% 8.5% 71.0% 6.0% -- 23% 23.0%



Aon Opportunity Fund Recommendation

Aon recommends the change in the asset class name of the Opportunity Fund (OF) to Alternatives:

– The use of “opportunity” may cause a misunderstanding that the asset class objective is

opportunistic only. In reality, this asset class also includes components of risk mitigation and real

assets

– “Alternatives” is a broadly recognized asset category name that represents investments beyond

the traditional equity, fixed income, private equity and real estate asset classes. We believe

alternatives more accurately represents the investment composition of PERA’s current OF asset

class

– If approved by the Board, the name change will be updated in the Investment Policy Statement,

CAFR, and quarterly performance reports going forward

We recommend that PERA maintain the phase-in approach for the Alternatives asset class, as PERA

investment staff continues to carefully build out the portfolio toward its long-term policy allocations

– Accordingly, the Alternatives policy weight in the Total Fund Policy Benchmark will be calculated

as follows:

• The Alternatives policy weight will represent the actual weight of its underlying investments

• The actual weight will be set at the beginning of each fiscal year, while being monitored to

ensure it falls within the permissible range

• Once the actual weight reaches its target, the policy weight will then reflect the target weight

going forward

• Overall, we believe the use of the actual weightings and permissible ranges will provide

some flexibility in the management of the asset class



Appendix

Additional Analysis

Actuarial Assumptions and Methods

Capital Market Assumptions



Spectrum of Aon Model Portfolios

Aon’s Model Portfolios reflect Aon’s best ideas for a typical U.S. public defined benefit

plan across a range of circumstances noted below

– Intended as a starting point for asset allocation analysis and decision-making and to

be customized based on client-specific needs and circumstances

Efficiency Model 1 Model 2Model 3

(Opportunity)

Complexity Simple Complex

Costs Low Cost Higher Cost

Resources Light Resources Deep Resources

Governance Modest Governance Strong Governance

Liquidity More Liquid Less Liquid



Automatic Adjustment Provision (AAP) / Downside Risk AnalysisLikelihood of Reaching the Minimum / Maximum Thresholds

Key Takeaways:

The longer the stochastic projection period, the more likely the Automatic Adjustment Provision (AAP) is to reach its minimum or

maximum threshold

As the likelihood of reaching these thresholds increases, the probability of the AAP triggering in the outer years decreases

Roughly 87% of trials after 30

years have reached either the

minimum (47%) or maximum

(40%) thresholds



Actuarial Assumptions and Methods

Actuarial projections for the full asset-liability study reflected open group projections from the prior plan actuary

(Cavanaugh Macdonald Consulting, LLC) as of December 31, 2017

Actuarial projection for this analysis were supplied as follows:

– December 31, 2017 – information as supplied by Cavanaugh Macdonald Consulting, LLC for all five (5) plans,

aggregated together with sensitivity analysis

– December 31, 2018 and thereafter – information as supplied by Segal Consulting for the State and School plans

with the following adjustments:

• State and School results were scaled to match the total five (5) plans as of December 31, 2018 with that same

scaling factor applied to all future projection years

• Sensitivities were not provided by Segal, so the Cavanaugh Macdonald Consulting, LLC sensitivities were

applied to the Segal Consulting projections

Actuarial assumptions:

– Valuation Rate of Interest = 7.25%

– Inflation = 2.40%

– Payroll Growth = 3.50%

– Actuarial Value of Assets: determined by recognizing differences between actual and expected investment income

over a closed five-year period with no corridor

– All other assumptions as documented in the Actuarial Valuation Report as of December 31, 2018 unless noted

otherwise



Actuarial Assumptions and Methods (continued)

Contributions (Member + Employer + Direct Distribution):

– Member contributions were based on the Members’ (except State Troopers) rates as follows:

– Employer contributions were based on the State Division (except State Troopers) and School Division rates

including the Amortization Equalization Disbursement (AED) and Supplemental Amortization Equalization

Disbursement (SAED) and not including the contribution allocated to the DPS Health Care Trust Fund as follows:

– Direct Distributions assumed to begin at $225 million annually as of July 1, 2018

Effective Date Contribution Rate

Prior to 7/1/2019 8.00%

7/1/2019 8.75%

7/1/2020 9.50%

On and after 7/1/2021 10.00%

Date

Employer

Contribution AED SAED

Health Care

Trust Fund

Annual

Increase

Reserve

Total Employer

Contribution

7/1/2018 10.15% 4.50% 5.50% -1.02% -0.50% 18.63%

7/1/2019 10.40% 4.50% 5.50% -1.02% -0.50% 18.88%



Modeling of Pension Reform

SB18-200 includes a mechanism for an automatic adjustment to stay on track for full funding of the pension plans

– The automatic adjustment impacts employer contributions, member contributions, the annual increase (annual

cost-of-living adjustment), and direct distribution received from the state

– The automatic adjustment provision of SB18-200 was designed using the concept of comparing one blended

statutory rate or “Blended Total Contribution Amount” to one “Blended Total Required Contribution” across all five

division trust funds

• Blended Total Contribution Amount = Employer Contribution Rate + Member Contribution Rate + Direct

Distribution

• Blended Total Required Contribution = Actuarial Determined Contribution + Member Contribution Rate

Actuarial Determined Contribution defined as the sum of the Employer’s portion of Normal Cost plus the

Unfunded Accrued Actuarial Liability amortized over layered, closed 30-year amortization periods

– If the Blended Total Contribution Amount is less than 98% or greater than 120% of the Blended Total Required

Contribution, there will be an adjustment of equitable impact to the Employer Contribution Rate, the Member

Contribution Rate, the Annual Increase (AI) cap, and the Direct Distribution (if available)



Modeling of Pension Reform (continued)

For purposes on the stochastic modeling, Aon’s asset-liability study was based on aggregate dollar amounts when

determining if the Automatic Adjustment Provision would be triggered

– Based on the December 31, 2018 actuarial valuation report from Segal, Aon’s methodology was altered to mirror

Segal’s setup which determines the trigger based on the weighted average contribution rates

• Weighted average based on the unfunded actuarial liability

• For this analysis, we assumed that the allocation of the unfunded actuarial liability would remain in proportion

to the amounts stated as of the December 31, 2018 actuarial valuation

– When the Automatic Adjustment Provision is triggered, Aon has assumed that when each lever is available, it will

move in its maximum annual amount

• Employer and Employer Contribution Rates

Annual adjustments cannot exceed 50 basis points

Total adjustment cannot exceed 2.00% above the contribution rate reflected in Senate Bill 18-200

• Actuarial Increase (Cost of Living Adjustment)

Annual adjustment cannot exceed 25 basis points

Cannot exceed 2.00% or fall below 0.50%

• Direct Distribution can go no higher than the current $225 million but can move down in $20 million

increments as future conditions allow



Capital Market Assumptions

What are they?

– Aon's asset class return, volatility and correlation assumptions

– Long-term (10 and 30-year), forward-looking assumptions

• These are separate from our Medium Term views

– Best estimates (50/50 probability of better or worse long-term results than expected)

– Market returns: no active management value added or fees (other than hedge funds and private

equity, where traditional passive investments are not available)

– Produced quarterly by Global Asset Allocation Team



38

The Aon Asset Model and Economic Scenario Generator (ESG) creates 5,000 simulations of key

economic variables and total returns.

We believe the model is complete and consistent. All the major markets and asset classes are

modeled within a consistent framework allowing for the interactions between them to be properly

taken into account.

It is arbitrage free and captures the fact that extreme market events do occur more frequently than

would be predicted by simpler statistical models.

The ESG models the full yield curve as this allows for accurate treatment of liabilities and realistic

modeling of the future distribution of interest rates and inflation. This allows us to assess the

sensitivities of assets and liabilities to changes in interest and inflation rates.

The model is calibrated to Aon's globally-consistent Capital Market assumptions every quarter.

Nominal and real government interest rates are projected using an extended two factor Black-

Karasinki model and a 2 factor Vasicek model respectively. The models are mean reverting starting

with current yield curves and reverting towards our long-term fair values over the very long-term.

Credit spreads are modeled stochastically using a Markov based model to determine the probabilities

of transition between various credit rating and default, and a stochastic parameter reflecting the level

of risk aversion in the market.

Return seeking assets (including equities) are modeled using an individual asset class model with its

own returns and volatilities but no correlations to other asset classes, and exposure to 6 other

economic models to gain the correct correlation structures between returns for each asset class.

Capital Market Assumption Methodology



AHIC Capital Market AssumptionsAs of December 31, 2018 (30 Years)

Notes:

1 All expected returns are geometric (long-term

compounded; rounded to the nearest decimal) and

net of investment fees.2 Opportunity Fund modeled in the asset-liability study

calculations as follows:

25.00% Liquid Alternatives (Direct Hedge Funds -

Median Manager)

16.67% Private Equity – Distressed Debt

8.33% Infrastructure

16.67% Private Debt – Direct Lending

8.33% Timber

8.33% Farmland

16.67% Insurance-Linked Securities3 Represents diversified portfolio of Direct Hedge

Fund investments.4 Alpha incorporated in Expected Nominal Return

Expected

Real

Return1

Expected

Nominal

Return1

Expected

Nominal

Volatility

Equity

1 Global Equity IMI 5.6% 8.0% 19.0%

Fixed Income

2 Cash (Gov't) 0.4% 2.7% 2.0%

3 Cash (LIBOR) 0.9% 3.2% 2.0%

4 Core Fixed Income 1.3% 3.6% 5.0%

5 Intermediate Gov't Bonds (4-Year Duration) 0.6% 2.9% 3.5%

6 Intermediate Corporate Bonds (4-Year Duration) 1.6% 3.9% 4.5%

Alternatives

7 Opportunity Fund² 5.1% 7.5% 7.5%

8 Direct Hedge Funds³˒⁴ 3.5% 5.9% 9.5%

9 Non Core Real Estate 3.9% 6.3% 20.0%

10 Core Real Estate 2.9% 5.3% 11.5%

11 Timber 3.2% 5.6% 15.0%

12 Farmland 3.9% 6.3% 19.0%

13 Private Equity 7.1% 9.6% 24.5%

14 Infrastructure 5.0% 7.4% 15.0%

15 Insurance Linked Securities 2.8% 5.2% 7.5%

16 Equity Insurance Risk Premium - High Beta 4.3% 6.7% 11.0%

17 Private Debt 5.5% 7.9% 17.0%

Inflation

Inflation 0.0% 2.3% 1.5%



AHIC Capital Market AssumptionsAs of December 31, 2018

Notes:1 All expected returns are geometric (long-term compounded; rounded to the nearest decimal) and net of investment fees.2 Opportunity Fund modeled as follows:

25.00% Liquid Alternatives (Direct Hedge Funds - Median Manager) / 16.67% Private Equity – Distressed Debt / 8.33% Infrastructure / 16.67%

Private Debt – Direct Lending / 8.33% Timber / 8.33% Farmland / 16.67% Insurance-Linked Securities3 Represents diversified portfolio of Direct Hedge Fund investments.4 Alpha incorporated in Expected Nominal Return

Nominal Correlations 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17

1 Global Equity IMI 1.00 0.08 0.07 0.04 -0.06 0.08 0.68 0.66 0.24 0.39 0.02 0.00 0.67 0.37 0.02 0.88 0.36

2 Cash (Gov't) 0.08 1.00 0.98 0.47 0.61 0.50 0.11 -0.02 0.09 0.16 0.09 0.06 0.09 0.11 0.26 0.17 -0.02

3 Cash (LIBOR) 0.07 0.98 1.00 0.47 0.60 0.50 0.12 -0.02 0.09 0.16 0.09 0.06 0.09 0.11 0.27 0.17 -0.01

4 Core Fixed Income 0.04 0.47 0.47 1.00 0.90 0.96 0.10 0.02 0.04 0.07 0.03 0.02 0.03 0.05 0.12 0.08 0.01

5 Intermediate Gov't Bonds (4-Year Duration) -0.06 0.61 0.60 0.90 1.00 0.82 -0.13 -0.23 0.03 0.04 0.05 0.03 -0.05 0.01 0.16 0.00 -0.27

6 Intermediate Corporate Bonds (4-Year Duration) 0.08 0.50 0.50 0.96 0.82 1.00 0.19 0.10 0.06 0.09 0.04 0.02 0.07 0.07 0.13 0.12 0.13

7 Opportunity Fund² 0.68 0.11 0.12 0.10 -0.13 0.19 1.00 0.77 0.18 0.28 0.26 0.27 0.49 0.42 0.21 0.63 0.72

8 Direct Hedge Funds³˒⁴ 0.66 -0.02 -0.02 0.02 -0.23 0.10 0.77 1.00 0.16 0.25 0.01 0.00 0.45 0.25 -0.01 0.61 0.58

9 Non Core Real Estate 0.24 0.09 0.09 0.04 0.03 0.06 0.18 0.16 1.00 0.60 0.01 0.01 0.20 0.12 0.02 0.23 0.09

10 Core Real Estate 0.39 0.16 0.16 0.07 0.04 0.09 0.28 0.25 0.60 1.00 0.02 0.01 0.33 0.19 0.04 0.38 0.14

11 Timber 0.02 0.09 0.09 0.03 0.05 0.04 0.26 0.01 0.01 0.02 1.00 0.33 0.02 0.01 0.02 0.02 0.01

12 Farmland 0.00 0.06 0.06 0.02 0.03 0.02 0.27 0.00 0.01 0.01 0.33 1.00 0.00 0.01 0.01 0.00 0.00

13 Private Equity 0.67 0.09 0.09 0.03 -0.05 0.07 0.49 0.45 0.20 0.33 0.02 0.00 1.00 0.32 0.02 0.64 0.25

14 Infrastructure 0.37 0.11 0.11 0.05 0.01 0.07 0.42 0.25 0.12 0.19 0.01 0.01 0.32 1.00 0.03 0.37 0.14

15 Insurance Linked Securities 0.02 0.26 0.27 0.12 0.16 0.13 0.21 -0.01 0.02 0.04 0.02 0.01 0.02 0.03 1.00 0.05 -0.01

16 Equity Insurance Risk Premium - High Beta 0.88 0.17 0.17 0.08 0.00 0.12 0.63 0.61 0.23 0.38 0.02 0.00 0.64 0.37 0.05 1.00 0.31

17 Private Debt 0.36 -0.02 -0.01 0.01 -0.27 0.13 0.72 0.58 0.09 0.14 0.01 0.00 0.25 0.14 -0.01 0.31 1.00



AHIC Capital Market Assumptions Explanation of Capital Market Assumptions—Q1 2019

The following capital market assumptions were developed by Aon's Global Asset Allocation Team and represent the long-

term capital market outlook (i.e., 30 years) based on data at the end of the fourth quarter of 2018. The assumptions were

developed using a building block approach, reflecting observable inflation and interest rate information available in the

fixed income markets as well as Consensus Economics forecasts. Our long-term assumptions for other asset classes are

based on historical results, current market characteristics, and our professional judgment.

Inflation – Expected Level (2.3%)

Based on Consensus Economics long-term estimates and our near-term economic outlook, we expect U.S. consumer

price inflation to be approximately 2.3% during the next 30 years.

Real Returns for Asset Classes

Fixed Income

Cash (0.4%) – Over the long run, we expect the real yield on cash and money market instruments to produce a real

return of 0.4% in a moderate to low-inflationary environment.

TIPS (1.3%) – We expect intermediate duration Treasury Inflation-Protected Securities to produce a real return of

about 1.3%.

Core Fixed Income (i.e., Market Duration) (1.3%) – We expect intermediate duration Treasuries to produce a real

return of about 0.6%. We estimate the fair value credit spread (credit risk premium - expected losses from defaults and

downgrades) to be 0.7%, resulting in a long-term real return of 1.3%.

Long Duration Bonds – Government and Credit (1.6%) – We expect Treasuries with a duration comparable to the

Long Government Credit Index to produce a real return of 0.9%. We estimate the fair value credit spread (credit risk

premium - expected losses from defaults and downgrades) to be 0.7%, resulting in an expected real return of 1.6%.




Long Duration Bonds – Credit (2.1%) – We expect Treasuries with a duration comparable to the Long Credit Index

to produce a real return of 0.9%. We estimate the fair value credit spread (credit risk premium - expected losses from

defaults and downgrades) to be 1.2%, resulting in an expected real return of 2.1%.

Long Duration Bonds – Government (0.9%) – We expect Treasuries with a duration of ~12 years to produce a real

return of 0.9% during the next 30 years.

High Yield Bonds (3.3%) – We expect intermediate duration Treasuries to produce a real return of about 0.6%. We

estimate the fair value credit spread (credit risk premium - expected losses from defaults and downgrades) to be

2.7%, resulting in an expected real return of 3.3%.

Bank Loans (3.7%) – We expect LIBOR to produce a real return of about 0.9%. We estimate the fair value credit

spread (credit risk premium - expected losses from defaults) to be 2.8%, resulting in an expected real return of 3.7%.

Non-US Developed Bonds: 50% Hedged (0.7%) – We forecast real returns for non-US developed market bonds to

be 0.7% over a 10-year period after adjusting for a 50% currency hedge. We assume a blend of one-third investment

grade corporate bonds and two-thirds government bonds. We also produce assumptions for 0% hedged and 100%

hedged non-US developed bonds.

Emerging Market Bonds (Sovereign; USD) (3.0%) – We forecast real returns for emerging market sovereign bonds

denominated in US dollars to be 3.0% over a 30-year period.

Emerging Market Bonds (Corporate; USD) (2.7%) – We forecast real returns for emerging market corporate bonds

denominated in US dollars to be 2.7% over a 30 year period.

Emerging Market Bonds (Sovereign; Local) (3.8%) – We forecast real returns for emerging market sovereign bonds

denominated in local currency to be 3.8% over a 30 year-period.

Multi Asset Credit (MAC) (4.6%) – We assume real returns from beta exposure to high yield, bank loans and

emerging market debt to add 3.6% plus 1.0% from alpha (net of fees) over a 30-year period.




Equities

Large Cap U.S. Equity (4.6%) – This assumption is based on our 30-year outlook for large cap U.S. company

dividends and real earnings growth. Adjustments are made for valuations as needed.

Small Cap U.S. Equity (5.1%) – Adding a 0.5% return premium for small cap U.S. equity over large cap U.S. equity

results in an expected real return of 5.1%. This return premium is theoretically justified by the higher risk inherent in

small cap U.S. equity versus large cap U.S. equity, and is also justified by historical data. In recent years, higher

small cap valuations relative large cap equity has reduced the small cap premium.

Global Equity (Developed & Emerging Markets) (5.6%) – We employ a building block process similar to the U.S.

equity model using the developed and emerging markets that comprise the MSCI All-Country World Index. Our roll-up

model produces an expected real return of 5.6% for global equity.

International (Non-U.S.) Equity, Developed Markets (5.6%) – We employ a building block process similar to the

U.S. equity model using the non-U.S. developed equity markets that comprise the MSCI EAFE Index.

Emerging Market Stocks (6.2%) - We employ a building block process similar to the U.S. equity model using the non-

U.S. emerging equity markets that comprise the MSCI Emerging Markets Index.

Equity Risk Insurance Premium Strategies-High Beta (4.3%) – We expect nominal returns from insurance equity

risk premium to average 1.5% plus 5.2% from cash & equity beta over the next 30 years.

Alternative Asset Classes

Hedge Fund-of-Funds Universe (2.1%) – The generic category “hedge funds” encompasses a wide range of

strategies accessed through “fund-of-funds” vehicles. We also assume the median manager is selected and also allow

for the additional costs associated with Fund-of-Funds management. A top-tier portfolio of funds (hedge fund-of-funds

buy-list) could add an additional 1.1% in return at similar volatility based on alpha, lower fees and better risk

management.




Hedge Fund-of-Funds Buy List (3.2%) – The generic category of top-tier “hedge funds” encompasses a wide range

of strategies accessed through “fund-of-funds” vehicles. We assume additional costs associated with Funds-of-Funds

management. To use this category the funds must be buy rated or we advise on manager selection.

Broad Hedge Funds Universe (3.5%) – Represents a diversified portfolio of direct hedge fund investments. This

investment will tend to be less diversified than a typical “fund-of-funds” strategy as there will be fewer underlying

managers and will not include the extra layer of fees found in a Fund-of-Funds structure.

Broad Hedge Funds Buy List (4.8%) – Represents a diversified portfolio of top-tier direct hedge fund investments.

This investment will tend to be less diversified than a typical “fund-of-funds” strategy as there will be fewer underlying

managers and will not include the extra layer of fees found in a Fund-of-Funds structure. To use this category the

funds must be buy rated or we advise on manager selection.

Core Real Estate (2.9%) -- Our real return assumption for core real estate is based a gross income of about 3.9%,

management fees of roughly 1%, and future capital appreciation near the rate of inflation during the next 30 years. We

assume a portfolio of equity real estate holdings that is diversified by property and by geographic region.

U.S. REITs (4.0%) – Our real return assumption for U.S. REITs is based on income of about 4.0% and future capital

appreciation near the rate of inflation during the next 30 years. REITs are a sub-set of U.S. small/mid cap equity

universe.

Commodities (3.1%) – Our commodity assumption is for a diversified portfolio of commodity futures contracts.

Commodity futures returns are composed of three parts: spot price appreciation, collateral return, and roll return

(positive or negative change implied by the shape of the future curve). We believe that spot prices will converge with

CPI over the long run (i.e., 2.3%). Collateral is assumed to be LIBOR cash (0.9%). Also, we believe the roll effect will

be near zero, resulting in a real return of about 3.1% for commodities.




Private Equity (7.1%) – Our private equity assumption reflects a diversified fund of funds with exposure to buyouts,

venture capital, distressed debt, and mezzanine debt.

Infrastructure (5.0%) – Our infrastructure assumption is formulated using a cash flow based approach that projects

cash flows (on a diversified portfolio of assets) over a 30 year period. Income and capital growth as well as gearing

levels, debt costs and terms, relevant tax and management expenses are all taken into consideration. Our approach

produces an expected real return of 5.0% for infrastructure.

Equity Risk Insurance Premium Strategies-Low Beta (3.8%) – We assume nominal returns from cash of 2.7% +

3.5% from alpha.

Volatility / Correlation Assumptions

Assumed volatilities are formulated with reference to implied volatilities priced into option contracts of various terms, as

well as with regard to historical volatility levels. For asset classes which are not marked to market (for example real

estate), we “de-smooth” historical returns before calculating volatilities. Importantly, we consider expected volatility trends

in the future – in recent years we assumed the re-emergence of an economic cycle and a loss of confidence in central

bankers would lead to an increase in volatility. Correlation assumptions are generally similar to actual historical results;

however, we do make adjustments to reflect our forward-looking views as well as current market fundamentals.



Methodology and Current AssumptionsFees

Objective is to develop return assumptions that reflect the cost of implementing an investment program

Liquid, publicly traded asset classes are investable passively at very low cost

– Fee assumption is zero

For asset classes such as emerging market debt which cannot be invested in passively at very low cost, it is assumed

for modeling purposes that manager alpha is offset by fees

For real estate there is an allowance for the unavoidable costs associated with investing in a real estate portfolio.

These include property management costs, trading costs and investment management expenses.

For hedge funds, private equity and infrastructure, explicit fee assumptions are subtracted from expected returns;

include base and performance-based fee/carry as appropriate



Legal Disclosures and Disclaimers

Investment advice and consulting services provided by Aon Hewitt Investment Consulting, Inc. (“AHIC”). The information contained

herein is given as of the date hereof and does not purport to give information as of any other date. The delivery at any time shall not,

under any circumstances, create any implication that there has been a change in the information set forth herein since the date

hereof or any obligation to update or provide amendments hereto.

This document is not intended to provide, and shall not be relied upon for, accounting, legal or tax advice. Any accounting, legal, or

taxation position described in this presentation is a general statement and shall only be used as a guide. It does not constitute

accounting, legal, and tax advice and is based on AHIC’s understanding of current laws and interpretation.

AHIC disclaims any legal liability to any person or organization for loss or damage caused by or resulting from any reliance placed on

that content. AHIC reserves all rights to the content of this document. No part of this document may be reproduced, stored, or

transmitted by any means without the express written consent of AHIC.

Aon Hewitt Investment Consulting, Inc. is a federally registered investment advisor with the U.S. Securities and Exchange

Commission. AHIC is also registered with the Commodity Futures Trading Commission as a commodity pool operator and a

commodity trading advisor, and is a member of the National Futures Association. The AHIC ADV Form Part 2A disclosure statement

is available upon written request to:

Aon Hewitt Investment Consulting, Inc.

200 E. Randolph Street

Suite 700

Chicago, IL 60601

ATTN: AHIC Compliance Officer

© Aon plc 2019. All rights reserved.

Documents

Asset-Liability Study Update - Colorado PERA...Recap of Asset-Liability Study Findings Aon’s Capital Market Assumptions span many asset classes/techniques Aon’s return expectations