Investment Board Meeting Materials 03262021.Pdf

Investment Board Meeting Agenda Friday, March 26, 2021 8:30 a.m. – 11:30 a.m. Conference Telephone #: 646-558-8656 Meeting ID: 812 5583 1334

8:30 a.m. Call to Order

8:30 a.m. Approval of Previous Board Meeting Minutes  December 3, 2020

8:35 a.m. CEO Report Greg Samorajski, IPERS

8:55 a.m. Calendar Year 2020 Investment Performance Review Rose Dean and Ali Kazemi, Wilshire Associates

9:30 a.m. Internal Equity Management Update Greg Samorajski and Karl Koch, IPERS Rose Dean and Ali Kazemi, Wilshire Associates

10:15 a.m. IPERS Investment Staff Reports  Beta Report – Karl Koch  Alpha Report – Investment Team  Risk Report – Sriram Lakshminarayanan  CIO Updates – Karl Koch

10:45 a.m. Break

10:55 a.m. Opportunistic Private Credit Manager Hiring Recommendations Pat Reinhardt, IPERS

11:15 a.m. IPERS Staff Updates David Martin, IPERS Shawna Lode, IPERS

11:25 a.m. Other Business  Confirm Next Meeting – Thursday, June 17, 2021  Next BAC Meeting – Monday, April 26, 2021

11:30 a.m. Adjourn

IOWA PUBLIC EMPLOYEES’ RETIREMENT SYSTEM INVESTMENT BOARD MEETING MINUTES Video / Telephonic Meeting December 3, 2020

The following people attended the IPERS Investment Board Meeting held on Friday, December 3, 2020.

Members of the Board—Present Lisa Stange, Chair Phyllis Peterson David Creighton, Vice Chair Kris Rowley Mike Duncan Representative Mary Mascher Justin Kirchhoff Senator Pam Jochum Treasurer Michael Fitzgerald Senator Mark Lofgren

Members of the Board—Absent Representative Mary Ann Hanusa

Administration and Staff Greg Samorajski, Chief Executive Officer Luca Rassenti, Quantitative Investment Officer Karl Koch, Chief Investment Officer Kevin Terdal, Compliance Investment Officer Sriram Lakshminarayanan, Risk & Asset Melinda McElroy, Executive Assistant Allocation Officer David Martin, Chief Benefits Officer Sheldon Lien, Senior Investment Officer Elizabeth Hennessey, General Counsel Pat Reinhardt, Senior Investment Officer Shawna Lode, Director of Communications Keith Scholten, Senior Investment Officer Kathy Bowers, Internal Auditor

Consultant—Wilshire Associates Actuary—Cavanaugh Macdonald Rose Dean Patrice Beckham Ali Kazemi Brent Banister Bryan Hoge Benefits Advisory Committee Lowell Dauenbaugh Dan Homan Sue Cave

Call to Order Chair Lisa Stange called the meeting to order at 8:30 a.m.

Approval of Minutes from the Previous Meetings David Creighton made the motion to approve the meeting minutes from the September 16, 2020, and the September 17, 2020, Board meetings. Treasurer Fitzgerald seconded. The motion carried by unanimous voice vote.

CEO’s Report Greg Samorajski reported the IPERS building remains closed to the public due to the COVID- 19 pandemic and that the majority of staff are working remotely. He next reported on draft legislation submitted to the Governor’s office. The proposal submitted seeks support to manage a portion of the IPERS portfolio internally; develops governance legislation that would allow the CEO and the Investment Board to determine the number of investment staff and investment staff compensation; and requests an additional budget increase of $1.135 million in each of the two upcoming fiscal years to fund the hiring of additional investment staff. If approved for filing, the proposal will then be submitted to the legislative services agency for drafting legislation.

2020 Actuarial Valuation Report Patrice Beckham, Brent Banister and Bryan Hoge of Cavanaugh Macdonald presented the results of the 2020 actuarial valuation report. IPERS’ funded status increased slightly from 83.7 to 84%. The unfunded actuarial liability increased $110 million to $6.587 billion. The 2020 valuation sets the required contribution rates for FY2022. Contribution rates will remain unchanged for the Regular membership and will decrease 0.50% of pay for both Special Service groups. In concluding their report, Cavanaugh Macdonald recommended reviewing IPERS’ amortization policy to address the ability to manage “tail volatility.”

IPERS Investment Staff Reports Beta Report Karl Koch reviewed the Fund’s asset allocation and reported all asset classes were within their established policy ranges. The estimated market value of the IPERS Trust Fund is $37.38 billion.

Alpha Report The investment team reviewed the alpha report noting two firms flagged for performance issues: Janus, domestic equity manager, and IPM Informed Portfolio Management, liquid absolute return strategy manager.

Risk Report Sriram Lakshminarayanan reviewed IPERS’ standard risk reports.

3 CY2021 Private Markets Commitments Pat Reinhardt reviewed the private market capital commitments for calendar year 2021. IPERS will commit $960 million to Pathway Private Equity Fund XXV for private equity investments, $900 million for private credit investments, with $850 million designated for opportunistic private credit strategies, and $300 million to Brookfield’s Super-Core Infrastructure Partners fund within IPERS’ private real assets program.

FY2020 Investment Management Expenses Karl Koch reported IPERS’ investment management expenses for fiscal year 2020 were $50.25 million, a 22.3% decrease from FY2019.

CIO Updates Karl Koch introduced two new investment staff members. Sheldon Lien is the senior investment officer for IPERS’ public equity portfolios and Luca Rassenti is IPERS’ first quantitative investment officer. He next reported that IPERS received 112 proposals in response to the Opportunistic Private Credit Strategies RFP issued in October 2020 with 90 firms meeting the minimum qualifications. Staff plans to engage Wilshire’s assistance in reviewing the proposals.

Absolute Return Investment Products Hiring Recommendations Sriram Lakshminarayanan stated that this RFP was issued in October 2019 with the purpose of identifying absolute return investment products that could potentially be used in a portable alpha strategy. The evaluation committee recommended the Investment Board approve the hiring of five investment firms/strategies for use in the Liquid Absolute Return Strategies (LARS) portfolio, subject to final due diligence and successful contract negotiations.

Firm Name Strategy Name Aspect Capital Ltd. Aspect Diversified Program Man Group AHL Alpha Program PIMCO CommoditiesPlus P/E Global Diversified Global Macro Welton Investment Partners Welton Global

Justin Kirchhoff made the motion to approve the hiring recommendations. Kris Rowley seconded. The motion carried by unanimous roll call vote.

Ayes: Lisa Stange, David Creighton, Mike Duncan, Treasurer Fitzgerald, Justin Kirchhoff, Phyllis Peterson and Kris Rowley Nays: None

MOTION PASSED

Alternative Risk Premia – Internal Management Sriram Lakshminarayanan reviewed with the Board the benefits of managing an alternative risk premia (ARP) investment program internally at IPERS. He reported on the types of ARP, investment processes and steps, how staff plans to manage risks, and the costs to implement the program. David Creighton made the motion to amend the Investment Policy and Goal

4 Statement to give the investment staff authority to invest in swaps for an Alternative Risk Premia internal investment program and to create or utilize limited liability corporations (LLCs) for the purpose of implementing the ARP Program. Justin Kirchhoff seconded. The motion carried by roll call vote.

Ayes: Lisa Stange, David Creighton, Mike Duncan, Justin Kirchhoff, Phyllis Peterson and Kris Rowley Nays: Treasurer Fitzgerald

MOTION PASSED

CIO Performance Reviews David Creighton made the motion that the IPERS Investment Board go into a closed session of this public meeting to discuss the performance evaluation of the chief investment officer as authorized by Iowa Code section 21.5(1)(i). Mike Duncan seconded. The motion carried by unanimous roll call vote.

Ayes: Lisa Stange, David Creighton, Mike Duncan, Treasurer Fitzgerald, Justin Kirchhoff, and Kris Rowley Nays: None Absent: Phyllis Peterson

David Creighton made the motion that the IPERS Investment Board end its closed session and resume the open session of this meeting. The Board took no action during its closed session. Kris Rowley seconded. The motion carried by unanimous voice vote with Phyllis Peterson absent.

Ayes: Lisa Stange, David Creighton, Mike Duncan, Treasurer Fitzgerald, Justin Kirchhoff, and Kris Rowley Nays: None Absent: Phyllis Peterson

IPERS Staff Reports Benefits Division Update David Martin reviewed the member demand measures report for September 2020 and reported that the Benefits Advisory Committee is engaging IPERS’ actuarial firm, Cavanaugh Macdonald, to study the cost impact to the System for reducing the bona fide retirement period for licensed teachers from the current four-month requirement to one month. The study will look at the cost impact for a period of 5 years from the date of enactment.

Internal Auditors Report Kathy Bowers updated the Board on the internal audit activities happening at IPERS.

Confirm Next Meeting Date and Adjournment The IPERS Investment Board’s next meeting date is Friday, March 26, 2021. With no further business to come before the Board, the meeting adjourned at 12:30 p.m.

5 WILSHIRE ASSOCIATES

Wilshire Consulting

Iowa Public Employees’ Retirement System Calendar Year 2020 Performance Review Report

Rose Dean, Managing Director Ali Kazemi, Managing Director

6 MARKET OVERVIEW

7 Quarterly Market Review Economic & Market Divergence

Data Source: Bloomberg

8 S&P Returns by Sector S&P Returns by Sector • Stock markets at all time highs due to monetary and fiscal stimulus • However, sector returns diverged widely

Source: J.P. Morgan Guide to Markets 1Q 2021

9 S&P Returns by Sector U.S Equity Market Concentration • Equity index concentration exacerbated • 90% of S&P 500 market cap is now based on intangibles (80% in 2005, 30% in 1985) • Historical valuation comparison less meaningful

Source: J.P. Morgan Guide to Markets 1Q 2021

10 TOTAL FUND OVERVIEW

11 Wilshire Consulting EXECUTIVE SUMMARY (as of 12-31-2020) • CY 2020 returns ended the year up double digits after markets continued a strong rebound from the COVID induced economic shutdowns, with fourth quarter returns for the total fund near 10% • Total Fund returned 13.5% during CY 2020, underperforming the Total Fund Policy Benchmark1 (“policy”) return of 13.9% over the same period

• 10-year annualized returns were 8.9% for Total Fund, slightly trailing the policy return of 9.1%

• 3- and 5-year returns dipped below the policy by 0.2% and 0.1%, respectively, while outperforming the Public Markets Reference Index2 by 1.2% and 0.8%, respectively • The Public Markets Reference Index has been introduced as a representative portfolio of what could have been invested by an average participant to contrast against the opportunity set available to the IPERS portfolio • IPERS ranks very favorably versus peers across 1\3\5\10 year horizons. Over the last 10 years IPERS total return has ranked in the top 9% of all public plans with greater than 1 billion dollars in assets • IPERS 10-year risk-adjusted returns remain top-quartile relative to all public plans greater than $1 billion in Total Fund assets—outpacing 90% off peers over the preceding 3-years • IPERS’ Total Fund Policy is projected to produce annualized volatility of 12.6% with forward estimate of tracking error elevated due to market volatility increases over the latest rolling 5-year window • Manager risk remains the primary source of tracking error against the policy (0.47%), with allocation weight being the second-largest contributor (0.28%) • Manager alpha across the public markets was collectively negative for the year with the public equity sleeves serving as the headwind while core fixed income was net positive contributor

1 Total Fund Policy Benchmark defined on page 8 2 Public Markets Reference Index defined on page 9 *12 Private Market composites are benchmarked to themselves Wilshire Consulting Comparative Performance IPERS Portfolio Periods Ended December 31, 2020

Total Fund Policy Benchmark Weight (%) Total Fund Policy Benchmark Weight (%)

Apr-2019 Private Real Assets Policy Index 6.54 Wilshire 5000 Total Market TR Index 20.51 Public Credit Policy Index 3.73

Blmbg. Barc. U.S. Universal Index 26.10 MSCI AC World ex USA (Net) 16.31 Global Smart Beta Policy Index 5.59 Private Equity Policy Index 16.99 90 Day US Treasury Bill 0.93 Private Credit Policy Index 3.30

13 Wilshire Consulting Comparative Performance IPERS Portfolio Periods Ended December 31, 2020

Public Markets Reference Index Weight (%)

Jun-1994 MSCI AC World ex USA IMI (Net) 27.00 Russell 3000 Index 33.00 Blmbg. Barc. U.S. Aggregate 40.00

14 Wilshire Consulting Plan Sponsor Peer Group Analysis Total Fund vs All Public Plans > $1B-Total Fund Periods Ended December 31, 2020

1 3 5 10 QTD Year Years Years Years ¢ Total Fund 9.62 (58) 13.46 (13) 9.68 (8) 10.27 (14) 8.93 (9) Total Fund Policy Benchmark 9.41 (62) 13.86 (12) 9.87 (5) 10.37 (11) 9.14 (6)

5th Percentile 12.19 15.16 9.84 10.80 9.19 1st Quartile 10.80 12.41 8.31 9.75 8.36 Median 9.85 10.58 7.29 8.91 7.72 3rd Quartile 8.88 8.78 6.79 8.49 7.21 95th Percentile 1.29 3.19 3.95 3.68 2.61

Population 95 95 95 95 87

Parentheses contain percentile rankings. sampleCalculation basedfooter on quarterly periodicity. Using IM Peer Universes (not TUCS). Wilshire is transitioning to IM Universes going forward.

15 Wilshire Consulting Plan Sponsor Peer Group Analysis - Multi Statistics Total Fund vs All Public Plans > $1B-Total Fund Periods Ended December 31, 2020

3 5 10 3 5 10 20 Years 20 Years Years Years Years Years Years Years ¢ Total Fund 10.72 (21) 8.42 (19) 7.30 (13) 8.54 (6) 0.76 (10) 1.05 (12) 1.12 (9) 0.68 (6) Total Fund Policy Benchmark 10.19 (15) 7.98 (13) 6.92 (11) 8.96 (8) 0.81 (7) 1.12 (7) 1.21 (8) 0.67 (6)

5th Percentile 6.97 5.50 5.88 7.74 0.97 1.18 1.25 0.70 1st Quartile 11.01 8.67 7.91 9.78 0.65 0.96 0.96 0.57 Median 12.77 10.05 8.97 10.50 0.57 0.85 0.87 0.52 3rd Quartile 14.41 11.34 9.85 11.10 0.49 0.75 0.78 0.48 95th Percentile 16.37 12.88 11.46 12.02 0.39 0.65 0.68 0.42

• The IPERS portfolio has tended to be less volatile than the peer group—with 20-year volatility in the top quartile as measured by standard deviation (with lower risk representing a higher quartile) • The IPERS portfolio Sharpe ratio has also maintained a top quartile ranking

Parentheses contain percentile rankings. Calculation based on quarterly periodicity. Using IM Peer Universes (not TUCS). Wilshire is transitioning to IM Universes going forward.

16 Wilshire Consulting Rolling Percentile Ranking - Risk/Return Total Fund Rolling 3-Years vs All Public Plans > $1B-Total Fund

• Three-year risk-adjusted return profile of the IPERS portfolio is in the 10th decile relative to peers, as the result of top-quartile return-generation and risk management (measured by standard deviation)

17 Wilshire Consulting CONTRIBUTION TO TOTAL RISK

Contribution to Total Risk vs Total Fund Policy Benchmark (%) 35 30.8 31.4 30.5 30.7 30 24.3 25 23.8

15 (%)

10 8.5 8.7

5 2.7 2.6 1.7 1.5 1.7 1.7 0.3 0.6 0.2 0.0 0 -0.2 0.0 -0.7 -0.1 -0.2-0.2 -5 U.S. Equity Non-U.S. Global Smart Core Fixed Public Credit Private Private Private Real Equity Beta Income Equity Credit Assets Strategic Allocation Actual Allocation Actual - Strategic • 54% of plan volatility is driven by public equity assets. Including private equity, the total contribution to risk from equity related assets is 86%

Risk and tracking error results represent 5 ye ars of historical standard deviation adjusted for correlation. 18 Wilshire Consulting TOTAL FUND SOURCES OF RISK (5 YEARS)

Risk and tracking error results represent 5 ye ars of historical standard deviation adjusted for correlation. 19 Wilshire Consulting TOTAL FUND SOURCES OF T.E. TRENDS

• Source of the large increase in tracking error is related to increased market volatility over the last 5 years relative to the previous rolling windows used to generate our forward-looking estimates • U.S. and Non-U.S. asset classes drove most of the allocation weight effect increase given heightened equity volatility we have experienced recently Tracking error re sults represent rolling-5 years of historical standard deviation adjusted for correlation from each measurement period. 20 Wilshire Consulting CONTRIBUTION TO TOTAL RISK

Contribution to Total Risk vs Public Markets Reference Index (%) 60 54.6 50 45.2

40 35.9 34.834.8 29.3 30

(%) 10 0.2 0.1 0.0 0 -0.1 -10

-20 -16.0 -18.7 -30 U.S. Equity Non-U.S. Equity Core Fixed Income Other Public Markets Reference Index Actual Allocation Actual - PMRI • 65.2% of actual plan risk is driven by public U.S. and International equity assets, compared to 99.8% from the same asset classes within the public markets reference index • IPERS portfolio deviates from the public markets reference index by allocating a portion of public assets into other public credit and private real assets, credit, and equity assets

Risk and tracking error results represent 5 ye ars of historical standard deviation adjusted for correlation. 21 Wilshire Consulting TOTAL FUND SOURCES OF RISK (5 YEARS)

Risk and tracking error results represent 5 ye ars of historical standard deviation adjusted for correlation. 22 INVESTMENT STRUCTURE REVIEW BY COMPOSITE

23 Wilshire Consulting U.S. Equity Style Analysis IPERS Portfolio Periods Ended December 31, 2020

Style Map(36 Months)

U.S. Equity Structural Benchmark Weight (%) Dec-2020 S&P 500 85.17 Russell 2000 Index 2.63 Russell 2500 Growth Index 5.61 Russell 2500 Value Index 5.57 Wilshire 4500 Completion Index 1.02

• U.S. Equity Structural Benchmark closely matches the style and market capitalization of the Wilshire 5000 Index • Active managers have exhibited a smaller market capitalization and a growth tilt relative to the structure

24 Wilshire Consulting International Equity Style Analysis IPERS Portfolio Periods Ended December 31, 2020

Style Map(36 Months)

International Equity Structural Benchmark Weight (%) Dec-2020 MSCI Europe (Net) 62.59 MSCI Pacific (Net) 0.00 MSCI Emerging Markets (Net) 30.03 MSCI Canada (Net) 6.27 MSCI AC World ex USA (Net) 1.11

• International Equity Structural Benchmark has tracked the MSCI AC World ex USA index towards value-styled equity • Active managers have also tracked this trend while maintaining a tilt towards smaller-capitalization equity

25 Wilshire Consulting Core Plus Fixed Income Style Analysis IPERS Portfolio Periods Ended December 31, 2020

Style Map(36 Months)

Core Plus Fixed Income Structural Benchmark Weight (%) Dec-2020 Blmbg. Barc. U.S. Universal Index 81.87 Blmbg. Barc. U.S. Aggregate 18.13

• Core Plus FI Structural Benchmark is clustered similarly to the Bloomberg U.S. Universal Index in terms of aggregate quality and effective duration • Active management has resulted in a tilt towards lower quality securities with similar effective duration

26 Wilshire Consulting U.S. Equity Portfolio Characteristics IPERS Portfolio Periods Ended As of December 31, 2020

Sector Weights (%)

Distribution of Market Capitalization (%)

27 Wilshire Consulting International Equity Portfolio Characteristics IPERS Portfolio Periods Ended December 31, 2020

Sector Weights (%)

Region Allocation

28 Wilshire Consulting Core Plus Fixed Income Portfolio Characteristics IPERS Portfolio Periods Ended As of December 31, 2020

Maturity Distribution (%)

Sector Distribution (%)

29 RETURN BASED ATTRIBUTION

30 Wilshire Consulting

Total Fund Attribution vs IPERS Total Fund Benchmark

Total Fund Performance Calendar Year Attribution 2020

13.46% Total Fund 0.00% Asset Allocation

13.86% Total Fund Benchmark -0.30% Manager Value Added

-0.40% Total Value Added -0.11% Trading Effect

-5.00% 0.00% 5.00% 10.00% 15.00% -0.40% -0.30% -0.20% -0.10% 0.00% 0.10%

31 Wilshire Consulting

Total Fund Attribution vs IPERS Total Fund Benchmark

Allocation Weight (Average Overweight\Underweight)

0.12% Equity Composite

-0.17% International Equity Composite

-0.41% Core Plus Fixed Income Composite

-0.11% Public Credit Composite

-0.24% Global Smart Beta Composite

0.12% Cash + LARS

-3.00% -2.00% -1.00% 0.00% 1.00% 2.00% 3.00%

Average Active Weight

Allocation Weight (Attribution Effect)

0.00% Total -0.01% Equity Composite 0.09% International Equity Composite -0.06% Core Plus Fixed Income Composite 0.00% Public Credit Composite -0.02% Public Real Assets Composite 0.02% Global Smart Beta Composite -0.01% Cash + LARS 0.00% Public Real Assets Policy Index

-0.50% -0.30% -0.10% 0.10% 0.30% 0.50%

Asset Allocation Value Added

32 Wilshire Consulting

Total Fund Attribution vs IPERS Total Fund Benchmark

Manager Value Added Detail

-0.30% Total

-0.28% Equity Composite

-0.05% International Equity Composite

0.08% Core Plus Fixed Income Composite

-0.03% Public Credit Composite

0.00% Public Real Assets Composite

0.00% Global Smart Beta Composite

-0.02% Cash + LARS

-0.35% -0.30% -0.25% -0.20% -0.15% -0.10% -0.05% 0.00% 0.05% 0.10%

33 Wilshire Consulting US Equity Return Attribution

US Equity Calendar Year Excess Attribution -2.00% -1.50% -1.00% -0.50% 0.00% 0.50%

Total Excess Return -1.24%

Benchmark Effect -1.86%

BlackRock SAE 0.13%

Janus Cap Management -0.55%

BlackRock Russell 2000 SAE 0.01%

Mellon U.S. Market Completion 0.00%

Mellon S&P 500 Fund 0.02%

Rhumbline Advisers -0.02%

Trading and Rebalancing -0.07%

34 Wilshire Consulting International Equity Return Attribution

International Equity Calendar Year Excess Attribution -0.60% -0.40% -0.20% 0.00% 0.20% 0.40% 0.60% 0.80%

Total Excess Return -0.46%

Benchmark Effect -0.10%

BlackRock EAFE SAE -0.24%

PanAgora Dynamic EAFE -0.12%

BMO EAFE -0.48%

BlackRock Emerging Markets SAE -0.08%

Wellington Emerging Markets 0.62%

BlackRock Canada 0.06%

Mellon Emerging Markets Fund 0.00%

BlackRock Passive EAFE 0.09%

Trading and Rebalancing -0.41%

35 Wilshire Consulting Core Plus FI Return Attribution

Core Plus Fixed Income Calendar Year Excess Attribution -0.20% -0.10% 0.00% 0.10% 0.20% 0.30% 0.40% 0.50% 0.60% 0.70%

Total Excess Return 0.58%

Benchmark Effect 0.01%

MacKay Shields Core Plus 0.13%

Prudential Fixed Income 0.05%

Principal Global Investors 0.29%

TCW Asset Management 0.21%

Western Asset Mgmt 0.29%

Blackrock 0.03%

Trading and Rebalancing -0.15%

36 APPENDIX

37 Wilshire Consulting Total Fund Composite Performance

Performance (%) net of fees 1 3 5 10 20 30

FYTD Year Years Years Years Years Years Total Fund 16.45 13.46 9.68 10.27 8.93 7.19 8.91

Total Fund Policy Benchmark 16.18 13.86 9.87 10.37 9.14 7.38 8.62

Public Markets Reference Index 8.65 9.57 7.69 6.43 7.29

38 Wilshire Consulting U.S. Equity Composite Performance Periods Ended December 31, 2020

Performance (%) net of fees 1 3 5 10 Since Inception FYTD Year Years Years Years Inception Date U.S. Equity Composite 24.00 19.58 13.86 14.95 13.66 11.49 4/1/1975 Wilshire 5000 Total Market TR Index 24.94 20.82 14.46 15.52 13.79 12.06

Passive Mellon S&P 500 Fund 22.17 18.42 14.20 15.25 13.91 10.09 10/1/1987 S&P 500 22.16 18.40 14.18 15.22 13.88 10.07

Mellon U.S. Market Completion 40.07 32.20 15.41 16.12 13.28 10.60 10/1/1987 Dow Jones US Completion Total Stock Market Indx 40.01 32.16 15.21 15.89 13.03 10.38

Rhumbline Advisers 32.89 20.21 3/1/2020 Russell 2500 Value Index 33.06 20.46

Active BlackRock SAE 21.69 19.31 13.85 15.36 14.54 10.23 10/1/2003 S&P 500 22.16 18.40 14.18 15.22 13.88 10.23

Synthetic Domestic Equity 33.70 196.95 69.22 50.52 4/1/2017

BlackRock Russell 2000 SAE 37.25 20.40 18.49 5/1/2019 Russell 2000 Index 37.85 19.96 15.47

Janus Cap Management 35.71 29.48 16.59 18.18 16.66 3/1/2012 Russell 2500 Growth Index 37.69 40.47 19.91 18.68 15.78

39 Wilshire Consulting International Equity Composite Performance Periods Ended December 31, 2020

Performance (%) net of fees 1 3 5 10 Since Inception FYTD Year Years Years Years Inception Date International Equity Composite 24.27 10.19 4.34 8.67 5.10 5.66 10/1/1989 International Equity Policy Index* 24.33 10.65 5.03 9.23 5.30 5.63 MSCI AC World ex USA (Net) 24.33 10.65 4.88 8.93 4.92

International Equity Policy Index Weight (%) Oct-2018 MSCI AC World ex USA (Net) 100.00

Oct-2001 MSCI AC World ex USA 100.00

Oct-1989 Historical Intl Equity Policy Index 100.00

40 Wilshire Consulting International Equity Composite Performance Periods Ended December 31, 2020

Performance (%) net of fees 1 3 5 10 Since Inception FYTD Year Years Years Years Inception Date Passive Developed BlackRock Passive EAFE 21.74 8.17 11.18 4/1/2019 MSCI EAFE Index (Net) 21.61 7.82 10.78

BlackRock Canada 21.40 6.17 4.41 10.78 2.94 6.83 12/1/2000 MSCI Canada (Net) 20.93 5.32 3.60 9.96 2.21 6.18

Passive Emerging

Mellon Emerging Markets Fund 31.13 18.34 6.20 12.83 7.81 7/1/2015 MSCI Emerging Markets (Net) 31.14 18.31 6.17 12.81 7.78

Synthetic International Equity 22.45 -100.07 -106.63 -111.49 4/1/2017

Active Developed BlackRock EAFE SAE 21.52 6.99 9.40 5/1/2019 MSCI EAFE Index (Net) 21.61 7.82 9.51

BMO EAFE 16.78 2.12 5.20 5/1/2019 MSCI EAFE Index (Net) 21.61 7.82 9.51

PanAgora Dynamic EAFE 22.90 6.65 7.35 5/1/2019 MSCI EAFE Index (Net) 21.61 7.82 9.51

Active Emerging

Wellington Emerging Markets 33.47 24.54 9.93 15.24 4.81 11.53 3/1/2009 Wellington EM Custom Benchmark 31.14 18.31 6.17 12.81 3.63 11.19

BlackRock Emerging Markets SAE 31.14 17.34 14.01 5/1/2019 MSCI Emerging Markets (Net) 31.14 18.31 14.24

41 Wilshire Consulting Global Smart Beta Composite Performance Periods Ended December 31, 2020

Performance (%) net of fees 1 3 5 10 Since Inception FYTD Year Years Years Years Inception Date Global Smart Beta Composite 22.62 8.23 6.41 8.80 7/1/2017 Global Smart Beta Policy Index* 22.59 8.27 6.40 8.69

MSCI AC World Index (Net) 24.01 16.25 10.06 11.91 7/1/2017

Global Smart Beta Policy Index Weight (%)

Oct-2001 Russell 1000 Comprehensive Factor 60.00 FTSE Dev. Ex-U.S. Comprehensive Factor (N) 30.00 FTSE Emerging Comprehensive Factor (N) 10.00

42 Wilshire Consulting Global Smart Beta Composite Performance Periods Ended December 31, 2020

Performance (%) net of fees 1 3 5 10 Since Inception FYTD Year Years Years Years Inception Date U.S. Equity Smart Beta 22.09 8.51 8.53 10.24 8/1/2017 Russell 1000 Comprehensive Factor 22.08 8.44 8.48 10.21 Russell 1000 Index 24.46 20.96 14.82 15.85

Developed Ex-U.S. Equity Smart Beta 22.28 8.59 4.01 6.15 8/1/2017 FTSE Dev. Ex-U.S. Comprehensive Factor (N) 22.32 8.62 3.96 6.04 MSCI AC World ex USA (Net) 24.33 10.65 4.88 6.51

Emerging Markets Smart Beta 26.68 4.37 0.40 2.13 8/1/2017 FTSE Emerging Comprehensive Factor (N) 26.07 5.08 0.57 2.37 MSCI Emerging Markets (Net) 31.14 18.31 6.17 8.21

43 Wilshire Consulting Core Plus Fixed Income Composite Performance Periods Ended December 31, 2020

Performance (%) net of fees 1 3 5 10 Since Inception FYTD Year Years Years Years Inception Date Core Plus Fixed Income Composite 3.43 8.16 5.88 5.32 4.51 7.21 7/1/1985 Core Plus Fixed Income Policy Index* 2.29 7.58 5.45 4.87 4.16 6.77 Blmbg. Barc. U.S. Universal Index 2.29 7.58 5.45 4.87 4.16 Blmbg. Barc. U.S. Aggregate 1.29 7.51 5.34 4.44 3.84 6.61

Core Plus Fixed Income Policy Index Weight (%)

Oct-1999 Blmbg. Barc. U.S. Universal Index 100.00

Apr-1985 Blmbg. Barc. U.S. Aggregate 100.00

44 Wilshire Consulting Core Plus Fixed Income Composite Performance Periods Ended December 31, 2020

Performance (%) net of fees 1 3 5 10 Since Inception FYTD Year Years Years Years Inception Date Passive Core Mellon Aggregate 1.27 7.53 5.36 4.45 3.85 6.02 7/1/1990 Blmbg. Barc. U.S. Aggregate 1.29 7.51 5.34 4.44 3.84 5.97

Synthetic Fixed Income 0.19 -1.71 2.21 1.68 4/1/2017

Relative Value BlackRock Universal 1.67 11/1/2020 Blmbg. Barc. U.S. Universal Index 1.65

Active Core Blackrock 3.08 8.20 5.74 5.03 4.48 5.70 1/1/2000 Blmbg. Barc. U.S. Universal Index 2.29 7.58 5.45 4.87 4.16 5.38

Principal Global Investors 3.64 9.96 6.25 5.53 4.69 4.70 7/1/2005 Blmbg. Barc. U.S. Universal Index 2.29 7.58 5.45 4.87 4.16 4.60

Western Asset Mgmt 4.97 9.53 6.71 6.20 5.24 6.45 1/1/2000 Blmbg. Barc. U.S. Universal Index 2.29 7.58 5.45 4.87 4.16 5.38

MacKay Shields Core Plus 4.59 9.00 6.00 5.50 4.58 12/1/2011 Blmbg. Barc. U.S. Universal Index 2.29 7.58 5.45 4.87 3.91

Prudential Fixed Income 4.15 8.46 6.15 5.89 5.38 7/1/2015 Blmbg. Barc. U.S. Universal Index 2.29 7.58 5.45 4.87 4.44

TCW Asset Management 3.14 9.17 6.34 5.22 4.91 7/1/2015 Blmbg. Barc. U.S. Universal Index 2.29 7.58 5.45 4.87 4.44

45 Wilshire Consulting Public Credit Composite Performance Periods Ended December 31, 2020

Performance (%) net of fees 1 3 5 10 Since Inception FYTD Year Years Years Years Inception Date Public Credit Composite 12.00 5.93 5.49 7.85 6.16 6.38 4/1/1998 Public Credit Policy Index* 10.17 6.68 5.80 8.00 6.19 6.34

Public Credit Policy Index Weight (%)

Apr-2019 Blmbg. Barc. U.S. High Yield - 2% Issuer Cap 66.67 JPM EMBI Global (USD) 33.33

Oct-2012 FTSE High Yield Market Capped Index 66.67 JPM EMBI Global (USD) 33.33

Apr-2003 FTSE High Yield Market Capped Index 100.00

Jan-1998 FTSE High Yield Cash Pay 100.00

46 Wilshire Consulting Public Credit Composite Performance Periods Ended December 31, 2020

Performance (%) net of fees 1 3 5 10 Since Inception FYTD Year Years Years Years Inception Date Prudential High Yield 12.70 6.55 7.83 7/1/2019 Blmbg. Barc. U.S. High Yield - 2% Issuer Cap 11.32 7.05 7.41

Aegon 12.87 5.88 5.81 8.16 6.73 2/1/2012 High Yield Policy Index* 11.32 7.05 6.20 8.54 6.37

Prudential Emerging Markets Debt 10.82 5.44 4.87 6.82 5/1/2016 JPM EMBI Global (USD) 7.89 5.88 4.94 5.75

High Yield Policy Index Weight (%) Apr-2019 Blmbg. Barc. U.S. High Yield - 2% Issuer Cap 100.00

Apr-2003 FTSE High Yield Market Capped Index 100.00

Jan-1998 FTSE High Yield Cash Pay 100.00

47 Wilshire Consulting Private Markets Composite Performance Periods Ended December 31, 2020

Performance (%) net of fees 1 3 5 10 FYTD 20 Years 30 Years Year Years Years Years Private Markets Composite 19.05 16.67 15.36

Private Equity/Debt (TWR) 28.83 25.07 20.74 18.63 16.72 11.82 14.66 Private Equity Policy Index 28.83 25.07 20.74 18.63 17.87 11.04 14.08

Private Credit Composite (TWR) 5.72 5.69 6.95 Private Credit Policy Index 5.72 5.69 6.95

Private Real Assets Composite (TWR) 3.19 2.62 6.24 Private Real Assets Policy Index 3.19 2.62 6.24

sample"TWR" is an footeracronym for "Time Weighted Return". All private markets composites are benchmarked to tthemselves. 2020 Wilshire Associates Inc.

48 Wilshire Consulting Comparative Performance - IRR Private Markets Composite Periods Ended December 31, 2020

1 3 5 10 FYTD 20 Years Year Years Years Years Private Markets Composite 19.06 16.55 15.88

Private Equity/Debt 28.85 24.62 19.39 17.67 16.12 10.55

Private Credit Composite 5.72 5.77 20.20

Private Real Assets Composite 3.17 2.59 6.76

49 Wilshire Consulting FOOTNOTES

50 Wilshire Consulting FOOTNOTES CONT’D

51 Wilshire Consulting FOOTNOTES CONT’D

52 Wilshire Consulting FOOTNOTES CONT’D

53 Wilshire Consulting IMPORTANT INFORMATION

This material contains confidential and proprietary information of Wilshire Associates Incorporated (Wilshire), and is intended for the exclusive use of the person to whom it is provided. It may not be disclosed, reproduced or redistributed, in whole or in part, to any other person or entity without prior written permission from Wilshire. Third party information contained herein has been obtained from sources believed to be reliable. Wilshire gives no representations or warranties as to the accuracy of such information, and accepts no responsibility or liability (including for indirect, consequential or incidental damages) for any error, omission or inaccuracy in such information and for results obtained from its use. Information and opinions are as of the date indicated, and are subject to change without notice.

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This report may include estimates, projections and other "forward-looking statements." Due to numerous factors, actual events may differ substantially from those presented.

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54 BETA REPORT IOWA PUBLIC EMPLOYEES' RETIREMENT SYSTEM PORTFOLIO PRELIMINARY (Unreconciled) MARKET VALUES AT 3/12/2021

Actual Overlay Total Policy Difference PUBLIC MARKETS Domestic $ 8,912,851,334 $ (60,707,420) $ 8,852,143,915 $ 8,700,086,675 $ 152,057,240 International $ 6,967,063,546 $ (65,878,465) $ 6,901,185,081 $ 6,921,332,016 $ (20,146,935) Global Smart Beta $ 2,489,329,256 $ 2,489,329,256 $ 2,371,672,878 $ 117,656,378 Total Equities $ 18,369,244,136 $ 18,242,658,251 $ 17,993,091,569 $ 249,566,683

Core Plus $ 9,850,456,777 $ 202,499,541 $ 10,052,956,318 $ 10,281,201,927 $ (228,245,609)

Public Credit $ 1,532,368,384 $ 1,532,368,384 $ 1,581,115,252 $ (48,746,868)

Cash $ 678,111,306 $ (75,913,657) $ 602,197,649 $ 399,231,601 $ 202,966,048

PRIVATE MARKETS $ 9,097,700,699 $ 9,097,700,699 $ 9,273,240,953 $ (175,540,254) Private Equity $ 5,900,194,784 $ 5,900,194,784 $ 6,020,096,322 $ (119,901,538) Private Credit $ 1,099,443,663 $ 1,099,443,663 $ 1,126,544,617 $ (27,100,954) Private Real Assets $ 2,098,062,252 $ 2,098,062,252 $ 2,126,600,014 $ (28,537,762)

TOTAL FUND $ 39,527,881,302 $ 39,527,881,302 $ -

Actual Overlay Total Policy Difference PUBLIC MARKETS Domestic 22.55% -0.15% 22.39% 22.01% 0.38% International 17.63% -0.17% 17.46% 17.51% -0.05% Global Smart Beta 6.30% 6.30% 6.00% 0.30% Total Equities 46.47% 46.15% 45.52% 0.63%

Core Plus 24.92% 0.51% 25.43% 26.01% -0.58%

Public Credit 3.88% 3.88% 4.00% -0.12%

Cash 1.72% -0.19% 1.52% 1.01% 0.51%

PRIVATE MARKETS 23.02% 23.02% 23.46% -0.44% Private Equity 14.93% 14.93% 15.23% -0.30% Private Credit 2.78% 2.78% 2.85% -0.07% Private Real Assets 5.31% 5.31% 5.38% -0.07% TOTAL FUND 100.00% 100.00% 0.00%

55 BETA REPORT IOWA PUBLIC EMPLOYEES' RETIREMENT SYSTEM PORTFOLIO PRELIMINARY (Unreconciled) MARKET VALUES AT 3/12/2021

PUBLIC PORTFOLIO 76.98% $ 30,430,180,603 Manager % of Manager % of Manager Name Asset Class Total Market Value Manager Name Asset Class Total Market Value Blackrock R2000 SAE 3.00% $ 267,756,141 Western 16.91% $ 1,665,757,879 Blackrock - U.S. Alpha Tilt 16.47% $ 1,467,965,224 Blackrock 6.97% $ 686,373,092 Fisher 0.00% $ 14,385 Principal Global Investors 12.86% $ 1,267,033,204 Janus 5.62% $ 501,236,044 TCW 12.94% $ 1,274,552,996 Domestic Equity Transition 0.00% $ 180,277 Prudential 7.03% $ 692,281,076 Russell 2500 Value Transition 0.00% $ - BlackRock Universal Alpha 1.03% $ 101,890,534 DOMESTIC EQUITY - ACTIVE 25.10% $ 2,237,152,070 BlackRock Universal Beta 3.97% $ 391,066,315 Mackay Shields 12.03% $ 1,185,144,549 Mellon - S&P 500 68.02% $ 6,062,502,528 PGIM GLRV Alpha 2.50% $ 246,294,012 Mellon - Wilshire 4500 0.39% $ 34,404,789 PGIM GLRV Beta 2.39% $ 235,794,775 Rhumbline Advisers 6.49% $ 578,791,948 CORE PLUS - ACTIVE 78.64% $ 7,746,188,430 DOMESTIC EQUITY - PASSIVE 74.90% $ 6,675,699,265 Mellon SLH Agg 21.36% $ 2,104,268,347 TOTAL DOMESTIC EQUITY 22.55% $ 8,912,851,334 CORE PLUS - PASSIVE 21.36% $ 2,104,268,347

Blackrock - Canada 6.62% $ 461,268,958 TOTAL CORE PLUS 24.92% $ 9,850,456,777 Passive - Blackrock EAFE 22.05% $ 1,535,957,234 Mellon Passive Emerging 8.95% $ 623,280,186 Oaktree Capital Management 0.28% $ 4,342,271 INTERNATIONAL EQUITY - PASSIVE 37.61% $ 2,620,506,378 Aegon USA 33.59% $ 514,787,404 Prudential EMD 32.05% $ 491,178,804 Blackrock EAFE SAE 23.57% $ 1,642,451,286 PGIM High Yield 34.07% $ 522,059,905 Blackrock EM SAE 8.37% $ 583,023,231 TOTAL PUBLIC CREDIT 3.88% $ 1,532,368,384 Blackrock Europe Alpha Tilt 0.16% $ 11,371,594 BMO EAFE 8.34% $ 581,387,754 UBS - US 56.49% $ 1,406,178,766 International Equity Transition 0.02% $ 1,190,249 UBS - Developed ex US 33.16% $ 825,552,490 Oechsle 0.03% $ 2,066,479 UBS - EM 10.35% $ 257,597,996 PanAgora Dynamic EAFE 8.50% $ 592,348,639 TOTAL GLOBAL SMART BETA EQUITIES 6.30% $ 2,489,329,256 Wellington EM 13.39% $ 932,717,935 INTERNATIONAL EQUITY - ACTIVE 62.39% $ 4,346,557,167 Cash Account 63.76% $ 432,382,350 LARS Liquid Assets 11.63% $ 78,865,485 TOTAL INTERNATIONAL EQUITY 17.63% $ 6,967,063,546 Parametric - Domestic Equity 7.54% $ 51,113,979 Parametric - Int'l Equity 11.06% $ 75,016,823 Parametric - Fixed Income 6.00% $ 40,688,847 Parametric - Directed Trades 0.00% $ - Parametric - Synthetic Cash 0.00% $ - Public Real Assets Cash 0.01% $ 43,822 Pending Cash 0.00% $ - CASH ACCOUNT 1.72% $ 678,111,306 PRIVATE PORTFOLIO 23.02% $ 9,097,700,699 Manager % of Manager % of Manager Name Asset Class Total Market Value Manager Name Asset Class Total Market Value Legacy Portfolio 24.30% $ 1,433,729,483 Clarion Partners 20.64% $ 433,012,112 Pathway PE Fund XXV 75.70% $ 4,466,465,301 Invesco 21.95% $ 460,430,233 PRIVATE EQUITY 14.93% $ 5,900,194,784 RREEF 28.75% $ 603,117,646 UBS Realty 17.27% $ 362,427,404 Tennenbaum Capital 28.11% $ 309,076,579 Forest Invest 8.54% $ 179,277,100 BREDS II 0.00% $ 10,714 UBS Farmland Investors 2.85% $ 59,797,758 Principal RE Debt 0.14% $ 1,577,672 PRIVATE REAL ASSETS 5.31% $ 2,098,062,252 Monroe Capital 43.44% $ 477,643,997 Principal RE Debt II 2.47% $ 27,153,562 PGIM RE Global Debt 12.14% $ 133,419,787 KKR Goldfinch 13.69% $ 150,561,352 PRIVATE CREDIT 2.78% $ 1,099,443,663 RECENT MARKET VALUES GRAND TOTAL $ 39,527,881,302 3/12/2021 $ 39,527,881,302 3/5/2021 $ 39,055,708,951 2/26/2021 $ 39,095,734,272 PERCENT DOLLARS 2/19/2021 $ 39,839,667,409 PUBLIC MARKET 76.98% $ 30,430,180,603 2/12/2021 $ 39,936,604,715 PRIVATE MARKET 23.02% $ 9,097,700,699 2/5/2021 $ 39,579,805,446 TOTAL 100.00% $ 39,527,881,302 1/29/2021 $ 38,840,358,006 1/22/2021 $ 38,912,748,687 1/15/2021 $ 38,606,048,625

56 Preliminary IPERS Portfolio Structure and Allocations Quarter End December 31, 2020 $39.0 Billion Public Markets – 76% of Total Fund (Equities 46%) Domestic Equity International Equity Global Smart Beta $8.6 Billion $6.9 Billion $2.4 Billion 22.1% 17.8% 6.1% Active Passive Active Passive Passive $2.1 Billion $6.5 Billion $4.1 Billion $2.8 Billion $2.4 Billion 24.4% 75.6% 59.5% 40.5% 100.0%

BlackRock BNY Mellon BlackRock BlackRock UBS (US Alpha Tilt) (S&P 500) (EAFE SAE) (Canada) (U.S. Equity Smart Beta) $1.4 billion $5.9 billion $1.64 billion $435.3 million $1.3 billion

BlackRock BNY Mellon BMO BNY Mellon UBS (R2000 SAE) (Wilshire 4500) (EAFE) (Emerging) (Developed ex U.S. Smart Beta) $226.6 million $87.8 million $550.7 million $657.3 million $804.1 million

Janus RhumbLine Advisers Panagora BlackRock UBS (SMID Growth) (Russell 2500 Value) (Dynamic EAFE) (EAFE) (Emerging Market Smart Beta) $483.0 million $479.7 million $566.2 million $1.6 billion $244.6 million

Parametric BlackRock Parametric (Synthetic) (Emerging SAE) (Synthetic) $53.8 million $553.1 million $76.2 million

Wellington (Emerging) $872.9 million

57 Preliminary IPERS Portfolio Structure and Allocations Quarter End December 31, 2020 $39.0 Billion Public Markets – 76% of Total Fund (Fixed Income and Cash 30%)

Core-Plus Fixed Income Public Credit Cash $9.8 Billion $1.64 Billion $517.4 Million 25.1% 4.0% 1.3% Active Passive Active $8.0 Billion $1.8 Billion $1.6 Billion 81.9% 18.1% 100.0% BlackRock Western Asset BNY Mellon Agg Aegon USA BNY Mellon (Core Plus) (Core Plus) (Core) (High Yield) (Cash) $707.7 million $1.7 billion $1.7 billion $509.8 million $440.4 million

Principal Global MacKay Shields Parametric PGIM LARS Liquid Assets (Core Plus) (Core Plus) (Synthetic) (High Yield) (Cash) $1.3 billion $1.2 billion $49.8 million $515.1 million $77.1 million

PGIM TCW PGIM (Core Plus) (Core Plus) (Emerging Market Debt) $1.2 billion $1.3 billion $514.1 million

BlackRock Universal (Relative Value) $507.2 million

58 Preliminary IPERS Portfolio Structure and Allocations Quarter End December 31, 2020 $39.0 Billion Private Markets – 24% of Total Fund Private Equity Private Real Assets Private Credit $6.0 Billion $2.1 Billion $1.1 Billion 15.5% 5.4% 2.9%

Pathway Capital Clarion Partners BREDS II (Private Equity) (RE Equity) (RE Debt) $6.0 billion $433.0 million $2.8 million Invesco Principal Global (RE Equity) (RE Debt) $448.8 million $1.6 million RREEF Tennenbaum Capital (RE Equity) (Corporate Debt) $603.1 million $309.1 million UBS Realty Monroe Capital (RE Equity) (Corporate Debt) $364.9 million $477.6 million Forest Investment Principal Global II (Timber) (RE Debt) $179.3 million $28.0 million

UBS Farmland Investors PGIM RE Global Debt (Farmland) (RE Debt) $59.8 billion $129.4 million KKR Goldfinch (Corporate Debt) $165.5 million

59 Alpha Report For periods ending December 31, 2020 a

IOWA PUBLIC EMPLOYEES’ RETIREMENT SYSTEM

March 26, 2021 60 IPERS’ Active Manager Alpha Scorecard

Net of Fees as of 4Q20 4Q20 1 Year 3 Year 5 Year SI Perf Org People Process Domestic Equity BlackRock – U.S. SAE -0.30% 0.91% -0.33% 0.14% 0.00% BlackRock Russell 2000 SAE 0.22% 0.44% NA NA 3.02% Janus 0.10% -10.99% -3.32% -0.50% 0.88% International Equity BlackRock – EAFE SAE -0.30% -0.83% NA NA -0.11% BMO EAFE -2.29% -5.70% NA NA -4.31% PanAgora Dynamic EAFE 0.78% -1.17% NA NA -2.16% Wellington EM 1.65% 6.23% 3.76% 2.43% 0.34% BlackRock Emerging Markets SAE -0.88% -0.97% NA NA -0.23% Core Plus Fixed Income Western 1.43% 1.95% 1.26% 1.33% 1.07% BlackRock 0.35% 0.62% 0.29% 0.16% 0.32% Principal Global Investors 0.83% 2.38% 0.80% 0.66% 0.10% TCW 0.33% 1.59% 0.89% 0.35% 0.47% Prudential 0.86% 0.88% 0.70% 1.02% 0.94% Mackay Shields 1.13% 1.42% 0.55% 0.63% 0.67% BlackRock Universal NA NA NA NA 0.02% Public Credit Prudential High Yield 0.17% -0.50% NA NA 0.42% Aegon USA 0.63% -1.17% -0.39% -0.38% 0.36% Prudential EMD 2.17% -0.44% -0.07% NA 1.07% LARS Fort, LP 1.70% 1.97% 3.36% NA 4.25% Graham Capital Management, L.P. 5.61% 1.61% 1.01% NA 1.72% IPM Informed Portfolio Management AB 2.65% -4.60% -2.11% NA -1.33% P/E Global LLC -11.63% -4.60% 5.78% NA 0.53% Wadhwani Asset Management LLP 5.47% 5.24% 5.69% NA 4.67% No Concerns Minor Concerns Material Concerns 61 IPERS’ Active Manager Listing

MANAGER INCEPTION DATE MANDATE BENCHMARK Domestic Equity BlackRock – U.S. SAE September 2000 Enhanced Large Cap Core S&P 500 BlackRock Russell 2000 SAE May 2019 Small Cap Russell 2000 Janus February 2012 SMID Cap Growth Russell 2500 Growth International Equity BlackRock – EAFE SAE May 2019 Developed EAFE MSCI EAFE Index (net) BMO EAFE May 2019 Developed EAFE MSCI EAFE Index (net) PanAgora Dynamic EAFE May 2019 Developed EAFE MSCI EAFE Index (net) Wellington EM February 2009 Global Emerging Markets MSCI Emerging Markets (net) BlackRock Emerging Markets SAE May 2019 Global Emerging Markets MSCI Emerging Markets (net) Core-Plus Fixed Income Western October 1999 Core Plus Bloomberg Barclays U.S. Universal BlackRock October 1999 Core Plus Bloomberg Barclays U.S. Universal Principal Global Investors May 2005 Core Plus Bloomberg Barclays U.S. Universal TCW July 2015 Core Plus Bloomberg Barclays U.S. Universal Prudential July 2015 Core Plus Bloomberg Barclays U.S. Universal Mackay Shields November 2011 Core Plus Bloomberg Barclays U.S. Universal BlackRock Universal November 2020 Relative Value Bloomberg Barclays U.S. Universal Public Credit Prudential High Yield June 2019 High Yield Bloomberg US HY 2% Capped Index Aegon USA February 2012 High Yield High Yield Policy Index Prudential EMD April 2016 Emerging Market Debt JP Morgan EMBI Global LARS Fort, LP December 2016 Global Contrarian Absolute Return Graham Capital Management, L.P. December 2016 Tactical Trend Absolute Return IPM Informed Portfolio Management AB December 2016 Systematic Macro Strategy Absolute Return P/E Global LLC December 2016 FX Strategy Absolute Return Wadhwani Asset Management LLP March 2017 Keynes Leveraged Quantitative Strategy Absolute Return

62 Active Risk –180 Days (Feb 2021)

Active Passive Misfit Total Equities Domestic Equities 0.07% 0.00% 0.44% 0.07% International Equities 0.12% 0.03% 0.04% 0.12% Global Smart Beta Equities - 0.01% 0.04% 0.01% Fixed Income Core-Plus Fixed Income 0.14% 0.01% 0.02% 0.14% Public Credit 0.04% - 0.00% 0.04% Cash/LARS 0.04% - - 0.04% Asset Allocation - 0.11% - 0.11%

Total Public Markets 0.22% 0.12% 0.00% 0.27%

Target 1.50% • Active risk is back down to normal levels Upper Limit 3.00% • Core-Plus and International Equity managers are the largest contributor to active risk • Domestic Equity misfit risks continue to remain elevated

External Active Risk –180 Days (Feb 2021)

0.95%

0.85%

0.75%

0.65%

0.55%

0.45%

0.35%

0.25%

0.15%

Total Active Risk Active Managers Risk 63 Opportunistic Private Credit Manager Hiring Recommendations

Presented to the IPERS Investment Board By Pat Reinhardt, SIO - Alternatives March 26, 2021

64 IPERS Private Credit Portfolio

• The Investment Board increased the Private Credit target Target Allocation allocation from 3% to 8% in September 2020.

Direct Lending • IPERS is targeting equal weights to Direct Lending, Real 33% 33% Estate Debt and Opportunistic Credit strategies. Real Estate Debt

Opportunistic Credit • The current Private Credit Portfolio is largely composed 33% of Direct Lending strategies. • IPERS’ plan is to increase allocations to Opportunistic Credit and Real Estate Debt in 2021, commencing with Current Allocation1 the Opportunistic Credit search.

• In addition to the Opportunistic Credit search, IPERS 15% Direct Lending plans to add $100 million to its existing opportunistic 15% Real Estate Debt private credit SMA managed by KKR. 71% Opportunistic Credit • The search for Real Estate Debt managers will be launched later in 2021.

1 Based on market value as of March 10, 2021.

65 Opportunistic Private Credit – Potential Portfolio Construction Potential Allocation

Target Allocation Allocation Range Allocation Range 10% Multi-Strategy Position ($M) (%) Low $ High $ Low % High % Multi-Strategy 20% Mezzanine Crestline Investors $250 25% 50% Special Situations Marathon Asset Mgmt. $250 25% Sub-total $500 50% 50% 50% 20% Specialty Mezzanine Finance Ares Management $100* 10% Audax Group $100* 10% Sub-total $200 20% 20% 20% Special Situations • Core allocation to multi-strategy managers Commitment 1 $100 10% $100 $200 allows for significant diversification across Commitment 2 $100 10% $0 $100 opportunistic private credit investments, Sub-total $200 20% 10% 30% while providing an attractive risk adjusted Specialty Finance return profile. Commitment 1 $50 5% $0 $100 Commitment 2 $50 5% $0 $100 • Multi-strategy mandates will allow managers Sub-total $100 10% 0% 20% Real Assets / Other to deploy capital on an opportunistic basis, Commitment 1 $0 0% $0 $100 across sectors which are in favor at the time Commitment 2 $0 0% $0 $100 of deployment. Sub-total $0 0% 0% 10% Total Portfolio $1,000 100% • The market environment for mezzanine investments has the potential to be favorable as a new credit cycle begins following the Covid-19 dislocation.

*Does not include allocations to potential co-investments for up to $25 million. Specifically, Ares is providing IPERS with a dedicated co-investment vehicle, the first of its kind for Ares Management.

66 IPERS Opportunistic Private Credit Search

• A total of 112 respondents submitted responses RFP Process to the RFP. Finalists • 80 respondents met minimum requirements - Semi Recommended Allocations (“MRs”), which were Total Respondents MRs Met Finalists Multi-Strategy 36 28 8 4 2 ‐ Registered investment adviser under the Investment Advisers Act of 1940; Mezzanine 17 13 NA 3 2

‐ At least 5 years of experience managing the Specialty 24 15 proposed product as of June 30, 2020; Finance

‐ At least $250 million in AUM by the proposed product Real Assets 13 8 as of June 30, 2020. Special Pending – Ongoing 17 13 Situations Evaluation • In the first iteration, Multi-Strategy and Other 5 3 Mezzanine submissions were evaluated. Total 112 80 • In the second iteration, the remainder of submissions (Specialty Finance, Real Assets, Other, and Special Situations) will be evaluated.

67 Multi-Strategy Submissions

• Of 36 submissions in the Multi-Strategy group, 28 managers met Evaluation of Multi- minimum requirements. Strategy Submissions • In the first round of evaluations, 28 managers were assessed and scored across the following six dimensions: Organization (10%),

Product Team (20%), Product (25%), Process (25%), Total Respondents - 36 Performance (10%) and Terms (10%).

Met Minimum • Eight managers were interviewed by IPERS Staff and Wilshire, of Requirements - 28 which four were selected for virtual onsite interviews. Semi-Finalists - 8 • Two managers – Crestline Investors and Marathon Asset Management – are being formally recommended to the IPERS Finalists - 4 Investment Board. Please see Investment Summaries in Appendix. Recommended Allocations - 2 • Three managers – CarVal Investors, Magnetar, Värde Management – are suggested to be reserved as bench managers. Please see Investment Summaries in Appendix.

68 Mezzanine Submissions

• Of 17 submissions in the Mezzanine group, 13 managers met Evaluation of Mezzanine minimum requirements. Submissions

• In the first round of evaluations, 13 managers were assessed and scored across the following six dimensions: Organization (10%), Product Team (20%), Product (25%), Process (25%), Performance (10%) and Terms (10%). Total Respondents - 17

Met Minimum • Three managers were selected for virtual on-sites and Requirements - 13 interviewed by IPERS Staff and Wilshire. Finalists - 3 • Two managers – Ares Management and Audax Management Recommended Company – are being formally recommended to the IPERS Allocations - 2 Investment Board. Please see Investment Summaries in Appendix.

• One manager – GSO Capital Partners (Blackstone) – is suggested to be reserved as a bench manager. Please see Investment Summaries in Appendix.

69 IPERS Opportunistic Private Credit Search Plan

IPERS Board IPERS Board Mid-Late Early Late April – Late May – Meeting – Meeting – March 2021 April 2021 Early May 2021 Early June 2021 March 2021 June 2021

• Evaluation of Multi- Strategy and • Virtual onsite • Recommendations Mezzanine • First round of interviews to be held • Recommended for allocations to • First round of submissions evaluations (scoring) with the selected managers in Specialty Finance, evaluations (scoring) completed. to be completed for group of finalists from Specialty Finance, Real Assets, Special to be completed for Special Situations, Specialty Finance, Real Assets, Special Situations and Other Specialty Finance • Four managers are Real Assets and Real Assets, Special Situations and Other managers to be submissions. being formally Other submissions. Situations and Other to be identified. provided to the recommended to the submissions. Board. Board.

70 Hiring Recommendations

Staff requests the Investment Board approve the following recommendations: • Hire Marathon Asset Management and Crestline Investors each for $250 million allocations in multi-strategy opportunistic credit mandates, subject to final due diligence and successful contract negotiations; with Magnetar, CarVal Investors and Varde Partners serving as bench managers for potential future funding if authorized by the Board at some future date. • Hire Ares Management and Audax Group each for $100 million allocations in mezzanine opportunistic credit mandates (and up to $25 million co-investment allocations for each), subject to final due diligence and successful contract negotiations; with Blackstone (GSO) serving as bench manager for potential future funding if authorized by the Board at some future date.

71 Appendix

Wilshire Investment Summaries – Recommended Allocations

72 Crestline Opportunistic Credit SMA

Key Highlights* FIRM OVERVIEW Founded in 1997 by Douglas Bratton, Crestline Investors, Inc. (“Crestline” or the “Firm”) is an alternative Currency / Target Size (M) investment management firm headquartered in Fort Worth, Texas. The Firm originally started as an USD / $250 / NA / Hard Cap (M) alternative asset manager for the Edward P. Bass family office, running a dedicated hedge-fund-of-funds vehicle. Today, the Firm is led by Doug Bratton, Founder and CIO, and four additional Managing Partners. First Close Amount NA Together, the Managing Partners have over 140 years of collective industry experience and are supported by 64 additional investment professionals. Crestline has grown and evolved into a multi-strategy asset First Close Date NA manager with over $12.8 billion in assets across four verticals. Final Close Date NA INVESTMENT STRATEGY Crestline’s Opportunistic Credit SMA (the “SMA” or “mandate”) will be composed of diversified credit Geographic Focus Global strategies currently employed by the Firm’s Opportunistic Credit and Portfolio Finance funds. The strategy Sector Opportunistic Credit will focus on credit investments across four key pillars: (i) corporate capital solutions (40-50%), (ii) special situations lending (10-20%), (iii) asset backed loans (20-30%), and (iv) fund liquidity solutions (10-30%). Generalist Sector Type Allocations across these pillars will be flexible and will span the capital structure with the ability to both Investment Size (M) $20 – $100 originate loans or acquire debt in the liquid secondary credit markets in both the United States and Europe. The mandate will be diversified across industries, but as with all Crestline funds, the strategy will focus on Number of Investments 20 – 40 businesses which exhibit at least one of three key elements: (i) recurring revenue, (ii) multi-site or multiple pools of value, or (iii) are backed by assets or pools of collateral. The strategy will leverage the Crestline Investment Period TBD platform including the deep credit expertise of the senior investment team to create bespoke investments Fund Term TBD that are creatively structured to achieve attractive risk adjusted returns. Investments will be made with a focus on capital preservation through stringent covenants, affirmative and negative controls, and low LTVs, GP Commitment (%) TBD while offering attractive returns through strong yields, call protection, various fees, OID, and in some cases Target Return 10%-14% net unlevered IRR equity upside. TRACK RECORD Size Crestline’s track record within its opportunistic credit Fund Vintage Net ROI Net IRR Wilshire Focus List Report Radar strategy dates back to 2013. However, in 2016, the ($M) Firm raised Opportunity Fund III, which was the first OF IV 2019 654 1.1x 9% Organization fund solely dedicated to the Firm’s current opportunistic OF III 2016 615 1.2x 11% 3.5 investment strategy. Crestline’s track record within its OF II 2013 120 1.2x 4% Terms Team portfolio financing strategy is relatively young, as it only PF I 2018 335 1.2x 12% 3.5 4.0 raised its first fund in 2018. Excluding Opportunity Fund Source: Crestline. As of September 30, 2020. II, which includes off-strategy investments, the Firm has Performance Strategy generated largely attractive absolute returns. 3.5 4.0 Investment Merits Investment Concerns • Deep team with significant expertise in all • Mature firm with significant passive ownership Market Process 4.0 4.0 aspects of credit investing stake remaining with third party • Differentiated, flexible strategy focused on less • Key person risk associated with Messrs. Key: 5 = Top Decile; 4 = Top Quartile; 3 = Average; 2 = Bottom competitive market segments Williams, Semple, and Philipp Half; 1 = Bottom Decile; 0 = No Information • Proven structuring capabilities providing • Off-strategy early fund relative / absolute attractive risk adjusted returns performance and loss ratio Past performance is not indicative of future results. • Robust opportunity set based on Covid-19 dislocation

73 Marathon Structured Credit Products SMA

FIRM OVERVIEW Key Highlights Marathon Asset Management (“Marathon” or the “Firm”) is a global, multi-strategy asset manager focused on corporate credit, emerging markets, structured credit, and real estate investments. The Firm currently Currency / Target Size USD / 250 / NA (M) / Hard Cap (M) manages $19.7 billion across all strategies and is led by Co-Founders, Bruce Richards (Chairman & CEO) and Louis Hanover (CIO), who are supported by seven additional Partners sharing an average professional First Close Amount NA tenure of 17 years. Marathon was founded in 1998 and has grown to employ 150 professionals globally, with offices in New York, London, and Tokyo. First Close Date NA INVESTMENT STRATEGY NA Final Close Date The Marathon Secured Private Strategies SMA (the “SMA” or the “Vehicle”) is being offered to invest in a Geographic Focus North America similar strategy to Marathon’s Secured Private Strategies Fund II (“MSPS”). The Vehicle will target a diversified portfolio of investments that fall into four main buckets: (i) healthcare loans secured by revenue, Sector Opportunistic Credit intellectual property (“IP”) rights, and royalty streams (expected to be approximately 30% of the SMA); (ii) Sector Type Diversified residential real estate whole loans and loan portfolios (35%); (iii) transportation and equipment transactions such as aircraft and containership leases (20%); and (iv) other asset-based loans and leases including Investment Size (M) $250 consumer credit, student and auto loans, securitized assets, and other leases and corporate asset-based credit (15%). Investments are generally structured as senior secured in many instances, but the Vehicle will Number of Investments 30-60 also invest through mezzanine, unsecured instruments, and lease structures. Marathon will emphasize Investment Period TBD downside protection through these structures with support through strong collateral packages that include property, equipment, and IP. The SMA will utilize asset-level leverage in select transactions and target deal- Fund Term TBD level IRRs of 12% to 14% with approximately 75% to 80% of returns expected to be generated through GP Commitment (%) TBD interest income. WPM notes that the Vehicle will invest pro rata based on available capital alongside MSPS II, though MSPS II will also feature commercial real estate investments. Target Return (Net) 10% to 12% IRR; 1.5x ROI TRACK RECORD Fund Vintage Size ($M) Net ROI Net IRR Since 2014, Marathon’s MSPS vehicles have MSPS II 2019 896 1.2x 20% Wilshire Focus List Report Radar invested approximately $1.4 billion of equity across 116 deals and two funds, generating MSPS I 2014 370 1.4x 11% Source: Marathon as of December 31, 2020. Organization strong returns to-date, despite Fund II being 3.5 in its early days. Notably, both funds have Terms 4.0 Team experienced a compelling 1% loss ratio on 3.5 total invested capital. 4.0 Investment Merits Investment Concerns Performance Strategy • High-quality investment manager with distinct • Third-party ownership dynamics and full team 4.0 credit focus and teams organized with sector alignment 4.0 specialists • Headwinds in certain industries, such as Market 3.5 Process • Flexible investment strategy with exposure to aviation, that have been impacted by COVID- niche asset types offering attractive risk- 19 Key: 5 = Top Decile; 4 = Top Quartile; 3 = Average; 2 = Bottom adjusted returns • Depth of track record in specific asset types Half; 1 = Bottom Decile; 0 = No Information • Strong absolute and relative performance Past performance is not indicative of future results.

74 Ares Private Credit Solutions II

Key Highlights FIRM OVERVIEW Founded in 1997 and led by Chairman and CEO Tony Ressler, Ares Management (“Ares” or the “Firm”) is a publicly-traded global alternative asset manager with approximately $197 billion in AUM and more than 20 Currency / Target Size USD / 4.0 / NA (B) / Hard Cap (B) offices across the U.S., Europe, and Asia. The Firm’s U.S. Direct Lending team manages more than $98 billion in AUM and is led by a cohesive, experienced group of nine Partners. The senior team is further First Close Amount (B) ~$2.0 supported by 137 investment professionals and a 25-member portfolio management team. The team is First Close Date November 2020 predominantly located in New York with additional offices in Chicago, Los Angeles, Dallas, and Atlanta. Final Close Date June 2021 Geographic Focus North America INVESTMENT STRATEGY Ares Private Credit Solutions II (“APCS II”, “Fund II’, or the “Fund”) will pursue the same strategy as its Sector Opportunistic Credit predecessor fund by targeting junior capital investments in private equity-backed upper middle market companies. The Firm will target performing companies with established platforms, defensive market Mezzanine Sector Type positions, diversified business models and strong private equity sponsorships that remain underserved by Investment Size (M) $100-$200 traditional lending sources. Ares intends to act as the lead or co-lead investor in all transactions and typical borrowers will exhibit between $75 to $750 million of EBITDA at the time of acquisition. APCS II will seek to Number of Investments ~20-40 generate deal flow through a multi-channel origination approach that includes direct financial sponsor relationships as well as other points of contact within Ares’ established networks. Ares expects initial Investment Period 4 Years investment sizes to range from $100 to $200 million and will target an 11%-14% unlevered net IRR with an Fund Term 8 Years 8%-10% cash yield. Typical transactions will be structured as floating-rate, cash-paying investments with relevant financial maintenance covenants and structural protections which include contractual asset-level 1.5% of commitments up to $60 GP Commitment (%) coupons (10-13%), upfront economics (2.5-5%), built-in call protections and prepayment penalties. million TRACK RECORD Target Return 11-14% unlevered net IRR Ares has developed a deep track record within its junior Size Net Net capital strategy that dates back to 2004 and includes Fund Vintage more than $16 billion of invested capital across one ($M) ROI IRR Wilshire Focus List Report Radar prior fund and 269 Pre-Fund transactions. The Firm’s Pre-Fund track record has demonstrated consistent APCS I 2017 3,365 1.2x 9% Organization returns across market cycles and is currently 2004- 3.5 generating a 1.3x and 12% gross ROI and IRR, Pre-Fund* NA 1.3x 12% Terms Team respectively. APCS I has invested approximately $2.9 2020 3.0 billion across 31 investments and is generating an Source: Ares as of December 31, 2020. 4.0 *Represents pro forma gross returns for Pre-Fund second lien, aggregate net ROI of 1.2x and net IRR of 9% as of mezzanine and high yield transactions. December 31, 2020. Performance 3.5 3.0 Strategy

4.0 Investment Merits Investment Concerns 3.0 • Large global platform with significant • Mature firm with significant AUM and multiple Market Process resources which aid in all aspects of credit strategies origination • Risk-adjusted return proposition of mezzanine Key: 5 = Top Decile; 4 = Top Quartile; 3 = Average; 2 = Bottom • Deep, tenured, cohesive team lending in the current market environment Half; 1 = Bottom Decile; 0 = No Information • Extensive cycle tested track record with Past performance is not indicative of future results. consistently strong performance

75 Audax Mezzanine Fund V

FIRM OVERVIEW Key Highlights Audax Group (“Audax” or the “Firm”) was founded in 1999 to focus on middle market investing through private debt and equity. The Firm continues to be led by Co-Founders and Co-CEOs Geoffrey Rehnert and Currency / Target Size USD / 1.5 / 1.8 (B) / Hard Cap (B) Marc Wolpow. Audax employs over 250 individuals today across three offices in New York, Boston and San Francisco. The Firm’s Private Debt group manages three distinct strategies: senior lending, mezzanine First Close Amount (M) $470 lending, and unitranche lending. The Private Debt team is comprised of over 90 individuals (including 26 investment professionals) and led by President Kevin Magid and Managing Director Peter Gummeson, who First Close Date April 2020 have managed the junior debt strategy together since 2000. Final Close Date April 2021 INVESTMENT STRATEGY Geographic Focus North America Audax Mezzanine Fund V (“Fund V” or the “Fund”) will pursue the same strategy as its predecessor funds by targeting junior capital investments in private equity-backed middle market companies. The Firm will Sector Opportunistic Credit target companies that exhibit established value propositions, defensible market positions, revenue and cash Sector Type Mezzanine stability, experienced management teams and strong private equity sponsorship. Typical borrowers will exhibit between $10 million and $50 million of EBITDA at the time of acquisition. Transactions are generally Investment Size (M) $20-$60 structured as cash paying securities with financial maintenance covenants and structural protections. Investments are expected to consist of contractual fixed rate coupons (10%-11%), PIK (1%-2%), and ~30-40 Number of Investments upfront closing fees (2%-2.25%). In certain instances, the Firm will make equity co-investments alongside Investment Period 5 Years private equity sponsors to capture potential upside, though Fund V’s maximum equity exposure will be capped at 20%. Audax will seek to generate deal flow through direct outreach to middle market private Fund Term 10 Years equity sponsors as well as other points of contact within the Firm’s established networks. GP Commitment (%) 2% of commitments Target Return 11-13% unlevered net IRR TRACK RECORD Audax Group has developed a deep track record of Size Net Net Fund Vintage investing its mezzanine strategy that dates back to the ($M) ROI IRR Wilshire Focus List Report Radar inception of the strategy in 2002. As of September 30, 2020, the Firm’s four commingled mezzanine vehicles Fund IV 2016 1,200 1.1x 9% Organization have raised approximately $3.4 billion in capital Fund III 2011 1,000 1.3x 9% 3.5 commitments and invested more than $3.1 billion in 121 Fund II 2006 700 1.3x 8% Terms Team transactions. In aggregate, Audax has generated a net Fund I 2002 440 1.4x 11% 3.5 ROI of 1.3x and net IRR of 9% across market cycles. Source: Audax as of September 30, 2020. 4.5

Performance 3.0 3.0 Strategy Investment Merits Investment Concerns 4.0 3.0 • Stable team with significant experience • Near-term succession of Co-Founders Market Process supported by broader platform resources expected • Established middle market strategy focused on • Risk-adjusted return proposition of mezzanine Key: 5 = Top Decile; 4 = Top Quartile; 3 = Average; 2 = Bottom deals alongside high-quality sponsors in the current market environment Half; 1 = Bottom Decile; 0 = No Information • Consistent returns across funds and market • Ability to achieve stated target returns and cycles gross-to-net spreads of prior funds Past performance is not indicative of future results.

76 Appendix

Wilshire Investment Summaries – Bench Managers

77 Bench Manager Recommendations

MANAGER FIRM OVERVIEW INVESTMENT STRATEGY

CarVal Investors ("CarVal" or the "Firm") was founded in 1987 as an For the IPERS Opportunistic Credit mandate, CarVal proposes a arm of Cargill's proprietary financial trading operation, and during the drawdown structured fund-of-one with the investment guidelines to be first 18 years, the Firm has managed opportunistic credit strategy on tailored based on the IPERS needs. Broadly, CarVal will construct a behalf of Cargill in a proprietary separate account. In 2006, the Firm portfolio centered around the Firm's private credit capabilities in loan began managing the opportunistic credit strategy in commingled funds. CarVal Drawdown portfolios, structured credit, hard assets and liquidations. In loan In late 2019, CarVal became an employee-owned firm after buying out portfolios, the Firm will invest in residential, commercial, consumer and Fund-of-One the Cargill's ownership interest. The Firm is currently managed by 15 solar loans that are either performing or non-performing. In structured partners, who are supported by more than 65 investment professionals credit, CarVal will invest in asset-backed securities including RMBS, located in five offices around the globe. Today, the Firm manages over CMBS and others. Across hard assets, the Firm may invest in aviation $9 billion in assets, of which, over 90% are in global, multi-strategy credit mandates. leasing and renewable energy assets.

GSO Capital Partners (“GSO” or the “Firm”) was founded in 2005 by GSO Capital Opportunities Fund IV ("COF IV" or the “Fund”) will invest Bennett Goodman, Tripp Smith, and Doug Ostrover as a credit-oriented primarily in privately negotiated transactions, including growth hedge fund manager. In 2008, the Firm was acquired by the Blackstone financings, LBOs, recapitalizations, refinancing, and add-on Group (“Blackstone”) and became a wholly-owned subsidiary which acquisitions originated both in the U.S. and Europe. The Fund will seek GSO Capital currently operates as Blackstone’s global credit platform. Today, the to invest in approximately 30-40 investments, with the typical check size Opportunities Fund IV Firm is led by Dwight Scott and manages approximately $145 billion in ranging from 3-5% of total capital commitments. From a structuring AUM across various public and private market credit strategies. GSO standpoint, the Fund will utilize a flexible approach that may include employs 382 individuals, including a 95-member Alternatives Private secured debt, subordinated debt, preferred securities, convertible Origination investment team that operates out of eight offices across securities, warrants, and/or equity co-investments North America and Europe.

Magnetar (the “Firm”) is an alternative asset manager offering multiple The Magnetar Alternative Credit & Fixed Income SMA (the “SMA” or the product solutions spanning credit and fixed income, energy and “Vehicle”) will invest across multiple strategies consisting of three main infrastructure, healthcare, and event-driven strategies. The Firm was components: specialty finance (50-65%), structured investments (10- Magnetar Alternative founded in 2005 and has grown to employ 206 full-time employees 30%), and opportunistic market investments (10-30%). The SMA’s globally and manage approximately $13 billion in AUM across all opportunistic approach allows Magnetar to re-position and optimize Credit & Fixed Income strategies as of January 2021. Magnetar is headquartered in Evanston, portfolio allocations based on market dynamics. The Vehicle will SMA Illinois and has three satellite offices in London, New York, and primarily target opportunities within North American and European Houston. businesses and will allocate to a diverse list of sectors, including film finance, healthcare finance, solar power, agricultural lending, and intellectual property, among others.

Varde Partners (“Varde” or the “Firm”) is a global alternative investment The Varde Asset Lending Fund II (“Fund II” or the “Fund”) will make manager focused on distressed credit and real asset investing. The loans secured by financial assets, real assets, or other tangible Firm was founded in 1993 and today manages more than $14 billion in collateral. The Firm will seek to diversify the portfolio’s loans by both capital across a range of asset types. Varde employs more than 90 sector and geography. The Fund will focus on three factors: (i) focusing Varde Asset Lending investment professionals spread across 12 offices spanning multiple on sourcing in undercapitalized markets where Varde has dedicated Fund II continents with global headquarters in Minneapolis and regional industry experience, (ii) seeking downside protection through headquarters in London and Singapore. The Firm is 100% employee conservative and consistent underwriting standards, and (iii) conducting owned and currently led by a seasoned group of 16 senior Partners, a robust assessment of relative value to identify investments we believe including Co-Founders George Hicks (co-CEO) and Marcia Page offer the most compelling risk-return profile. (Executive Chair) and Ilfryn Carstairs (co-CEO, CIO). 78 79 MEMBER DEMAND MEASURES FOR FEBRUARY 2021 Current FY to Date Same Month FY to Date Member Demand Measures Month 2021 Last Year 2020 Benefits Counseling Number counseled at IPERS' Office 125 1,583 349 2,469 Number Counseled throughout the State 0 0 30 4,381 Number of estimates prepared 2,037 15,201 3,582 24,387 Retired Death Benefits Number of reported deaths 283 2,711 396 2,823 Amount paid in IPERS death benefits $2,049,941.65 $11,119,378.90 $1,325,881.82 $10,453,991.81 Number of beneficiaries paid 288 1,473 192 1,319 Average death benefit paid $7,117.85 $7,548.80 $6,905.63 $7,925.70 Active Death Benefits Number of reported deaths 61 572 53 452 Amount paid in IPERS death benefits $2,094,259.86 $11,780,199.17 $1,184,356.52 $11,145,710.33 Number of beneficiaries paid 47 291 40 260 Average death benefit paid $44,558.72 $40,481.78 $29,608.91 $42,868.12 Retirement Benefits Amount paid in IPERS retirement benefits $193,414,422.82 $1,537,896,065.44 $185,335,696.13 $1,475,143,246.40 Number of IPERS retirees 128,862 126,498 Number of IPERS disability retirees 4,155 4,227 Number of new retirees added to payroll 410 4,110 416 4,096 Average monthly benefit $1,500.94 $1,465.13 Average years of service for retirees 22.66 22.63 Refunds IPERS refund requests paid 406 3,046 412 3,471 Total paid as refunds $4,340,297.41 $34,605,331.43 $4,376,245.58 $39,316,486.64 (supplementary refunds) $11,679.47 $154,650.83 $38.75 $213,608.53 Average refund paid $10,690.39 $11,360.91 $10,621.96 $11,327.14 Average refunded years of service 3.92 4.20 3.85 4.35 Amount of retired reemployed refunds $1,063,710.79 $8,574,002.02 $1,128,779.53 $5,637,577.72 Number of retired reemployed refunds 188 1,284 157 488 Service Purchases Paid service purchases 9 62 9 73 Totals paid in service purchases $503,292.51 $3,769,484.38 $659,926.33 $3,652,476.34 Average service purchase $55,921.39 $60,798.14 $73,325.15 $50,033.92 Average years purchased 4.08 4.64 5.61 4.45 Miscellaneous Information Phone calls logged by staff 9,208 59,279 10,447 63,673 Statement of account requests 59 427 104 740 Direct deposit additions/changes 1,514 9,834 1,140 9,469 Outside of office presentations 6 27 3 45 Outside of office attendees 171 1,002 106 1,874 Actuarial equivalent claimants 38 349 52 348 Gross actuarial equivalents totals paid $84,205.29 $842,169.07 $123,009.02 $811,937.42 Age 70 notifications 630 4,851 620 4,530 Retirees with adjustments 153 1,875 94 1,683 Number of emails received 1,633 10,526 1,276 9,044

80 2 0 2 1 Board Meetings J A N U A R Y F E B R U A R Y M A R C H S M T W T F S S M T W T F S S M T W T F S March 26, 2021 1 2 1 2 3 4 5 6 1 2 3 4 5 6 CY2020 Investment Performance 3 4 5 6 7 8 9 7 8 9 10 11 12 13 7 8 9 10 11 12 13 10 11 12 13 14 15 16 14 15 16 17 18 19 20 14 15 16 17 18 19 20 17 18 19 20 21 22 23 21 22 23 24 25 26 27 21 22 23 24 25 26 27 24 25 26 27 28 29 30 28 28 29 30 31 31

A P R I L M A Y J U N E S M T W T F S S M T W T F S S M T W T F S June 17, 2021 1 2 3 1 1 2 3 4 5 Private Markets Portfolio Review 4 5 6 7 8 9 10 2 3 4 5 6 7 8 6 7 8 9 10 11 12 11 12 13 14 15 16 17 9 10 11 12 13 14 15 13 14 15 16 17 18 19 18 19 20 21 22 23 24 16 17 18 19 20 21 22 20 21 22 23 24 25 26 25 26 27 28 29 30 23 24 25 26 27 28 29 27 28 29 30 30 31

J U L Y A U G U S T S E P T E M B E R S M T W T F S S M T W T F S S M T W T F S September 15-16, 2021 1 2 3 1 2 3 4 5 6 7 1 2 3 4 Continuing Education Session 4 5 6 7 8 9 10 8 9 10 11 12 13 14 5 6 7 8 9 10 11 FY2021 Investment Performance Review 11 12 13 14 15 16 17 15 16 17 18 19 20 21 12 13 14 15 16 17 18 Asset Allocation 18 19 20 21 22 23 24 22 23 24 25 26 27 28 19 20 21 22 23 24 25 Investment Policy and Goal Statement 25 26 27 28 29 30 31 29 30 31 26 27 28 29 30

OCTOBER NOVEMBER DECEMBER S M T W T F S S M T W T F S S M T W T F S December 2, 2021 1 2 1 2 3 4 5 6 1 2 3 4 Investment Board and BAC Mtg 3 4 5 6 7 8 9 7 8 9 10 11 12 13 5 6 7 8 9 10 11 Actuarial Valuation Presentation 10 11 12 13 14 15 16 14 15 16 17 18 19 20 12 13 14 15 16 17 18 17 18 19 20 21 22 23 21 22 23 24 25 26 27 19 20 21 22 23 24 25 24 25 26 27 28 29 30 28 29 30 26 27 28 29 30 31 31