Patricia (Patty) French P: (505) 476-9300 Chair, Municipal Member F: (505) 476-9401 Wayne Propst Toll Free: Executive Director 1(800) 342-3422

Tuesday, June 28, 2016

Questions received in connection with the 2016 Illiquid Investment Consultant RFP

QUESTION 1: Can you tell us the current consultant’s annual fee?

ANSWER 1: PERA’s current fee structure is a flat annual rate of $1.9 million. According to CEM Benchmarking, Inc., PERA’s fee is 1.3bps above the U.S. median and 0.9bps above the U.S. average, thus one of the motivations for an RFP issuance.

QUESTION 2: Can you provide specific dates of meetings the consultant would be expected to attend?

ANSWER 2: PERA holds 1-2 meetings per month, typically scheduled on the second Tuesday and last Thursday of each month. The consultant will also be expected to attend onsite due diligence, and any board education sessions.

QUESTIONS 3: What is the anticipated working relationship with the general consultant?

ANSWER 3: PERA views its portfolio holistically, and expects its consultants to maintain a collaborative working relationship.

QUESTION 4: Are the meeting requirements all onsite or can conference calls be acceptable?

ANSWER 4: Onsite attendance is required for Board and Investment Committee meetings.

QUESTION 5: How often will the consultant visit PERA onsite?

ANSWER 5: Please refer to answer 2.

QUESTION 6: How many (if any) co-investments do you anticipate PERA will make?

33 Plaza La Prensa, Santa Fe, NM 87507 Visit us at www.nmpera.org

ANSWER 6: PERA does not currently participate in co-investment opportunities.

QUESTION 7: What types of special projects will be completed by the consultant?

ANSWER 7: The consultant will be expected to prepare educational materials, and ad-hoc reporting and presentations as requested by PERA.

QUESTION 8: Is opportunistic credit a part of this RFP?

ANSWER 8: Yes, illiquid credit-oriented fixed income is included in this RFP.

QUESTION 9: What will be the expected involvement with legal negotiations, side letters, amendments, and closings?

ANSWER 9: PERA relies on in-house and outside counsel for the matters above. However, we will seek the opinion of the consultant when necessary. Additionally, the consultant is required to review and opine on terms upon Board recommendation.

QUESTION 10: Will the consultant be covering annual meetings for funds in the PERA portfolio?

ANSWER 10: PERA expects to work collaboratively with the consultant to determine necessary annual meeting attendance.

QUESTION 11: If a consultant is only responding to various illiquid investments or a specific category of illiquid investments how will the sub-sector allocations be determined? It appears based upon some of the requested responses that the consultant should make recommendations as to the specific allocations within the sub-sectors. Though sub-sector consultants can provide detail on return attribution and specifics for their individual sectors is it assumed that the general consultant and staff/board will provide targets for each sub-sector?

ANSWER 11: Sub-sector allocations (i.e. venture capital within private equity) are determined by the PERA Board, upon recommendation from staff and general consultant. As part of the asset allocation study, PERA does request that the illiquid consultant collaborate with general consultant and staff to determine appropriate sub-sector allocations.

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QUESTIONS 12: Does NMPERA currently have risk/return targets/objectives for the illiquid investment classes (all sub-sectors)? If so, what are they?

ANSWER 12:

QUESTION 13: In order to gain a better understand of travel requirements, can you please provide a general expectation for the number of required physical meetings by the consultant? The RFP references monthly investment and board meetings, attendance as requested at Staff meetings to provide advice, and attend meetings related to investment manager searches and site visits. How many of these physical meetings did the current consultant attend in 2014 and 2015?

ANSWER 13: PERA expects approximately 12-24 physical meetings with the PERA Board, per year. In fiscal year 2016, the PERA Board held 12 physical meetings.

QUESTION 14: How many advisory board seats does NMPERA currently hold in real estate, timber, farmland, and infrastructure?

ANSWER 14: PERA currently holds three advisory board seats within Real Estate and Real Assets.

QUESTION 15: Included within Contractor warranties and representations is the following statement: “Contractor does not directly or indirectly own any investment managers, investments brokers, or investment banking services or directly or indirectly manage any pooled assets.” In the event that the Offeror does manage and act as a GP for fund of fund vehicles, would that disqualify the Offeror from acting as NMPERA’s illiquid investment consultant and participating in the consultant search process; or would it simply need to be disclosed prior to contract execution?

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ANSWER 15: Offerors will not be disqualified, however, PERA does require disclosure prior to contract executions. Additionally, per the stated minimum qualifications, revenues that are not derived from advisory/consulting services must not be more than 50% of total revenues.

QUESTION 16: Are there any limits on file size for attachments?

ANSWER 16: Yes, attachments larger than 10MB or within a zip files can’t be accepted by PERA. Respondents may submit their proposals through multiple emails, or through other electronic media devices.

QUESTION 17: In Part II. Scope of work, Section B Common Components of Scope of Work and Deliverables, Section 3 Reporting and Monitoring of the Illiquid Assets Portfolio paragraph “a,” sub paragraph “v” on page 5. The state requests that the consultant provide peer benchmarks. Can the respondents receive an example of previous reports provided to the state?

ANSWER 17: PERA currently utilizes TUCS universe and Cambridge peer benchmarking.

QUESTION 18: In Part V. Submission Requirements, Section A. Method for Submission of Proposals on page 11. Due to the potential file size of the document and built in fire walls, can respondents send the document via a delivery service (i.e. LeapFile). Alternatively can respondents send multiple emails splitting the file into smaller sizes in order to avoid fire walls?

ANSWER 18: Yes, PERA will accept submissions via a delivery service, as long as submission are in PERA’s possession by the submission deadline.

QUESTION 19: In Part VII. Key Contractual Provisions on Page 14. Can respondents include potential changes to the listed provisions as an attachment?

ANSWER 19: Yes.

QUESTION 20: While it is stated that “All principal investment decisions are subject to approval by the Board” in the policy, does staff have any delegated authority (e.g. manager re-ups)?

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ANSWER 20: No.

QUESTION 21: Within the strategic allocations for each asset class, are there sub asset class allocations for private equity, real estate, real assets, absolute return (e.g. how much allocated to venture, buyouts…)?

ANSWER 21: Please refer to Attachment A.

QUESTION 22: If the RFP is to rehire or replace your current general investment consultant, what prompted the search? Is the incumbent consulting firm allowed or encouraged to rebid?

ANSWER 22: This RFP issuance is in line with PERA’s initiatives to better align services with costs. The incumbent consulting firm is allowed to submit a proposal.

QUESTION 23: How long has the incumbent consultant been with your plan?

ANSWER 23: The incumbent consultant has been with the plan since 2006.

QUESTION 24: Do you anticipate making any changes to the asset allocation of the fund? Are you considering any new asset classes?

ANSWER 24: PERA recently adopted a new Strategic Asset Allocation, and is in the process of implementation. Additional changes are not expected, at this time.

QUESTION 25: What is the most important investment issue your fund is currently facing?

ANSWER 25: PERA is currently focused on prudent and efficient implementation of the newly adopted Strategic Asset Allocation.

QUESTION 26: Please provide a copy of your 2016 meeting schedule for the board meetings, the investment committee meetings, and the Annual Board Retreat in which the investment consultant would be expected to attend. Are the Board Meetings and Investment Committee meetings always on the same date and location? We note that in 2016 there were several “Special Board Meetings.” Would the consultant be expected to attend

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these as well? Are there any scheduled workshop dates that would involve the Illiquid Assets consultant in 2016? Were there any in 2015?

ANSWER 26: Please refer to answer 2, additionally, PERA Board retreats typically occur annually, following a fiscal year end. Special Board meetings will be scheduled at the discretion of the Board.

QUESTION 27: How many partnership annual meetings and advisory board meetings did your Consultant participate on your behalf in each of 2016 and 2015?

ANSWER 27: Please refer to answer 10.

QUESTION 28: What strategic decisions are currently pending with the current consultant that the new consultant would likely become involved with?

ANSWER 28: Implementation of newly adopted Strategic Asset Allocation, and ongoing illiquid manager diligence.

QUESTION 29: How many reviews of fund document amendments did your current consultant review on your behalf in 2016 and 2015?

ANSWER 29: PERA expects a recommendation from its consultant on each amendment received.

QUESTION 30: When was the last asset liability study conducted?

ANSWER 30: PERA conducted an asset liability study in 2012. An asset allocation study was also performed in 2016, which included a review of the Fund’s liabilities. Additionally, PERA’s actuaries perform periodic experience studies on the Fund.

QUESTION 31: Please provide a copy of your current Illiquid Asset Portfolio. Ideally, information on each investment would include vintage year, original commitment amount, contributions, distributions, and current value.

ANSWER 31: Please refer to Attachment B.

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QUESTION 32: How many public markets and alternative searches have you done on average per year in the last three years which involved the Illiquid Assets Consultant? How many public market and alternative investments searches do you expect to do on average per year in the next three years?

ANSWER 32: PERA averages 3-8 RFP and RFI searches for public market managers per year.

PERA is continually sourcing opportunities in the illiquid markets, of which 10-15 are recommended to the Board. Current commitment budgets are as follows: private equity $400 million, illiquid credit $250 million, and illiquid real assets $450 million, and illiquid real estate $375 million.

QUESTION 33: Are Illiquid Asset Managers required to present to the Board for approval?

ANSWER 33: Yes.

QUESTION 34: Part I, D) What is the current target allocation to Real Assets and Private Equity? Does NM PERA currently have a specific allocation to infrastructure within its allocation to Real Assets and, if so, what is the allocation and does it anticipate any change in the allocation in the near future?

ANSWER 34: Please refer to Attachment A.

QUESTION 35: (Part VII, A) Will NM PERA reimburse the Contractor for travel and related out of- pocket expenses?

ANSWER 35: No.

QUESTION 36: (Part VII, A) What has the compensation been for the illiquid investment consultant(s) in the last three years?

ANSWER 36: Please refer to answer 1.

QUESTION 37: (Appendix C, Question 24) Can you provide the date on which each of the illiquid fund commitments were made and the commitment size?

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ANSWER 37: Please refer to Attachment B.

QUESTION 38: How many private equity and infrastructure manager searches does NM PERA hope to complete each year? How many commitments and of what size would be expected to be made?

ANSWER 38: PERA expects to allocate capital to approximately 4-6 managers per year within each asset class, with commitments ranging from $50-$100 million per manager.

QUESTION 39: Part 1 A and also E, Page 1 and Page 3 of 71. Re: "sealed" bids. Given all submissions will be electronic only, please advise on the definition of “sealed”.

ANSWER 39: We apologize for the oversight, the reference to “Sealed” bids is no longer applicable, given our request for electronic submissions.

QUESTION 40: Part II. Scope of Work, Paragraph A. Page 3 of 71. Will the mandate require coverage of all hedge fund strategies and alternative risk premia?

ANSWER 40: Yes, this mandate will require coverage of all hedge funds and risk-premia strategies.

QUESITON 41: Appendix C, Section C. Q.24, Page 24 of 71. Can you please provide more detailed performance information on your portfolio? In the Comprehensive Annual Financial Report to June 30, 2015 (on the PERA website), reference is made to The Investment Performance Information from Cliffwater LLC. May we have a copy of that report (page 118)?

ANSWER 41: Please refer to Attachment B.

QUESTION 42: Appendix C, Section C. Q.36 Page 26 of 71. For sub section K – can you please elaborate (are you referring specifically to structures of investments, i.e. funds of one, managed accounts etc.)?

ANSWER 42: Yes, please provide your Firm’s thoughts on investment structures as they relate to PERA.

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ATTACHMENT A

New Mexico PERA Asset Class Buckets

Weights Proposed Benchmarks Global Equity Custom Blended Benchmark Global Public Stock 65.0% MSCI ACWI IMI ($net) Global Low Volatility Equity 10.0% MSCI ACWI Minimum Volatility ($net) Hedged Equity 5.0% HFRI - Equity Hedge (Total) Index Private Equity 20.0% Russell 3000 + 3%

Risk Reduction & Mitigation Custom Blended Benchmark Core Fixed Income 86.0% Barclays U.S. Aggregate Global Core Fixed Income 12.0% Barclays Global Aggregate Cash 2.0% 3 Month Treasury Bills

Credit Oriented Fixed Income Custom Blended Benchmark Liquid Credit 20.0% Barclays Global High Yield 50% JP Morgan EMBI Global Diversified ($) 50% Emerging Market Debt 20.0% JP Morgan GBI Emerging Market Diversified (LC) Illiquid Credit 40.0% Barclays Global High Yield + 1% Credit Oriented Hedge Funds 20.0% HFRI Credit Index

Real Assets Custom Blended Benchmark Liquid Real Estate 5.0% Wilshire Global Real Estate Securities Illiquid Real Estate 38.0% NCREIF ODCE + 1% Liquid Real Assets 10.0% Alerian MLP Index Illiquid Real Assets 42.0% Custom Blended Index Market Neutral Hedge Funds/Risk Premia 5.0% LIBOR + 2%

5 ATTACHMENT B Performance Summary As of 12/31/2015 New Mexico Public Employees Retirement Association

(A) (B) (C) (D) (C+D) Commit. Unfunded Cumulative Cumulative Fair Total (C+D-B) IRR TVPI Partnership Strategy Amount Amount Cont. % Drawn Dist. Value Value Gain/Loss Net IRR Benchmark TVPI Benchmark (in thousands) Vintage Year 2006 CerberusCerberus Institutional Institutional Partners, Partners, L.P.- L.P.- Series FourDistressed Debt 25,000 1,914 23,086 92 % 26,912 9,722 36,634 13,548 8.01% 8.26% 1.59x 1.61x Series Four CollerColler International International Partners Partners V, V, L.P. L.P. Secondary 25,000 5,856 19,462 77 % 21,832 8,211 30,043 10,580 10.46% 4.08% 1.54x 1.22x

Vintage Year 2006 Total 50,000 7,770 42,549 84 % 48,744 17,933 66,677 24,129 8.91% 7.61% 1.57x 1.46x

Vintage Year 2007 CarlyleCarlyle Partners Partners V, V, L.P. L.P. Buyout 30,000 5,840 30,550 81 % 31,955 17,819 49,774 19,224 13.38% 13.65% 1.63x 1.65x HellmanHellman & & Friedman Friedman Capital Capital Partners Partners VI VI Buyout 21,750 797 20,953 96 % 32,619 5,234 37,853 16,900 13.03% 13.65% 1.81x 1.65x KelsoKelso Investment Investment Associates Associates VIII, VIII, L.P. L.P. Buyout 30,000 5,333 33,681 82 % 19,076 25,072 44,148 10,467 9.23% 13.65% 1.31x 1.65x KRGKRG Capital Capital Fund Fund IV, IV, L.P. L.P. Buyout 30,000 3,069 29,713 90 % 20,180 18,332 38,511 8,798 8.39% 13.65% 1.30x 1.65x ProvidenceProvidence Equity Equity Partners Partners VI, VI, L.P. L.P. Buyout 25,000 1,908 26,061 92 % 20,990 14,921 35,911 9,850 6.66% 13.65% 1.38x 1.65x SunSun Capital Capital Partners Partners V, V, L.P. L.P. Buyout 16,069 103 15,966 99 % 8,117 13,795 21,911 5,945 8.11% 13.65% 1.37x 1.65x TheThe Resolute Resolute Fund Fund II, II, L.P. L.P. Buyout 25,000 3,009 25,683 88 % 21,723 15,697 37,420 11,737 10.20% 13.65% 1.46x 1.65x TPGTPG Asia Asia V, V, LP LP Buyout 30,000 4,515 28,324 85 % 19,601 14,505 34,106 5,782 4.52% 6.13% 1.20x 1.31x OCMOCM Opportunities Opportunities Fund Fund VII, VII, L.P. L.P. Distressed Debt 15,000 0 15,001 100 % 18,694 1,810 20,503 5,502 7.50% 8.12% 1.37x 1.31x WayzataWayzata Opportunities Opportunities Fund Fund II, II, L.P. L.P. Distressed Debt 30,000 6,000 34,966 80 % 55,937 7,296 63,233 28,267 16.31% 8.12% 1.81x 1.31x JMIJMI Equity Equity Fund Fund VI, VI, L.P. L.P. Venture Capital 17,500 385 17,123 98 % 24,620 4,791 29,411 12,288 11.32% 11.86% 1.72x 1.75x

Vintage Year 2007 Total 270,319 30,960 278,023 89 % 273,512 139,270 412,782 134,759 10.38% 10.37% 1.48x 1.54x

Vintage Year 2008 CVCCVC European European Equity Equity Partners Partners V V Buyout 21,814 1,033 26,796 118 % 25,121 12,931 38,052 11,257 11.16% 9.15% 1.42x 1.36x MadisonMadison Dearborn Dearborn Capital Capital Partners Partners VI, VI, L.P. Buyout 25,000 7,459 24,625 72 % 24,209 18,144 42,353 17,728 23.19% 14.59% 1.72x 1.53x L.P. NordicNordic Capital Capital Fund Fund VII VII Buyout 18,542 1,811 23,187 112 % 5,971 21,313 27,283 4,096 3.70% 9.15% 1.18x 1.36x OnexOnex Partners Partners III, III, L.P. L.P. Buyout 25,000 2,385 26,995 90 % 16,003 23,970 39,972 12,977 13.30% 14.59% 1.48x 1.53x TPGTPG Partners Partners VI, VI, LP LP Buyout 30,000 3,136 31,087 90 % 23,627 21,790 45,418 14,331 12.07% 14.59% 1.46x 1.53x OCMOCM Opportunities Opportunities Fund Fund VIIb, VIIb, L.P. L.P. Distressed Debt 30,000 0 27,000 100 % 43,385 2,623 46,008 19,008 16.67% 12.32% 1.70x 1.48x TechnologyTechnology Crossover Crossover Ventures Ventures VII, VII, L.P. L.P. Venture Capital 35,000 840 34,160 98 % 31,367 39,458 70,825 36,665 21.49% 11.82% 2.07x 1.50x

Vintage Year 2008 Total 185,356 16,664 193,849 96 % 169,682 140,229 309,911 116,062 14.74% 9.87% 1.60x 1.42x

Vintage Year 2009 CharterhouseCharterhouse Capital Capital Partners Partners IX IX Buyout 21,814 2,385 23,474 108 % 20,414 12,075 32,489 9,015 12.89% 12.87% 1.38x 1.56x LincolnshireLincolnshire Equity Equity Fund Fund IV, IV, L.P. L.P. Buyout 25,000 2,629 24,407 89 % 8,763 21,113 29,876 5,469 8.09% 21.73% 1.22x 1.78x OCMOCM Opportunities Opportunities Fund Fund VIII, VIII, L.P. L.P. Distressed Debt 20,000 0 20,000 100 % 17,310 9,584 26,894 6,894 8.37% 15.50% 1.34x 1.56x NewNew Enterprise Enterprise Associates Associates 13 13 Venture Capital 20,000 700 19,300 97 % 11,848 22,823 34,671 15,371 18.16% 17.86% 1.80x 1.85x

Vintage Year 2009 Total 86,814 5,714 87,181 98 % 58,335 65,595 123,929 36,749 12.04% 13.11% 1.42x 1.54x

Vintage Year 2010 H.I.G.H.I.G. Bayside Bayside Loan Loan Opportunity Opportunity Fund Fund II II Distressed Debt 20,000 2,059 17,941 90 % 7,208 13,063 20,271 2,330 5.16% 11.36% 1.13x 1.31x DraperDraper Fisher Fisher Jurveston Jurveston X, X, LP LP Venture Capital 20,000 900 19,100 96 % 4,087 24,224 28,312 9,212 13.52% 18.24% 1.48x 1.58x InstitutionalInstitutional Venture Venture Partners Partners XIII XIII Venture Capital 20,000 1,000 19,000 95 % 8,911 24,472 33,383 14,383 17.52% 18.24% 1.76x 1.58x

Vintage Year 2010 Total 60,000 3,959 56,041 93 % 20,206 61,759 81,965 25,924 13.28% 11.80% 1.46x 1.43x ATTACHMENT B Performance Summary As of 12/31/2015 New Mexico Public Employees Retirement Association

(A) (B) (C) (D) (C+D) Commit. Unfunded Cumulative Cumulative Fair Total (C+D-B) IRR TVPI Partnership Strategy Amount Amount Cont. % Drawn Dist. Value Value Gain/Loss Net IRR Benchmark TVPI Benchmark (in thousands) Vintage Year 2011 GildeGilde Buy-Out Buy-Out Fund Fund IV IV Buyout 16,360 2,560 16,451 101 % 3,495 13,326 16,821 370 0.86% 6.34% 1.02x 1.11x GTCRGTCR X, X, L.P. L.P. Buyout 30,000 4,440 25,560 85 % 20,394 25,034 45,427 19,868 21.55% 13.83% 1.78x 1.31x HellmanHellman & & Friedman Friedman Capital Capital Partners Partners VII VII Buyout 20,000 3,734 16,266 81 % 6,113 17,031 23,144 6,877 16.63% 13.83% 1.42x 1.31x LinsalataLinsalata Capital Capital Partners Partners Fund Fund VI, VI, L.P. L.P. Buyout 20,000 10,272 9,728 49 % 2,436 6,863 9,299 -428 -4.04% 13.83% 0.96x 1.31x OaktreeOaktree European European Principal Principal Fund Fund III III (U.S.), L.P.Distressed Debt 20,000 5,124 16,550 74 % 1,685 18,582 20,267 3,717 9.22% 8.58% 1.22x 1.24x (U.S.), L.P. JMIJMI Equity Equity Fund Fund VII, VII, L.P. L.P. Venture Capital 18,462 628 17,834 97 % 8,551 14,259 22,810 4,975 10.17% 22.37% 1.28x 1.67x

Vintage Year 2011 Total 124,822 26,758 102,389 81 % 42,673 95,094 137,768 35,379 12.76% 13.03% 1.35x 1.32x

Vintage Year 2012 NewNew Enterprise Enterprise Associates Associates 14 14 Venture Capital 25,000 3,125 21,884 88 % 1,133 29,648 30,781 8,897 20.19% 17.51% 1.41x 1.33x

Vintage Year 2012 Total 25,000 3,125 21,884 88 % 1,133 29,648 30,781 8,897 20.19% 11.30% 1.41x 1.22x

Vintage Year 2013 CarlyleCarlyle Partners Partners VI, VI, L.P. L.P. Buyout 40,000 21,670 19,074 46 % 744 17,664 18,407 -666 -3.28% 6.72% 0.97x 1.10x TheThe Resolute Resolute Fund Fund III, III, L.P. L.P. Buyout 45,000 33,328 19,867 26 % 8,239 12,655 20,894 1,027 8.02% 6.72% 1.05x 1.10x WayzataWayzata Opportunities Opportunities Fund Fund III, III, L.P. L.P. Distressed Debt 35,000 22,351 13,857 36 % 1,239 10,324 11,564 -2,293 -16.28% 1.28% 0.83x 1.01x InstitutionalInstitutional Venture Venture Partners Partners XIV, XIV, L.P. L.P. Venture Capital 35,000 3,500 31,500 90 % 7,107 47,949 55,057 23,557 43.37% 9.38% 1.75x 1.12x

Vintage Year 2013 Total 155,000 80,849 84,297 48 % 17,330 88,592 105,922 21,625 21.64% 5.46% 1.26x 1.07x

Vintage Year 2014 GTCRGTCR XI, XI, L.P. L.P. Buyout 31,000 22,866 8,134 26 % 183 8,315 8,498 364 5.20% 4.34% 1.04x 1.03x OnexOnex Partners Partners IV, IV, L.P. L.P. Buyout 45,000 29,289 16,493 35 % 967 15,057 16,024 -469 -4.10% 4.34% 0.97x 1.03x GarrisonGarrison Opportunity Opportunity Fund Fund IV, IV, LLC LLC Distressed Debt 60,000 40,053 20,165 33 % 126 21,908 22,034 1,868 N/M N/M 1.09x 0.99x TPGTPG Opportunities Opportunities Partners Partners III III Distressed Debt 45,000 32,864 14,730 27 % 3,100 11,546 14,645 -84 N/M N/M 0.99x 0.99x

Vintage Year 2014 Total 181,000 125,072 59,522 31 % 4,375 56,826 61,201 1,680 3.17% 1.37% 1.03x 1.01x

Vintage Year 2015 KelsoKelso Investment Investment Associates Associates IX, IX, L.P. L.P. Buyout 60,000 55,376 5,077 8 % 441 7,239 7,681 2,604 N/M N/M 1.51x 0.94x RRJRRJ Capital Capital Master Master Fund Fund III, III, L.P. L.P. Buyout 75,000 74,133 867 1 % 0 404 404 -463 N/M N/M 0.47x 0.88x WarburgWarburg Pincus Pincus Private Private Equity Equity XII, XII, L.P. L.P. Buyout 85,000 83,683 1,318 2 % 0 1,162 1,162 -155 N/M N/M 0.88x 0.94x AtalayaAtalaya Special Special Opportunities Opportunities Fund Fund VI, VI, L.P. Distressed Debt 50,000 37,750 12,262 25 % 0 12,474 12,474 212 N/M N/M 1.02x 0.99x L.P. AthyriumAthyrium Opportunities Opportunities Fund Fund II II Distressed Debt 57,590 34,424 23,909 40 % 549 23,057 23,606 -303 N/M N/M 0.99x 0.99x

Vintage Year 2015 Total 327,590 285,365 43,432 13 % 990 44,336 45,326 1,895 N/M N/M 1.04x 0.92x

Vintage Year 2016 CenturyCentury Focused Focused Fund Fund IV IV Buyout 30,000 30,000 0 0 % 0 N/A 0 0 N/M N/M N/A N/A CharterhouseCharterhouse Capital Capital Partners Partners X X Buyout 68,714 68,714 0 0 % 0 -97 -97 -97 N/M N/M N/A N/A TrinityTrinity Ventures Ventures XII, XII, L.P. L.P. Venture Capital 30,000 30,000 0 0 % 0 N/A 0 0 N/M N/M N/A N/A

Vintage Year 2016 Total 128,714 128,714 0 0 % 0 -97 -97 -97 N/M N/M N/A N/A ATTACHMENT B Performance Summary As of 12/31/2015 New Mexico Public Employees Retirement Association

(A) (B) (C) (D) (C+D) Commit. Unfunded Cumulative Cumulative Fair Total (C+D-B) IRR TVPI Partnership Strategy Amount Amount Cont. % Drawn Dist. Value Value Gain/Loss Net IRR Benchmark TVPI Benchmark (in thousands) Portfolio Total: 1,594,616 714,950 969,165 56 % 636,981 739,186 1,376,166 407,001 12.02% 10.00% 1.42x

Portfolio Strategy Totals

Buyout 688,819 330,326 411,236 52 % 266,778 306,905 573,683 162,447 11.67% 1.40x Distressed Debt 387,590 177,415 222,917 54 % 174,460 123,406 297,866 74,950 10.91% 1.34x Venture Capital 220,962 41,078 179,902 81 % 97,624 207,624 305,249 125,347 18.28% 1.70x Non-US 297,244 166,131 155,111 49 % 98,118 101,250 199,368 44,258 7.51% 1.29x

Portfolio Total: 1,594,616 714,950 969,165 56 % 636,981 739,186 1,376,166 407,001 12.02% 10.00% 1.42x ATTACHMENT B Performance Summary As of 12/31/2015 New Mexico Public Employees Retirement Association

(A) (B) (C) (D) (C+D) (C+D-B) Total Value Commitment Unfunded Cumulative Cumulative Fair Total Bench - to Paid in Partnership Strategy Amount Amount Contributions % Drawn Distributions Value Value Gain/Loss Net IRR mark Capital

(in thousands) Vintage Year 2007 EnCap Energy Capital Fund VII, L.P. Energy 30,000 1,505 32,162 94.98 % 40,262 3,175 43,437 11,276 15.89% 7.62% 1.35x Natural Gas Partners IX, L.P. Energy 30,000 511 32,142 98.30 % 36,895 8,408 45,303 13,161 11.01% 7.62% 1.41x Quantum Energy Partners IV, L.P. Energy 20,000 3,849 18,276 80.76 % 13,783 7,912 21,695 3,419 5.57% 7.62% 1.19x

Vintage Year 2007 Total 80,000 5,865 82,580 92.67 % 90,940 19,496 110,435 27,856 11.15% 1.34x

Vintage Year 2008 First Reserve Fund XII, LP Energy 30,000 1,547 31,384 94.84 % 13,913 9,650 23,563 -7,821 -8.07% 6.22% 0.75x Lime Rock Partners V, L.P. Energy 10,000 881 10,356 91.19 % 5,357 3,899 9,256 -1,101 -2.88% 6.22% 0.89x Quantum Energy Partners V, L.P. Energy 30,000 5,699 26,666 81.00 % 9,162 22,839 32,001 5,335 7.91% 6.22% 1.20x R/C Global Energy & Power Fund IV Energy 30,000 1,118 31,916 96.27 % 22,485 14,680 37,164 5,248 5.22% 6.22% 1.16x R/C Renewable and Alternative Energy FundEnergy II 20,000 4,375 18,561 78.13 % 10,598 10,591 21,189 2,628 3.66% 6.22% 1.14x Fund II

Vintage Year 2008 Total 120,000 13,620 118,883 88.65 % 61,515 61,658 123,174 4,291 1.13% 1.04x

Vintage Year 2009 * SSgA Commodities Commodities 186,000 0 186,000 100.00 % 212,254 0 212,254 26,254 4.13% 3.41% 1.14x Sep Kayne Anderson Energy Fund V, L.P. Energy 20,000 4,242 21,233 78.79 % 21,159 7,771 28,930 7,697 16.32% 8.09% 1.36x * BGI TIPS Inflation Linked 151,000 0 151,000 100.00 % 187,550 0 187,550 36,550 8.05% 5.18% 1.24x Oct Vintage Year 2009 Total 357,000 4,242 358,233 98.81 % 420,963 7,771 428,734 70,502 6.17% 1.20x

Vintage Year 2010 EnCap Energy Capital Fund VIII, L.P. Energy 25,000 4,835 22,890 80.66 % 8,371 9,554 17,925 -4,964 -12.57% 1.64% 0.78x EnerVest Energy Institutional Fund XII Energy 20,000 0 20,002 100.00 % 12,690 14,861 27,552 7,550 11.15% 1.64% 1.38x

Vintage Year 2010 Total 45,000 4,835 42,891 89.25 % 21,062 24,415 45,477 2,586 2.46% 1.06x

Vintage Year 2012 Denham Commodity Partners Fund VI, L.P.Energy 20,000 9,114 10,890 54.43 % 5,272 6,744 12,016 1,126 5.77% 0.30% 1.10x L.P. Lime Rock Partners VI, L.P. Energy 25,000 9,906 16,856 60.38 % 2,207 16,695 18,902 2,046 7.13% 0.30% 1.12x NGP Natural Resources X, L.P Energy 25,000 4,027 22,161 83.89 % 5,606 16,267 21,873 -288 -0.69% 0.30% 0.99x Riverstone Global Energy & Power Fund EnergyV 30,000 8,686 26,203 71.05 % 7,854 18,318 26,172 -31 -0.07% 0.30% 1.00x Fund V

Vintage Year 2012 Total 100,000 31,733 76,110 68.27 % 20,940 58,024 78,964 2,853 2.08% 1.04x

Vintage Year 2013 Denham Commodity Partners VI - Co-InvestEnergy Fund 15,000 10,293 4,707 31.38 % 0 5,793 5,793 1,087 17.34% -22.36% 1.23x Co-Invest Fund EnCap Energy Capital Fund IX, L.P. Energy 27,000 10,398 16,984 61.49 % 904 17,336 18,240 1,256 6.03% -22.36% 1.07x Brookfield Infrastructure Fund II, L.P. Infrastructure 40,000 11,195 28,805 72.01 % 2,275 29,251 31,526 2,721 8.06% N/A 1.09x

Vintage Year 2013 Total 82,000 31,885 50,496 61.12 % 3,180 52,380 55,560 5,064 8.31% 1.10x

*Liquidated Partnership ATTACHMENT B Performance Summary As of 12/31/2015 New Mexico Public Employees Retirement Association

(A) (B) (C) (D) (C+D) (C+D-B) Total Value Commitment Unfunded Cumulative Cumulative Fair Total Bench - to Paid in Partnership Strategy Amount Amount Contributions % Drawn Distributions Value Value Gain/Loss Net IRR mark Capital

(in thousands) Vintage Year 2014 Carlyle Power Partners II, L.P. Energy 65,000 65,000 0 0.00 % 0 -2,148 -2,148 -2,148 N/M N/M N/A EnCap Flatrock Midstream Fund III, L.P. Energy 30,000 28,145 1,855 6.18 % 0 2,766 2,766 911 N/M N/M 1.49x L.P. Lime Rock Resources Fund III, L.P. Energy 35,000 130 34,870 99.63 % 0 25,331 25,331 -9,538 -32.23% -8.81% 0.73x NGP Natural Resources XI, L.P. Energy 50,000 44,603 5,392 10.79 % 0 4,983 4,983 -408 N/M N/M 0.92x KKR Global Infrastructure Investors II L.P.Infrastructure 50,000 44,355 6,196 11.29 % 144 6,011 6,155 -42 N/M N/M 0.99x L.P. Harvest MLP Separate Account MLP 156,408 0 156,408 100.00 % 0 108,004 108,004 -48,404 N/M N/M 0.69x

Vintage Year 2014 Total 386,408 182,233 204,721 52.84 % 144 144,947 145,091 -59,629 -24.48% 0.71x

Vintage Year 2015 Paine & Partners Capital Fund IV Agriculture 45,000 35,271 9,739 21.62 % 0 7,632 7,632 -2,107 N/M N/M 0.78x Ardian Infrastructure Fund IV Infrastructure 64,351 49,139 15,661 24.24 % 0 14,904 14,904 -757 N/M N/M 0.95x IFM Global Infrastructure Fund Infrastructure 25,000 0 25,054 100.00 % 54 26,145 26,199 1,145 4.58% N/A 1.05x

Vintage Year 2015 Total 134,351 84,410 50,454 37.46 % 54 48,681 48,735 -1,720 -7.10% 0.97x

Portfolio Total: 1,304,759 358,823 984,368 72.53 % 618,797 417,373 1,036,170 51,802 2.43% 6.78% 1.05x

Portfolio Strategy Totals

Agriculture 45,000 35,271 9,739 21.62 % 0 7,632 7,632 -2,107 N/M 0.78x Commodities 186,000 0 186,000 100.00 % 212,254 0 212,254 26,254 4.13% 1.14x Energy 587,000 218,864 405,504 62.71 % 216,519 225,427 441,946 36,442 3.88% 1.09x Inflation Linked 151,000 0 151,000 100.00 % 187,550 0 187,550 36,550 8.05% 1.24x Infrastructure 179,351 104,688 75,717 41.85 % 2,474 76,310 78,784 3,067 5.50% 1.04x MLP 156,408 0 156,408 100.00 % 0 108,004 108,004 -48,404 N/M 0.69x Portfolio Total: 1,304,759 358,823 984,368 72.53 % 618,797 417,373 1,036,170 51,802 2.43% 6.78% 1.05x

Active / Liquidated Partnership Totals

Active Partnerships 967,759 358,823 647,368 62.96 % 218,993 417,373 636,366 -11,002 -0.99% 0.98x Liquidated Partnerships 337,000 0 337,000 100.00 % 399,804 0 399,804 62,804 5.77% 1.19x Portfolio Total: 1,304,759 358,823 984,368 72.53 % 618,797 417,373 1,036,170 51,802 2.43% 6.78% 1.05x

*Liquidated Partnership ATTACHMENT B Performance Summary As of 12/31/2015 New Mexico Public Employees Retirement Association

(A) (B) (C) (D) (C+D) (C+D-B) Total Value Commitment Unfunded Cumulative Cumulative Fair Total Bench - to Paid in Partnership Strategy Amount Amount Contributions % Drawn Distributions Value Value Gain/Loss Net IRR mark Capital

(in thousands) Vintage Year 2006 Carlyle Realty Partners V, L.P. Opportunistic RE 30,000 11,051 37,440 67.52 % 39,893 11,067 50,960 13,520 8.38% -1.00% 1.36x Vintage Year 2006 Total 30,000 11,051 37,440 67.52 % 39,893 11,067 50,960 13,520 8.38% -1.11% 1.36x

Vintage Year 2007 Walton Street Real Estate Fund VI Opportunistic RE 30,000 5,090 27,954 83.03 % 23,061 18,859 41,919 13,966 10.78% 4.12% 1.50x BPG Investment Partnership VIII Value-Add RE 16,176 1,264 14,999 92.18 % 7,649 8,749 16,398 1,399 1.31% 5.07% 1.09x Praedium Fund VII Value-Add RE 20,000 433 19,567 97.83 % 27,122 729 27,851 8,284 10.77% 5.07% 1.42x Vintage Year 2007 Total 66,176 6,788 62,520 89.74 % 57,832 28,337 86,168 23,649 7.43% 3.18% 1.38x

Vintage Year 2008 Blackstone Real Estate Partners Europe III,Opportunistic LP RE 25,000 3,308 25,485 86.77 % 16,845 19,129 35,975 10,490 13.23% 2.96% 1.41x Europe III, LP North Haven Real Estate Fund VII Global,Opportunistic L.P. RE 19,352 3,938 18,899 81.14 % 16,603 8,668 25,271 6,372 10.94% 8.98% 1.34x Global, L.P. Selene Residential Mortgage OpportunitiesOpportunistic Fund LP RE 30,000 0 32,939 100.00 % 37,769 62 37,832 4,893 7.41% 8.98% 1.15x Opportunities Fund LP Starwood Global Opportunity Fund VIII, LPOpportunistic RE 25,000 2,584 26,226 88.65 % 29,909 11,925 41,834 15,608 14.35% 8.98% 1.60x LP

Vintage Year 2008 Total 99,352 9,829 103,549 90.33 % 101,127 39,785 140,911 37,363 11.75% 5.79% 1.36x

Vintage Year 2009

MorganJul Stanley13.7 Global JulReal Estate SecuritiesGlobal REIT 64,053 0 64,053 100.00 % 15,000 89,036 104,036 39,983 9.54% 13.70% 1.62x Securities LaSalleJanLiquidated US16.07 Real EstateJan Securities US REIT 64,246 0 64,246 100.00 % 35,000 100,121 135,121 70,875 16.32% 16.07% 2.10x * WellingtonLiquidatedJan22.58 US Real EstateLiquidated Securities US REIT 35,000 0 35,000 100.00 % 57,036 0 57,036 22,036 33.71% 22.58% 1.63x Rockwood Real Estate Partners VIII Value-Add RE 20,000 453 18,302 97.73 % 25,792 4,469 30,261 11,959 20.00% N/A 1.65x

Vintage Year 2009 Total 183,299 453 181,601 99.75 % 132,828 193,627 326,455 144,854 15.34% 12.72% 1.80x

Vintage Year 2011 Carlyle Realty Partners VI, L.P. Opportunistic RE 20,155 11,803 19,421 43.91 % 16,521 11,873 28,394 8,973 22.36% 20.41% 1.46x Selene Residential Mortgage OpportunitiesOpportunistic Fund II LP RE 20,000 13,668 24,303 59.78 % 18,542 9,603 28,145 3,842 8.49% 20.41% 1.16x Opportunities Fund II LP Starwood Distressed Opportunity Fund IX,Opportunistic LP RE 25,000 10,907 21,000 56.37 % 13,529 19,068 32,597 11,597 30.98% 20.41% 1.55x IX, LP BlackRockApr10.83 Real Estate AprSecurities US REIT 26,799 0 26,799 100.00 % 0 43,554 43,554 16,755 11.33% 10.83% 1.63x Vintage Year 2011 Total 91,954 36,378 91,523 65.94 % 48,592 84,098 132,690 41,167 14.82% 15.00% 1.45x

Vintage Year 2012 Blackstone Real Estate Partners VII Opportunistic RE 35,000 6,615 36,426 81.10 % 14,009 38,103 52,112 15,686 22.16% N/A 1.43x Rockwood Capital Real Estate Partners FundValue-Add IX, L.P. RE 35,000 10,946 24,663 68.73 % 1,797 28,948 30,745 6,082 17.64% 16.35% 1.25x Fund IX, L.P.

*Liquidated Partnership ATTACHMENT B Performance Summary As of 12/31/2015 New Mexico Public Employees Retirement Association

(A) (B) (C) (D) (C+D) (C+D-B) Total Value Commitment Unfunded Cumulative Cumulative Fair Total Bench - to Paid in Partnership Strategy Amount Amount Contributions % Drawn Distributions Value Value Gain/Loss Net IRR mark Capital

(in thousands) Vintage Year 2012

Vintage Year 2012 Total 70,000 17,561 61,089 74.91 % 15,806 67,051 82,857 21,768 20.75% 13.04% 1.36x

Vintage Year 2013 DRC European Real Estate Debt Fund II,Opportunistic L.P. RE 38,489 8,502 30,471 79.28 % 3,984 28,477 32,462 1,990 4.70% 14.06% 1.07x II, L.P. Wheelock Street Real Estate Fund II, L.P.Opportunistic RE 50,000 36,172 15,508 27.66 % 3,080 15,328 18,408 2,900 27.81% 13.01% 1.19x L.P.

Vintage Year 2013 Total 88,489 44,674 45,980 50.11 % 7,064 43,806 50,870 4,890 9.08% 13.53% 1.11x

Vintage Year 2014 Madison Realty Capital Debt Fund III Debt RE 50,000 5,857 43,664 88.29 % 0 47,271 47,271 3,607 N/M N/M 1.08x Harrison Street Real Estate Partners V Opportunistic RE 45,000 34,412 10,608 23.53 % 0 10,534 10,534 -74 N/M N/M 0.99x Starwood Opportunity Fund X, L.P. Opportunistic RE 60,000 54,919 5,400 8.47 % 319 8,739 9,057 3,657 N/M N/M 1.68x

Vintage Year 2014 Total 155,000 95,187 59,672 38.59 % 319 66,543 66,862 7,190 N/M N/M 1.12x

Vintage Year 2015 Rockwood Capital Real Estate Partners FundValue-Add X, L.P. RE 60,000 60,000 0 0.00 % 0 -277 -277 -277 N/M N/M N/A Fund X, L.P.

Vintage Year 2015 Total 60,000 60,000 0 0.00 % 0 -277 -277 -277 N/M N/M N/A

Vintage Year 2016 KSL Capital Partners IV, L.P. Opportunistic RE 60,000 60,000 0 0.00 % 0 -284 -284 -284 N/M N/M N/A PW Real Estate Fund III, L.P. Opportunistic RE 70,895 70,895 0 0.00 % 0 -188 -188 -188 N/M N/M N/A

Vintage Year 2016 Total 130,895 130,895 0 0.00 % 0 -472 -472 -472 N/M N/M N/A

Portfolio Total: 975,165 412,817 643,373 58.62 % 403,460 533,564 937,024 293,651 13.18% 9.15% 1.46x

Portfolio Strategy Totals

Debt RE 50,000 5,857 43,664 88.29 % 0 47,271 47,271 3,607 N/M 1.08x Global REIT 64,053 0 64,053 100.00 % 15,000 89,036 104,036 39,983 9.54% 1.62x Opportunistic RE 449,507 251,158 276,124 46.64 % 213,235 163,546 376,780 100,656 12.86% 1.36x US REIT 126,045 0 126,045 100.00 % 92,036 143,675 235,711 109,666 17.95% 1.87x Value-Add RE 151,176 73,097 77,531 51.65 % 62,360 42,618 104,977 27,447 9.46% 1.35x Non-US 134,384 82,705 55,956 38.85 % 20,830 47,418 68,248 12,292 10.30% 1.22x

Portfolio Total: 975,165 412,817 643,373 58.62 % 403,460 533,564 937,024 293,651 13.18% 9.15% 1.46x

Active / Liquidated Partnership Totals

*Liquidated Partnership ATTACHMENT B Performance Summary As of 12/31/2015 New Mexico Public Employees Retirement Association

(A) (B) (C) (D) (C+D) (C+D-B) Total Value Commitment Unfunded Cumulative Cumulative Fair Total Bench - to Paid in Partnership Strategy Amount Amount Contributions % Drawn Distributions Value Value Gain/Loss Net IRR mark Capital

(in thousands)

Active Partnerships 940,165 412,817 608,373 57.11 % 346,424 533,564 879,988 271,615 12.33% 1.45x Liquidated Partnerships 35,000 0 35,000 100.00 % 57,036 0 57,036 22,036 33.71% 1.63x Portfolio Total: 975,165 412,817 643,373 58.62 % 403,460 533,564 937,024 293,651 13.18% 9.15% 1.46x

*Liquidated Partnership ATTACHMENT B

New Mexico Public Employees Retirement Association (Hedge Funds) Portfolio Performance Detail November 30, 2015 Current Trailing Returns Calendar Year Returns Incep Fund Mkt Value ($) Month QTD YTD 1 Year 3 Year 5 Year Incep 2014 2013 2012 2011 2010 Std Dev Sharpe Date Market Neutral Capula Global Relative Value Fund L.P. 37,351,294 0.58% 0.85% 7.23% 8.45% 7.66% 5.92% 5.87% 8.15% 7.58% 0.30% 6.41% - 1.99% 2.72 Oct-10 Sub-total 37,351,294 0.58% 0.85% 7.13% 8.31% 2.96% 2.92% 2.96% 1.83% 0.66% -1.29% 6.41% - 3.00% 0.88 Oct-10 Credit/Distressed Anchorage Capital Partners, L.P. - Class C 40,209,134 0.62% -1.09% 1.14% 2.44% 10.30% 7.90% 8.11% 8.75% 20.64% 16.14% -6.70% 7.51% 4.98% 1.53 Nov-09 Canyon Value Realization Fund, L.P. - Series A 52,603,862 -1.62% -0.19% -0.55% -0.59% 7.14% 7.27% 6.62% 4.99% 16.27% 17.12% -2.22% 14.21% 9.30% 0.65 Dec-07 Claren Road Credit Partners, LP 1,824,363 0.00% 0.00% 1.04% 1.07% -1.11% 0.78% 1.02% -10.03% 5.33% 1.47% 6.87% - 5.57% 0.16 Sep-10 GoldenTree Offshore Fund, Ltd. - Side Pocket 395,500 -0.08% -0.18% -44.97% -45.04% -19.30% - -18.44% 10.41% -11.64% - - - 18.48% -1.01 Jul-12 JCAM Global Fund Ltd. 292,726 0.00% 0.00% 19.54% 19.26% -10.09% - -9.50% -19.37% -20.86% -9.21% -11.61% - 14.45% -0.64 Jan-11 King Street Capital, L.P. 36,018,614 0.41% 0.30% -0.88% -1.06% 5.98% 5.35% 6.93% 6.48% 11.61% 9.58% -0.15% 5.58% 3.99% 1.45 Jun-07 Marathon Special Opportunity Fund, L.P. - Side 1,565,907 -0.15% -0.81% -10.13% -10.32% - - -4.75% -3.46% 0.02% - - - 4.11% -1.23 Jan-13 SilverPocket Point Capital Fund, L.P. 51,719,277 -0.17% -0.16% -0.66% -1.13% 7.22% 9.91% 6.36% 2.84% 17.17% 22.94% 6.91% 26.83% 7.65% 0.69 Feb-07 Sub-total 184,629,382 -0.30% -0.29% -0.66% -0.57% 5.49% 5.50% 5.24% 3.00% 13.08% 12.63% -0.85% 12.16% 6.22% 0.66 Feb-07 Event Driven Davidson Kempner Institutional Partners, L.P. 40,106,819 -0.08% 0.24% 1.50% 1.59% 5.38% 5.12% 5.13% 4.55% 9.51% 7.81% 1.34% 9.29% 4.12% 0.95 Apr-07 Elliott Associates, L.P. - Class B 44,407,935 0.00% 0.11% 3.18% 3.27% 8.70% 8.05% 7.54% 8.87% 12.86% 13.65% 1.63% - 3.06% 2.30 Oct-10 Mason Capital LP 2,482,282 0.00% 0.00% 0.58% -2.34% 2.29% 1.20% 2.49% -13.98% 22.61% -5.21% 4.69% - 6.61% 0.36 Mar-10 Pershing Square, LP 51,482,836 -1.96% -8.03% -17.20% -17.71% 9.61% 7.28% 9.61% 36.93% 9.70% 13.23% -1.12% - 14.82% 0.67 Apr-10 Taconic Opportunity Fund L.P. 33,184,842 -0.45% 2.06% -0.98% -1.83% 4.98% 4.28% 4.33% -0.41% 15.36% 12.98% -5.36% 5.05% 5.39% 0.76 Dec-09 Sub-total 171,664,714 -0.70% -2.10% -5.37% -6.13% 5.17% 3.44% 1.80% 5.73% 14.04% 7.60% -6.08% 10.52% 7.15% 0.14 Apr-07 Equity Long/Short Ascend Partners Fund II LP 2,951,127 0.00% 0.00% 1.55% 2.19% 6.20% 3.77% 3.77% 5.06% 12.18% 2.45% -3.00% 2.90% 4.13% 0.74 Jan-08 Diamondback Partners, L.P. - New Type 6 18,078 0.00% 0.00% 0.00% 0.00% 6.16% 4.02% 4.77% 0.00% 19.87% 3.34% -3.03% 8.16% 11.26% 0.44 Nov-09 Highline Capital Partners QP, LP - Class A 51,888,084 1.00% 0.62% 2.07% 2.39% 12.57% - 11.77% 9.96% 27.21% - - - 6.45% 1.72 Oct-12 Samlyn Onshore Fund, L.P. - Series A 51,538,497 -0.01% 0.87% 0.38% 2.27% 9.25% 7.20% 5.79% 9.35% 19.06% 10.12% -5.36% 2.45% 7.54% 0.74 Jan-10 TPG-Axon Partners, LP - Side Pocket 1,016,961 -1.66% -1.12% -11.29% -13.26% -16.44% - -14.75% -20.22% -16.29% - - - 11.38% -1.36 Apr-12 Sub-total 107,412,747 0.46% 0.70% 0.18% 0.92% 8.43% 5.68% 4.25% 6.73% 18.88% 7.10% -5.81% 7.97% 8.78% 0.39 Feb-07 Macro-Discretionary Brevan Howard LP - Series E 43,235,092 2.49% 1.84% 2.49% 2.45% 2.25% 4.19% 4.01% -0.21% 2.84% 4.19% 12.68% 1.28% 5.30% 0.71 Oct-09 Graham Global Investment Fund Ltd. - Discretionary 38,547,717 1.83% 0.69% 0.81% 1.16% 3.08% - 3.02% 3.19% 3.57% - - - 4.42% 0.63 Sep-12 Sub-total6V Portfolio 81,782,809 2.18% 1.30% 1.69% 1.84% 2.22% 2.58% 2.80% 1.38% 2.39% -1.01% 9.99% 1.29% 4.54% 0.56 Oct-09 Macro-Systematic BlueTrend Fund LP - Class A 1,501,153 0.00% 0.00% 10.81% 9.66% 3.96% - 2.26% 12.50% -11.20% -0.02% 0.83% - 11.81% 0.22 Jan-11 Lynx (Bermuda) Ltd. - Class D 32,732,112 2.97% 1.27% -4.99% -3.84% 9.86% - 4.16% 26.96% 11.11% -6.72% -2.24% - 15.06% 0.32 Jan-11 Sub-total 34,233,265 2.83% 1.22% -2.57% -2.36% 5.27% - 2.18% 20.16% -0.63% -3.73% -0.71% - 13.20% 0.21 Jan-11 Multi-Strategy AG Super Fund, L.P. 30,639,306 -0.63% -0.90% -2.14% -3.00% 5.88% 6.17% 4.98% 2.91% 15.65% 13.20% -0.72% 15.47% 7.36% 0.60 Jan-08 Eton Park Fund, L.P. - Side Pocket 1,085,582 -0.44% -0.63% -5.29% -5.63% - - -4.92% - - - - - 3.17% -1.67 Oct-14 Farallon Capital Institutional Partners, LP - Side 1,619,909 0.88% 1.01% -0.42% 2.20% 6.58% - 8.62% 11.10% 7.00% 21.76% 4.18% - 5.99% 1.36 Jan-11 LIMPocket Asia Multi-Strategy Fund, Inc - Class A 30,347,171 0.33% 2.87% 1.00% 0.20% 3.79% 3.09% 3.35% 4.05% 5.66% 3.67% -0.16% - 3.43% 0.89 Oct-10 OZ Domestic Partners II, L.P. 32,427,266 0.20% 2.17% -0.13% 0.58% 7.20% 6.77% 6.36% 5.95% 15.10% 11.86% 0.70% 8.82% 5.48% 0.94 Mar-07 Stark Investments - Holdback 538,976 0.01% 0.03% -4.05% -4.04% -1.29% - -0.73% 0.14% 0.10% 0.24% 0.06% - 2.96% -0.34 Jan-11 Stark Investments - Side Pocket 146,353 -0.31% -0.20% -16.31% 15.63% -20.12% - -5.67% 8.40% -39.90% 4.59% 31.62% - 26.75% -0.10 Jan-11 Stark Select 713,939 18.67% 18.80% 11.64% 9.32% -4.19% - -3.05% -21.10% -0.56% 0.92% -2.85% - 10.41% -0.28 Jan-11 ATTACHMENT B

Current Trailing Returns Calendar Year Returns Incep Fund Mkt Value ($) Month QTD YTD 1 Year 3 Year 5 Year Incep 2014 2013 2012 2011 2010 Std Dev Sharpe Date Sub-total 97,518,501 0.10% 1.43% 0.01% -0.03% 5.57% 4.92% 2.79% 4.28% 11.36% 9.48% -2.23% 11.12% 6.80% 0.26 Jan-07 Product Total New Mexico Public Employees Retirement 714,592,712 0.24% -0.04% -0.85% -0.82% 5.64% 4.48% 3.44% 5.24% 11.76% 7.31% -2.41% 9.61% 6.54% 0.37 Jan-07 Association (Hedge Funds) Benchmarks NM PERA Libor +5% 0.43% 0.85% 4.87% 5.30% 5.27% 5.31% 6.17% 5.25% 5.26% 5.42% 5.35% 5.35% 0.45% - Jan-07 HFRI Fund of Funds Composite Index 0.33% 1.19% 0.19% 0.55% 4.52% 2.64% 1.47% 3.37% 8.96% 4.79% -5.72% 5.70% 5.54% 0.08 Jan-07 Market Indices Libor3Month 0.03% 0.06% 0.28% 0.30% 0.27% 0.31% 1.17% 0.23% 0.27% 0.42% 0.35% 0.35% 0.47% - Jan-07 Barclays Aggregate Bond Index -0.26% -0.24% 0.89% 0.99% 1.51% 3.10% 4.62% 5.94% -2.02% 4.23% 7.86% 6.56% 3.29% 1.03 Jan-07 Barclays High Yield Credit Bond Index -2.22% 0.47% -1.99% -3.42% 3.11% 5.96% 6.80% 2.46% 7.46% 15.81% 4.98% 15.11% 11.14% 0.54 Jan-07 S&P 500 TR 0.30% 8.76% 3.01% 2.75% 16.09% 14.40% 6.65% 13.69% 32.39% 15.99% 2.12% 15.06% 15.83% 0.41 Jan-07 MSCI EAFE - Net -1.56% 6.14% 0.54% -2.94% 6.60% 5.52% 0.88% -4.90% 22.78% 17.31% -12.13% 7.74% 19.24% 0.08 Jan-07 MSCI EMF (Emerging Markets Free) - Net -3.90% 2.95% -12.98% -16.99% -4.55% -3.04% 1.11% -2.19% -2.60% 18.23% -18.42% 18.86% 24.14% 0.12 Jan-07