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11/30/20

NEW HAMPSHIRE RETIREMENT SYSTEM BOARD MEETING Tuesday, December 8, 2020 Agenda

10:00 am 1. Ascertain Quorum and Call to Order T. Lesko

10:05 am 2. Approval of Minutes (Tab 1) T. Lesko November 10, 2020 (Action Expected)

10:10 am 3. Standing Committee Reports • Audit (Tab 2) M. Mezzapelle o CAFR Recommendation (Action Expected) • Governance (Tab 3) D. Roy • Investment (Tab 4) M. Kelliher o Monthly Report L. Johansen o Quarterly Report L. Johansen o Investment Policy Revision L. Johansen (Action Expected) o CAIR Recommendation L. Johansen (Action Expected) • Legislative (Tab 5) S. Myers • Benefits (Tab 6) G. Walker • PPCC (Tab 7) B. Hart o ED Search Firm Recommendation (Action Expected) (Temporary Adjournment Expected)

10:40 am 4. Operating Reports • Executive (Tab 8) G. Lagos o Contracts (Action Expected) o PG V3 Update C. Merrill • Legal (Tab 9) T. Crutchfield • Finance (Tab 10) G. Murphy • IT (Tab 11) F. Clough • Member Services (Tab 12) N. Miller • PIO (Tab 13) M. Karlon

11:05 am 5. Consent Agenda (Tab 14) T. Lesko (Action Expected)

11/30/20 11:10 am 6. Trustee Travel Reports/Requests (Tab 15) T. Lesko

11:15 am 7. Action Items – November 10, 2020 (Tab 16) G. Lagos

11:20 am 8. Board Checkpoint Discussion (Tab 17) T. Lesko

11:25 am 9. Adjournment T. Lesko

10. Informational Materials (Tab 18) Draft Quarterly Report to the General Court 2020 Board Calendar Committee Membership Trustee Confidential Contact Information Trustee Appointments and Terms NHRS Conference Resource List NEPC Quarterly Performance Report

Governance Committee meeting to follow adjournment of the Board meeting.

NHRS Board of Trustees DRAFT Minutes-November 10, 2020

Note: These draft minutes from the November 10, 2020 Public Session are subject to approval at a subsequent Board of Trustees meeting.

Board of Trustees November 10, 2020 DRAFT Public Minutes

New Hampshire Retirement System 54 Regional Drive Concord, New Hampshire 03301

The NHRS office was closed to the public as a result of COVID-19, and the meeting was held via video conferencing, as authorized under Executive Order 2020-04. Pursuant to RSA 91-A, all votes were by roll call.

Participating: Trustees Tim Lesko, Chair; Scott Christensen, Christopher Coates, Melvin Friese, Sue Hannan, Bill Hart, Maureen Kelliher, Robert Maloney, Monica Mezzapelle, Scott Myers, and Donald Roy. Absent: Benjamin Jean.

Staff: George Lagos, Executive Director; Tim Crutchfield, Esq., Deputy Director and Chief Legal Counsel; Larry Johansen, Director of Investments; Gerard Murphy, Director of Finance; Frank Clough, Director of Information Technology; Nancy Miller, Director of Member Services; Marty Karlon, Director of Communications & Legislative Affairs; Mark Cavanaugh, Esq., Associate Counsel & Compliance Officer; Diana Crichton, Esq., Hearings Examiner; Nancy Cone, Internal Auditor; Cecile Merrill, Project Manager; Rosamond Cain, Human Resources Manager; Nina Calkins, Contact Center and Administrative Manager; and Christine Rice, Administrative Assistant.

Executive Director Lagos reviewed the protocols for the remote WebEx meeting. Chair Lesko called the November 10, 2020 annual meeting of the NHRS Board of Trustees to order at 10:02 a.m. Having established a quorum, Chair Lesko called for a vote to approve the minutes of the October 13, 2020 Board meeting. On a motion by Trustee Hart, seconded by Trustee Roy, the Board voted unanimously to approve the minutes, as presented.

Trustee Mezzapelle provided the Audit Committee report, noting that the Committee met this morning and approved its October 13, 2020 meeting minutes. The Committee reviewed the internal audit activities, starting with the audit report on the Bank and Investments account user access rights. Next, the Committee reviewed the tracking report, noting there were only two changes this month, relative to the new user access rights report. Ms. Mezzapelle stated that a follow-up on employer audit adjustments is expected to be completed prior to next month’s Board meeting. She added that staff has confirmed that a data risk reassessment will be conducted before calendar-year end by the same firms that conducted the initial assessment in 2017. Lastly, she reported that the FY20 Audit Plan is on track, with fieldwork done and no major issues. In closing, Ms. Mezzapelle indicated that the CAFR report would come before the Board at the December meeting.

Next, Trustee Roy gave the Governance Committee report, noting that the Committee met Monday, November 2, and approved its September 8, 2020 meeting minutes, followed by consideration of the System’s actuarial consulting services in view of the expiration of the GRS contract as of December 31, 2020. Director of Finance Murphy summarized for the Committee the staff review of the five proposals that NHRS received in response to the RFP that was issued in August. He reported that while all of the firms were qualified for the engagement, staff recommended to retain GRS because of its responsiveness, consistent, quality work and positive, longstanding relationship with NHRS and the Board. Trustee Roy advised that the Committee reviewed the proposed contract terms with Mr. Murphy, followed by a unanimous Committee vote to recommend to the Board to retain GRS for a three-year term, with the eligibility for two, one-year extensions.

On a motion by Trustee Hannan, seconded by Trustee Myers, the Board voted unanimously to retain GRS to provide actuarial consulting services to NHRS.

Trustee Kelliher reported on the IIC meeting of October 23, 2020, stating that the IIC approved the September 18, 2020 meeting minutes. She noted that Director of Investments Johansen then gave his review of the portfolio’s performance over various time-periods, and that discussion continued on the COVID-19 pandemic’s effects on the System’s cash flow and asset allocation.

Trustee Kelliher stated that the Committee unanimously voted to recommend to the Board that it retain ISS for institutional proxy voting services, for a five-year term, beginning December 1, 2020, with three, one-year extensions, subject to contract and legal review.

The Committee heard presentations from investment managers, Aristotle and Lazard, the finalists from the Committee’s search for two non-U.S. equity managers. The Committee found both managers to be a good fit as international equity investors. It voted unanimously to hire both firms, and divide assets equally between them, following its vote to terminate its investment in a large cap fund in LSV.

Ms. Kelliher stated that the Committee also heard from private debt manager CarVal, unanimously voting to commit $50 million to its Credit Value Fund V, subject to contract and legal review. She noted that NHRS currently invests in CarVal’s Funds III and IV. Ms. Kelliher stated that the Committee also heard a presentation from private equity manager Industry Ventures and unanimously voted to commit $50 million to its Fund IX, subject to contract and legal review. She added that the System currently invests in Industry Ventures’ Funds VI and VII. Lastly, Ms. Kelliher mentioned that the Committee considered the proposed FY21 IIC meeting schedule, which will be voted upon at its meeting next week.

Director of Investments Johansen then gave an overview of the System’s performance over various timeframes, referencing NEPC’s Total Fund Performance Flash Report. He noted that performance improved since June 30th, with returns at 3.7% for 3 months, and 4.7% for 1 year, and substantial improvements to 3, 5, and 10 year results since June 30, 2020. However, Mr. Johansen added that because of the equity diversification away from the S&P 500 and fixed income diversification away from the

Barclay’s Aggregate, the System is still below benchmark. He noted that he expects that diversification will lead to outperformance in the long term. He remarked that the System’s asset classes are close to target and well within permitted ranges.

Next, Mr. Johansen referenced the Institutional Proxy Voting Survey, which went out in mid-October to Glass Lewis and ISS, the System’s current vendor. He explained that of the two proposals received, the IIC voted to recommend ISS, based on its relationship with NHRS, its experience, and its proposed pricing.

Chair Lesko called for a motion that the Board accept the IIC’s recommendation to retain ISS to provide proxy voting services. Trustee Hart moved and Trustee Roy seconded. In response to a Trustee’s request for clarification regarding the renewal rate, Mr. Johansen confirmed that the renewal rate would be lower than the expiring contract terms with ISS. The motion carried unanimously.

Next Mr. Johansen informed the Board of a recommended update to the Investment Policy to reflect the revised assumed rate of return from 7.25% to 6.75%, noting that the Committee would make a formal recommendation during its meeting on November 20. The change would be up for Trustees’ approval at the December Board meeting, along with the Comprehensive Annual Investment Report (CAIR).

Following a Trustee’s question about the System’s historical performance of alternative investments to date, Mr. Johansen replied that it has been doing very well overall, and that through December 31, the five-year rate of return on the total program is 11.3%. He noted that while private market performance has been better than fixed income, it has not outperformed the S&P 500, noting that nothing has over the past several years. Mr. Johansen continued with his report, noting that the June 30 performance at 1-year is at 1.1%, at 20 years, the return is 5.4%, and over 25 years, returning at 7.5%.

In closing, Mr. Johansen updated the Board on the transition plan with Callan, who will replace NHRS’ current investment consulting firm, NEPC, in January, and he gave an overview of the IIC’s agenda for its November meeting.

At this time, Chair Lesko experienced some technical difficulties and Vice Chair Kelliher stepped in to facilitate the meeting.

Trustee Myers gave the Legislative Committee report, stating that the Committee has not met in several months, and added that the status of the legislation has not changed since the October Board meeting. With the recent election, he said the new representative-elects would have the chance to submit legislation. Trustee Myers then gave an overview of party leadership in the House, some perspective on COVID and how the Legislature could operate come January in relation to the pandemic.

Mr. Karlon, Director of Communications and Legislative Affairs, gave an update on proposed new legislation, reporting that there are about 100 LSRs to date, and noting that none relate to NHRS based on the titles. He stated that the filing period for the House runs through November 20th. With that, Trustee Myers concluded his report.

Chair Lesko returned to the meeting and called on Trustee Coates for the Benefits Committee report however, Trustee Coates was experiencing audio issues, and Chair Lesko called on Trustee Hart for the PPCC report.

Trustee Hart reported that the PPCC met twice since the last Board meeting, first on October 16, at which time it approved its September 24 meeting minutes, and reviewed the status of the pending search for an Executive Director, followed by a nonpublic session on personnel matters. He reported that the Committee met on October 30, and it approved its October 16 meeting minutes and continued discussion on the progress of the Executive Director search. Mr. Hart stated the Committee had received about a dozen resumes at that time, and that a sub-committee evaluated the responses, narrowing down to six candidates who were presented three essay questions to respond to by November 9. Trustee Hart reported that the Committee would discuss the responses when it reconvenes this Friday to determine which candidates to schedule for videoconference interviews later this month.

Trustee Hart continued, stating that the Committee is contemplating the retention of a search firm, noting that Human Resources Manager Rosamond Cain had identified three firms that specifically focus on public pension plans. Mr. Hart noted that there would be considerable costs relative to hiring a search firm, adding that the firms typically set their fees at one-third of the annual compensation for the person hired. Mr. Hart then gave an overview of the timeline for the search and said the Committee anticipates a recommendation of the best candidate to the Board and acceptance of an offer by the end of the year. Lastly, Mr. Hart brought up the Executive Director evaluation and noted the importance of this exercise in identifying goals for the FY22 Strategic Plan.

Trustee Coates joined the Board meeting at 10:30 and provided the Benefits Committee report, noting that it met on November 3, 2020, at which time the Committee approved its August 18 meeting minutes, and went into non-public to review an overpayment recovery matter and the delayed responses from three disability retirees on providing supporting documents for re-examination. Mr. Coates concluded his report, stating that the Committee took no action during its non-public session.

Mr. Lagos gave a two-part presentation to the Board on the System’s COVID Transition Plan. The first part focused on staff’s work with Fusion Cell, the consultant that NHRS contracted with to assist in the formulaic approach to the Plan. He noted that Fusion Cell’s extensive expertise and prior experience had proven to be invaluable to the process.

Mr. Lagos then gave an overview of the four proposed phases to the Transition Plan, which was designed to return more staff to the office and re-establish public access over the next six months. Mr. Lagos emphasized that the phases are fluid and that the System is handling the return conservatively and judiciously, requiring masks and temperature checks for all staff and visitors.

Chair Lesko commended Mr. Lagos on his comprehensive report and the extensive planning involved with assuring the health and safety of the staff, as well as the System’s members. Chair Lesko then moved to hear staff operating reports.

Mr. Lagos then began his operating report with the Employer Outreach Program, noting the System had recently presented to the School Administrators Association, the Association of Counties, and had recorded a presentation for NHMA’s upcoming annual meeting. Trustee Coates attended the Association of Counties and shared that he had heard from county administrators and commissioners that it was informative and easy to understand for those not familiar with the legislature.

Mr. Lagos then reported on the status of the Contact Center, noting it is on schedule for early December. He added that NHRS is also interviewing other pension systems who are using LexisNexis offerings, which provide increased security for identifying callers. He noted that the call recording system is on backorder and would arrive a month after the Center’s start date, but would not affect the launch.

Next, he addressed the KPMs, noting that results have been below the 95% benchmark for the past five out of seven months. Mr. Lagos expressed disappointment with the unusually low performance and managers know improvement is expected. Mr. Lagos mentioned the PGV3 Project, noting that Project Manager Cecile Merrill is keeping it moving along well. He then reported on the customer satisfaction survey, stating that he expected to see improvement in email and phone call satisfaction scores with the implementation of the Contact Center.

In closing, he notified the Board of his recent authorization to purchase two kiosks to conduct health screenings for staff and visitors, as part of the aforementioned COVID Transition Plan. In response to a Trustee’s question, Director of IT Frank Clough said that although he did not have a specific delivery date, the kiosks were expected to arrive in about a month.

Next, Ms. Merrill gave a progress update on the PGV3 project, stating that it is 31% complete overall, adding that Deliverable 2, which involves employer reporting, is at 99% completion. She said the System has started on Deliverable 3 (D3), which is benefit calculations, and is 9% complete. Ms. Merrill stated LRS is still on a travel ban and continues to work with NHRS remotely. Ms. Merrill noted that there were seven change requests out of D3 and of those, the System has chosen three and Ms. Merrill is reviewing them with Mr. Lagos. Mr. Lagos noted that there is a Steering Committee scheduled to meet Friday with regard to the project, noting that it meets quarterly.

Mr. Crutchfield gave his Legal operating report, noting that Legal is undergoing a process improvement plan for the Employer Audit operation in response to not meeting its KPM regarding productivity. He reported that a new employer auditor began last week on the same day another auditor switched positions to a different department. He then commended Internal Auditor Nancy Cone for her assistance and recommendations on how to revise audit procedures and streamline information that the System requests and records, and how NHRS presents its reports to the employers. In other business, Mr. Crutchfield noted that Attorney Cavanaugh is working on the annual review of the Governance Manual, which will come before the

Board at its January meeting, as will the annual renewal of the System’s fiduciary insurance policy.

Director of Finance Gerard Murphy, prior to his operating report, introduced David Kausch of GRS, who gave an overview of the FY20 Comprehensive Annual Financial Report (CAFR) schedule, noting that this actuarial review did not have any direct impact on contribution rates. He noted that the funded ratio increased to 61%, below the expectation of 61.7%. He also reported that the market return on assets was at 1.12%, resulting in an actuarial return of 5.54%, due to five-year smoothing.

Mr. Murphy thanked Mr. Kausch and proceeded to give his operating report, noting the net position as of September 30 was at $9.4 billion, an increase of $261 million in the first quarter of FY21. He added that cash flows were as expected, with a drop in the most recent month’s contributions because of the prior year being a three-payroll month for many employers, as opposed to a two-payroll month. He noted that FY21 spending is under budget through the first quarter.

He then reported on KPMs, noting that Finance missed two KPMs due to limited staff and the prioritization of PGV3 Deliverable 2 UAT testing for employer reporting. He expects improvement now that testing is complete.

Mr. Murphy stated that with regard to the FY20 Audit, Finance is on schedule to present the CAFR and is in constant contact with Plante Moran, who now has a draft copy of the CAFR. He added that GASB 67 and 74 reports would also go before the Board at its December meeting. Lastly, he updated the Board on the Statutory FY21 budget, which the State will consider at the scheduled Governor’s budget hearings on November 19, 20, and 23. Mr. Murphy expects the State will invite the System to testify, as in the past.

Director of IT Frank Clough presented his operating report, informing the Board that the Enterprise Firewall project is underway, stating that IT has been in negotiations with the vendor and is awaiting a revised price. Mr. Clough referenced the Contact Center, noting that IT is managing the work on infrastructure and servers. He then noted the completion of a fire-alarm upgrade, and updated the Board on the virtualization project for PGV2, which would allow staff to access Pension Gold remotely on their laptops, resulting in improved performance. He continued his report, noting that IT is working with Consolidated Communications on the pending bandwidth upgrade, to better support remote staff. Lastly, Mr. Clough reported that the external vendor finished penetration testing on November 2, and added how the process works. Mr. Clough noted that IT expects the final report shortly.

Member Services Director Nancy Miller gave her report, noting that staff had completed actuarial option testing and that the results are with GRS for review. Ms. Miller then reported on various department issues with staffing, noting her team had five staff members move to the Contact Center, resulting in the need to fill three positions. She informed the Board that Member Services is working with the Contact Center Manager and Supervisor on training materials and carving out time for transition schedules for training staff, balanced with maintaining ongoing customer service activities.

Ms. Miller then shared that her department is working diligently on an aggressive short-term plan to complete outstanding calculations for July 1 retirees by calendar year-end. She added that the Medical Subsidy questionnaire mailing is also on track and requires the coordination of staff coming into the office to handle paperwork. She then noted the missed KPM on preparing monthly finalization of benefits, which she attributes to the sheer volume with catching up on finalizing over 700 July 1 retirement applications, while having to manage monthly payroll and finalizations. She shared that her department also missed the Member Benefits phone queue KPM because of staffing issues, as above referenced.

Director of Communications and Legislative Affairs Marty Karlon reported that the Contact Center implementation was on schedule. He commented on the ongoing Employer Outreach efforts, as Mr. Lagos had mentioned, with an upcoming NHMA meeting on November 20. He added that he and Attorney Cavanaugh would be presenting to School Business Administrators this Friday, addressing employer audits and the recent NHRS experience study. Mr. Karlon then noted that there would potentially be a Legislative Committee meeting in December to review the legislative titles and LSRs. He informed the Board that Public Information and Communications remains on track for KPMs this year. However, due to COVID, his team may not meet the KPM regarding the number of educational presentations.

Chair Lesko then introduced the Consent Agenda. On a motion by Trustee Hart, seconded by Trustee Friese, the Board voted to accept the Consent Agenda, with Trustee Friese recusing himself from Item A.P. Motion carried.

Mr. Lagos provided updates on two Action Items from last month, noting that the re- audit on the DRAPP process is in motion; and NHRS is waiting on a signed settlement agreement in the Pedersen case.

Chair Lesko then gave the Board Checkpoint, encouraging Trustees to review the CAIR and CAFR in preparation for the December meeting.

With no further business to discuss, on a motion by Trustee Roy, seconded by Trustee Hart, the Board voted unanimously to adjourn the meeting.

Respectfully submitted,

Christine Rice, Administrative Assistant

Selected Pages from the NHRS FY 2020 CAFR

NEW HAMPSHIRE RETIREMENT SYSTEM — INTRODUCTORY SECTION

TABLE OF CONTENTS

INTRODUCTORY SECTION Letter From the Chair ...... 6 Board of Trustees...... 8 Independent Investment Committee...... 9 Certificate of Achievement...... 10 Administrative Organization ...... 11 Professional Managers, Advisors and Service Providers...... 12 Letter of Transmittal ...... 13 FINANCIAL SECTION Independent Auditors’ Report...... 18 Management’s Discussion and Analysis — Required Supplementary Information (Unaudited)...... 21 Basic Financial Statements: Combining Statements of Fiduciary Net Position — Pension and Other Postemployment Medical Plan (OPEB) ...... 26 Combining Statements of Changes in Fiduciary Net Position — Pension and Other Postemployment Medical Plan (OPEB) ...... 27 Notes to the Financial Statements ...... 28 Required Supplementary Information (Unaudited): Schedule of Changes in the Employers’ Net Pension Liability and Related Ratios...... 50 Schedule of Employer Contributions — Pension Plan...... 50 Schedule of Changes in the Employers’ Net OPEB Liability and Related Ratios ...... 52 Schedule of Employer Contributions — OPEB Plan ...... 52 Schedule of Investment Returns ...... 53 Notes to Required Supplementary Information — Last Ten Fiscal Years ...... 53 Supporting Schedules: Investment Activity Fees and Other Investment Related Expenses...... 55 Interest Income...... 55 Dividend Income ...... 55 Contributions...... 56 Benefits ...... 56 Refunds of Contributions ...... 56 Administrative Expenses ...... 57 Professional Fees ...... 57 INVESTMENT SECTION Investment Consultant’s Letter ...... 60 Investment Reports: Annualized Investment Returns—Actual Versus Indices...... 62 Ten Year History of Time-Weighted Total NHRS Fund Annual Returns...... 62 Actual Asset Allocation Versus Target Asset Allocation ...... 63 Ten Largest Stock Holdings by Fair Value...... 64 Ten Largest Fixed Income Holdings by Fair Value ...... 64 Schedule of Investment Management and Service Fees...... 65 Schedule of Brokerage Commissions Paid...... 65 Net Position Restricted for Pension and OPEB Benefits ...... 66 Summary of Investments...... 66 Real Estate Investments by Type and by Location ...... 67 Alternative Investments ...... 68 Net Appreciation (Depreciation) in Fair Value of Investments ...... 68 Alternative Investment Income (Loss) ...... 69 Real Estate Investments—Income and Expenses...... 69 ACTUARIAL SECTION Actuarial Certification...... 72 Summary of Actuarial Assumptions and Methods...... 75 Historical Membership Data—Active and Retired...... 83 Solvency Test ...... 87 Analysis of Past Financial Experience...... 89 Schedule of Funding Progress — Pension Plan ...... 91 Schedule of Funding Progress — OPEB Plan ...... 91 Membership Composition...... 92 Summary of Principal Plan Provisions as Interpreted for Valuation Purposes...... 93 STATISTICAL SECTION Statistical Section Summary ...... 100 Schedule of Changes in Net Position ...... 102 Schedule of Benefit and Refund Deductions by Type ...... 104 Schedule of Retired and Vested Members by Type of Benefit...... 106 Schedules of Average Benefit Payment Amounts ...... 110 Principal Participating Employers ...... 120 Listing of Participating Employers ...... 121

NHRS FY 2020 CAFR 5 NEW HAMPSHIRE RETIREMENT SYSTEM — INTRODUCTORY SECTION

LETTER FROM THE CHAIR

DATE, 2020 To the Members and Beneficiaries of the New Hampshire Retirement System: On behalf of the Board of Trustees of the New Hampshire Retirement System (NHRS, the retirement system), I am pleased to present NHRS’ Comprehensive Annual Financial Report (CAFR) for the fiscal year ended June 30, 2020. This report describes the financial condition of both the Pension Plan and the Other Post Employment Benefit (OPEB) Plan. The report also describes various changes that occurred during Fiscal Year 2020.

In June, the Board voted to adopt revised actuarial assumptions based on the results of a four-year experience study conducted by its consulting actuary. In an accompanying vote, Timothy S. Lesko the Board voted to reduce the retirement system’s investment assumption, lowering the as- Chair sumed rate of return from 7.25 % to 6.75%. In reviewing the assumed rate of return over a Board of Trustees period of months, NHRS Trustees heard capital market presentations from several independent, expert sources, including NEPC, the retirement system’s investment consultant. The 6.75% rate represents what NHRS Trustees believe the plan can realistically earn from its investments on an annual basis, when averaged over the long-term. These necessary revisions to the actuarial assumptions will result in increased employer contribution rates beginning July 1, 2021. Extensive information on the experience study and employer contribution rates is available on the NHRS website.

While the Board recognizes the financial impact these rate increases will have on state and local governments, it has a fiduciary responsibility to ensure that the interests of members and beneficiaries are properly safeguarded. This responsibility is embodied in the law and in the New Hampshire Constitution (Part I, Article 36-a), which protects trust fund assets for the exclusive purpose of providing benefits, requires Trustees to set actuarially sound employer contribution rates, and requires employers to annually pay those rates in full.

At the close of the fiscal year, the retirement system’s net position held in trust was $9.134 billion, a decrease of approximately $74 million over the prior fiscal year.

At June 30, 2020, the funded ratio of the Pension Plan stood at 61.0% and the OPEB Plan at 5.8%, versus 60.8% and 5.3% in the previous year, respectively. Funding status is measured by comparing the actuarial value of assets to the cost of accrued benefits owed now and in the future. The OPEB plan provides a post-employment medical subsidy benefit to qualified Group I and Group II members. Because the OPEB plan is closed to new members and, as required by statute, is essentially funded on a pay-as-you-go basis, it does not, for the most part, have substantial assets set aside for future funding. The funded ratios of the Pension and OPEB plans reported in the 2019 CAFR were 64.8% and 5.6%, respectively. These funded ratios were revised to 60.8% and 5.3%, respectively, after an actuarial experience study was completed, which resulted in new actuarial assumptions being adopted by the NHRS Board in June 2020. For year-over-year consistency, the funded ratios for the Pension and OPEB plans reported in the 2019 CAFR are used elsewhere throughout this report. NHRS pursues a long-term investment strategy designed to meet its funding requirements. The Board sets the assumed rate of investment return; approves an investment policy, including asset allocation; and selects an investment consultant to advise the Independent Investment Committee (IIC). The IIC works closely with the consultant and staff to review and change, as appropriate, strategies, external asset managers, and selection of specific investments. NHRS has a diversified investment portfolio which, in any given year, can diverge from market indices. The long-term goal of this approach is to reduce risk and mitigate volatility. NHRS realized a 1.1% return on investments in the fiscal year ended June 30, 2020, below the retirement system’s assumed rate of investment return of 6.75%. It is important to note that these investment returns are for a single year, and need to be considered within the context of the portfolio’s performance over time as compared to the assumed rate of

6 NHRS FY 2020 CAFR NEW HAMPSHIRE RETIREMENT SYSTEM — INTRODUCTORY SECTION

return. The three-year, five-year, 10-year, 20-year, and 25-year returns for the periods ended June 30, 2020, were 5.2%, 5.9%, 8.7%, 5.4%, and 7.5%, respectively. All returns are net of fees. NHRS’ investment and administrative expenses remain below the average expenses reported in the most recent survey of public pension plans compiled by the National Conference on Public Employee Retirement Plans. In addition to the information on investments contained in this report, more detailed information on NHRS-specific investment activities and the current economic and market climate is provided in the Comprehensive Annual Investment Report (“CAIR”) for Fiscal Year 2020, issued separately by the IIC. Through a number of recent and ongoing initiatives, NHRS has continued to strengthen its operations, efficiency, and stakeholder outreach. Over the past year, these efforts include expanded member outreach and education efforts and continuing cyber-security enhancements and training to assure the protection of our records and data. We are 18 months into a multi-year upgrade of our 17-year-old pension administration system, which will create operational efficiencies and provide additional security features. We have also created an internal Contact Center to handle all incoming telephone calls, emails faxes, and in-person interactions, with the objective of improving the service we provide to our members, retirees, beneficiaries, employers, and other stakeholders. These activities occurred despite the global COVID-19 pandemic. While the long-term public health and economic implications of COVID-19 are uncertain, I am pleased to report that early emergency planning positioned the retirement system to remain operational as state and federal governments ordered social distancing measures and large-scale closures last spring. Pension benefits were — and will continue to be — paid on-time and as usual.

In May, I was chosen by Governor Sununu to replace longtime Chair Dr. Richard Gustafson, who did not seek reappoint- ment. Having served as a public member of the Board since January 2018, I saw firsthand Dr. Gustafson’s professionalism, integrity, and commitment to fiduciary duty.

This year, the Board welcomed two new Trustees: Public member Scott Christensen, who replaced Trustee Gustafson, and Commissioner of the Treasury Monica Mezzapelle, who replaced former State Treasurer Bill Dwyer. In addition, Fire member George Walker stepped down in August upon his retirement from Nashua Fire Rescue. We thank all of our outgoing Trustees for their service and dedication.

The Board would also like to recognize former state Senator Harold W. Janeway for his service and commitment to NHRS. Sen. Janeway, who passed away in August 2020, played an integral role in establishing the Independent Investment Com- mittee, on which he served as Chair since its inception in January 2009 through February 2017. Sen. Janeway also served as a Trustee from 2007-10. He will be greatly missed.

Our mission is straightforward, “To provide secure retirement benefits and superior service.” The Board and staff are com- mitted to continuously improving internal operational processes and controls, delivering timely and professional service, and implementing legislative changes in support of the sustainability and stability of NHRS and for the benefit of all of the retirement system’s members and beneficiaries.

Sincerely,

Timothy S. Lesko Chair, Board of Trustees

NHRS FY 2020 CAFR 7 NEW HAMPSHIRE RETIREMENT SYSTEM — ACTUARIAL SECTION

The Schedules of Funding Progress below reflect the funding status of the Pension and OPEB plans based on the valuation or funding policy basis for the last 10 years. Separate schedules are included in the Required Supplementary Information of the Financial Section disclosing the 10-year schedule of actuarially determined and actual contributions paid.

SCHEDULE OF FUNDING PROGRESS — PENSION PLAN ($ in thousands) Actuarial Value UAAL Actuarial Actuarial of Assets Annual Percentage Value Accrued Unfunded Percentage Covered of Covered Fiscal Year of Assets Liability (AAL) AAL (UALL) of AAL Payroll Payroll Ended (a) (b) (b–a) (a/b) (c) ([b–c]/c) 6/30/20 $9,477,838 $15,488,015 $6,040,177 61.0% $2,894,708 208.7% 6/30/19 $9,121,933 $14,075,344 $4,953,411 64.8% $2,825,006 175.3% 6/30/18 $8,710,939 $13,703,149 $4,992,209 63.6% $2,752,235 181.4% 6/30/17 $8,165,684 $13,208,449 $5,042,765 61.8% $2,667,612 189.0% 6/30/16 $7,636,066 $12,732,866 $5,096,799 60.0% $2,601,404 195.9% 6/30/15 $7,280,761 $12,303,636 $5,022,875 59.2% $2,575,031 174.1% 6/30/14 $6,700,553 $11,045,174 $4,344,620 60.7% $2,507,899 173.2% 6/30/13 $6,070,681 $10,708,768 $4,638,087 56.7% $2,501,742 185.4% 6/30/12 $5,817,882 $10,361,600 $4,543,718 56.1% $2,487,757 182.6% 6/30/11 $5,740,516 $ 9,998,251 $4,257,735 57.4% $2,517,779 169.1%

SCHEDULE OF FUNDING PROGRESS — OPEB PLAN ($ in thousands) Actuarial Value UAAL Actuarial Actuarial of Assets Annual Percentage Value Accrued Unfunded Percentage Covered of Covered Fiscal Year of Assets Liability (AAL) AAL (UALL) of AAL Payroll Payroll Ended (a) (b) (b–a) (a/b) (c) ([b–c]/c) 6/30/20 $ 38,125 $ 656,648 $ 618,522 5.8% $2,894,708 21.4% 6/30/19 $ 36,646 $ 657,597 $ 620,951 5.6% $2,825,006 22.0% 6/30/18 $ 36,777 $ 689,577 $ 652,800 5.3% $2,752,235 23.7% 6/30/17 $ 38,853 $ 696,548 $ 657,695 5.6% $2,667,612 24.7% 6/30/16 $ 27,350 $ 730,132 $ 702,782 3.7% $2,601,404 27.0% 6/30/15 $ 19,515 $ 761,342 $ 741,827 2.6% $2,575,031 28.8% 6/30/14 $ 21,245 $ 714,103 $ 692,858 3.0% $2,507,899 27.6% 6/30/13 $ 21,823 $ 731,872 $ 710,049 3.0% $2,501,742 28.4% 6/30/12 $ 24,317 $ 752,759 $ 728,442 3.2% $2,487,757 29.3% 6/30/11 $ 33,220 $ 777,573 $ 744,353 4.3% $2,517,779 29.6%

NHRS FY 2020 CAFR 91 NEW HAMPSHIRE RETIREMENT SYSTEM — STATISTICAL SECTION

SCHEDULES OF AVERAGE BENEFIT PAYMENT AMOUNTS

SCHEDULE OF AVERAGE BENEFIT PAYMENT AMOUNTS PENSION PLAN — EMPLOYEES 2020 Years Credited Service Service 0–4. 5–9 10–14 15–19 20–24 25–29 30 or yrs. yrs. yrs. yrs. yrs. yrs. more yrs. Total Average monthly benefit $333 $473 $638 $958 $1,248 $1,717 $2,534 $1,184 Average annual benefit $3,998 $5,675 $7,651 $11,482 $14,973 $20,608 $30,408 $14,210 Average final compensation $47,221 $44,300 $43,143 $49,404 $52,773 $60,083 $68,462 $52,218 Number of retired members 1,336* 1,821 4,628 3,245 3,106 2,003 3,287 19,434** **Includes 361 members who did not have service reported. **Includes 5,944 members who did not have FAS reported.

2019 Years Credited Service Service 0–4. 5–9 10–14 15–19 20–24 25–29 30 or yrs. yrs. yrs. yrs. yrs. yrs. more yrs. Total Average monthly benefit $329 $465 $631 $946 $1,231 $1,698 $2,506 $1,165 Average annual benefit $3,948 $5,577 $7,571 $11,350 $14,768 $20,380 $30,076 $13,981 Average final compensation $46,039 $43,399 $42,728 $48,931 $51,957 $59,277 $67,912 $51,524 Number of retired members 1,311* 1,796 4,505 3,133 3,002 1,930 3,147 18,824** **Includes 336 members who did not have service reported. **Includes 6,128 members who did not have FAS reported.

2018 Years Credited Service Service 0–4. 5–9 10–14 15–19 20–24 25–29 30 or yrs. yrs. yrs. yrs. yrs. yrs. more yrs. Total Average monthly benefit $318 $460 $625 $933 $1,216 $1,667 $2,474 $1,141 Average annual benefit $3,818 $5,520 $7,496 $11,200 $14,588 $20,000 $29,685 $13,693 Average final average salary $44,843 $43,280 $42,387 $48,307 $51,342 $58,159 $67,251 $50,683 Number of retired members 1,296* 1,810 4,393 2,957 2,900 1,835 3,002 18,193** **Includes 332 members who did not have service reported. **Includes 6,341 members who did not have FAS reported.

2017 Years Credited Service Service 0–4. 5–9 10–14 15–19 20–24 25–29 30 or yrs. yrs. yrs. yrs. yrs. yrs. more yrs. Total Average monthly benefit $313 $453 $618 $919 $1,197 $1,636 $2,443 $1,121 Average annual benefit $3,758 $5,442 $7,415 $11,030 $14,364 $19,637 $29,321 $13,451 Average final average salary $43,797 $42,845 $41,884 $47,851 $50,369 $56,958 $66,591 $50,123 Number of retired members 1,264* 1,779 4,275 2,833 2,793 1,740 2,889 17,573** **Includes 310 members who did not have service reported. **Includes 6,504 members who did not have FAS reported.

2016 Years Credited Service Service 0–4. 5–9 10–14 15–19 20–24 25–29 30 or yrs. yrs. yrs. yrs. yrs. yrs. more yrs. Total Average monthly benefit $310 $460 $634 $957 $1,253 $1,757 $2,575 $1,152 Average annual benefit $3,724 $5,516 $7,613 $11,481 $15,038 $21,084 $30,898 $13,823 Average final average salary $42,832 $42,359 $41,637 $47,544 $49,410 $52,267 $65,846 $49,468 Number of retired members 1,260* 1,706 4,007 2,573 2,520 1,514 2,562 16,142** **Includes 292 members who did not have service reported. **Includes 5,892 members who did not have FAS reported.

2015 Years Credited Service Service 0–4. 5–9 10–14 15–19 20–24 25–29 30 or yrs. yrs. yrs. yrs. yrs. yrs. more yrs. Total Average monthly benefit $299 $451 $622 $941 $1,234 $1,718 $2,519 $1,122 Average annual benefit $3,592 $5,409 $7,466 $11,288 $14,811 $20,622 $30,227 $13,462 Average final average salary $44,554 $43,186 $41,904 $47,573 $49,030 $55,589 $64,928 $49,559 Number of retired members 1,227* 1,638 3,881 2,457 2,448 1,419 2,413 15,483** **Includes 273 members who did not have service reported. **Includes 6,453 members who did not have FAS reported.

110 NHRS FY 2020 CAFR Independent Investment Committee’s Monthly Report to the Board December 8, 2020 New Hampshire Retirement System TOTAL MARKETABLE BY ASSET CLASS Fiscal Market Value % of 1 Mo 3 Mo YTD 1 Yr 2 Yrs 3 Yrs 5 Yrs 10 Yrs Inception Inception Policy % YTD ($) Portfolio (%) (%) (%) (%) (%) (%) (%) (%) (%) Date (%) _ Total Marketable Assets 6,600,494,873 100.0 100.0 -1.0 0.1 4.2 -1.2 3.0 7.0 4.5 6.8 7.5 9.4 Jul-75 Total Marketable Custom Index -1.8 -0.3 3.7 1.4 5.6 9.2 6.1 7.5 8.0 -- Jul-75 Total Domestic Equity 2,691,788,154 40.8 40.0 -0.5 2.0 6.9 -1.8 4.6 8.2 7.1 9.6 11.5 10.7 Jul-75 US Equity Index -2.7 0.4 6.0 2.8 9.7 12.0 10.4 11.7 13.1 11.4 Jul-75 Total Non US Equity 1,667,769,445 25.3 26.7 -3.0 -1.7 2.9 -9.1 -3.7 3.9 -0.3 4.6 3.9 5.8 Mar-88 Total Non-US Equity Index -2.1 -0.5 4.0 -7.5 -2.6 4.1 -0.2 4.3 3.4 5.0 Mar-88 Total Fixed Income 2,153,811,059 32.6 33.3 -0.1 -0.7 2.2 6.0 6.5 8.2 4.7 4.8 4.2 7.8 Jun-75 Total Fixed Income Benchmark -0.4 -1.1 0.6 5.8 6.0 8.6 5.0 4.3 3.8 -- Jun-75 Total Cash 87,126,216 1.3 0.0 0.0 0.0 0.0 0.6 0.9 1.7 1.7 1.3 0.7 2.6 Apr-94 91 Day T-Bills 0.0 0.0 0.0 0.4 0.7 1.4 1.5 1.1 0.6 2.3 Apr-94 XXXXX

October 31, 2020 1 Asset Class Targets vs. Actual Allocation as of October 31, 2020

40%

31.3% 30.0% 30% 25.0% 23.3% 20.0% Policy Target 20% 18.5% 15.7% 15.0% Actual

10.0% 10.2% 10% Asset Class

0.0% 1.0% 0% Domestic Equity Non-U.S. Equity Alternative Investments Real Estate Fixed Income Cash

Policy Asset Class Target Actual Range Domestic Equity 30.0% 31.3% 20 - 40% Non-U.S. Equity 20.0% 15.7% 15 - 25% Alternative Investments 15.0% 18.5% 5 - 25% Real Estate 10.0% 10.2% 5 - 20% Fixed Income 25.0% 23.3% 20 - 30% Cash 0.0% 1.0% NA 100.0% 100.0%

2 Total Fund Market Value

Fiscal Year Dollars (in Billions) June 30, 2012 $5.7 June 30, 2013 $6.4 June 30, 2014 $7.3 June 30, 2015 $7.5 June 30, 2016 $7.5 June 30, 2017 $8.2 June 30, 2018 $8.8 June 30, 2019 $9.1 June 30, 2020 $9.1 October 31, 2020 $9.3

Dollars (in Billions) $12

Final $10 Preliminary $8

3 Independent Investment Committee’s Quarterly Report to the Board December 8, 2020 Discussion Topics

• Performance Returns

• Benchmark Comparisons

• Universe Comparisons

• Underperforming Managers

• Actions Taken

1 UNIVERSE RANKINGS

InvestmentMetrics Public DB Net

New Hampshire Retirement System Universe Ranking Period Ending 09/30/2020

Q3 FYTD CYTD 1 Yr 3 Yrs 5 Yrs 7 Yrs # of Observations 446 446 444 443 426 405 373

NHRS Total Fund Composite 3.7% 3.7% -0.2% 4.7% 5.5% 8.0% 7.0%

Universe Median 5.2% 5.2% 2.5% 7.9% 6.6% 8.1% 7.0%

Total Fund Percentile Rank 95% 95% 89% 90% 77% 56% 49%

InvestmentMetrics Public DB Net > $5 Billion

New Hampshire Retirement System Universe Ranking Period Ending 09/30/2020

Q3 FYTD CYTD 1 Yr 3 Yrs 5 Yrs 7 Yrs # of Observations 19 19 19 19 19 19 18

NHRS Total Fund Composite 3.7% 3.7% -0.2% 4.7% 5.5% 8.0% 7.0%

Universe Median 5.2% 5.2% 0.8% 6.0% 5.6% 8.0% 6.8%

Total Fund Percentile Rank 95% 95% 73% 62% 62% 50% 48%

As compared to the InvestmentMetrics Public Fund Defined Benefit Net Universe (as of September 30, 2020): • over a trailing three-year period, NHRS ranked in the 77th % • over a trailing five-year period, NHRS ranked in the 56th % • over a trailing seven-year period, NHRS ranked in the 49th %

2 New Hampshire Retirement System TOTAL FUND RETURN SUMMARY VS. PEER UNIVERSE

3 SELECT MANAGER PERFORMANCE - EQUITIES

• Despite a pullback in September, equities posted positive returns in the third quarter with emerging markets leading the way – The Plan’s domestic equity composite returned 7.4% during the quarter, underperforming the U.S. equity index by 150 basis points • On a size basis, large cap stocks bested their small cap counterparts in the third quarter – The total large cap domestic equity composite posted an 8.4% return outperforming the small cap composite which returned 5.3%

– The Plan’s non-U.S. equity composite returned 6.1% in the quarter, underperforming its respective benchmark by 20 basis points • The total core non-U.S. equity composite returned 3.9% in the quarter and underperformed its benchmark by 240 basis points – Causeway Capital underperformed the MSCI EAFE index by 320 basis points • The total emerging markets equity composite returned 8.1% and underperformed its benchmark by 150 basis points – Neuberger Berman underperformed the MSCI EM index by 180 basis points • The total non-U.S. small cap equity composite returned 7.9% in the quarter – SBH Int’l small cap underperformed its respective benchmark by 240 basis points • The global equity composite returned 8.3% in the quarter – Walter Scott outperformed its respective benchmark by 20 basis points

4 SELECT MANAGER PERFORMANCE - FIXED INCOME

• The Barclays Aggregate Index was up 0.6% while investment grade and high yield spreads continued to tighten during the quarter – The fixed income composite returned 2.4% for the quarter, outpacing the BC Universal index by 140 basis points • All fixed income managers outperformed or matched their respective benchmarks in the third quarter • BlackRock had the largest relative outperformance within the fixed composite, outpacing its benchmark by 250 basis points in the third quarter

5 MANAGER COMMENTARY: QUARTERLY

• Positive Contributors to Performance – U.S. Equity • Wellington was the Plan’s strongest relative performer within U.S. equities – Wellington returned 7.6% outperforming its respective benchmark by 270 basis points. Relative outperformance was driven by stock selection in the financials sector

– Non-U.S. Equity • Artisan was the Plan’s strongest relative performer within non-U.S. equities – Artisan returned 6.9% outperforming its respective benchmark by 210 basis points. Relative outperformance was driven by positive stock selection, with strong contributions from industrial gases, e-commerce and beverage holdings

– Fixed Income • BlackRock was the Plan’s strongest relative performer within fixed income – BlackRock returned 2.6% outperforming it’s respective benchmarkby250basispoints.Relativeoutperformance was driven by absolute return strategies within the portfolio, primarily absolute high yield and relative value rates

6 MANAGER COMMENTARY: QUARTERLY

• Detractors from Performance – U.S. Equity • Boston Trust underperformed its index by 290 basis points in the third quarter with a return of 2.0% – The portfolio’s underperformance was driven by higher quality value stocks as well as the holdings in the consumer discretionary sector

– Non-U.S. Equity • Causeway underperformed its benchmark by 320 basis points in the third quarter with a return of 1.6% – The portfolio’s underperformance was driven by an overweight to banks as well as capital goods, food & beverage, pharmaceuticals and retail holdings.

– Fixed Income • None of the fixed income managers detracted from relative performance in the third quarter

7 FUND ATTRIBUTION: ONE YEAR

Positives Negatives

Domestic Equity Domestic Equity • SBH – small cap • Boston Trust – small cap • Wellington – small cap • TSW – smid cap • BlackRock– large cap • AllianceBernstein – smid cap

Non-U.S. Equity Non-U.S. Equity Manager • Artisan – int’l • Causeway - int’l Performance • LSV – int’l • SBH – int’l small cap • Walter Scott – global • Neuberger – emerging • Wellington – emerging

Fixed Income Fixed Income • BlackRock SIO – unconstrained • Brandywine – global multisector • IR+M – core • Fidelity – global multisector • Loomis – global multisector • Manulife – unconstrained

Managers highlighted in GREEN indicate that they are outperforming their respective benchmarks by more than 200 basis points (significant outperformance) Managers highlighted in RED indicate that they are underperforming their respective benchmarks by more than 200 basis points (significant underperformance) Managers highlighted in BLACK indicate that they are within 200 basis points of their benchmark return (or over/underperforming by less then 200 basis points) Note: Relative over and under weights are in relation to Policy Index

8 MANAGER PERFORMANCE: ONE YEAR

Significant POSITIVE Contributors (Managers that are outperforming their respective benchmarks by more than 200 basis points) • Segall Bryant & Hamill Small Cap Equity – SBH returned 5.7% for the one year period, outperforming its benchmark by 532 basis points. Outperformance has been driven by sector allocations and stock selection within the information technology and healthcare sectors • Wellington Small Cap Equity – Wellington returned 5.5% for the one year period, outperforming its benchmark by 515 basis points. Outperformance has been driven by stock selection and sector allocations • AllianceBernstein SMid Cap Equity – Alliance Bernstein returned 7.8% for the one year period, outperforming its benchmark by 559 basis points. Outperformance has been driven by sector selection • Artisan Non US Equity – Artisan yielded a one year return of 6.3%, outperforming its benchmark by 583 basis points. The portfolio’s growth bias and stock selection drove relative outperformance • LSV Non US Equity – LSV returned -8.2% for the one year period, outperforming its benchmark by 260 basis points. Outperformance has been driven by stock selection and an overweight to materials • Walter Scott Global Equity – Walter Scott yielded a one year return of 12.9%, outperforming its benchmark by 249 basis points. Sector allocations and region exposures have driven relative outperformance • BlackRock SIO Unconstrained Fixed Income – BlackRock returned 4.9% for the one year period, outperforming its benchmark by 379 basis points. Outperformance has been driven by US Rates exposure as interest rates across the curve moved lower • Loomis Global Multisector Fixed Income – Loomis returned 9.2% for the one year period, outperforming its benchmark by 329 basis points. Outperformance has been driven by security and sector selection as well as yield curve positioning

9 MANAGER PERFORMANCE: ONE YEAR Significant NEGATIVE Contributors (Managers that are underperforming their respective benchmarks by more than 200 basis points) • Boston Trust Small Cap Equity – Boston Trust returned -7.2% for the one year period, underperforming its benchmark by 761 basis points – The portfolio’s value bias as well as healthcare and consumer discretionary holdings have detracted from recent performance – NEPC Outlook: NEPC believes that any concerns surrounding their performance are a byproduct of the strategy’s value holdings. Boston Trust remains a 1-rated manager in the small cap core space. • Causeway Non US Equity – Causeway returned -6.9% for the one year period, underperforming its benchmark by 742 basis points – The portfolio’s attractively priced value names and an overweight to banks and energy detracted from recent performance – NEPC Outlook: Causeway is presently 1-rated by NEPC Research. However, due to underperformance relative to value peers, the strategy is being reevaluated and may be susceptible to a downgrade. NEPC is keeping NHRS Staff up to date on the reevaluation and will communicate the outcomes of the reevaluation and any recommendations that may arise. • Segall Bryant & Hamill International Small Cap Equity – SBH returned -6.8% for the one year period, underperforming its benchmark by 1,367 basis points. – The portfolio’s stock selection and the energy and financials sectors have been key factors in the underperformance. – NEPC Outlook: NEPC believes that international small cap exposure can help diversify an International Equity program while potentially adding to returns over time. However, it has become challenging for small quant firms to compete given the need for expensive resources, which presents headwinds to the team and strategy's future alpha relative to their peer universe going forward. In result, SBH has been downgraded to a 3-rating by NEPC Research. • Neuberger Berman Emerging Markets Equity – Neuberger Berman returned 6.3% for the one year period, underperforming its benchmark by 421 basis points – The portfolio’s consumer discretionary and staples holdings, as well as exposure to foreign currencies, primarily Brazil, have detracted from recent performance – NEPC Outlook: NEPC continues to believe in the team at Neuberger Berman. Performance has largely been driven by the recent headwinds faced by most emerging markets managers over the past year. Neuberger Berman remains a 1-rated manager in the emerging markets space.

To: Board of Trustees From: Lawrence Johansen, Director of Investments Date: December 1, 2020 Re: Investments Operating Report Item: Action: Discussion: Informational: ______Significant Developments and Priority Issues  November Investment Committee Meeting Recap: o The Committee continued the discussion of the effects of the COVID-19 pandemic on cash flow and asset allocation. o The Committee unanimously approved the 2021 Investment Committee meeting schedule. o Staff presented an annual update on Commission Sharing Agreements. o The Committee heard a presentation from private equity manager BlackRock on its Co-Investment capabilities and unanimously agreed to renew NHRS’s co-investment in the BlackRock Private Opportunities Fund and commit an additional $150 million over the next three to five years to the BlackRock Private Opportunities Fund, subject to contract and legal review. o The Committee heard presentations from Fixed Income manager BlackRock and U.S. Equity managers AllianceBernstein and Thompson, Siegel & Walmsley in conjunction with the two-year contract renewal process. o The Committee reviewed and unanimously approved the revised Investment Policy for submission to the Board at its December meeting. o The Committee discussed and unanimously approved the Comprehensive Annual Investment Report for Fiscal Year 2020 for submission to the Board at its December meeting with a recommendation for approval.

Current Month Highlights  Performance: As of 10/31/20 3 ‐ Month 3 ‐ Year 5 ‐ Year Total Fund 0.1% 4.5% 6.8% Custom Benchmark ‐0.3% 6.1% 7.5% Difference (basis points) 40 ‐160 ‐70  KPM Performance: o Six of seven reported KPMs achieved; three are not applicable to this month’s reporting.

Upcoming Plans & Projects  December Investment Committee Meeting: o The Committee will continue the discussion on the effects of the COVID-19 pandemic on cash flow and asset allocation. o The Committee will vote on two-year contract renewals for Fixed Income manager BlackRock and U.S. Equity managers AllianceBernstein and Thompson, Siegel & Walmsley. Our Mission: To provide secure retirement benefits and superior service.

o The Committee will hear a presentation from private debt manager Monroe in conjunction with a potential commitment to Monroe Capital Private Credit Fund IV. o The Townsend Group will present an update on the status of the Real Estate Investment Plan for Fiscal Year 2021. o NEPC will present a detailed review of the private equity and private debt assets of the NHRS portfolio.

Securities Litigation Summary

Calendar Year Amount 2005 624,261 2006 1,373,631 2007 2,410,390 2008 1,980,702 2009 1,972,216 2010 1,374,754 2011 550,324 2012 835,766 2013 310,321 2014 803,621 2015 627,131 2016 670,404 2017 1,280,969 2018 279,783 2019 675,406 2020 through October 31st 242,137

Total:$ 16,011,816

Our Mission: To provide secure retirement benefits and superior service.

Division: Investments Date: November 23, 2020

FY 2021 Action Plan Summary

ACTION PM DATE STATUS/COMMENTS 1. Assure compliance with all relevant statutory and regulatory requirements. LAJ/IIC/BOT 6/30/21 No exceptions have been identified. 2. Achieve an investment return that meets or Total Fund return is behind the benchmark by 1.9% for 3 years and exceeds the total fund benchmark over 3-5 LAJ/IIC/BOT 6/30/21 behind by 0.8 % for 5 years as of September 30, 2020. years, measured quarterly. 3. Achieve an investment return that meets or Total Fund return in the 77% for 3 years and the 56% for 5 years exceeds the peer group median over 3 and 5 LAJ/IIC/BOT 6/30/21 as of September 30, 2020. years, measured quarterly. 4. Achieve an investment return that meets or exceeds applicable assumed rate of return LAJ/IIC/BOT 6/30/21 Total Fund return of 5.4% for 20 years and 7.5% for 25 years as of over the long-term (20 years), measured June 30, 2020. annually. 5. Make recommendation to the Board for the IIC interviewed the two finalists at the September meeting and Investment Consultant. LAJ/IIC/BOT 12/31/20 voted to recommend Callan to the Board. The Board approved the recommendation of Callan at the October meeting. 6. Commit approximately $100 million to two to IIC approved CY 2020 Private Equity & Private Debt Work Plan on three new Private Partnerships. LAJ/IIC 6/30/21 December 20, 2019 and reviewed progress on June 19, 2020. 7. Complete Real Estate Work Plan for Fiscal IIC approved FY 2019 Real Estate Work Plan on June 19, 2020. Year 2021. LAJ/IIC 6/30/21 8. Maintain investment expenses within budget. LAJ 6/30/21 Investment expenses are within budget. 9. Maintain 100% of Private Debt/Equity General Partners reporting expenses on a standard LAJ 6/30/21 100% of GPs have provided and continue to provide requested NHRS template. data to BNYMellon. 10. Initiate ESG discussion with IIC. LAJ/IIC 7/31/20 Completed. 11. Identify, enroll and complete a professional development program. LAJ 6/30/21 On schedule.

To: Board of Trustees From: Lawrence Johansen, Director of Investments Date: December 8, 2020 Re: Investment Policy Recommendation Item: Action: Discussion: Informational: ______

Please find attached a recommended update to the Investment Policy. The update reflects the Board’s approval of a new assumed rate of return of 6.75% at the June 9, 2020 meeting.

The Independent Investment Committee voted at its November meeting to approve the revised Investment Policy for submission to the Board. The Board will act on this recommendation on the revised Investment Policy at the December meeting.

I am happy to answer any questions that you may have regarding the update to the Investment Policy at the December Board meeting.

Our Mission: To provide secure retirement benefits and superior service.

V. Asset Allocation

The Board approves the asset allocation targets and ranges for each asset class of the Fund (the allowable asset classes and the distribution of assets among those asset classes) based on recommendations from the IIC. As fiduciaries, the Board and the IIC have a duty to diversify the investments of the System to reduce risk, while maximizing the investment return. Approximately ninety percent (90%) of the long-term total return stems from the asset allocation decision. The remaining ten percent (10%) is expected to be attributable to either the selection of individual assets or timing. Accordingly, asset allocation is one of the most important fiduciary decisions. The Board adopts an asset allocation based on recommendations from the IIC, which relies upon the advice from the Director of Investments and the investment consultant to formulate its recommendations to the Board.

The asset allocation approved by the Board will reflect the results of an Asset Liability Study performed at least once in every five year period, or more often, as recommended by the IIC, System staff, and investment consultant.

The Asset Liability Study identifies a mix of investments, by asset class, which is expected to produce the return required to meet future funding requirements at the lowest level of risk, given all of the assumptions made and employing a mean-variance optimization model.

The asset allocation chart, which follows, lists the approved asset classes in the portfolio and the target percentages and ranges, at market value, of the System’s assets to be invested in each. Due to fluctuations of market values, positioning within a specified range is acceptable and constitutes compliance with the policy. Based on the approved asset allocation, recommendations from the System’s consulting actuary, IIC, investment managers and staff, the Board adopts an assumed rate of return, which is subject to periodic change and which is the long-term return that can be expected from this combination of assets. As of May 10, 2016June 9, 2020, the assumed rate of return was 6.757.25%.

Asset Class Target Allocation Allocation Range Domestic Equity 30% 20 – 40% Non-U.S. Equity 20% 15 – 25% Fixed Income 25% 20 – 30% Real Estate 10% 5 – 20% Alternative Investments 15% 5 – 25%

The Board has approved the use of the above listed asset classes for the following reasons:

May 14, 2019 7 New Hampshire Retirement System A Component Unit of the State of New Hampshire

Comprehensive Annual Investment Report For the Fiscal Year Ended June 30, 2020

DRAFT

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Table of Contents

Comprehensive Annual Investment Report

Appendix A

Investment Consultant’s Letter

Investment Performance Review & Market Commentary

Investment Reports

Appendix B

Gabriel Roeder Smith & Company - Actuarial Opinion Letter

Appendix C

Investment Manual

NHRS Investment Philosophy

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December 8, 2020

The Honorable Christopher Sununu, Governor The Honorable Donna Soucy, President of the Senate The Honorable Stephen Shurtleff, Speaker of the House of Representatives

Annual Report 2020

The Independent Investment Committee (Committee) of the New Hampshire Retirement System (NHRS, System) is pleased to present the Comprehensive Annual Investment Report for the Fiscal Year ended June 30, 2020, in accordance with the provisions of the Revised Statutes Annotated (RSA) 100-A:15, VII of the State of New Hampshire.

The Committee would like to honor and thank Senator Harold W. Janeway for his service and commitment to the Independent Investment Committee. Sen. Janeway passed away in August 2020. He was elected to the New Hampshire State Senate in 2007 and served for two terms. During this time, he played an integral role in establishing the Committee, on which he served as its Chair since its inception in January 2009 through February 2017. He will be greatly missed.

Asset Allocation & Summary of Results

Total assets at the end of Fiscal Year 2020 were flat relative to the prior year’s assets of $9.1 billion. The System’s investment portfolio is prudently managed for the long-term in order to generate adequate returns to support benefit payments promised to members. To achieve that goal, investments are broadly diversified across the following asset classes: domestic (U.S.) and non- U.S. stocks, bonds, real estate, and alternative investments.

The target allocation and range for each asset class shown below was adopted by the Board of Trustees on May 14, 2019, based on a recommendation of the Committee.

Actual Allocation Asset Class Target Allocation Allocation Range at June 30, 2020* U.S. Equity 30% 20 - 40% 30.0% Non-U.S. Equity 20% 15 - 25% 15.6% Fixed Income 25% 20 – 30% 24.6% Real Estate 10% 5 – 20% 10.7% Alternative Investments 15% 5 – 25% 19.1% * U.S. Equity and Non-U.S. Equity have been adjusted to reflect a global equity portfolio which may opportunistically invest in each of these asset classes. Fixed Income includes cash. Refer to Appendix C for additional detail.

As illustrated in the table, as of June 30, 2020 all asset classes were within the allocation ranges.

The NHRS return was 1.1% net of fees for the Fiscal Year ended June 30, 2020 compared to the benchmark’s return of 4.8%. The five-year annualized net of fees return was 5.9% compared to the benchmark return of 6.9%. The ten-year annualized net of fees return and benchmark return were 8.7% and 9.3%, respectively. Note that these benchmarks do not include any management fees which would be incurred if NHRS invested in the underlying indices. Compared to our peers, NHRS ranked in the top 50% and 24% for the five and ten-year trailing periods, respectively. These rankings are based on the InvMetrics Public Defined Benefit Net Universe.

Over the long-term the 25-year annualized net of fees return was 7.5%. The System’s current actuarial assumed rate of return is 6.75% which was reduced from 7.25% in June 2020.

Please refer to Appendix A for a detailed review of investment performance as well as market commentary.

The Committee

The Committee is responsible for investing in accordance with policies established by the NHRS Board of Trustees (Board); making recommendations to the Board regarding asset allocation; investment consultants, and other investment policy matters. In addition, the Committee is responsible for selecting investment managers, agents, and custodial banks; and reviewing performance.

The Committee meets monthly and is comprised of six members: three independent members and an active member of the retirement system appointed by the Governor and Executive Council; and two members of the Board of Trustees appointed by the Chair of the Board. All are required by statute to have significant experience in institutional investing or finance. As of June 30, 2020 the three independent members were Christine Clinton, CFA; Daniel LaPlante, CFA; and Keith Quinton and the active member was Michael McMahon.

The two Board members serving on the Committee are Maureen Kelliher, CFA (Chair); and Timothy Lesko. Brief biographies and photographs of the Committee members follow this report.

Investment Manual

The NHRS Investment Manual which provides governance and oversight of the pension fund assets is presented in Appendix C of this report and highlights are listed below:

. The Investment Policy and Accountability Matrix provide a description of the roles and responsibilities of the Board, the Investment Committee, NHRS Staff, and the System’s service providers

. The Proxy Voting Policy and Securities Lending Policy provide specific guidance on these individual topics

. The program’s benchmarks and asset allocation policy are detailed along with discussions of risk management, liquidity, rebalancing and portfolio monitoring controls

. Various considerations related to the oversight of investments are described, including the selection of service providers and use of active or passive strategies

. Asset class guidelines detail portfolio construction, permissible and prohibited investment vehicles, as well as concentration limits

The Board sets the assumed rate of return based on the recommendations of the System’s actuary, staff, the Investment Committee, and analysis provided by the investment consultant and other industry experts. A written opinion letter on this subject is included in this report as Appendix B.

Governance, Benchmarks and Measurement of Outcomes

The management and administration of the pension trust is a complex effort involving multiple stakeholders with distinct roles and responsibilities as described in the Investment Manual and in statute. At each regular meeting of the Board or Investment Committee, status reports are provided regarding the outcomes of various investment initiatives. Additionally, performance is reviewed versus benchmarks at the manager-level, asset class-level, and portfolio-level on a monthly and quarterly basis, as appropriate, and over various time-periods since the inception of a particular investment mandate or strategy to continually evaluate the portfolio.

NHRS continuously monitors the investment fees paid to managers and consistently ranks favorably as compared to peers in the public fund universe. The NHRS investment expenses for the prior fiscal year were 30 basis points (bps) as compared to the NEPC Public Fund Universe average investment expenses of 48 bps and the NCPERS Universe average investment expenses of 48 bps. NHRS has a procedure to monitor Environmental, Social, and Governance factors for all marketable managers.

Administrative Comments

The Committee meets at the System’s offices monthly. Notice is provided regarding the time, agenda and location of these meetings pursuant to RSA 91-A:2, II. The Committee promotes transparency regarding the investment program through these public meetings, investment materials and reports. Meeting minutes are posted on the NHRS website. Certain investment matters may require discussion in non-public session in accordance with statute. On a regular basis, the Committee receives presentations from investment managers currently retained by NHRS as well as from prospective managers.

Lawrence A. Johansen is the System’s Director of Investments. In this role, Mr. Johansen serves as the primary staff liaison on investment matters. In addition, he directs all aspects of the System’s investment program including the development of recommendations regarding the System’s overall investment strategy and asset allocation; oversight of external portfolio managers; and promoting productive relationships with investment consultants and service providers. A brief biography of Mr. Johansen follows this report.

Each fiscal year, NHRS produces a Comprehensive Annual Financial Report (CAFR) which details the operation and financial condition of the retirement system. This report also includes a financial section which outlines the funded status and unfunded actuarial accrued liability, in addition to other actuarial statistics. CAFR reports are available on the System’s website, www.nhrs.org.

Overview of Significant Investment Committee Initiatives during the Fiscal Year:

. Reviewed capital market expectations and asset allocation in conjunction with a review of the actuarial assumed rate of return (ARR). Recommended a revised ARR to Board.

o In June 2020 the Board adopted an ARR of 6.75% (from 7.25%)

. Reviewed the long-term performance of all current marketable investment managers against their respective benchmarks and renewed their contracts, where appropriate:

o Terminated a non-U.S. equity manager and transferred the assets to the existing developed market non-U.S. equity managers

. Reviewed and renewed, where appropriate, service provider/other contracts:

o Renewed the trading cost analysis provider agreement with Abel Noser for an additional two-year period

o Issued Request For Proposal (RFP) for investment consultant which resulted in a contract with Callan for a five-year period

. Completed rebalance of the fixed income portfolio

. Reviewed and discussed the structure of the public markets portfolio

. Performed a comprehensive review of all private debt and equity commitments made since the program’s restart in 2009 and adopted an annual private debt and equity strategic plan

. Continued the expansion of the alternative investments program; New commitments of $200 million in aggregate were made to two private equity and one private debt investment strategies totaling $150 million and $50 million, respectively

. Adopted an annual real estate manager investment plan

The Investment Committee is dedicated to achieving the best long-term investment results possible within acceptable levels of risk and consistent with prudent policies and practices.

Respectfully submitted, Maureen Kelliher, Chair George P. Lagos, Executive Director Christine Clinton Lawrence A. Johansen, Director of Investments Daniel LaPlante Timothy Lesko Michael McMahon Keith Quinton

Maureen Kelliher has more than three decades of investment management experience. She has served as co- chief and chief investment officer for trust and investment management firms as well as money desk manager for several banks. In addition to being a member of the Board of Trustees of the New Hampshire Retirement System, Maureen holds the Chartered Financial Analyst designation and is a member of the CFA Institute.

Christine Clinton has been working in the investment management industry for more than a decade after co- founding Bluestone Wealth Management LLC. Prior to Bluestone, she worked as a Corporate Controller for several hi-tech start-ups in the communications, finance and biotech industries in the Boston area. Christine is a CPA as well as a Chartered Financial Analyst (CFA) charterholder. She is a member of the CFA Institute and Boston Securities Analysts Society.

Dan LaPlante has over 30 years of experience in investment management for institutions and individuals. He has significant background in asset allocation, risk management, and manager evaluation. He also has experience in treasury and balance sheet risk management in the financial services industry. Dan is involved with several non-profit organizations and is a CFA Charterholder. He is a member of the CFA Institute and the Boston CFA Society.

Tim Lesko is a Partner and Portfolio Manager at Granite Investment Advisors. He joined the firm in 1999. Along with the other Partners, he is responsible for the management of Granite Investment Advisors and the High Net Worth team. His 22 years of vast industry experience began with positions at Merrill Lynch and NationsBanc Montgomery Securities. Tim has had numerous television appearances as a trusted research specialist with CNBC, NPR Nightly Business Review and Fox Business News.

Michael McMahon has been a member of Hampton Fire rescue for over 25 years, rising to the rank of Captain. During this time he has served in a variety of financial and investment roles. He has spent nearly two decades in credit union leadership and is currently a director at Service Credit Union. He is chairman of the Board of Trustees at Cocheco Academy of the Arts, a public charter school. Mike was a member of the 2017 Decennial Retirement Commission and serves in many other community leadership roles.

Keith Quinton is a 30+ year investment industry veteran with broad and deep experience managing complex multi-billion dollar institutional and mutual fund portfolios. He held a variety of positions at well-known firms including: Drexel Burnham, Putnam Investments, MFS and Fidelity. He is currently a lecturer at the Tuck School at Dartmouth, chairman of the board for the New Hampshire Municipal Bond Bank and is an independent trustee at Eaton Vance Funds.

Lawrence A. Johansen has more than four decades of experience with investment and administration of public pensions. He held progressively more responsible positions at the New York State Teachers’ Retirement System. His most recent positions at the New York State Teachers’ Retirement System were Managing Director, Securities Investment Officer and Actuary.

Appendix A Investment Consultant’s Letter Investment Performance Review & Market Commentary Investment Reports

(THIS PAGE HAS BEEN INTENTIONALLY LEFT BLANK)

KEVIN M. LEONARD PARTNER

October 14, 2020

Board of Trustees Investment Committee Executive Director The New Hampshire Retirement System 54 Regional Drive Concord, NH 03301-8507

Dear NHRS Fiduciaries:

NEPC, LLC (NEPC) is pleased to introduce this overview of the New Hampshire Retirement System (NHRS) investment program for the fiscal year ended June 30, 2020.

The overall objective of NHRS is to provide service, disability, death and vested retirement benefits, and other postemployment benefits to members and their beneficiaries. To ensure a solid foundation for the future of the System, NHRS plans and implements an investment program designed to achieve the maximum rate of return over the long term, while prudently managing the risk of the portfolio. Additionally, the NHRS investment program is administered in accordance with sound governance practices and applicable statutes. The Board of Trustees (Trustees) established an Investment Policy which includes asset allocation targets and acceptable ranges as well as asset class benchmarks for performance measurement. The Trustees retain the services of actuaries and consultants to provide guidance regarding actuarial matters, asset allocation, and investment policy. The Independent Investment Committee (Committee) manages the investment program pursuant to the investment policy, develops asset class guidelines, monitors and evaluates performance, and makes determinations regarding the retention of managers. Professional investment managers are selected by the Committee to manage portfolios in accordance with investment management agreements. The investment manual includes all investment policies and asset class guidelines and may be obtained from the NHRS website at www.nhrs.org. The following pages report on the performance and attributes of the investment program for fiscal year 2020.

Market Review for the Year Ended June 30, 2020 The fiscal year ended 2020 saw the end of the longest economic expansion on record. Economies around the world were disrupted because of COVID-19 and markets reacted with historically fast-paced declines. Governments and central banks from around the world took extraordinary measures to stimulate shuttered economies. In the U.S., fiscal stimulus reached over 12% of GDP while Germany, Japan, France and the U.K. had materially larger stimulus packages. The Federal Reserve provided additional support to the U.S. economy by reducing the Fed Funds Rate to a targeted range of 0.00% -to- 0.25%, resumed quantitative easing, and flooded markets with liquidity. Similar actions were taken by central banks globally. These stimulus measures, along with optimism around a potential vaccine for COVID-19 and easing of lockdown restrictions resulted in a historically dramatic reversal in risk assets in the fourth fiscal quarter. U.S. stocks posted their eleventh consecutive year of positive returns and outperformed international equities, returning 7.5% as measured by the S&P 500 Index. International developed-markets equities returned -5.1% for the year, as measured by the

255 State Street | Boston, MA 02109 | TEL: 617.374.1300 | www.nepc.com

BOSTON | ATLANTA | CHARLOTTE | CHICAGO | DETROIT | LAS VEGAS | PORTLAND | SAN FRANCISCO 1 MSCI EAFE Index, lagging domestic equities by 12.6%. U.S. equity outperformance was driven in large part by big technology stocks that benefitted from a demand surge in the wake of the pandemic. Emerging markets equities as measured by the MSCI Emerging Markets Index returned -3.4%, underperforming U.S. equities and outperforming international- developed markets equities. Driven by declining interest rates and demand for safe-haven assets, U.S. high quality fixed income investments generated a positive 8.7% return in the fiscal year as measured by the Bloomberg Barclays U.S. Aggregate Bond Index.

The NHRS Investment Portfolio For the fiscal year ended June 30, 2020, the NHRS Total Fund returned 1.1% on a net-of-fees basis, underperforming the Total Fund custom benchmark return of 4.8% and ranking in the 84th percentile (1% being the highest, 100% being the lowest) relative to other investors in the InvMetrics Public Defined Benefit Net Universe (universe). NHRS’s fiscal year fourth quartile relative ranking was impacted by the domestic equity portfolio’s value bias, the domestic equity portfolio’s small/SMID cap overweight and the fixed income portfolio’s underweight to U.S. Treasuries. For the trailing three years ending June 30, 2020, the NHRS Total Fund return of 5.2% ranked in the 71st percentile of the universe. For the trailing five years ending June 30, 2020 the NHRS Total Fund return of 5.9% ranked in the 50th percentile of the universe. During the following periods the NHRS Total Fund provided strong annualized net-of-fees returns relative to the universe: For the trailing ten year period ending June 30, 2020, the NHRS Total Fund returned 8.7% and ranked in the 24th percentile of the universe; For the trailing twenty-five year period ending June 30, 2020, the NHRS Total Fund returned 7.5%, exceeding the current assumed rate of return of 6.75%, and ranked in the 29th percentile of the universe.

During fiscal year 2020, the Committee monitored and executed the structure of the marketable assets portfolio and continued to implement the expansion of the alternative investment portfolio.

NEPC provides NHRS with quarterly economic and investment market updates and performance reviews, investment manager monitoring and selection advice, and related investment services for traditional and non-traditional asset classes. Investment performance analysis and comparisons produced by NEPC have been calculated using standard performance evaluation methodologies and are consistent with industry standards. Performance results are calculated using a time-weighted return methodology and are reported on a net-of-fees basis.

Sincerely,

2 Investment Performance Review – Fiscal Year 2020 Overview The fiscal year ended June 2020 saw the end of the longest economic expansion on record. Economies around the world were disrupted because of COVID-19 and markets reacted with historically fast- paced declines. Governments and central banks from around the world took extraordinary measures to stimulate shuttered economies. In the U.S., fiscal stimulus reached over 12% of GDP while Germany, Japan, France and the U.K. had materially larger stimulus packages. The Federal Reserve provided additional support to the U.S. economy by reducing the Fed Funds Rate to a targeted range of 0.00% -to- 0.25%, resumed quantitative easing, and flooded markets with liquidity. Similar actions were taken by central banks globally. These stimulus measures, along with optimism around a potential vaccine for COVID-19 and easing of lockdown restrictions resulted in a historically dramatic reversal in risk assets in the fourth fiscal quarter. U.S. stocks posted their eleventh consecutive year of positive returns and outperformed international equities, returning 7.5% as measured by the S&P 500 Index. International developed-markets equities returned -5.1% for the year as measured by the MSCI EAFE Index and lagged domestic equities by 12.6% as measured by the S&P 500 Index. U.S. equity outperformance was driven in large part by big technology stocks that benefitted from a demand surge in the wake of the pandemic. Emerging markets equities returned -3.4% as measured by the MSCI Emerging Markets Index, underperforming U.S. equities and outperforming international- developed markets equities. Driven by declining interest rates and demand for safe-haven assets, U.S. high quality fixed income investments generated a positive 8.7% return in the fiscal year as measured by the Bloomberg Barclays U.S. Aggregate Bond Index.

For the fiscal year ended June 30, 2020, the NHRS Total Fund returned 1.1% on a net-of-fees basis, underperforming the Total Fund custom benchmark return of 4.8% and ranking in the 84th percentile (1% being the highest, 100% being the lowest) relative to other investors in the InvMetrics Public Defined Benefit Net Universe (universe). NHRS’s fiscal year fourth quartile relative ranking was impacted by the domestic equity portfolio’s value bias, the domestic equity portfolio’s small/SMID cap biases, and the fixed income portfolio’s underweight to U.S. Treasuries. For the trailing three years ending June 30, 2020, the NHRS Total Fund return of 5.2% ranked in the 71st percentile of the universe. For the trailing five years ending June 30, 2020 the NHRS Total Fund return of 5.9% ranked in the 50th percentile of the universe. During the following periods the NHRS Total Fund provided strong annualized net-of-fees returns relative to the universe: For the trailing ten year period ending June 30, 2020, the NHRS Total Fund returned 8.7% and ranked in the 24th percentile of the universe; For the trailing twenty-five year period ending June 30, 2020, the NHRS Total Fund returned 7.5%, exceeding the current assumed rate of return of 6.75%, and ranked in the 29th percentile of the universe.

8% US Quarterly Real GDP Growth 6% 4% 2% 0% ‐2% ‐4% ‐6% ‐8% Source: FactSet ‐10% 2005 2007 2009 2011 2013 2015 2017 2019

3 Source: FactSet

U.S. Equity Markets U.S. stocks posted their eleventh consecutive year of positive returns and outperformed international equities, returning +7.5% as measured by the S&P 500 Index. U.S. equities outperformance was primarily driven by a few large technology stocks which benefitted from a demand surge in the wake of the pandemic. Although technology companies began the fiscal year detracting from domestic equity portfolio, the sector was a significant driver of performance with a fiscal year return of 35.9% as measured by the S&P Technology Index. Growth ended the fiscal year outpacing value, driven in part by the markets increasing risk appetite, ending the fiscal year with the widest margin for a 6-month period since 1998. Large cap names outpaced their small cap peer, returning +7.5% as measured by the S&P 500 versus the Russell 2000 return which returned -6.6% for the one year period.

60 Equity Volatility Index (VIX)

10 Source: FactSet 0 2010 2012 2014 2016 2018 2020

Non-U.S. Equities International stocks saw a volatile fiscal year, beginning with negative returns driven by increased volatility amid concerns around the global fallout from the ongoing trade war between the United States and China. International names were a part of the equity blaze of glory during the last quarter of 2019, driven by strong emerging market returns as the trade pact between the US and China was used to inject confidence into the international markets. The positive returns from quarter end of 2019 were disintegrated as the equity markets took a nosedive as markets entered into a global pandemic. For the fiscal year end, developed markets underperformed emerging markets, although both ended the one year period with negative returns. One bright spot within international markets was Japan, which was helped during Q2 2020 when the Japanese government approved a record stimulus package equaling almost 40% of GDP to prevent COVID-19. For the one year period ending June 30, 2020, developed markets, measured by MSCI EAFE, posted a return of -5.1% and emerging markets (measured by MSCI Emerging Markets Index) posted a return of -3.4%.

4 Fixed Income Driven by declining interest rates and demand for safe-haven assets, U.S. high quality fixed income investments generated a positive 8.7% return in the fiscal year as measured by the Bloomberg Barclays U.S. Aggregate Bond Index. Credit markets ended the fiscal year with Corporate bond spreads compressed significantly in the second quarter of 2020 amid the Fed’s massive intervention in fixed income markets. The central bank held benchmark rates at a range of 0% to 0.25%. US corporate credit benefitted from improved market liquidity with the Bloomberg Barclays US Aggregate Index returning 2.9% in the second quarter bringing fiscal year end gains to +8.7%; the Bloomberg Barclays US Corporate High Yield Index was flat, while the S&P/LSTA Leveraged Loan Index returned -0.5% for the fiscal year.

3.0% US Treasury Curves

2.5%

2.0%

1.5%

1.0% 6/30/2020 0.5% 5/31/2020 6/30/2019 0.0% Source: FactSet 1M 3M 6M 1Y 2Y 3Y 5Y 7Y 10Y 30Y

Real Estate and Alternative Investments The real estate market returned 2.2% for the fiscal year as measured by the NCREIF ODCE Index. Positive returns in the second half of 2019 helped mitigate the losses faced year-to-date as the real estate market has been challenged in 2020, specifically the hospitality and retail sectors. Alternative investments posted negative returns for the fiscal year as non-essential goods and services experienced very low demand. Commodities were in the red in fiscal year 2020, down 17.3%, according to the Bloomberg Commodity Index; losses were fueled by ongoing concerns about the global outlook and pandemic-resistant sectors.

NHRS Asset Class Highlights

NHRS Asset Class FY Return Total Fund 1.1% Total Fund Custom Index 4.8%

Total Domestic Equity 0.4% US Equity Index 7.5%

Total Non-US Equity -4.9% Non-US Equity Index -4.8%

Total Fixed Income 6.5% Fixed Income Benchmark 7.9%

Total Real Estate 3.5% Real Estate Blended Benchmark 1.3%

Total Alternatives 0.5% Alternative Assets Benchmark 7.1%

5 The NHRS Total Domestic Equity portfolio, comprised of both passive and actively managed portfolios, returned 0.4% (net) underperforming the U.S. Equity Index return of 7.5% by 710 basis points. The Domestic Equity portfolio was hindered by its value bias as growth stocks (Russell 1000 Growth Index) outperformed value stocks (Russell 1000 Value Index) by 32.1% for the year. The small/SMID-cap exposure also served as a headwind as larger cap names outperformed their small/SMID-cap counterparts. Large cap was up 7.5% (S&P 500 Index) while small cap stocks (Russell 2000) were down 6.6% for the fiscal year.

The NHRS Total Non-U.S. Equity portfolio, which is comprised of actively-managed portfolios with exposures to both developed and emerging countries, returned -4.9% (net). The Non-U.S. Equity portfolio underperformed its benchmark by 10 basis points this fiscal year.

The NHRS Total Fixed Income portfolio is comprised of broadly diversified actively managed portfolios, and includes domestic and international exposures. This aggregate portfolio generated a net 6.5% return, underperforming the Total Fixed Income Index return of 7.9% by 140 basis points. Underperformance was primarily driven by the portfolio’s non-US exposures and non-investment grade sectors exposure.

The NHRS Real Estate portfolio returned 3.5% (net) outperforming its benchmark of 1.3% by 220 basis points. Outperformance came from both the Core and Non-Core Real Estate allocations within the portfolio.

Lastly, for fiscal year 2020, the Alternative Investment portfolio generated a return of 0.5% (net) while its benchmark returned 7.1%. Underperformance being impacted by newer commitments within the private equity portfolio (J-curve impact).

6 Investment Market Update (sorted by asset type) Index Summary (6/30/20) 1 Year 3 Year 5 Year 10 Year Equity S&P 500 7.5% 10.7% 10.7% 14.0% Russell 1000 7.5% 10.6% 10.5% 14.0% Russell 1000 Growth 23.3% 19.0% 15.9% 17.2% Russell 1000 Value -8.8% 1.8% 4.6% 10.4% Russell 2000 -6.6% 2.0% 4.3% 10.5% Russell 2000 Growth 3.5% 7.9% 6.9% 12.9% Russell 2000 Value -17.5% -4.3% 1.3% 7.8% Russell 2500 -4.7% 4.1% 5.4% 11.5% Russell 3000 6.5% 10.0% 10.0% 13.7% MSCI ACWI 2.1% 6.1% 6.5% 9.2% MSCI ACWI ex US -4.8% 1.1% 2.3% 5.0% MSCI EAFE -5.1% 0.8% 2.1% 5.7% MSCI EAFE SC -3.5% 0.5% 3.8% 8.0% MSCI Europe -6.8% 0.0% 1.5% 5.7% MSCI Japan 3.1% 3.0% 3.4% 6.1% MSCI Emerging Markets -3.4% 1.9% 2.9% 3.3% Fixed Income Barclays Aggregate 1-3 Year 4.0% 2.8% 2.1% 1.6% Barclays Aggregate 8.7% 5.3% 4.3% 3.8% Barclays TIPS 8.3% 5.0% 3.7% 3.5% Barclays High Yield 0.0% 3.3% 4.8% 6.7% S&P/LSTA US Lev Loan 100 -0.5% 2.5% 3.0% 4.1% Barclays Global Agg 4.2% 3.8% 3.6% 2.8% Barclays Muni High Yield 1.0% 5.3% 5.8% 6.1% JPM EMBI Global Diversified 0.5% 3.6% 5.3% 6.0% JPM GBI-EM Global Diversified -2.8% 1.1% 2.3% 1.6% Other Bloomberg Commodity Index -17.3% -6.1% -7.7% -5.8% GSCI Commodity Index -33.7% -8.7% -12.5% -8.5% Alerian Midstream Index -29.4% -8.9% -8.0% - NAREIT Composite Index -8.0% 2.8% 6.2% 9.9% NCREIF ODCE Index 2.2% 5.7% 7.3% 10.8%

7 Investment Market Update (sorted by best to worst 1-year performers)

Index Summary (6/30/20) 1 Year 3 Year 5 Year 10 Year Russell 1000 Growth 23.3% 19.0% 15.9% 17.2% Barclays Aggregate 8.7% 5.3% 4.3% 3.8% Barclays TIPS 8.3% 5.0% 3.7% 3.5% S&P 500 7.5% 10.7% 10.7% 14.0% Russell 1000 7.5% 10.6% 10.5% 14.0% Russell 3000 6.5% 10.0% 10.0% 13.7% Barclays Global Agg 4.2% 3.8% 3.6% 2.8% Barclays Aggregate 1-3 Year 4.0% 2.8% 2.1% 1.6% Russell 2000 Growth 3.5% 7.9% 6.9% 12.9% MSCI Japan 3.1% 3.0% 3.4% 6.1% NCREIF ODCE Index 2.2% 5.7% 7.3% 10.8% MSCI ACWI 2.1% 6.1% 6.5% 9.2% Barclays Muni High Yield 1.0% 5.3% 5.8% 6.1% JPM EMBI Global Diversified 0.5% 3.6% 5.3% 6.0% Barclays High Yield 0.0% 3.3% 4.8% 6.7% S&P/LSTA US Lev Loan 100 -0.5% 2.5% 3.0% 4.1% JPM GBI-EM Global Diversified -2.8% 1.1% 2.3% 1.6% MSCI Emerging Markets -3.4% 1.9% 2.9% 3.3% MSCI EAFE SC -3.5% 0.5% 3.8% 8.0% Russell 2500 -4.7% 4.1% 5.4% 11.5% MSCI ACWI ex US -4.8% 1.1% 2.3% 5.0% MSCI EAFE -5.1% 0.8% 2.1% 5.7% Russell 2000 -6.6% 2.0% 4.3% 10.5% MSCI Europe -6.8% 0.0% 1.5% 5.7% NAREIT Composite Index -8.0% 2.8% 6.2% 9.9% Russell 1000 Value -8.8% 1.8% 4.6% 10.4% Bloomberg Commodity Index -17.3% -6.1% -7.7% -5.8% Russell 2000 Value -17.5% -4.3% 1.3% 7.8% Alerian Midstream Index -29.4% -8.9% -8.0% - GSCI Commodity Index -33.7% -8.7% -12.5% -8.5%

S&P 500 Sectors (sorted by best to worst 1-year performers) Index Summary Benchmark Benchmark (6/30/19-6/30/20) Weight (%) Return (%) Information Technology 27.5 35.9 Consumer Discretionary 10.8 12.6 Communication Services 10.8 11.1 Health Care 14.6 10.9 Consumer Staples 7.0 3.6 Materials 2.5 -1.1 Real Estate 2.8 -2.0 Utilities 3.1 -2.1 Industrials 8.0 -9.0 Financials 10.1 -13.9 Energy 2.8 -36.1 * Source: FactSet

8 Summary We continue to believe that the asset allocation of the NHRS portfolio will benefit from its diversification as volatility may increase and central bank policy drives markets. Most importantly the long-term focus remains to reduce the volatility of the portfolio, achieve above-market returns, and position the portfolio to meet the objectives of the pension plan. This has certainly been the case for NHRS over the long-term as the net of fee twenty-five-year return, as of June 30, 2020, was 7.5% annualized.

9 INVESTMENT REPORTS

ANNUALIZED INVESTMENT RETURNS—ACTUAL VERSUS INDICES Current Year Annualized 2020 3 Year 5 Year 10 Year Total NHRS Fund 1.1% 5.2% 5.9% 8.7% Total Fund Custom Index* 4.8 6.7 6.9 9.3 Domestic Equity 0.4 6.8 7.8 12.3 Total Domestic Equity Blended Benchmark* 7.5 10.7 10.7 14.1 Non-U.S. Equity -4.9 1.6 3.0 5.7 Total Non-U.S. Equity Blended Benchmark* -4.8 1.1 2.3 5.0 Fixed Income 6.5 4.3 4.2 4.5 Total Fixed Income Blended Benchmark* 7.9 5.2 4.4 4.1 Real Estate 3.5 7.0 8.7 11.1 Total Real Estate Blended Benchmark* 1.3 4.7 6.3 9.8 Alternative Investments 0.5 6.0 6.5 6.9 Total Alternative Investments Blended Benchmark* 7.1 8.4 8.2 12.1 Cash Equivalents 1.8 1.9 1.3 0.7 90 Day T-Bills 1.3 1.7 1.1 0.6

Performance returns are calculated on a net-of-fees time-weighted rate of return basis. *In a dynamic market, strategies and objectives evolve over time. Consequently, these benchmarks are blended due to historical investment strategy decisions. Detailed descriptions of the benchmarks above are available by contacting NHRS.

Ten Year History of Time-Weighted Total NHRS Fund Annual Returns

25.0%

20.0%

15.0%

10.0% 5.0% 0.0% –5.0%

NHRS Annual Return –10.0% –15.0% –20.0% Fiscal Year 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 23.0% 0.9% 14.5% 17.6% 3.5% 1.0% 13.5% 8.9% 5.7% 1.1%

10 ACTUAL ASSET ALLOCATION VERSUS TARGET ASSET ALLOCATION As of June 30, 2020 Actual % Target % Target Range % Domestic Equity 31.5 30.0% 20 – 40 Non-U.S. Equity 14.6 20.0 15 – 25 Fixed Income 23.4 25.0 20 – 30 Real Estate 11.0 10.0 5 – 20 Alternative Investments 19.5 15.0 5 – 25 TOTAL FUND 100.0% 100.0%

Actual Asset Allocation as of June 30, 2020

Alternative Investments 19.5%

Real Domestic Equity Estate 11.0% 31.5%

Fixed Income 23.4% Non-U.S. Equity 14.6%

Target Asset Allocation as of June 30, 2020

Alternative I n v e s t m e n t s 15.0% Domestic Equity 30.0% Real Estate 10.0%

Fixed Income Non-U.S. 25.0% Equity 20.0%

11 TEN LARGEST STOCK HOLDINGS BY FAIR VALUE* (in thousands) June 30, 2020 Shares Stock Fair Value 1 483,568 Microsoft Corp. $98,411 2 213,543 Apple Inc. 77,900 3 25,413 Amazon.com Inc. 70,110 4 22,013 Alphabet Inc. — CL C 31,118 5 126,029 Facebook Inc. 28,617 6 18,909 Alphabet Inc. — CL A 26,814 7 184,986 Johnson & Johnson 26,015 8 85,423 Mastercard Inc. 25,260 9 56,452 Adobe Inc. 24,574 10 68,717 Roche Holding AG 23,812

TEN LARGEST FIXED INCOME HOLDINGS BY FAIR VALUE* (in thousands) June 30, 2020 Par** Security Fair Value 01 21,557,000 U.S. Treasury Bond — 4.500%, 2038 $34,009 02 16,800,000 U.S. Treasury Bond — 3.500%, 2039 23,768 03 21,534,000 U.S. Treasury Note — 0.375%, 2025 21,632 04 15,120,000 U.S. Treasury Bond — 3.000%, 2048 20,793 05 12,761,000 U.S. Treasury Bond — 4.500%, 2036 19,534 06 14,204,192 U.S. Treasury CPI Inflation — 0.125%, 2024 14,876 07 14,500,000 U.S. Treasury Note — 0.125%, 2022 14,489 08 14,040,000 U.S. Treasury Note — Var Rate, 2022 14,048 09 11,130,000 U.S. Treasury Note — Var Rate, 2022 11,145 10 9,174,000 U.S. Treasury Bond — 2.250%, 2049 11,033 **A complete listing of separate account portfolio holdings is available by contacting the NHRS offices. NHRS also invests in various commingled investment vehicles, for which the underlying investments are custodied outside of The Bank of NY Mellon (Master Custodian for NHRS), as reported on the Summary of Investments schedule. **Par value is denoted in local currency.

12 SCHEDULE OF INVESTMENT MANAGEMENT AND SERVICE FEES YEAR ENDED JUNE 30, 2020 Assets Under Average Management Fees Basis (in thousands) (in thousands) Points INVESTMENT MANAGEMENT FEES Equity Portfolios: Domestic $ 2,780,008 $ 7,868 28 Non-U.S. 1,287,403 8,855 69 Fixed Income Portfolios 2,066,842 6,467 31 Alternative Investments* 1,724,604 — — Real Estate 967,354 2,392 25 Cash and Cash Equivalents** 216,132 — — TOTAL INVESTMENT MANAGEMENT FEES $ 9,042,343 $ 25,582 28

INVESTMENT SERVICE FEES Custodial Fees $ 9,042,343 $ 650 1 Investment Advisor Fees — External 9,042,343 750 1 Investment Professional Fees 9,042,343 207 1 Investment Administrative Expenses — Internal 9,042,343 669 1 TOTAL INVESTMENT MANAGEMENT AND SERVICE FEES $ 9,042,343 $ 27,858 31

**The custodian records all transactions on a net of fee basis.

SCHEDULE OF BROKERAGE COMMISSIONS PAID YEAR ENDED JUNE 30, 2020 Number of Total Commissions Shares Traded Commissions Per Brokerage Firm (in thousands) (in thousands) Share J.P. Morgan 22,485 $ 143 0.01 Goldman Sachs & Company 8,215 131 0.02 Merrill Lynch & Company Inc. 10,292 99 0.01 Credit Suisse 9,553 96 0.01 Morgan Stanley & Company Inc. 4,838 66 0.01 Liquidnet 3,874 64 0.02 UBS Securities/Warburg 6,321 62 0.01 Barclay's Capital Inc. 4,406 60 0.01 Instinet, Inc. 4,367 57 0.01 Bernstein Sanford C & Co, New York 4,323 51 0.01 Cowen and Company LLC 2,916 50 0.02 Jefferies & Company, Inc. 2,722 48 0.02 Citigroup Global Markets Inc. 3,410 47 0.01 Baird, Robert W & Co Inc. 1,060 33 0.03 Pershing Securities LTD 1,297 31 0.02 Electronic Brokerage Systems 1,384 27 0.02 BTIG LLC 1,086 25 0.02 Wells Fargo Securities, LLC. 856 20 0.02 Keefe Bruyette + Woods Inc. 810 18 0.02 All Others (124 not listed separately) 31,562 501 0.02 TOTAL BROKERAGE COMMISSIONS PAID 125,777 $ 1,629 0.01

Commission detail is not included in the schedule above for the commingled funds in which NHRS invests.

13 Net Position Restricted for Pension and OPEB (in millions)

$10,000.0 $9,207.6 $9,134.1 $8,874.2 $9,000.0 $8,293.3 $8,000.0 $7,530.1 $7,460.9

$7,000.0

$6,000.0

$5,000.0

$4,000.0

$3,000.0

$2,000.0

$1,000.0

$0,000.0 FY 2015 FY 2016 FY 2017 FY 2018 FY 2019 FY 2020

SUMMARY OF INVESTMENTS June 30, 2020 Fair Value Percent of Total TYPE OF INVESTMENT (in millions) Fair Value FIXED INCOME Collateralized/Asset Backed Securities $ 197.0 2.2% Corporate Bonds 708.2 8.0% Government and Agency Bonds 357.0 4.0% Blackrock Strategic Income Opportunities 241.5 2.7% Fidelity 358.6 4.1% Manulife 204.5 2.3% TOTAL FIXED INCOME $2,066.8 23.4% EQUITY Consumer Discretionary $ 442.4 5.0% Consumer Staples 201.4 2.3% Energy 86.2 1.0% Financial Services 629.7 7.1% Health Care 532.2 6.0% Producer Durables 395.7 4.5% Information Technology 723.4 8.2% Materials 211.4 2.4% Utilities 148.9 1.7% Ishares Russell 2000 ETF 7.4 0.1% LSV International Value Fund 254.9 2.9% Neuberger Berman Emerging Markets Equity Fund 173.2 2.0% Segall Bryant & Hamill Int'l Small Cap 101.9 1.2% Wellington Emerging Markets Local Equity Fund 158.7 1.8% TOTAL EQUITY $4,067.4 46.1% OTHER INVESTMENTS Alternative Investments $1,724.6 19.5% Real Estate 967.4 11.0% TOTAL INVESTMENTS $8,826.2 100.0%

Appendix B Gabriel Roeder Smith & Company Actuarial Opinion Letter

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October 16, 2020

Board of Trustees New Hampshire Retirement System 54 Regional Drive Concord, New Hampshire 03301-8509

Re: Reasonableness of the Assumed Rate of Return

Dear Board Members:

The purpose of this letter is to provide our actuarial opinion regarding the reasonableness of the assumed rate of return for the New Hampshire Retirement System and to address any differences between the assumed rate of return and the expected rate of return under the System’s investment policy statement as required under New Hampshire statute.

Background:

The requirement under New Hampshire statute is as follows:

RSA 100-A:15 VII.

(1) A clear statement of investment objectives including the adoption of a reasonable and sound expected rate of return the retirement system is attempting to earn. The expected rate of return utilized for the statement of investment objectives shall bear some reasonable relationship to the assumed rate of return set by the trustees for the biennial actuarial calculation. The retirement system's actuaries shall issue a written opinion in regard to the reasonableness of the assumed rate of return that shall address any difference between the assumed rate of return and the expected rate of return.

Board of Trustees October 16, 2020 Page 2

We understand the current asset allocation targets and ranges are based on asset liability modeling and asset allocation recommendations from New England Pension Consultants (NEPC) adopted by the Board of Trustees in September 2012. We further understand that based on their 2020 capital market assumptions, NEPC has indicated the following expectations for NHRS’ current asset allocation:

• During the next 10-year period: o The expected rate of return is 6.02%; o The standard deviation is 12.95%; and o The implicit price inflation rate is 2.3%.

• During the next 30-year period: o The expected rate of return is 7.18%; and o The implicit price inflation rate is 2.5%.

In determining the assumed rate of return for the actuarial valuation, we abide by Actuarial Standard of Practice (ASOP) No. 27, Selection of Economic Assumptions for Measuring Pension Obligations, as adopted by the Actuarial Standards Board.

Under ASOP No. 27, we determine a reasonable assumption for each economic assumption. The reasonable assumption must be appropriate for the purpose of the measurement, reflect the actuary’s professional judgement, take into account relevant historical and current demographic data, reflect the actuary’s estimate of future experience or the estimates inherent in the market data and have no significant bias. For the investment return assumption, we use the building block method which determines the assumed rate of return as the sum of inflation and real return assumption. For actuarial valuation purposes, we focus more on the long term, which is similar to NEPC’s 30-year period.

Actuarial Opinion:

For the June 30, 2020 valuation, the actuarial assumed rate of return is made up of a price inflation assumption of 2.0% and a real rate of return assumption of 4.75% for a total of 6.75% per year, net of investment expenses. This assumption was adopted by the Board to be effective in the June 30, 2019 valuation based on the 2015-2019 Experience Study.

Based on our independent analysis using NHRS’ target asset allocation and current capital market assumptions from 14 nationally recognized investment consultants, we have calculated a geometric rate of return of 5.84% over a 10-year horizon and 6.74% over a 20-30-year horizon if we use 6 consultants’ 20-30-year horizon expectations. The current NHRS net investment rate assumption of 6.75% is reasonable when compared to our 5.84% - 6.74% and NEPC’s 6.02% - 7.18% current estimates for the expected rate of return.

Board of Trustees October 16, 2020 Page 3

Differences between the expected rate of return in the System’s Investment Policy and the actuarial assumed rate of return are attributable in part to the different objectives of the measurement. Key differences are:

• The Investment Policy focuses on asset allocation decisions and establishes benchmarks for manager performance. The assumed rate of return is a long-term assumption for funding policy. • The Investment Horizon of 10 years in the Investment Policy is based on a shorter time frame than used to determine the assumed rate of return which can be 20-30 years or longer. When focusing on the 20-30-year time horizon, the policy and the actuarial assumption produce similar expected returns.

Given the purpose and use of the different assumptions, different results are not uncommon. Under the current actuarial standard of practice, the current assumed rate of return for valuation purposes is reasonable and, therefore, meets the requirements of those standards.

Governmental Accounting Standards Board (GASB) Statement No. 67:

The statutory funding requirements of RSA 100-A:16 and the NHRS’ Actuarial Funding Policy call for the NHRS pension unfunded actuarial accrued liability as of June 30, 2017 to be amortized through 2039. Each subsequent change in liability as calculated in odd-numbered years shall be separately amortized over a fixed period of no longer than 20 years. Based on this, the GASB discount rate will be the assumed rate of investment return of 6.75%.

David T. Kausch and Heidi G. Barry are independent of the plan sponsor and are Members of the American Academy of Actuaries (MAAA) and meet the Qualification Standards of the American Academy of Actuaries to render the actuarial opinions contained herein.

Respectfully submitted,

David T. Kausch, FSA, EA, FCA, MAAA, PhD

Heidi G. Barry, ASA, FCA, MAAA

DTK/HGB:sc

Appendix C Investment Manual NHRS Investment Philosophy

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The NHRS Investment Manual can be accessed by clicking here. NHRS Investment Philosophy:

Adopted by the Investment Committee at the July 17, 2009 meeting

Purpose: The New Hampshire Retirement System (“NHRS” or “System”) Investment Philosophy sets forth guiding principles for the management of the investment program.

Description of the Fund: The NHRS is a defined-benefit pension plan. Contributions to the plan are made by employees and employers participating in the System. These contributions are invested to support the payment of plan benefits and to pay reasonable expenses of administering the System.

The System’s assets are invested pursuant to the Constitution of the State of New Hampshire and all applicable statutes and are managed in accordance with the NHRS Statement of Investment Policy for the exclusive purpose of providing plan benefits to members and beneficiaries. NHRS plan fiduciaries are beholden to a duty of loyalty and a standard of care as described in RSA 100- A:15. The Board of Trustees (“Board”) and the Investment Committee (“Committee”) seek the advice and assistance of internal and external professionals and shall exercise conscious discretion when making investment decisions. The Committee members recognize their fiduciary duty to invest the System's funds prudently and in continued recognition of the fundamental long-term nature of the System.

The NHRS investment program has a distinctive profile. The objective of supporting plan benefits is one primary differentiator from the goals of other types of institutional investors, for example, endowments or foundations. The NHRS also differs from other public pension plans because each plan has its own distinctive characteristics such as benefit structures and legislative mandates. The System has a high proportion of retirees relative to actively-contributing members. The demographics of a mature plan require more liquidity from the investment program because contributions into the plan do not fully offset the benefits paid. Additionally, the size of the NHRS investment program provides the System with the ability to invest in certain opportunities but may not provide the scale necessary to gain access to other opportunities. All of these factors guide the design of the NHRS investment program.

Investment Objectives: The NHRS pursues an investment strategy designed to support the long-term funding obligations of the plan. The Board adopts an assumed rate of return and sets asset-allocation policy. The Committee manages the components of the investment program with the goal of achieving the plan’s objectives with a comprehensive understanding of risk. This involves designing a program that balances expected return and risk over long time periods through a range of market conditions. For the reasons previously mentioned, peer performance or universe comparisons are not the most appropriate measurements of the effectiveness of the NHRS investment program. Performance comparisons within the context of the stated investment objectives will promote alignment with the System’s mission.

The primary objective of the Committee is to manage the investment program to support the payment of plan benefits over the long-term. A secondary objective is to exceed the policy benchmark on a net-of-fees basis over a three to five-year period.

Page 1 of 3 NHRS Investment Philosophy:

Market View and Context: The Committee believes that financial markets are largely, but not entirely, efficient. This means that there is a central tendency to the markets and that in some developed and accessible segments it is difficult to gain an advantage relative to other investors. However, there are areas of the market in which inefficiencies exist due to more limited access, information, coverage, or other factors; and investors can benefit from participation in these areas. Investment opportunities emerge and evolve over time and the NHRS Committee, staff, and consultants will remain vigilant concerning market developments in order to identify these opportunities and to build a sustainable advantage.

Diversification: The Board and the Committee recognize that it is necessary to maintain broad diversification both among and within various asset classes. The asset allocation of the investment program will be reviewed monthly by staff relative to the asset-class policy targets and ranges established by the Board in the Statement of Investment Policy. Staff shall strive to maintain the System’s asset allocation within policy ranges. When rebalancing assets already within ranges, staff will give due consideration to market conditions, costs and risks of implementation, potential impacts on manager-level performance, and other relevant factors.

Portfolio Structure and Implementation: The Committee may utilize a combination of passive and active management strategies. The goal of passive management is to gain diversified exposure to the desired asset class while incurring minimal expense and seeking performance returns comparable to the asset class benchmark. The goal of active management is to exceed the performance of the appropriate benchmark on a net-of-fees basis, measured across market cycles, at a commensurate level of risk. The Committee will structure the program and implement its philosophy through the use of external investment management firms.

Performance Measurement: The ultimate measurement of the pension plan is how well it achieves its funding objectives and supports plan benefits. This is a shared responsibility between the Board who set the assumed rate of return and also determines the contribution rates and the Committee who seek to augment those contributions with investment returns over the long term. Achievement of the plan objectives in absolute terms is contingent on sound return assumptions and the execution of a clear investment process which recognizes that market conditions will vary over time.

Relative investment performance can be an important measurement tool. The Board adopts specific benchmarks which represent the standards of measurement used for the various asset classes utilized by the NHRS. Individual managers are also measured relative to benchmarks. As a model for performance measurement of the investment program, the NHRS uses a plan- level policy benchmark comprised of index returns (or proxy asset returns in the case of illiquid assets) weighted to reflect the asset-allocation policy targets set by the Board. This provides insight into the ways in which the actual portfolio performs relative to a passively-managed representation of plan policy during various market conditions.

Since investment returns will vary under different economic conditions and market cycles, an optimal period for effectively measuring performance would span three to five years or more. NHRS returns are expected to exceed the relevant benchmark on a net-of-fees basis over time.

Page 2 of 3 NHRS Investment Philosophy:

Risk: Risk must be viewed within the context of the total portfolio. Since most risks are not readily quantifiable, defining the appropriate level of risk and creating a portfolio that reflects a reasonable balance between potential risk and return is a matter of judgment. Risk comes in a variety of forms including the risk of the unknown, liquidity risk, valuation risk, regulatory risk, geopolitical risk, and volatility risk as well as excessive diversification, fraud, inconsistency of investment discipline, and the risk of the destruction of capital. The Committee takes a broad view of risk in its oversight and endeavors to mitigate risk through rebalancing, monitoring managers, and conducting strategic reviews of the portfolio.

Page 3 of 3

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New Hampshire Retirement System TOTAL MARKETABLE BY ASSET CLASS Fiscal Market Value % of 1 Mo 3 Mo YTD 1 Yr 2 Yrs 3 Yrs 5 Yrs 10 Yrs Inception Inception Policy % YTD ($) Portfolio (%) (%) (%) (%) (%) (%) (%) (%) (%) Date (%) _ Total Marketable Assets 6,600,494,873 100.0 100.0 -1.0 0.1 4.2 -1.2 3.0 7.0 4.5 6.8 7.5 9.4 Jul-75 Total Marketable Custom Index -1.8 -0.3 3.7 1.4 5.6 9.2 6.1 7.5 8.0 -- Jul-75 Total Domestic Equity 2,691,788,154 40.8 40.0 -0.5 2.0 6.9 -1.8 4.6 8.2 7.1 9.6 11.5 10.7 Jul-75 US Equity Index -2.7 0.4 6.0 2.8 9.7 12.0 10.4 11.7 13.1 11.4 Jul-75 Total Non US Equity 1,667,769,445 25.3 26.7 -3.0 -1.7 2.9 -9.1 -3.7 3.9 -0.3 4.6 3.9 5.8 Mar-88 Total Non-US Equity Index -2.1 -0.5 4.0 -7.5 -2.6 4.1 -0.2 4.3 3.4 5.0 Mar-88 Total Fixed Income 2,153,811,059 32.6 33.3 -0.1 -0.7 2.2 6.0 6.5 8.2 4.7 4.8 4.2 7.8 Jun-75 Total Fixed Income Benchmark -0.4 -1.1 0.6 5.8 6.0 8.6 5.0 4.3 3.8 -- Jun-75 Total Cash 87,126,216 1.3 0.0 0.0 0.0 0.0 0.6 0.9 1.7 1.7 1.3 0.7 2.6 Apr-94 91 Day T-Bills 0.0 0.0 0.0 0.4 0.7 1.4 1.5 1.1 0.6 2.3 Apr-94 XXXXX

October 31, 2020 1 New Hampshire Retirement System

TOTAL MARKETABLE ASSETS Fiscal Market Value % of 1 Mo 3 Mo YTD 1 Yr 2 Yrs 3 Yrs 5 Yrs 10 Yrs Inception Inception Policy % YTD ($) Portfolio (%) (%) (%) (%) (%) (%) (%) (%) (%) Date (%) _ Total Marketable Assets 6,600,494,873 100.0 100.0 -1.0 0.1 4.2 -1.2 3.0 7.0 4.5 6.8 7.5 9.4 Jul-75 Total Marketable Custom Index -1.8 -0.3 3.7 1.4 5.6 9.2 6.1 7.5 8.0 -- Jul-75 Total Domestic Equity 2,691,788,154 40.8 40.0 -0.5 2.0 6.9 -1.8 4.6 8.2 7.1 9.6 11.5 10.7 Jul-75 US Equity Index -2.7 0.4 6.0 2.8 9.7 12.0 10.4 11.7 13.1 11.4 Jul-75 S&P 500 -2.7 0.4 6.0 2.8 9.7 12.0 10.4 11.7 13.0 11.3 Jul-75 Total Small Cap Domestic Equity 587,188,447 8.9 -- 3.4 4.4 8.9 -2.8 3.9 8.1 6.5 10.2 11.0 11.0 Nov-10 Russell 2000 2.1 4.2 7.1 -6.8 -0.1 2.4 2.2 7.3 9.6 9.6 Nov-10 Boston Trust 145,416,247 2.2 4.8 3.5 6.9 -8.7 -4.5 5.2 5.4 9.0 9.8 9.8 Nov-10 Russell 2000 2.1 4.2 7.1 -6.8 -0.1 2.4 2.2 7.3 9.6 9.6 Nov-10 Segall Bryant & Hamill 159,836,223 2.4 2.1 2.1 6.8 1.0 7.2 8.4 7.7 10.2 10.5 10.5 Nov-10 Russell 2000 2.1 4.2 7.1 -6.8 -0.1 2.4 2.2 7.3 9.6 9.6 Nov-10 Wellington 281,935,978 4.3 3.4 6.3 11.2 -1.6 6.8 9.5 6.6 10.9 12.7 12.7 Nov-10 Russell 2000 2.1 4.2 7.1 -6.8 -0.1 2.4 2.2 7.3 9.6 9.6 Nov-10 Total SMid Cap Domestic Equity 460,706,461 7.0 -- 2.8 5.2 9.2 -4.8 0.8 3.2 3.5 6.7 -- 9.9 Dec-10 Russell 2500 1.8 3.7 7.8 -4.1 2.1 5.4 4.5 8.2 10.6 10.4 Dec-10 AllianceBernstein 303,885,630 4.6 2.9 5.5 9.9 2.7 9.8 7.7 6.9 9.8 -- 11.3 Dec-10 Russell 2500 1.8 3.7 7.8 -4.1 2.1 5.4 4.5 8.2 10.6 10.4 Dec-10 TSW 156,820,832 2.4 2.5 4.5 7.9 -16.5 -13.0 -4.0 -2.2 1.9 -- 7.7 Dec-10 Russell 2500 / Russell 2500 Value Blend 2.3 2.8 5.9 -16.5 -11.9 -1.6 -0.2 5.2 9.1 8.9 Dec-10 Total Large Cap Domestic Equity 1,643,893,245 24.9 -- -2.7 0.3 5.5 -0.6 6.0 9.7 8.3 10.2 12.1 13.3 Sep-10 S&P 500 -2.7 0.4 6.0 2.8 9.7 12.0 10.4 11.7 13.0 14.2 Sep-10 Total Large Cap Passive Equity 1,643,882,454 24.9 -- -2.7 0.4 6.0 2.7 9.7 12.0 10.4 11.7 13.0 14.1 Sep-10 S&P 500 -2.7 0.4 6.0 2.8 9.7 12.0 10.4 11.7 13.0 14.2 Sep-10 Blackrock S&P 500 1,643,882,454 24.9 -2.7 0.4 6.0 2.7 9.7 12.0 10.4 11.7 13.0 14.1 Sep-10 S&P 500 -2.7 0.4 6.0 2.8 9.7 12.0 10.4 11.7 13.0 14.2 Sep-10

October 31, 2020 2 New Hampshire Retirement System

TOTAL MARKETABLE ASSETS Fiscal Market Value % of 1 Mo 3 Mo YTD 1 Yr 2 Yrs 3 Yrs 5 Yrs 10 Yrs Inception Inception Policy % YTD ($) Portfolio (%) (%) (%) (%) (%) (%) (%) (%) (%) Date (%) _ Total Non US Equity 1,667,769,445 25.3 26.7 -3.0 -1.7 2.9 -9.1 -3.7 3.9 -0.3 4.6 3.9 5.8 Mar-88 Total Non-US Equity Index -2.1 -0.5 4.0 -7.5 -2.6 4.1 -0.2 4.3 3.4 5.0 Mar-88 MSCI ACWI ex USA -2.1 -0.5 4.0 -7.5 -2.6 4.1 -0.2 4.3 3.4 -- Mar-88 Total Core Non US Equity 811,152,025 12.3 -- -4.3 -3.6 -0.5 -14.7 -9.9 -0.1 -2.8 2.4 2.5 5.4 Mar-88 Core Non-US Equity Manager Index -2.1 -0.5 4.0 -7.5 -2.6 4.1 -0.2 4.3 3.4 4.8 Mar-88 Artisan Partners 312,499,319 4.7 -4.9 -4.0 1.7 -6.0 -1.7 7.2 3.8 5.3 -- 4.0 Nov-14 MSCI EAFE -4.0 -1.7 0.6 -10.8 -6.9 1.7 -1.2 2.8 3.8 2.4 Nov-14 Causeway Capital 243,399,290 3.7 -4.8 -3.9 -3.4 -20.5 -14.8 -5.9 -6.7 -0.5 -- -1.0 Oct-14 MSCI EAFE -4.0 -1.7 0.6 -10.8 -6.9 1.7 -1.2 2.8 3.8 2.1 Oct-14 LSV International Value 254,330,646 3.9 -3.1 -2.8 -0.4 -18.4 -14.0 -3.3 -5.4 1.5 -- 0.0 Oct-14 MSCI ACWI ex USA / MSCI ACWI ex USA -2.6 -2.4 -0.4 -19.7 -15.9 -3.9 -5.3 1.0 1.8 -0.1 Oct-14 Value Blend Total Emerging Markets 363,930,157 5.5 -- 1.1 0.5 9.3 -1.0 5.2 10.3 0.1 6.5 -- 2.7 Jun-11 MSCI Emerging Markets 2.1 2.6 11.8 0.9 8.3 10.0 1.9 7.9 2.4 1.9 Jun-11 Neuberger Berman 188,011,527 2.8 0.4 -0.6 8.2 -2.5 3.3 8.9 -0.2 7.5 -- 3.9 Apr-14 MSCI Emerging Markets 2.1 2.6 11.8 0.9 8.3 10.0 1.9 7.9 2.4 4.1 Apr-14 Wellington Emerging Markets 175,918,630 2.7 1.8 1.6 10.4 0.7 7.2 11.9 0.8 7.6 -- 4.7 Jun-11 MSCI Emerging Markets 2.1 2.6 11.8 0.9 8.3 10.0 1.9 7.9 2.4 1.9 Jun-11 Total Non US Small Cap 105,591,940 1.6 -- -3.9 1.1 3.7 -20.2 -14.5 -7.5 -10.0 -2.3 -- 0.8 Jul-11 SBH International Small Cap 105,591,940 1.6 -3.9 1.1 3.7 -20.2 -14.5 -7.5 -10.0 -- -- -3.4 Feb-17 MSCI EAFE Small Cap -3.5 3.0 6.4 -7.5 -1.4 3.6 -0.4 5.4 6.5 5.4 Feb-17 Total Global Equity 387,095,323 5.9 -- -3.5 -0.3 4.5 0.8 6.8 12.3 10.3 11.5 10.8 8.2 May-08 MSCI ACWI -2.4 0.2 5.5 -1.1 4.9 8.7 5.5 8.1 7.9 5.1 May-08 Walter Scott Global Equity 387,095,323 5.9 -3.5 -0.3 4.5 0.8 6.8 12.3 10.3 11.5 10.7 9.4 Jan-05 MSCI EAFE / ACWI Blend -2.4 0.2 5.5 -1.1 4.9 8.7 5.5 8.1 7.9 6.9 Jan-05

October 31, 2020 3 New Hampshire Retirement System

TOTAL MARKETABLE ASSETS Fiscal Market Value % of 1 Mo 3 Mo YTD 1 Yr 2 Yrs 3 Yrs 5 Yrs 10 Yrs Inception Inception Policy % YTD ($) Portfolio (%) (%) (%) (%) (%) (%) (%) (%) (%) Date (%) _ Total Fixed Income 2,153,811,059 32.6 33.3 -0.1 -0.7 2.2 6.0 6.5 8.2 4.7 4.8 4.2 7.8 Jun-75 Total Fixed Income Benchmark -0.4 -1.1 0.6 5.8 6.0 8.6 5.0 4.3 3.8 -- Jun-75 BBgBarc US Aggregate TR -0.4 -1.3 0.2 6.3 6.2 8.8 5.1 4.1 3.6 -- Jun-75 BBgBarc US Universal TR -0.4 -1.1 0.6 5.8 6.0 8.6 5.0 4.3 3.8 -- Jun-75 BlackRock SIO Bond Fund 247,756,978 3.8 -0.1 0.5 2.4 3.2 4.3 ------5.2 Jan-19 BlackRock Custom Benchmark 0.0 0.1 0.1 0.6 0.9 1.7 1.9 1.5 0.9 1.6 Jan-19 Brandywine Asset Mgmt 251,519,266 3.8 0.8 -1.4 4.6 2.5 3.9 7.2 2.8 4.4 3.7 6.9 Nov-97 Brandywine Custom Benchmark -0.2 -0.8 2.8 6.9 6.0 7.9 4.5 3.9 1.7 4.4 Nov-97 FIAM (Fidelity) Tactical Bond Fund 368,390,655 5.6 -0.2 -0.5 2.6 4.7 5.8 ------8.4 Feb-19 BBgBarc US Aggregate TR -0.4 -1.3 0.2 6.3 6.2 8.8 5.1 4.1 3.6 8.0 Feb-19 Income Research & Management 799,562,774 12.1 -0.6 -1.5 0.6 8.9 8.3 10.5 6.1 5.0 4.4 7.1 Sep-87 BBgBarc US Govt/Credit TR -0.6 -1.8 0.2 7.4 7.1 9.8 5.6 4.5 3.8 6.4 Sep-87 Loomis Sayles 275,073,369 4.2 0.2 -0.1 3.3 7.5 8.7 8.9 5.8 6.2 5.6 7.9 Oct-02 65% BBgBarc Aggregate / 35% BBgBarc HY -0.1 -0.7 1.9 4.7 5.5 7.9 4.9 4.9 4.5 5.9 Oct-02 Manulife Strategic Fixed Income Fund 211,508,017 3.2 0.3 0.3 3.3 4.2 4.8 7.4 4.1 3.9 -- 3.2 Mar-15 BBgBarc Multiverse 0.1 -0.4 2.8 5.4 5.3 7.4 4.2 4.0 2.4 3.3 Mar-15 Total Cash 87,126,216 1.3 0.0 0.0 0.0 0.0 0.6 0.9 1.7 1.7 1.3 0.7 2.6 Apr-94 91 Day T-Bills 0.0 0.0 0.0 0.4 0.7 1.4 1.5 1.1 0.6 2.3 Apr-94 XXXXX

Performance shown is net of manager fees Results for periods longer than one year are annualized Total Fund historical performance calculated quarterly Includes historical benchmark changes Production Date: 11/13/2020

October 31, 2020 4

To: Board of Trustees From: Lawrence Johansen, Director of Investments Date: December 8, 2020 Re: 2021 Investment Committee Meeting Schedule Item: Action: Discussion: Informational: ______

The following schedule for the 2021 Investment Committee meetings was approved by the Investment Committee at their November meeting (all dates below are Fridays):

. January 22, 2021

. February 19, 2021

. March 19, 2021

. April 23, 2021

. May 21, 2021

. June 18, 2021

. July 23, 2021

. August 20, 2021

. September 24, 2021

. October 22, 2021

. November 19, 2021

. December 17, 2021

Our Mission: To provide secure retirement benefits and superior service. 2021 LSRs

Posted on the General Court website as of 11/25/20 NHRS-Related

2020-0073 HB – Relative to administration by the retirement system of certain health care premium deductions. Sponsor(s): Dianne Schuett (Prime), Peter Schmidt, Carol McGuire, Stephen Pearson

2021-0119 HB – Requiring the independent investment committee of the New Hampshire retirement system to report investment fees. Sponsor(s): Dianne Schuett (Prime), Mark Pearson, Kristina Schultz, Arthur Ellison, Gary Merchant

2021-0159 HB – Relative to payment by the state of a portion of retirement system contributions of political subdivision employers. Sponsor(s): Robert “Renny” Cushing (Prime)

2021-0343 HB – Relative to payment by the state of a portion of retirement system contributions of political subividision employers. Sponsor(s): Michael O'Brien (Prime)

2021-0466 HB – Allowing a school district to exempt its chief administrative officer from compulsory participation in the retirement system. Sponsor(s): Patrick Long (Prime)

2021-0471 HB – Relative to the amortization of retirement system unfunded accrued liability. Sponsor(s): Michael O'Brien (Prime)

2021-0794 HB – Relative to workers' compensation offsets for certain retirement system benefits. Sponsor(s): Kristina Schultz (Prime) Withdrawn

None Other LSRs to monitor at this time

2021-0128 HB – Making a technical correction and a clarification in the law governing death benefits for emergency medical technicians and rescue squad members. Sponsor(s): Dianne Schuett (Prime), Jeffrey Goley, Timothy Soucy

2021-0197 HB – Relative to payment for earned but unused vacation or personal time. Sponsor(s): Michael Cahill (Prime)

2021-0253 CACR – Relating to the retirement of judges. Providing that the retirement age of judges be increased. Sponsor(s): Bob Lynn (Prime) (Prime)

2021-0254 HB – Relative to the judicial retirement plan. Sponsor(s): Bob Lynn (Prime) 2021-0330 HB – Relative to death benefits of first responders who die from suicide. Sponsor(s): Daryl Abbas (Prime)

2021-0481 HB – Relative to workers' compensation for heart and lung disease in firefighters. Sponsor(s): Mark Pearson (Prime)

2021-0485 HB – Designating emergency communication personnel as first Responders. Sponsor(s): Richard Littlefield (Prime)

RTK/Legal

2021-0239 HB – Relative to sealing records in nonpublic session under the right-to-know law. Sponsor(s): Josh Yokela (Prime)

2021-0167 SB – Relative to penalties for violation of privacy. Sponsor(s): (Prime) James Gray

2021-0276 HB – Relative to nonpublic sessions under the right to know law. Sponsor(s): Gregg Hough (Prime)

2021-0315 HB – Relative to minutes and decisions in nonpublic sessions under the right-to-know law. Sponsor(s): Jordan Ulery (Prime)

2021-0360 HB – Relative to public notice of and access to meetings under the right to know law. Sponsor(s): Lucy Weber (Prime)

2021-0417 HB – Relative to remote notarization. David Danielson (Prime)

2021-0547 HB – Relative to the creation and use of electronic records by government agencies. Sponsor(s): Lynne Ober (Prime)

BENEFITS Oral Presentation Only

To: NHRS Board of Trustees From: George Lagos, Executive Director Date: November 30, 2020 Re: PPCC - Executive Search Firm Recommendation Item: Action: Discussion: Informational: ______This is a request for approval of a multiple-bid contract in excess of $25,000, in accordance with the Board’s Procurement Policy.

The PPCC is conducting a search for a new Executive Director. A limited number of submissions have been received over the past six weeks, and the Committee determined that in order to develop a larger pool of qualified applicants, a professional search firm should be retained to assist in the process.

After conducting due diligence on three firms and interviews with two of them, the decision was made to select EFL, a nationally recognized professional search firm that has extensive experience working with public pension plans.

In accordance with the recommendation of the PPCC and the reasons set forth in the attached memo from Rosamond Cain, HR Manager, I request that the Board approve a contract with EFL for a fixed fee of $62,000 and any agreed upon expenses billed at actual cost.

Our Mission: To provide secure retirement benefits and superior service.

To: George Lagos, Executive Director From: Rosamond Cain, HR Manager Date: 11/20/2020 Re: Executive Search Firm Item: Action: Discussion: Informational: ______Our Current Executive Director is scheduled to retire as of March 1, 2021. We began a search for his replacement in September 2020. The response to our search has not yielded enough quality candidates to ensure that we fill the position with the right person.

In October, after discussion with the PPCC, we decided to look into hiring an executive search firm. After conducting due diligence, NHRS identified three vendors with particular expertise working with public pension plan executive searches:

• EFL provided a proposal with a fixed fee of $62,000 billed in three installments and any additional expenses billed at actual cost. • Korn Ferry provided a proposal with a rate of 1/3 ($50,000 minimum) of the hired candidates first year compensation and additional expenses billed at 4% of the fee. • Gary Hudepohl declined to submit a proposal on the basis of a potential conflict of issue arising from another similar search assignment in the Northeast.

Our evaluation of these submissions and meetings with two of the three firms indicates that the proposal from EFL demonstrated the best understanding of our objectives and represented the best value for the pricing proposed.

Based on the information provided above, I recommend that we engage with EFL to assist us in our search for an Executive Director.

Our Mission: To provide secure retirement benefits and superior service.

To: Board of Trustees From: George Lagos, Date: December 1, 2020 Re: Executive Director Operating Report Item: Action: Discussion: Informational: ______

Significant Developments and Priority Issues

• We continue with our outreach efforts with respect to the NHRS Board’s action to revise various actuarial assumptions. Since last month’s update, we presented to the Association of Counties, NHMA and a meeting of Londonderry’s City Council, Budget Committee and School Board. • Contact Center (“CC”) implementation is on track and scheduled to go live on Monday, December 7th. We are planning to contract with LexisNexis to utilize their caller validation and authentication products, providing an extra level of security for our members and retirees. • The PPCC has approved the engagement of EFL to undertake the search for the Executive Director position. The contract will come before the Board for approval at the December meeting.

Current Month Highlights

• This month’s KPM score was 96.70%. See 12 month rolling average chart, attached. • The PGV3 project is now 32% complete. Deliverable 2 was recently completed and Deliverable 3 design work is now underway. See status chart, attached. • More than two thirds of staff continue to telework and annuity payroll continues to be processed remotely. We do not expect to initiate Phase II of the transition plan before February 1, 2021.

Upcoming Plans & Projects

• We are finishing the implementation of the Contact Center, including the addition of LexisNexis security solutions for use both in the Contact Center and throughout the organization. • D3 design work. • Revision of procedures and templates for the Employer Audit operation to enhance productivity. • Revision of the Employer Audit / Member Record Adjustment Process to better define the segregation of duties and improve efficiency.

Our Mission: To provide secure retirement benefits and superior service.

DECEMBER KPM Rolling 12-Month Average KPM % Achieved

100

96 95% Target 94 94.66% Average

86 Jan-20 Feb-20 Mar- Apr-20 May- Jun-20 Jul-20 Aug-20Sep-20 Oct-20Nov-20Dec-20 20 20

PGV3 Status November 16, 2020 Project Completion in Percent NHRS Version 3 32 Phase 1 - Project Initiating 100 Phase 2 - Project Planning 100 Phase 3 - Project Monitoring and Controlling 30 Phase 4 - Project Executing 35 Infrastructure 69 Data Conversion 61 Requirements Analysis 100 D1 - Member Basics and Service Purchases 100 D2 - Employer Reporting 100 D3 - Benefit Calculations 11 D4 - Benefit Maintenance and Insurance 0 D5 - Benefit Payroll 0 D6 - Year End Processes, Auditing and…0 D7 - MemberDirect 0 Parallel Processing (2 Months) 0 Phase 5 - Closing 0 Warranty Support (12 months) 0 0 10 20 30 40 50 60 70 80 90 100

Our Mission: To provide secure retirement benefits and superior service.

KPM MONTHLY REPORTING December 2020

“No” answers must include a comment, whereas “Yes” answers can include a comment but a comment is not required. N/A should be used only in cases where reporting is not required, i.e., task is quarterly (comment must so indicate).

ACHIEVED YES No N/A COMMENTS Overall Score X We achieved a 96.70% success ratio. We failed on three (3) KPMs.

Executive 1. Distribute weekly email updates to all Trustees on or before the end X of business on Friday of every week. 2. Distribute weekly email updates to all staff on or before the end of X business on Monday of every week. 3. Maintain expenditures at or less than Trust Fund Budget. X IT 1. All vital servers maintain an uptime of 99% or higher. X 2. All PensionGold requests are prioritized within thirty-one (31) X calendar days. 3. All TrackIT (help desk) requests are followed up with a conversation X (phone/email) within four (4) business days. 4. Maintain help desk survey scores above satisfactory marks of 95% or X higher. 5. All US-CERT email security advisories are placed into the help desk X system to be addressed within two (2) business days. 6. Respond to all phone calls within one (1) business day. X 7. Answer 95% of My Account hunt group (X3508) calls within sixty (60) X seconds. 8. Maintain expenditures at or less than IT budget as reported by X Finance in the most recent manager’s report (1-month lag). Finance 1. Prepare the NHRS Comprehensive Annual Financial Report (CAFR): unaudited by October 31, and the audited CAFR by December 31, in accordance with generally accepted accounting principles. X 2. Reconcile operating bank account within two (2) business days of receipt of bank statements. X 3. Produce and distribute monthly actual-to plan-budget reports within ten (10) business days from the end of the prior month. X 4. Produce the monthly financial statements (FS) for the Board of Trustees meeting at least three (3) business days prior to the X Page 1 of 7

KPM MONTHLY REPORTING December 2020

ACHIEVED YES No N/A COMMENTS scheduled Board mailing. 5. Post all cash receipts for a month, for contribution reporting due that month, into the pension benefit system (PensionGold) within ten (10) business days after the close of the month. X 6. Issue all NHRS and JRP annuitant pension payments timely and accurately. X 7. File annual payroll tax return (form 945) for the annuity payroll by January 31. X No return due this month. 8. Provide fiscal impact statements on retirement-related legislative bills within deadlines set by the Legislative Budget Assistant (LBA). X 9. Reconcile all employer accounts within ninety (90) days of the end of the reporting month. X 10. Generate first notice of employer penalty assessments within five (5) business days of the monthly cash receipt posting. X 11. Process all confirmed post-retirement electronic direct deposit change requests received by the twelfth of the month and direct funds accordingly in the same month. X 12. Deposit all payments received at NHRS offices, with appropriate Under remote working conditions, deposits are supporting documents, into local custodial bank within one (1) done every 2 or 3 days, with checks locked up business day of receipt. X for safekeeping in the interim. 13. Answer 95% of 1099 hunt group (X3659) calls within sixty (60) seconds. X 14. Answer 95% of Employer Exceptions hunt group (X3532) calls within sixty (60) seconds. X 15. Maintain expenditures at or less than Finance Budget as reported in the most recent manager’s report (1-month lag). X Investment 1. Generate investment returns for three (3) and five (5) Year Total Fund Reported quarterly. Total Fund return is behind Performance greater than the applicable Total Fund Benchmark X the benchmark by 1.9% for 3 years and behind measured quarterly. by 0.8 % for 5 years as of September 30, 2020. 2. Generate investment returns for the long-term (20 years) Total Fund Reported annually. Total Fund return of 5.4% Performance greater than the applicable Actuarial Assumed Rate of X for 20 years and 7.5% for 25 years as of June Return (7.25%) measured each June 30. 30, 2020.

3. Generate investment returns for three (3) and five (5) Year Total Fund Reported quarterly. Total Fund return in the Performance greater than the applicable peer universe median X 77% for 3 years and the 56% for 5 years as of Page 2 of 7

KPM MONTHLY REPORTING December 2020

ACHIEVED YES No N/A COMMENTS measured quarterly. September 30, 2020. 4. Commit approximately $65 million in 2019 to Alternatives in Reported annually in January. This was accordance with the IIC’s Private Debt & Private Equity Strategic Plan achieved in 2019. for calendar year 2019. X 5. Manage cash flow and make funds available for the payment of monthly retirement benefits, expenses and capital calls on or before X the last business day of the month. 6. Manage continuously the asset allocation within approved ranges with no variance. X 7. Maintain trading cost at or below median of applicable peer universe. X 8. Ensure all proxies are voted consistent with the Board approved Proxy Policy. X 9. Distribute complete and accurate Investment Committee materials to all members of the Investment Committee on the Friday before the X regularly scheduled monthly Investment Committee meeting. 10. Maintain internal expenditures at or less than Investment Budget as reported by Finance in the most recent manager’s report (1-month X lag). Legal 1. Assure no instances of statutory or regulatory non-compliance. X 2. Provide disability recommendations to the Board within sixty (60) X calendar days of receipt in the Legal Dept. 3. Commence an adjudicative proceeding within sixty (60) calendar days X of receipt of administrative appeal. 4. Present a recommended decision to the Board within seventy-five (75) X calendar days after the close of the record in an appeal. 5. Perform employer compliance field audits; a rolling average of 6 X An improvement plan is in place with the goal to audits per auditor per quarter over the prior 12 month period. meet this KPM by calendar-year end. 6. Present one (1) employer education session per quarter. X 7. Answer 95% of Employer Audit/Compliance hunt group (X3681) calls X within sixty (60) seconds. 8. Maintain expenditures at or less than Legal Budget as reported by X Finance in the most recent manager’s report (1-month lag).

Member Services 1. Calculate all preliminary retirement benefits within thirty (30) X Page 3 of 7

KPM MONTHLY REPORTING December 2020

ACHIEVED YES No N/A COMMENTS calendar days of member-requested date of retirement. 2. Calculate 100% of final retirement benefits within three (3) months of X Delays due to July volume. member-requested date of retirement provided that all statutorily required documentation has been received and all wages have been reported. 3. Schedule member meetings with Benefit Specialists within ten (10) X business days of request. 4. Issue all member retirement benefit estimates within fifteen (15) X business days of receipt of request. 5. Enter member enrollment form data into PensionGold (PG) within five X (5) business days of receipt. 6. Process member refund requests within sixty (60) calendar days of X receipt of statutorily completed refund packet, or within ninety (90) calendar days of receipt of the written request, whichever comes first. 7. Process service purchases within fifteen (15) calendar days of request X receipt. 8. Process additional contribution calculations within thirty (30) X calendar days of receipt. 9. Process employer contribution refunds within sixty (60) calendar X days of receipt. 10. Post all interest to member accounts within the month that Finance X authorized the activity. 11. Adhere to payroll “close” schedule for benefit setup balancing X purposes. 12. Process all pension changes within thirty (30) calendar days of X receipt/notification. 13. Process retiree death benefit refund payments within sixty (60) X calendar days of notification. 14. Establish survivorship benefit setup for payment within sixty (60) X calendar days following receipt of all required death documentation and pension recoveries. 15. Submit new recoupment cases to Recoupment Committee by next X committee meeting following discovery. 16. Initiate Recoupment/Benefits Committee recoupment decisions X within seven (7) business days of decision. 17. Review and balance updates submitted by employers and TPAs to PG X for insurance rate changes received by the first business day of each Page 4 of 7

KPM MONTHLY REPORTING December 2020

ACHIEVED YES No N/A COMMENTS month within four (4) business days. 18. Complete monthly insurance non-rate changes by processing all X authorizations received by the date the annuity payroll is posted with zero carryovers. 19. Render QDRO qualification determinations within federal time limit X guidelines. 20. Answer 95% of Member Benefits hunt group (X3677) calls within X sixty (60) seconds. 21. Answer 95% of Member Accounts hunt group (X3683) calls within X sixty (60) seconds. 22. Answer 95% of Retiree Services hunt group (X3671) calls within sixty X (60) seconds. 23. Answer 95% of Insurance hunt group (X3675) calls within sixty (60) X seconds. 24. Answer 95% of My Account hunt group (X3680) calls within sixty (60) X seconds. 25. Maintain expenditures at or less than Member Services Budget as X reported by Finance in the most recent manager’s report (1-month lag). Human Resources 1. Ensure compliance with all Federal, State and CBA rules and X regulations as measured by no notices of violation. 2. Respond to all payroll errors within one (1) business day, and correct X all payroll errors within one pay cycle. 3. Reduce recruitment time for open staff positions to no more than X forty-five (45) business days and open management/executive positions to no more than ninety (90) business days. 4. Maintain expenditures at or less than HR Budget as reported by X Finance in the most recent manager’s report (1-month lag). PIO

1. Schedule a minimum of thirty (30) member/constituent education X sessions in Concord and statewide each year. 2. Achieve ninety-five percent (95%) rating of members attending a live X education session that the session was “completely/moderately” easy to understand.

Page 5 of 7

KPM MONTHLY REPORTING December 2020

ACHIEVED YES No N/A COMMENTS 3. Meet all deadlines in editorial calendar. X

4. Monitor media coverage of NHRS and provide articles to Board, IIC X and Staff within two (2) business days. 5. Post updated legislative summaries on www.nhrs.org by the end of X business every Friday throughout the legislative session. 6. Prepare and deliver Quarterly Report to the General Court by X January 1, April 1, July 1 and October 1. 7. Maintain expenditures at or less than PIO Budget as reported by X Finance in the most recent manager’s report (1-month lag). Internal Audit 1. Prepare a Risk Assessment and Fiscal Year Audit Plan for the X approval of the Audit Committee annually. 2. Execute and present to the Audit Committee a planned or unplanned X audit every two (2) months. 3. On behalf of the external auditors, administer the GASB census data X audits and provide the completed audits to the external auditors by the established due date. 4. Prepare the updated NHRS Audit Issues Tracking Report for the X Audit Committee and Board of Trustees at least three (3) business days prior to the scheduled Board/Committee mailing. 5. Distribute complete and accurate Audit Committee materials to all X members of the Audit Committee by the Thursday before the monthly meeting. 6. Prepare draft Audit Committee Meeting minutes for review within X three (3) business day of the meeting. 7. Maintain expenditures at or less than Internal Audit Budget as X reported by Finance in the most recent manager’s report (1-month lag).

Administrative 1. Prepare and distribute monthly Board materials by mail the Wednesday before the Tuesday meeting, and electronically by the X Thursday before the Tuesday meeting. 2. Post Board and committee meeting notices according to 91-A:2. X 3. Prepare minutes of Board and Board Committee meetings according to the timeliness guidelines in 91-A:2, with draft minutes for X Page 6 of 7

KPM MONTHLY REPORTING December 2020

ACHIEVED YES No N/A COMMENTS internal review ready by close-of-business on the Friday following the Board meeting. 4. Prepare draft MTeam minutes and forward to Executive Director for review within 24 hours of meeting; to managers for review within 48 X hours of meeting; and post final minutes to the common drive by the Friday following the meeting. 5. Assure that formal complaints are responded to within ten (10) X calendar days. 6. Answer 95% of Reception calls within thirty (30) seconds. X 7. Maintain expenditures at or less than Process Improvement Budget X is reported by Finance in the most recent manager’s report (1-month lag). 8. Maintain expenditures at or less than Administration Budget as reported by Finance in the most recent manager’s report (1-month X lag). 9. Maintain expenditures at or less than Board of Trustees Budget as reported by Finance in the most recent manager’s report (1-month X lag).

Page 7 of 7

Division: Executive Date: July 1, 2020 As of: Dec. 1, 2020 FY 2021 Action Plan Summary

ACTION PM DATE STATUS/COMMENTS 1. Complete implementation of data Recommendations addressed. Follow-up security assessment recommendations GPL/FC 6/30/21 audit with McLane firm and Charles River and continue to enhance IT security. being scheduled. New firewalls being deployed. 2. Complete project plan milestones for This is a four-year project plan scheduled LRS Pension Gold (PGV3) project. GPL/CM 6/30/21 for completion in 2023. Project is 32% complete, on schedule and on budget. 3. Enhance customer services through Go-live date set for Monday, December 7, identification and implementation of 2020. Contracting with LexisNexis for improved administration of phone, fax, GPL/All 12/31/20 additional caller validation / authentication email and walk-in customer contact tools. processes.

4. Develop and document succession Complete. We have a documented plan in plan at all levels, with particular focus GPL/RC 12/31/20 place that which was updated at September on senior positions. 28th PPCC meeting.

5. Manage and implement experience Complete. Experience Study approved; study modification of assumptions and GPL/GM 9/30/20 actuarial assumptions revised; FY19 set contribution rates for FY 22 & 23, Valuation Report approved; rates certified at using the June 30, 2019 valuation. September meeting. Employer outreach effort underway.

To: NHRS Board of Trustees From: George Lagos, Executive Director Date: November 30, 2020 Re: Cisco Firewall Upgrade Item: Action: Discussion: Informational: ______

This memo requests approval by the Board as a sole source contract under the Board’s Procurement Policy, as the proposed expenditure for goods and services exceeds $25,000 and the contract is not being solicited via an RFP. The proposal is to contract with Presidio for the acquisition and installation of three Cisco firewalls at a cost of $55,304.32.

As outlined in the attached memo from IT Director Frank Clough, NHRS currently utilizes three Cisco Firewalls, two firewalls located at the Concord office and one at the COLO. The firewalls are “end of life” and need to be replaced.

NHRS IT has spent considerable time researching our options and negotiating with Presidio, an entity that has had significant experience working with us and is also on the State of NH approved vendor contract.

For the reasons outlined above and in the attached memo, I respectfully request the Board’s approval to proceed with this contract.

GPL

Our Mission: To provide secure retirement benefits and superior service.

To: George Lagos, Executive Director From: Frank Clough, Director of Information Technology Date: November 17, 2020 Re: Cisco Firewall Upgrade Item: Action: Discussion: Informational: ______NHRS currently uses three Cisco Firewalls, two Cisco 5515x and one 5512x. There are two firewalls located at the Concord location and one at the COLO. These firewalls have a number of significant functions for NHRS. They act as a gateway for all Internet traffic for NHRS web-based applications, provide protection from security risks and attacks, allow for remote connectivity, and finally, they provide redundancy to the COLO site should there be a Disaster Recovery event.

The current firewalls are approximately six years old and can no longer support the current NHRS infrastructure needs. They are slow, coming to end of life, and there has been an increase in temporary failures for these devices.

NHRS IT reached out to Presidio, who is on the State of NH approved vendor list, and engaged in a three month discussion for the next set of firewalls. After several months of discussions and negotiations, it was determined by the NHRS IT team that the Cisco Firepower 1150s would be the right fit for both locations.

The proposal includes the following:

• Three Cisco Firepower 1150s appliances with supporting hardware and software. • Cisco Threat protection that includes the required security to protect against incoming and outgoing threats. This includes the management software for all three devices. • Cisco 24x7x4 hour response time for all support issues. • Presidio labor for migration, installation, and any other start up fees required to get the new firewalls up and running. • Next day support after the firewalls are operational to ensure a seamless migration with no outage time. • The cost for these services, hardware, software, and support is $55,304.32.

Presidio has a number of advantages over other vendors:

• Presidio is on the State of NH approved vendor list, ensuring competitive pricing. • Presidio has (and is currently) worked on a number of projects with NHRS over the years and is currently working on the Contact Center Cisco phone system upgrade. • Staff on Presidio’s team installed the current firewalls, and many other parts of the existing NHRS IT infrastructure.

Our Mission: To provide secure retirement benefits and superior service.

• Presidio has unique knowledge and understanding of NHRS’ infrastructure which no other vendor has.

Based on the information above, I recommend that we move forward with the Presidio proposal for the Cisco Firepower firewall upgrade.

Our Mission: To provide secure retirement benefits and superior service.

To: NHRS Board of Trustees From: George Lagos, Executive Director Date: November 30, 2020 Re: LexisNexis – Sole Source Contract Item: Action: Discussion: Informational: ______

This is a request for approval of a sole-source contract with LexisNexis, in accordance with the Board’s Procurement Policy.

LexisNexis Risk Solutions is a corporation providing risk management services to governments and businesses. Their technology is utilized by businesses and public pension systems to validate and authenticate caller identities, which is critically important in protecting member / retiree personal information.

After viewing presentations of their various offerings and conducting due diligence with several public pension plans who have engaged them for similar purposes, we determined that two of their products would be of significant benefit to our newly developed Contact Center, as well as other areas of operation. We also concluded that engaging them for this purpose would be extremely beneficial to our plans to integrate these services into PGV3.

The pricing for these products are: a $20,000 annual licensing fee, with automatic annual renewals and a 60-day termination notice; a $6,000 one-time setup fee; and a $1.55 overage charge for additional transactions above 12,903 a year (we currently estimate a maximum of 7,500 transactions per year).

LexisNexis has a number of advantages over other vendors including: extensive experience with other public retirement systems; it is an existing vendor with NHRS – which currently uses another LexisNexis product to search for unreachable members and beneficiaries; and it has experience integrating identity verification tools into PGV3.

For the reasons outlined above and as set forth in the attached memorandum from Marty Karlon in his capacity as project manager for the Contact Center implementation project, I am asking that the Board approve a one-year, renewable agreement with LexisNexis.

Our Mission: To provide secure retirement benefits and superior service.

To: George Lagos, Executive Director From: Marty Karlon, Director of Communications & Legislative Affairs Date: November 20, 2020 Re: LexisNexis – Sole Source Contract Item: Action: Discussion: Informational: ______One of the retirement system’s ongoing initiatives is to continuously look for ways to protect our data from bad actors. In 2019, NHRS received a demonstration of the LexisNexis Risk Defense Platform – a complementary suite of identity verification modules. No action was taken at that time, however the Contact Center Implementation Team (CCIT) re-visited these solutions as part of the implementation process this fall.

LexisNexis Risk Solutions is a corporation providing risk management services to governments and businesses. The company has an extensive electronic database of credit, identity, telephone, legal, and other public-records related information, and is a global leader in this sector.

The CCIT initially contacted Maine PERS, which was the primary model for our contact center design, to discuss how it uses LexisNexis products. Maine PERS has been successfully using LexisNexis Instant ID Q&A in its contact center for more than a year to verify the identity of members and retirees requesting to update their account information or requesting confidential financial information. Instant ID Q&A generates unique questions that even sophisticated fraudsters cannot easily access answers to. Based on Maine PERS’ experience, we arranged for LexisNexis to give a demonstration to the CCIT, Executive Management team, and IT staff. We also requested contact information for other retirement systems using LexisNexis and had positive conversations with the Texas Municipal Retirement System and the City of Austin (Texas) retirement plan, and an email exchange with the New York City Retirement System.

After a review, we identified Instant ID Q&A and a companion product, Flex ID, as the best solution for the Contact Center. These web-based tools will be used only for member/retiree identity verification for a pre-determined set of requests or transactions and will be available for use by Member Services and Finance as well. NHRS will continue to require paper forms for financial transactions such as direct deposit or refunds of contributions.

Our Mission: To provide secure retirement benefits and superior service.

For the reasons identified above, I am recommending that we execute a one-year, renewable agreement with LexisNexis.

Our Mission: To provide secure retirement benefits and superior service.

PGV3 PROJECT – PROJECT STATUS DECEMBER 2020

Action Plan: PG V3 Implementation Fourth Quarter CY 2020 Responsible for Completion: Cecile Merrill

ACTION DATE STATUS/COMMENTS 1. Data Conversion 12/31/2020 11/30/2020 - 10 Data conversion have Resolve conversion issues (12) on the been resolved 9/30/2020 data conversion log. 2. Implement the plan to fix Employer A.10/16/2020 A. Completed 10/9/2020 Accounts with no Payment record type. B. Fix 100% of B. To be started A. Fix employer records by: the deferred B. Start fixing members records by: vested member records by 12/31/20. 3. D2 User Acceptance Testing, complete test 10/19/2020 10/19/2020 – Completed cases scheduled to be completed per D2 UAT Task spreadsheet. 4. D3 – Requirements Analysis complete 11/02/2020 9/24/2020 – Out of Scope Requirements Completed 10/28/2020 – In Scope Requirements meetings completed 5. D3 – Review, provide feedback and 12/31/2020 11/30/2020 – Staff are reviewing Group approve the Design Documents 1 design documents

To: Board of Trustees From: Tim Crutchfield Date: December 1, 2020 Re: Legal Team Operating Report Item: Action: Discussion: Informational: ______

Significant Developments and Priority Issues • In the Pedersen recoupment case, we have received the signed settlement and payment, thereby concluding the matter. • The Court’s decision in the Scott restoration-to-service case argued on October 20 is not expected until early 2021. • Last month, we were notified by the Dept. of Administrative Services that the administration of the medical subsidy for over 600 Medicare-eligible state retirees will be impacted effective 1/1/21 as a result of our differing interpretations of the statute governing this benefit. Last year the financial implications of the controversy were de minimis as only about a half a dozen payments were affected. This is the same issue the Board voted to request legislative clarification on in January and is the subject of a 2021 LSR. • The Employer Audit (EA) process improvement plan is well underway, including: revised procedures for EA staff; a revised, a streamlined spreadsheet questionnaire for employers; and, a revised, more streamlined final audit report sent to employers. A new auditor was hired effective November 6; however an existing auditor moved to another internal position in early November so we have posted for the open position with the goal to fill our three full-time auditor positions in early 2021. • Beginning December 1, EA staff will work with employers to confirm that audit adjustment data is received timely and submitted in the proper format before Member Services begins the actual adjustments.

Current Month Highlights • As of November 30, the Employer Audit Team has completed 29 standard and 22 GASB audits in the last 12 months. There are 4 standard audits in process. • Seven of the eight KPMs were achieved. The missed KPM was regarding the 12- month rolling standard of 13.75 completed employer audits, while the actual completed number was 12.75.

Upcoming Plans & Projects • The annual Governance Manual update is underway and the consolidated changes will be presented to the Board at its January meeting, as will the renewal of the fiduciary insurance. • Also, the annual RSA 15-A Statement of Financial Interests forms are due to the Secretary of State’s Office by Fri., 1/15/21, so I will be reaching out to Trustees and IIC members later this month with a request to update the forms. Our Mission: To provide secure retirement benefits and superior service.

Administrative Appeals Total Total Cases Cases on Prior 12 New Closed on Appeal Appeal at months Appeals Appeals end of the start of the month month Nov. ‘20 20 0 6 14 Oct. ‘20 19 1 0 20 Sept. ‘20 18 1 0 19 Aug. ‘20 18 0 0 18 July ‘20 16 3 1 18 June ‘20 14 2 0 16 May ‘20 13 2 1 14 April ‘20 11 2 0 13 Mar. ‘20 11 0 0 11 Feb. ‘20 11 2 2 11 Jan ‘20 11 0 0 11 Dec. ‘19 9 2 0 11 Totals 15 10

Disability Appeals Total Total Cases Cases on Prior 12 New Closed on Appeal Appeal at months Appeals Appeals end of the start of the month month Nov. ‘20 4 0 0 4 Oct. ‘20 4 0 0 4 Sept. ‘20 4 0 0 4 Aug. ‘20 4 0 0 4 July ‘20 4 0 0 4 June ‘20 3 2 1 4 May ‘20 3 0 0 3 April ‘20 3 0 0 3 Mar. ‘20 3 1 1 3 Feb. ‘20 3 0 0 3 Jan ‘20 4 0 1 3 Dec. ‘19 4 0 0 4 Totals 3 3

Our Mission: To provide secure retirement benefits and superior service.

Division: Legal/Compliance Date: November 30, 2020

FY 2021 Action Plan Summary

ACTION PM DATE STATUS/COMMENTS 1. Implement and document a TC 9/30/20 Completed. Legal and Compliance has centralized contract review process established a centralized notification process for all contracts except for of expiring contracts to ETeam members. investment managers. 2. Assure legal compliance with all TC 6/30/21 Completed; there were no legislative changes legislative proposals adopted and impacting NHRS this year. effective in 2020. 3. Conduct and document annual TC 12/31/20 Annual review of committee charters and the review of NHRS legal and OFAC Policy are completed. Governance governance policies, procedures Manual review has begun. and manuals to assure best practices. 4. Update the annual compliance TC 12/31/20 Calendar will be updated in December for calendar to ensure statutory Board action in January 2021. compliance in all organizational areas. 5. Ensure VCP Policy compliance with TC 3/31/21 Review scheduled for March 2021. VCP. 6. Review NHRS website for legal TC/MK 6/30/21 Completed. compliance with updates as needed. 7. Identify, enroll, and complete a TC 6/30/21 Staff are participating in webinars professional development program. throughout the year as programs become available.

To: Board of Trustees From: Gerard Murphy, Director of Finance Date: November 24, 2020 Re: Finance Operating Report Item: Action: Discussion: Informational: ______Significant Developments and Priority Issues • November’s focus has been on completing the FY 2020 NHRS CAFR and working with the auditors to finish up their audit. The CAFR, with an unmodified opinion from Plante Moran, is on the agenda to be accepted first by the Audit Committee, and then by the full Board at their respective December meetings.

• A team from NHRS remotely presented the FY 2022/2023 Statutory Administrative Budget, which was approved by Board at its September meeting, to the Governor’s advisory panel on 11/20/20. The NHRS Statutory Administrative Budget will be a component of the Governor’s FY 2022/2023 Budget expected to be introduced in mid-February, and from there the budget process will move over to the legislature.

Current Month Highlights • This month, with the added workload of PGV3 D2 UAT behind us Finance met all of its applicable performance measures.

• Net position as of 10/31/20 was just over $9.3 billion, a slight drop from last month.

• Cash flows for the month and FYTD were as expected. We continue to monitor cash flows closely and will work with the Investments team to ensure sufficient funds are available to cover cash needs.

• FY 2021 spending through October is below budget.

Upcoming Plans & Projects • Now that D2 UAT has been completed, Finance held its first debriefing session to start pulling together a plan and timeline for the development and implementation of communications and education regarding PGV3 with employers. The outreach to employers will be two-pronged: 1. To the employers themselves to provide them with a high-level introduction of the changes coming to employer reporting and to point out the benefits of the new system; 2. To the various payroll software providers used by employers in order to begin communicating with them about the changes to data formats and content under the new system.

• All NHRS participating employers have been notified that NHRS QuickPay, our online ACH payment option free to employers, will be replacing our lockbox service for monthly contribution payments as of 7/1/2021. We will begin reaching out to employers individually beginning in January.

Our Mission: To provide secure retirement benefits and superior service. NHRS Board Monthly Reporting Package Finance December 8, 2020

Net Position ($s in Billions) FY 2021 FY 2020

Current Fiscal Year-To-Date October 2020 October 2019 Net Position Change $0.186 $0.057 Prior Year Beginning Balance $9.134 $9.208 Net Position Balance $9.320 $9.265

CASH FLOW-Contributions & Benefits Cash Basis ($s in Millions) Contributions October 2020 FY 2020 YTD October 2019 FY 2019 YTD Employers $ 38.999 $ 159.927 $ 38.225 $ 158.845 Members $ 18.329 $ 74.963 $ 17.899 $ 74.510 Subtotal $ 57.328 $ 234.890 $ 56.124 $ 233.355 Benefits Annuity & OPEB $ 74.456 $ 296.458 $ 71.350 $ 285.056 Refunds & All Other $ 3.029 $ 11.619 $ 3.421 $ 13.315 Subtotal $ 77.485 $ 308.077 $ 74.771 $ 298.371 Total Cash Flow Gain/(Shortfall) $ (20.157) $ (73.187) $ (18.647) $ (65.016)

FY 2021 BUDGET vs. ACTUAL Investments & Non-Investment Administrative Expenses July 1, 2020 through October 31, 2020 Total Budget FYTD Budget Actual Difference Investment Administrative Expenses Internal (In-house staff) $ 715,500 $ 246,237 $ 227,499 $ 18,738 External (Manager & Custodial) $ 25,850,000 $ 11,850,833 $ 8,939,670 $ 2,911,163 Subtotal $ 26,565,500 $ 12,097,070 $ 9,167,169 $ 2,929,901

Non-Investment Administrative Expenses Internal (Statutory Administrative) $ 9,451,560 $ 3,276,722 $ 2,622,827 $ 653,895 Pension Gold Version 3 $ 2,952,202 $ 984,067 $ 650,070 $ 333,997 External (Actuary, Legal, Audit) $ 1,121,600 $ 373,867 $ 232,830 $ 141,037 Subtotal $ 13,525,362 $ 4,634,656 $ 3,505,727 $ 1,128,929 Total Administrative Expense $ 40,090,862 $ 16,731,726 $ 12,672,896 $ 4,058,830 FY 2019 PENALTY STATISTICS BY TYPE Assessed, Paid, Waived & Pending Penalties July 1, 2018 through June 30, 2019 Assessed Waived Paid Pending Penalty Type Number Amount Number Amount Number Amount Number Amount Reporting Penalty 273 $ 338,098 230 $ 323,918 43 $ 14,180 0 $ - Payment Penalty 194 $ 86,773 120 $ 66,310 74 $ 20,463 0 $ - HB 342 (Retiree Reporting) 11 $ 2,625 8 $ 1,525 3 $ 1,100 0 $ - Total 478 $ 427,496 358 $ 391,753 120 $ 35,743 0 $ -

FY 2020 PENALTY STATISTICS BY TYPE Assessed, Paid, Waived & Pending Penalties July 1, 2019 through June 30, 2020 Assessed Waived Paid Pending Penalty Type Number Amount Number Amount Number Amount Number Amount Reporting Penalty 300 $ 264,097 141 $ 137,634 52 $ 14,197 107 $ 112,266 Payment Penalty 152 $ 102,229 47 $ 62,581 42 $ 12,910 63 $ 26,738 Total 452 $ 366,326 188 $ 200,215 94 $ 27,107 170 $ 139,004

FY 2021 PENALTY STATISTICS BY TYPE Assessed, Paid, Waived & Pending Penalties July 1, 2020 through October 31, 2020 Assessed Waived Paid Pending Penalty Type Number Amount Number Amount Number Amount Number Amount Reporting Penalty 131 $ 229,503 0 $ - 6 $ 726 125 $ 228,777 Payment Penalty 33 $ 29,761 5 $ 12,500 6 $ 1,981 22 $ 15,280 Total 164 $ 259,264 5 $ 12,500 12 $ 2,707 147 $ 244,057 New Hampshire Retirement System Statement of Net Position & Changes in Net Position October 31, 2020 & 2019 ($s in Millions)

1 STATEMENT OF NET POSITION FY 2021 FY 2020 21 vs 20 2 10/31/20 10/31/19 Diff. 3 ASSETS 4 Cash $ 5.3 $ 6.5 $ (1.2) 5 Receivables & Other 63.1 54.4 8.7 6 Investments: 7 Temporary Investments 87.1 56.6 30.5 8 Marketable Investments 6,513.4 6,529.0 (15.6) 9 Real Estate 952.7 938.3 14.4 10 Alternative Investments 1,705.0 1,688.2 16.8 11 Subtotal Investments $ 9,258.2 $ 9,212.1 $ 46.1 12 Total Assets $ 9,326.6 $ 9,273.0 $ 53.6 13 LIABILITIES 14 Management Fees & Other Payables (6.6) (8.1) 1.5 15 NET POSITION HELD FOR BENEFITS $ 9,320.0 $ 9,264.9 $ 55.1

16 STATEMENT OF CHANGES IN NET POSITION 21 vs 20 17 10/31/20 10/31/19 Diff. 18 INVESTMENT PORTION: 19 Additions: 20 Investment Income $ 50.7 $ 53.3 $ (2.6) 21 Net Realized Gains (Losses) 112.6 170.7 (58.1) Net Unrealized Gains (Losses) 114.3 (72.7) 187.0 23 Deductions: . 24 Administrative-Internal (0.2) (0.2) - 25 Administrative-External (6.9) (7.1) 0.2 26 Subtotal Investment Portion $ 270.5 $ 144.0 126.5 27 NON-INVEST. ADMINISTRATIVE PORTION: 28 Additions: 29 Contributions 30 Employers 151.7 144.4 7.3 31 Members 72.1 68.6 3.5 32 Subtotal Contributions $ 223.8 $ 213.0 $ 10.8 33 Deductions: 34 Benefits Paid (281.1) (269.3) (11.8) 35 Refunds/Death Benefits (8.2) (10.7) 2.5 36 OPEB Payments (15.4) (15.8) 0.4 37 Administrative Expenses 38 Non-Statutory (0.2) (0.2) - 39 Statutory (3.5) (3.7) 0.2 40 Subtotal Non-Invest. Adm. Portion $ (84.6) $ (86.7) $ 2.1 41 Change in Net Position $ 185.9 $ 57.3 $ 128.6 42 43 Net Position Beginning of Period $ 9,134.1 $ 9,207.6 (73.5) 44 Net Position End of Period $ 9,320.0 $ 9,264.9 $ 55.1 New Hampshire Retirement System Investment & Non-Investment Administrative Expenses Budget vs. Actual July 1, 2020 Through October 31, 2020 FY 2021

TOTAL FYTD FYTD Budget Budget Actual Difference Variance Explanations 1 Investment Administrative Expenses 2 Internal Investment Expenses 3 Salaries & Benefits $ 603,500 $ 208,904 $ 209,522 $ (618) Leave Payouts 4 Current Expenses/Supplies/Education 16,000 5,333 3,755 1,578 5 Subscriptions 6,000 2,000 1,722 278 6 License Fee-Bloomberg 48,000 16,000 11,250 4,750 7 Organization Dues 18,000 6,000 1,250 4,750 8 Travel 24,000 8,000 - 8,000 9 Subtotal Internal Investment 715,500 246,237 227,499 18,738 10 External Investment Expenses 11 Management Fees 12 Marketable Investments 21,380,000 10,690,000 7,871,485 2,818,515 13 Real Estate 2,500,000 625,000 614,013 10,987 14 Subtotal Management Fees 23,880,000 11,315,000 8,485,498 2,829,502 15 Investment Administrative Expenses 16 Custody Fees 17 Master-BNY Mellon 600,000 150,000 139,954 10,046 18 General Investment Consultant Fees 850,000 212,500 187,500 25,000 19 Legal-Investment 450,000 150,000 114,713 35,287 20 Other Fees 70,000 23,333 12,005 11,328 21 Subtotal Invest. Administrative Expenses 1,970,000 535,833 454,172 81,661 22 Subtotal External Investment 25,850,000 11,850,833 8,939,670 2,911,163 23 24 Total Investment Internal & External $ 26,565,500 $ 12,097,070 $ 9,167,169 $ 2,929,901 Line 12 - Investment Management Fees: FYTD Budgeted in this report at 6 months. Line 13 - Investment Management Fees: FYTD Budgeted in this report at 3 months. Line 17 - Custody Fees, Master BNY Mellon: FYTD Budgeted in this report at 3 month. Line 18 - General Investment Consultant Fees: FYTD Budgeted in this report at 3 month. New Hampshire Retirement System Investment & Non-Investment Administrative Expenses Budget vs. Actual July 1, 2020 Through October 31, 2020 FY 2021

TOTAL FYTD FYTD Budget Budget Actual Difference Variance Explanations 25 Non-Investment Administrative Expenses 26 Internal Non-Investment Expenses 27 Salaries & Benefits $ 6,918,821 $ 2,394,977 $ 2,071,388 $ 323,589 28 Current Expenses 217,485 72,495 45,827 26,668 29 Rents & Leases 482,800 198,433 165,813 32,620 30 Equipment 4,900 1,633 - 1,633 31 Technology-Software & Hardware 885,000 295,000 151,160 143,840 32 Payroll & Other Services 83,704 27,901 6,943 20,958 33 Independent Med. Examiners/Consultants 220,000 73,333 41,511 31,822 34 Retiree Health Insurance 227,900 75,967 68,501 7,466 35 Other 410,950 136,983 71,684 65,299 36 Subtotal Internal Non-Invest. Adm 9,451,560 3,276,722 2,622,827 653,895 37 38 Pension Gold Version 3 Upgrade 2,952,202 984,067 650,070 333,997 39 40 External Non-Investment Expenses 41 Actuarial Fees $ 266,000 88,667 $ 62,700 $ 25,967 42 Legal Fees 225,000 75,000 57,442 17,558 43 Audit Fees 259,500 86,500 29,750 56,750 44 Other Consulting Fees 100,000 33,333 14,049 19,284 45 Insurance Expense 153,600 51,200 31,607 19,593 46 Local Custodian 117,500 39,167 37,282 1,885 47 Depreciation Expense - - - - 48 Subtotal External Non-Invest. Adm 1,121,600 373,867 232,830 141,037 49 50 Total Non-Invest. Internal & External $ 13,525,362 $ 4,634,656 $ 3,505,727 $ 1,128,929 51 52 Total Administrative Expense $ 40,090,862 $ 16,731,726 $ 12,672,896 $ 4,058,830 New Hampshire Retirement System As of October 31, 2020 Pension Gold Version 3 Upgrade Total Project Lifecycle (1) (2) (3) (4) (5) (6) (7) (8) (9) (10) EXTERNAL COSTS

Hardware Costs Software Costs Other Costs PG V3 PG V3 Support Implementation Test Production Commodity Software Consulting Subtotal Perpetual Legal Costs Costs Costs environment environment Software Costs Licenses Costs External Costs License 1 2019 Budget $ 850,175 $ - $ - $ - $ - $ - $ - $ 100,000 $ 20,000 $ 970,175 2 2019 Actual $ 850,175 $ - $ - $ - $ - $ - $ - $ 62,700 $ 6,776 $ 919,651 3 2019 Variance $ - $ - $ - $ - $ - $ - $ - $ 37,300 $ 13,224 $ 50,524 4 2019 Comments 5 6 7 2020 Budget $ - $ 170,035 $ 2,012,751 $ 50,000 $ - $ 10,000 $ 2,280 $ 114,125 $ - $ 2,359,191 8 2020 BUD Update $ (543,726) $ (543,726) 9 2020 Adj Budget $ - $ 170,035 $ 1,469,025 $ 50,000 $ - $ 10,000 $ 2,280 $ 114,125 $ - $ 1,815,465 10 2020 Actual $ - $ 170,035 $ 1,462,054 $ 25,717 $ - $ - $ - $ 84,838 $ - $ 1,742,644 11 2020 Variance $ - $ - $ 6,971 $ 24,283 $ - $ 10,000 $ 2,280 $ 29,288 $ - $ 72,822 12 2020 Comments 13 14 15 2021 Budget $ - $ 170,035 $ 2,012,751 $ - $ - $ - $ - $ 114,125 $ - $ 2,296,911 16 2021 BUD Update $ (782,531) $ (782,531) 17 2021 Adj Budget $ - $ 170,035 $ 1,230,220 $ - $ - $ - $ - $ 114,125 $ - $ 1,514,380 18 2021 Actual $ - $ - $ 490,968 $ - $ - $ - $ - $ 20,832 $ - $ 511,800 19 2021 Variance $ - $ 170,035 $ 739,252 $ - $ - $ - $ - $ 93,293 $ - $ 1,002,580 20 2021 Comments 21 22 23 2022 Budget $ - $ 170,035 $ 1,070,699 $ - $ 50,000 $ 105,000 $ - $ 114,125 $ - $ 1,509,859 24 2022 BUD Update $ 662,132 $ 662,132 25 2022 Adj Budget $ - $ 170,035 $ 1,732,830 $ - $ 50,000 $ 105,000 $ - $ 114,125 $ - $ 2,171,990 26 2022 Actual $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - 27 2022 Variance $ - $ 170,035 $ 1,732,830 $ - $ 50,000 $ 105,000 $ - $ 114,125 $ - $ 2,171,990 28 2022 Comments 29 30 31 2023 Budget $ - $ 170,035 $ 1,070,699 $ - $ - $ - $ - $ 48,500 $ - $ 1,289,234 32 2023 BUD Update $ 134,522 $ 134,522 33 2023 Adj Budget $ - $ 170,035 $ 1,205,220 $ - $ - $ - $ - $ 48,500 $ - $ 1,423,755 34 2023 Actual $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - 35 2023 Variance $ - $ 170,035 $ 1,205,220 $ - $ - $ - $ - $ 48,500 $ - $ 1,423,755 36 2023 Comments 37 38 39 2024 Budget $ - $ 389,845 $ 1,088,276 $ - $ - $ - $ - $ - $ - $ 1,478,121 40 2024 BUD Update $ 529,604 $ 529,604 41 2024 Adj Budget $ - $ 389,845 $ 1,617,880 $ - $ - $ - $ - $ - $ - $ 2,007,725 42 2024 Actual $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - 43 2024 Variance $ - $ 389,845 $ 1,088,276 $ - $ - $ - $ - $ - $ - $ 1,478,121 44 2024 Comments 45 46 47 TOTAL Budget $ 850,175 $ 1,069,985 $ 7,255,175 $ 50,000 $ 50,000 $ 115,000 $ 2,280 $ 490,875 $ 20,000 $ 9,903,490 48 TOTAL BUD Update $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - 49 TOTAL Adj Budget $ 850,175 $ 1,069,985 $ 7,255,175 $ 50,000 $ 50,000 $ 115,000 $ 2,280 $ 490,875 $ 20,000 $ 9,903,490 50 TOTAL Actual $ 850,175 $ 170,035 $ 1,953,022 $ 25,717 $ - $ - $ - $ 168,370 $ 6,776 $ 3,174,095 51 TOTAL Variance $ - $ 899,950 $ 5,302,153 $ 24,283 $ 50,000 $ 115,000 $ 2,280 $ 322,506 $ 13,224 $ 6,729,396 52 TOTAL Comments 53 54 Assumptions: 55 No costs associated with PGV2 are included in this analysis 56 PGV3 Support Costs are at the Standard rate (as opposed to premium) 57 Implementation Costs detailed in each year's Adjusted Budget match the payment schedule in the LRS contract, and total the not-to-exceed amount 58 The Adjusted Budget for Internal Costs reflects the amounts included in the preliminary draft of the FY22/23 statutory administrative budget 59 There are no costs for hardware that may be necessary at COLO included above 60 Consulting costs in total are set at the not-to-exceed amount set in the contract with LRWL 61 In FY24, additional staffing costs are increased 5% over FY23 New Hampshire Retirement System As of October 31, 2020 Pension Gold Version 3 Upgrade Total Project Lifecycle (1) (2) (3) (4) (5) (6) (7) (8) INTERNAL COSTS

TOTAL PROJECT Additional Staffing Costs Current Desks/Office Subtotal Internal Overtime Desktop PC's Travel with benefits Expenses Furniture Costs 1 2019 Budget $ 177,145 $ - $ 40,858 $ 2,644 $ 2,363 $ - $ 223,010 $ 1,193,185 2 2019 Actual $ 155,718 $ 3,115 $ 1,442 $ 2,644 $ 2,363 $ - $ 165,282 $ 1,084,933 3 2019 Variance $ 21,427 $ (3,115) $ 39,416 $ - $ - $ - $ 57,728 $ 108,252 4 2019 Comments 5 6 7 2020 Budget $ 525,220 $ 20,000 $ 9,000 $ 11,100 $ 20,000 $ 2,250 $ 587,570 $ 2,946,761 8 2020 BUD Update $ - $ (543,726) 9 2020 Adj Budget $ 525,220 $ 20,000 $ 9,000 $ 11,100 $ 20,000 $ 2,250 $ 587,570 $ 2,403,035 10 2020 Actual $ 368,213 $ 883 $ 2,334 $ - $ - $ - $ 371,430 $ 2,114,074 11 2020 Variance $ 157,007 $ 19,117 $ 6,666 $ 11,100 $ 20,000 $ 2,250 $ 216,140 $ 288,962 12 2020 Comments 13 14 15 2021 Budget $ 624,041 $ 20,000 $ 9,000 $ 2,250 $ 655,291 $ 2,952,202 16 2021 BUD Update $ - $ (782,531) 17 2021 Adj Budget $ 624,041 $ 20,000 $ 9,000 $ - $ - $ 2,250 $ 655,291 $ 2,169,671 18 2021 Actual $ 135,428 $ 2,392 $ 450 $ - $ - $ - $ 138,270 $ 650,070 19 2021 Variance $ 488,613 $ 17,608 $ 8,550 $ - $ - $ 2,250 $ 517,021 $ 1,519,601 20 2021 Comments 21 22 23 2022 Budget $ 655,243 $ 20,000 $ 10,000 $ - $ - $ - $ 685,243 $ 2,195,102 24 2022 BUD Update $ (55,316) $ 2,250 $ (53,066) $ 609,066 25 2022 Adj Budget $ 599,927 $ 20,000 $ 10,000 $ - $ - $ 2,250 $ 632,177 $ 2,804,167 26 2022 Actual $ - $ - $ - $ - $ - $ - $ - $ - 27 2022 Variance $ 599,927 $ 20,000 $ 10,000 $ - $ - $ 2,250 $ 632,177 $ 2,804,167 28 2022 Comments 29 30 31 2023 Budget $ 688,005 $ 20,000 $ 10,000 $ - $ - $ - $ 718,005 $ 2,007,239 32 2023 BUD Update $ (65,909) $ 2,250 $ (63,659) $ 70,863 33 2023 Adj Budget $ 622,096 $ 20,000 $ 10,000 $ - $ - $ 2,250 $ 654,346 $ 2,078,101 34 2023 Actual $ - $ - $ - $ - $ - $ - $ - $ - 35 2023 Variance $ 622,096 $ 20,000 $ 10,000 $ - $ - $ 2,250 $ 654,346 $ 2,078,101 36 2023 Comments 37 38 39 2024 Budget $ 722,405 $ - $ 5,000 $ - $ - $ - $ 727,405 $ 2,205,526 40 2024 BUD Update $ (69,204) $ (69,204) $ 460,400 41 2024 Adj Budget $ 653,201 $ - $ 5,000 $ - $ - $ - $ 658,201 $ 2,665,926 42 2024 Actual $ - $ - $ - $ - $ - $ - $ - $ - 43 2024 Variance $ 653,201 $ - $ 5,000 $ - $ - $ - $ 658,201 $ 2,665,926 44 2024 Comments 45 46 47 TOTAL Budget $ 3,392,059 $ 80,000 $ 83,858 $ 13,744 $ 22,363 $ 4,500 $ 3,596,524 $ 13,500,014 48 TOTAL BUD Update $ (190,429) $ - $ - $ - $ - $ 4,500 $ (185,929) $ (185,929) 49 TOTAL Adj Budget $ 3,201,630 $ 80,000 $ 83,858 $ 13,744 $ 22,363 $ 9,000 $ 3,410,595 $ 13,314,085 50 TOTAL Actual $ 659,359 $ 6,390 $ 4,226 $ 2,644 $ 2,363 $ - $ 674,982 $ 3,849,077 51 TOTAL Variance $ 2,542,271 $ 73,610 $ 79,632 $ 11,100 $ 20,000 $ 9,000 $ 2,735,613 $ 9,465,009 52 TOTAL Comments 53 54 Assumptions: 55 No costs associated with PGV2 are included in this analysis 56 PGV3 Support Costs are at the Standard rate (as opposed to premium) 57 Implementation Costs detailed in each year's Adjusted Budget match the payment schedule in the LRS contract, and total the not-to-exceed amount 58 The Adjusted Budget for Internal Costs reflects the amounts included in the preliminary draft of the FY22/23 statutory administrative budget 59 There are no costs for hardware that may be necessary at COLO included above 60 Consulting costs in total are set at the not-to-exceed amount set in the contract with LRWL 61 In FY24, additional staffing costs are increased 5% over FY23 Division: ____Finance______Date: 11/24/2020 Approved: GPL June 1, 2020 FY 2021 Action Plan Summary

ACTION PM DATE STATUS/COMMENTS 1 Perform tasks associated with PG V3 GM/HF/Finance 6/30/21 HF will be primary contributor. GM implementation as per contractual Team/PG V3 and Finance team to participate when implementation schedule. Steering needed/required. Finance heavily Committee participating in D2 UAT. 2 Receive unmodified audit opinion for GM/HF/Finance 12/31/20 Completed - FY 2020 NHRS CAFR FY 20 audit. Team with unmodified position is on the agenda for the December Board meeting. 3 Complete RFP process and award GM/HF/LJ 12/31/20 At its November meeting, the Board contract for actuarial consulting voted to select GRS as the actuarial services. consultant for NHRS subject to successful contract negotiations. The final contract is expected to be signed in early December. 4 Assure all statutory and other GM/HF/Finance 6/30/21 FY 22/23 Statutory Administrative financial reporting deadlines and Team Budget approved at 9/8/20 Board requirements are met including the meeting, and included as part of CAFR, benefit payroll, 1099s, GASB 75 Agency phase budget for SONH implementation, FY 22 NHRS Trust released publically 10/1/20. This Fund budget, FY 22/23 Statutory budget was presented remotely by Administrative Budget. NHRS staff at the Governor’s Budget hearing on 11/20/2020. 5 Ensure Board approval of FY 22/23 GM/HF/PIO 10/31/20 Completed - Rates certified at employer contribution rates and 9/8/20 Board meeting, communicate those rates to employers. communications efforts ongoing. 6 Discontinue lockbox services and GM/HF/MK 6/30/21 Continuing to work with employers replace with NHRS QuickPay, including making the transition to electronic the development and implementation of payments. In December, we will be

the communication plan for employer identifying those employers who have notification. not begun using electronic payment methods, and then reaching out to those employers. 7 Deploy “New Staff Member” packet to GM/HF/Finance 3/31/21 Project will ramp up once PGV3 D2 address turnover of staff from Team/PIO testing subsides, in January participating employers responsible for NHRS reporting 8 Once UAT for PGV3 deliverable 2 is GM/HF/CM/PIO 2/28/21 Targeting January for a virtual complete, schedule 4 employer working meeting of the group. group meetings to discuss more specific changes that will be coming for employers in PGV3. 9 Develop plan and timeline for sending GM/HF/PIO 6/30/21 D2 UAT debriefing sessions will be 4 PGV3 communications to all held in Early December, followed by participating employers once PGV3 meetings between Finance, IT, PIO, Deliverable 2 UAT is complete and and LRWL to begin developing the concepts are vetted with the employer comprehensive employer working group. communication plan and timeline. 9 Manage & monitor expenditures to GM/HF/ E-Team 6/30/21 Spending through October is under stay within the NHRS Trust Fund and budget. statutory administrative budgets. 10 Inventory and evaluate all Finance GM/HF/Finance 06/30/21 records stored at state archives to Team/IT determine if they can be destroyed or if they need to be kept and/or imaged and destroyed. 11 Enroll in and attend the P2F2 GM 10/31/20 Completed - Conference was online Program offered in October of 2020. this year, and GM participated in most of the sessions offered.

New Hampshire Retirement System 54 Regional Drive, Concord, NH 03301 Phone: (603) 410-3500 - Fax: (603) 410-3501 Website: www.nhrs.org - Email: [email protected]

NHRS DASHBOARD: FY 2021 First Quarter For the period June 30, 2020 to September 30, 2020 Updated October 2020 TRUST FUND

1st Quarter FY 2020: $9.157 billion 1st Quarter FY 2021: $9.395 billion*

Assets in Billions: June 30, 2011 to present

$8.874 $9.208 $9.134 $9.395 $7.414 $7.530 $7.460 $8.293 $5.891 $5.774 $6.428

6/30/11 6/30/12 6/30/13 6/30/14 6/30/15 6/30/16 6/30/17 6/30/18 6/30/2019 6/30/20 9/30/20*

* Unaudited

INVESTMENT PERFORMANCE

Net-of-fees returns FYTD – 9/30/20* 1 yr. at 6/30/20 3 yr. at 6/30/20 5 yr. at 6/30/20 10 yr. at 6/30/20 Total Fund Composite 3.7% 1.1% 5.2% 5.9% 8.7% Peer comparison (percentile) N/A 81st 66th 49th 26th Assumed Rate of Return: 6.75%; * Annualized; valuation of real estate and alternative investments lagged three months.

KEY PERFORMANCE MEASURES

July 2020: 96.51% Aug. 2020: 93.18% Sept. 2020: 93.18% 12-month rolling average: 95.32% Target: 95% CONTRIBUTIONS (in millions through 9/30*)

2021 FYTD $154.9 2020 FYTD $153.3 2019 FYTD $148.9

0 100 200 300 400 500 600 700 800 900 1000

* 9/30/20 data is unaudited BENEFITS PAID (in millions through 9/30*)

2021 FYTD $228.0 2020 FYTD $221.6 2019 FYTD $216.8

0 100 200 300

* 9/30/20 data is unaudited

Note: Benefits are paid from member and employer contributions and investment income. Historically, investment income has accounted for the majority of trust fund assets. There is a one-month lag in the reporting of member and employer contributions to NHRS, which accounts for the majority of the quarterly difference between contributions and benefits.

Quarterly Dashboard for Board of Trustees – FY 2021 – Q1 RETIREMENTS AND REFUNDS

1,500 2017 FYTD 931 974 1,020 937 970 1,000 2018 FYTD 480 464 498 508 351 500 2019 FYTD 0 2020 FYTD New retirement applications placed on Refunds at 9/30 payroll at 9/30 2021 FYTD

EXPENSES AS A PERCENTAGE OF ASSETS

0.60% 0.48% 0.48% NHRS 0.40% 0.30% 0.19% NEPC Public Fund Universe (35 0.11% 0.20% 0.09% DB funds greater than $1B) 0.00% NCPERS Universe (167 public DB Investment Expenses Administrative Expenses funds)

Most recent data available (NCPERS - FY 2019; NEPC - FY 2019) ACTUARIAL FUNDED RATIO

100.0% 80.0% 63.6% 58.5% 57.4% 56.1% 56.7% 60.7% 59.2% 60.0% 61.8% 60.8% 60.0% 40.0% 20.0% 0.0% 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Funded ratio impacted by reductions to assumed rate of return and revised actuarial assumptions in 2011, 2016, and 2020 MEMBERS

50,467 49,738 48,625 48,688 48,307 47,812 48,069 47,886 48,121 48,288 50,000 40,000 30,000 20,000 10,000 0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

RETIREES & BENEFICIARIES

60,000 35,694 37,012 38,352 40,000 31,054 31,350 32,776 25,845 27,130 28,454 29,729 20,000

0 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Quarterly Dashboard for Board of Trustees – FY 2021 – Q1

To: Board of Trustees From: Frank Clough, Date: November 23, 2020 Re: Information Technology Operating Report Item: Action: Discussion: Informational: ______

Significant Developments and Priority Issues

• Enterprise Firewalls – After several months of discussions and review, IT made the decision to recommend new Cisco Firewalls. Waiting on Approval. • Working on Fusion Cell recommendations, this includes deploying air filtration system upgrades, kiosks, touchless facets, sanitization stations, and soap dispensers in the office. • Working on the deployment of Forcepoint Websense web filtering. This application is used to provide protection against Internet threats. Working with support to finalize installation. • Alarm System – Completed. • Virtualization of PGV2 – Phase one of the project is completed, this was the testing phase. We are reviewing phase 2, which is moving the environment into production. • Bandwidth upgrade – Cutover scheduled for November 24. • Vulnerability and penetration testing – Perform system wide security testing to NHRS assets. This was completed on time, we are waiting on the report.

Current Month Highlights

• KPMs – All KPMs were met this month. • IT Customer Satisfaction Score – 100%

Upcoming Plans & Projects

• Reviewing Cloudflare and Akamai for an upgrade or replacement of the Web Application Firewall.

Our Mission: To provide secure retirement benefits and superior service.

NHRS Helpdesk Ticket Information by Month

Help Desk Tickets 300

250

200

150

100

Opened Closed Pending

NHRS Customer Satisfaction Scores by Month

Cusomter Service Satisfaction (%) 100 99.8 99.6 99.4 99.2 99 98.8 98.6 98.4

Our Mission: To provide secure retirement benefits and superior service.

Division: _____Information Technology___ Date: November 23, 2020 Approved:

FY 2021 Action Plan Summary

ACTION PM DATE STATUS/COMMENTS 1 Migrate Managed SOC services from DC, FC 08/31/2020 Completed July 20. Tyler Technologies to Secureworks.

2 Perform external security IT Audit DC, FC 03/31/2021 Assessment completed, waiting on (File/Access/System/best practices). report. 3 Expand on Security Awareness training DC, FC 06/30/2021 Evaluating new trainings. to include 6 additional trainings, testing, and interaction with staff.

4 Upgrade and replace Cisco Firewalls. RP, FC 12/31/2020 Waiting on Approvals.

5 Perform and complete yearly staff CM, DC, 12/31/2020 Project is underway. permission review and folder access FC rights. 6 Upgrade legacy building alarm system. CM, FC 11/30/2020 Completed November 2.

7 Perform tasks associated with CM, FC 06/30/2021 Ongoing. PensionGold V3 implementation as per contractual implementation schedule. 8 Develop and deploy Interactive Voice FC, CM 06/30/2021 Project is underway. Response (IVR) for PensionGold integration in to the telephone system. 9 Identify, enroll and complete a FC 06/30/2021 Not started. professional development program.

To: Board of Trustees From: Nancy J. Miller, Director of Member Services Date: December 1, 2020 Re: Member Services Operating Report Item: Action: Discussion: Informational: ______

Significant Developments and Priority Issues

• Option Factors returned from GRS and have been scripted into Pension Gold for use in estimates for retirements effective 3/1/21. A follow up conference is being scheduled to review a few items that GRS noted. • Out of Scope PGV3 design reviews and CR recommendations were carried out this month.

Current Month Highlights

• Candidates were identified to fill two vacant Benefit Coordinator positions in Member Benefits. • MS Retiree Insurance is continuing phase two work with Medical Subsidy Eligibility Questionnaires. • Member Services engaged in the Document Imaging projects with IT and continued to build transition and training plans with the Contact Center Team.

Upcoming Plans & Projects

• Recruiting for Retirement Generalist position in order to transition staff member to Finance position. • Member Benefits is entering the last month of the July retirement finalization project, with an aggressive goal of finalizing the remaining 50% of July retirees. • The Judicial Retirement Plan annual COLA’s will be processed in the December payroll.

Our Mission: To provide secure retirement benefits and superior service.

Retirement Applications Placed on Payroll 800 700 600 500 400 300 200 100 0

2021 2020 2019 2018 2017 2016

Retirement Appointments 250

200

150

100

2021 2020 2019 2018 2017 2016 2015

Our Mission: To provide secure retirement benefits and superior service.

Division: Member Services Date: December 1, 2020

FY 2021 Action Plan Summary

ACTION PM DATE STATUS/COMMENTS 1 NM/MS/IT/LRS 6/30/21 current Adhere to and complete PGV3 project plan milestones relative to all Member Services functions

2 NM/MS Testing Completed. Manage, facilitate, test and staff/GRS/LRS/IT complete Review completed by GRS 11/20 implement new Option Factors 9/30/20 Script run 11/21 for NHRS Benefit Calculations Results and backup documents over In use to GRS week of 10/19/20 3/1/2021 3 NM/ETeam/Powerhouse 12/31/20 MS as part of Operations team is Enhance customer services Consulting/LRS current on deliverable through identification and implementation of improved administration of phone, fax, email and walk-in customer contact processes.

4 MS/Compliance/IT/HR 7/31/21- MS/Employer Audit implementing Develop and document plan to reduction process changes with 1/1/21 address and reduce backlog by results effective 50%, while keeping current with new record adjustments required during the fiscal year.

5 NM/MS managers/PIO 12/30/20 Behind monthly goals, 50% finalized

Finalize 90% of all July as of 11/20 retirements within 5 months.

6 NM/Member 12/30/20 3 videos completed, 2 additional Develop and implement 5 Video Benefits/Legal/PIO topics identified and drafted 11/20 Tutorials for Group I and Group II Service and Early retirement processes- for use by Member Benefits Staff to guide Members in retirement application process

To: Board of Trustees From: Marty Karlon Date: November 25, 2020 Re: Communications/Legislative Affairs Operating Report Item: Action: Discussion: Informational: ______

Significant Developments and Priority Issues

 NHRS remains on schedule for Contact Center launch in December.  Seven bill titles related to the retirement system have been filed through November 25.

Current Month Highlights

 Outreach and education regarding FY 22-23 employer contribution rates continued in November with presentations for the NH Association of Counties, NH School Business Officers group, the town of Londonderry, and the NH Municipal Association.  Hosted Two employer and two member education webinars and presented at new hire webinar for DHHS employees.  Completed intranet resource site for Contact Center.  Prepared Summary Comprehensive Annual Report.

Upcoming Plans & Projects

 One employer and two member webinars scheduled in December.  Preparing 2021 informational presentations for legislative committees.

Our Mission: To provide secure retirement benefits and superior service.

NHRS Outreach and Education 70 60 50 40 30 20 10 0 2017 2018 2019 2020

Member Employer Other

“Other” events include presentations to member, employer, and retiree organizations and educational events organized by another entity that NHRS participates in.

NHRS-related Legislation 20

0 2014 2015 2016 2017 2018 2019 2020

Failed Passed

NHRS in the News 70 60 50 40 30 20 10 0 2014 2015 2016 2017 2018 2019 2020

News articles and commentary in NH and national media outlets in which NHRS is the primary subject.

Our Mission: To provide secure retirement benefits and superior service.

New Hampshire Retirement System Board Meeting

Consent Agenda Tuesday, December 8, 2020

Disability Application Recommendations

1. L.H. Grant ordinary disability retirement (ODR) to this group I member who worked for a political subdivision and has 17 years and 10 months of creditable service, based on medical evidence that supports her claim for permanent incapacity from her work duties due to a medical condition and deny accidental disability retirement (ADR) based on the opinion of the independent medical examiner that her condition is not work related. 2. K.K. Grant ordinary disability retirement (ODR) to this group I member who worked for the State of New Hampshire and had 18 years and 7 months of creditable service, based on medical evidence that supports her claim for permanent incapacity from her work duties due to a medical condition. 3. D.M. Grant ordinary disability retirement (ODR) to this group II member who worked for a political subdivision and has 19 years and 3 months of creditable service, based on medical evidence that supports her claim for permanent incapacity from her work duties due to a medical condition. 4. C.P. Grant accidental disability retirement (ADR) to this group II member who worked for a political subdivision and has 9 years and 1 month of creditable service, based on medical evidence that supports his claim for permanent incapacity from his work duties due to a medical condition. 5. K.T. Grant ordinary disability retirement (ODR) to this group I member who worked for a political subdivision and has 15 years of creditable service, based on medical evidence that supports his claim for permanent incapacity from his work duties due to a medical condition.

Administrative Recommendations 6. J. Balint Recommend that the Board of Trustees uphold the NHRS Staff’s determination relative to the forfeiture of the state annuity portion of the Petitioner’s retirement allowance for a period of 12 months. 7. E. Mann Recommend that the Board of Trustees uphold the NHRS Staff’s determination relative to the starting date of Petitioner’s vested deferred retirement, and the denial of his request for retroactive benefits. 8. C. Stratton Recommend that the Board of Trustees uphold the NHRS Staff’s determination relative to the starting date of the Petitioner’s retirement. Trustee Travel No Travel Requests Submitted

To: NHRS Board of Trustees From: Tim Crutchfield, Deputy Director Date: December 1, 2020 Re: November 10, 2020 Action Items Item: Action: Discussion: Informational: ______

1. Schedule re-audit on DRAPP. GPL/FC Action: Scheduling reassessment.

2. Finalize GRS contract. GM Action: In process with completion expected in December.

3. Finalize ISS contract. LJ Action: Completed.

4. CAFR and CAIR for Board approval at December meeting. GM/LJ Action: On December agenda for action.

5. Investment Policy revision for Board approval at December meeting. LJ Action: On December agenda for action.

6. Implement Board decisions on Consent Calendar. DC Action: Completed.

Our Mission: To provide secure retirement benefits and superior service.

BOARD CHECKPOINT DISCUSSION

Executive Summary of New Hampshire Retirement System (NHRS) Board of Trustees Meetings

October 13, 2020, to December 8, 2020

At the October 13, 2020, regular monthly meeting of the NHRS Board of Trustees, the Board unanimously voted to accept the recommendation of the Independent Investment Committee and select Callan to replace NEPC as the NHRS investment consultant following an RFP that was issued in May. Mr. Johansen indicated that it was his perspective that the IIC was seeking a fresh outlook after 10 years of working with NEPC, adding that negotiations with Callan had yielded savings of nearly $500,000 in consulting fees over the next five years. He then gave an overview of Callan in response to a Trustee’s question, stating that it is one of the leading national, independent, employee- owned investment consulting firms and one of the largest in the business.

The Board voted unanimously to approve the Calendar Year 2019 Gainful Occupation Compliance Report, as presented.

Chair Tim Lesko publicly thanked NHRS’ Internal Auditor Nancy Cone, who announced her retirement during the Audit Committee meeting prior to the Board meeting. She will be retiring December 31.

At the November 10, 2020, regular monthly meeting, Executive Director George Lagos gave a two-part presentation to the Board on the System’s COVID Transition Plan. The first part focused on staff’s work with Fusion Cell, the consultant that NHRS contracted with to assist in the formulaic approach to the Plan. He noted that Fusion Cell’s extensive expertise and prior experience had proven to be invaluable to the process. Mr. Lagos then gave an overview of the four proposed phases to the Transition Plan, which was designed to return more staff to the office and re-establish public access over the next six months. Mr. Lagos emphasized that the transition timing is fluid and that the System is taking a conservative approach, focused on the health and safety of its members and staff.

The Board unanimously voted to select incumbent GRS as the retirement system’s actuary, subject to successful engagement negotiations. An RFP for actuarial services was issued in August, with five nationally recognized public pension plan actuarial firms submitting proposals.

The Board received an update on the Contact Center project, which is on track to go live in December. The goal is the project is to improve customer satisfaction by streamlining and improving member and retiree interactions with system representatives.

NHRS Quarterly Report to the General Court – October-December 2020 1

At the December 8, 2020, regular monthly meeting, … (TBD)

The Board received its monthly update on the multi-year pension administration software upgrade project (“PGV3”), which began in January 2019. …

*** Additional details regarding actions and discussions of the NHRS Board of Trustees may be found in the archive of meeting minutes posted on www.nhrs.org. The direct link to this page is: https://www.nhrs.org/about-nhrs/board-of-trustees/meeting-minutes

NHRS Quarterly Report to the General Court – October-December 2020 2

New Hampshire Retirement System 54 Regional Drive, Concord, NH 03301 Phone: (603) 410-3500 - Fax: (603) 410-3501 Website: www.nhrs.org - Email: [email protected]

TO: Senator Sharon Carson, Chair, Senate Executive Departments & Administration Committee Representative Jeff Goley, Chair, House Executive Departments & Administration Committee

FROM: New Hampshire Retirement System Board of Trustees (Prepared by George P. Lagos, Executive Director)

RE: Quarterly Report to the General Court – January 1, 2021

Dear Senator Carson and Representative Goley: Pursuant to RSA 100-A:14, VII-a, the Board of Trustees of the New Hampshire Retirement System (NHRS, the retirement system) is submitting this quarterly report to the General Court. Here is a summary of NHRS activities during the quarter ending December 31, 2020:  NHRS realized a 1.1% return on investments in the fiscal year ended June 30, 2020. The three-year, five- year, 10-year, 20-year, and 25-year returns for the periods ended June 30, 2020, were 5.2%, 5.9%, 8.7%, 5.4%, and 7.5%, respectively. All returns are net of fees. The retirement system’s assumed rate of investment return is 6.75%.  The trust fund stood at approximately $9.134 billion as of June 30, 2020, a decrease of $74 million as compared to June 30, 2019.  Over the past several months, NHRS has conducted outreach efforts with public employer associations and groups, as well as labor organizations and individual employers, to communicate information with respect to the recently concluded experience study and resulting FY 22-23 employer contribution rate increases.  The retirement system has remained fully operational throughout the quarter despite disruptions related to the coronavirus (COVID-19) pandemic. We have developed a flexible, responsible plan to safely re-open our office for member appointments with new safety protocols in place that adhere to state and federal public health guidelines. Our expectation, at this time, is to start that process sometime in the first quarter of 2021, depending upon where the State is in terms of new COVID infections.  Following an RFP process initiated in May, Trustees unanimously voted at the October Board meeting to accept the recommendation of the Independent Investment Committee and select Callan to replace NEPC as the NHRS investment consultant, subject to successful contract negotiations.  Trustees in November unanimously voted to select incumbent GRS as the retirement system’s actuary, subject to successful engagement negotiations. An RFP for actuarial services was issued in August with five nationally recognized actuarial firms submitting proposals.  Trustee Benjamin Jean, who served on the Board since 2019, stepped down at the end of December concurrent with his resignation from the state Department of Corrections.  The multi-year upgrade of the NHRS pension database (“PGV3”) which began in January 2019 is now 32% percent complete.  NHRS was recognized by the Government Finance Officers Association for excellence in financial reporting for its 2019 Comprehensive Annual Financial Report (CAFR).  (pending) Trustees in December unanimously voted to accept the Comprehensive Annual Financial Report (CAFR) and Comprehensive Annual Investment Report (CAIR) for the fiscal year ended June 30, 2020.

 (pending)At the December meeting, upon the recommendation of the system’s personnel committee (PPCC), the Board voted to retain EFL Associates to assist in a national search for an Executive Director in advance of the retirement of current Executive Director George Lagos effective March 1, 2021. In addition to this cover letter, the report contains:  An executive summary of NHRS Board and staff activity from October through December.  The minutes of the following Board meetings: October 13, 2020; November 10, 2020; December 8, 2020 (draft).  Investment information on Total Fund through September 30, 2020, which is the most recent data available.  Investment information on marketable assets through November 30, 2020, which is the most recent data available. Marketable assets do not include private equity, private debt or real estate, all of which are valued quarterly.  The most recent COVID-19 “Message to Stakeholders” from the Executive Director.  A list of 2021 LSRs related to the retirement system.

If you have any questions or would like additional information, please do not hesitate to contact me.

Respectfully,

George P. Lagos Executive Director cc: Office of Governor Christopher Sununu

FY 2020 BOARD ACTION CALENDAR JANUARY Date Requirement Responsible Party 1/14/20 Annual IIC Private Equity/Debt update to the Board. Best Practice IIC 1/17/20 Report on Status of Statement of Financial Interests due to Secretary of State RSA 15-A Trustees & IIC Members (Annually – 3rd Friday in January) FEBRUARY Date Board Action Item Requirement Responsible Party No compliance items this month. 2/11/20 Trustee Education MARCH Date Board Action Item Requirement Responsible Party 3/10/20 Quarterly IIC Report to the Board RSA 100-A:15,II-a.(c) IIC 3/10/20 Report to chairpersons of House & Senate ED&A Committees describing RSA 100-A:14, VII-a Board of Trustees recent Board actions including any changes to actuarial assumptions and investment returns (Quarterly) Due 4/1/20 APRIL Date Board Action Item Requirement Responsible Party 4/14/20 No compliance items this month. Trustee education MAY Date Board Action Item Requirement Responsible Party 5/12/20 Board of Trustees reviews 2021 Trust Fund Budget (non-statutory portion). Best Practice Board of Trustees JUNE Date Board Action Item Requirement Responsible Party 6/09/20 Board of Trustees approves 2021 Trust Fund Budget (non-statutory portion). Best Practice Board of Trustees 6/09/20 Quarterly IIC report to the Board. RSA 100-A:15, II-a.(c) IIC 6/09/20 At least every 2 years on/after 06/30/77 (odd years), have actuary prepare RSA 100-A:14, X Board of Trustees periodic actuarial valuation for fiscal year ending 6/30/19. 6/09/20 Report to chairpersons of House & Senate ED&A Committees describing RSA 100-A:14, VII-a Board of Trustees recent Board actions including any changes to actuarial assumptions and investment returns (Quarterly). Due 7/1/20 JULY Date Board Action Items Requirement Responsible Party 7/14/20 Annual IIC Real Estate update to the Board. Best Practice IIC

AUGUST Date Board Action Items Requirement Responsible Party No compliance items this month. SEPTEMBER Date Board Action Items Requirement Responsible Party 9/08/20 Review charters for Board Committees. Governance Manual Appropriate Board Committee 9/08/20 Set Board of Trustees meeting schedule for 2021 Governance Manual Board of Trustees 9/08/20 Annual Board/Fiduciary Education Best Practice Board of Trustees 9/08/20 Quarterly IIC Report to the Board 100-A:15, II (c) IIC 9/08/20 Report to chairpersons of House & Senate ED&A Committees describing RSA 100-A:14, VII-a Board of Trustees recent Board actions including any changes to actuarial assumptions and investment returns (Quarterly) Due 10/1/20 OCTOBER Date Board Action Items Requirement Responsible Party 10/13/20 Gainful Occupation Report RSA 100-A:6, III(b) Board of Trustees 10/26/20 Comprehensive Annual Financial Report (CAFR) deadline RSA 100-A:15,VI Board of Trustees (within 120 days from 6/30/20) NOVEMBER Date Board Action Items Requirement Responsible Party 11/10/20 IIC reviews Comprehensive Annual Investment Report (CAIR) RSA 100-A:15, VII IIC DECEMBER Date Board Action Items Requirement Responsible Party 12/08/20 Audited CAFR to Audit Committee. RSA 100-A:15, VI(a) Auditor 12/08/20 Audit Committee recommends to the Board of Trustees that the Board accept RSA 100-A:15, VI(a) Board of Trustees and release the audited CAFR. The Board approves this recommendation. 12/08/20 Board approves CAIR. RSA 100-A:15, VII Board of Trustees 12/08/20 Report to chairpersons of House & Senate ED&A Committees describing RSA 100-A:14, VII-a Board of Trustees recent Board actions including any changes to actuarial assumptions and investment returns (Quarterly). Due 1/2/21. 12/08/20 Quarterly IIC report to the Board. 100-A:15,II(c) IIC 12/31/20 Deadline for issuing member statements for fiscal year ending 06/30/20. RSA 100-A:14, XI Board of Trustees 12/31/20 CAFR and CAIR delivered per statute. RSA 100-A:15, VII PIO

NHRS Board of Trustees Committee Membership List as of September 16, 2020

Committee Audit Benefits Governance Legislative PPCC Investment Staff Liaison Nancy Timothy Timothy Marty George Larry Cone Crutchfield/ Crutchfield Karlon Lagos Johansen Nancy Miller

Christensen, Scott X X Coates, Christopher X X-Ch Friese, Melvin X X Hart, Bill X X-Ch Hannan, Sue X X Jean, Benjamin X X Kelliher, Maureen X X-Ch Lesko, Tim X X X Maloney, Robert X X Mezzapelle, Monica X-Ch X Myers, Scott X-Ch X Roy, Donald X X-Ch

TOTAL MEMBERS 5/5 4/5 5/5 5/5 4/5 2/5*

*Per RSA 100-A:14-b, I, the Independent Investment Committee shall consist of not more than 5 members, and up to 2 of whom shall be Trustees.

New Hampshire Retirement System Board of Trustees As of September 1, 2020

Scott Christensen, Manchester March 25, 2020 to August 24, 2022 Non-member Trustee

Christopher Coates, Keene September 5, 2018 to July 13, 2019 Association of Counties

Melvin Friese, Manchester July 1, 2018 to July 1, 2021 State Employees’ Association

Sue Ellen Hannan, Derry July 1, 2018 to July 1, 2021 NH Education Association

William Ryan Hart, Jr., Londonderry August 24, 2016 to July 1, 2018 NH Police Association

Benjamin Jean, Concord July 31, 2019 to July 13, 2022 NH State Employer

Maureen Kelliher, Dover June 18, 2014 to July 13, 2022 Non-member Trustee

Tim Lesko, Concord January 24, 2018 to November 30, 2022 Non-member Trustee

Robert Maloney, Holderness July 13, 2018 to July 13, 2021 Non-member Trustee

Monica Mezzapelle, Concord March 25, 2020 - January 1, 2021 (Filling unexpired term of Bill Dwyer) NH State Treasury Commissioner

Scott Myers, Laconia January 24, 2018 to September 5, 2022 NH Municipal Association

Donald M. Roy, Jr., Merrimack July 13, 2011 to July 13, 2022 NH School Boards Association

Educational Seminars for Public Pension Fund Board Members, as of November 24, 2020

Sponsor Program Description

(NCPERS) 2021 Annual Conference & Exhibition . Public pension & healthcare issues National Conference on Public (ACE) . New Trustee session (usually Employee Retirement Systems May 23 – 26 takes place right before www.ncpers.org Sheraton Denver Downtown Hotel conference) Denver, CO. . Federal legislation Who should attend Public Pension . Regulatory issues Funding Forum: Trustees/Administrators . Examine obstacles to closing of state/local pension funds; Municipal public-funding gap. Bond Community; Finance and Treasurer Offices; Investment Community; Public . Overcoming obstacles with better Pension Advocacy Community; Academic risk management in economic & Pension Research Community cycles, use of new debt instruments & closing tax loopholes.

(NASRA) 2021 Annual Conference . Primarily for Executive Directors, National Assn. of State Retirement August 8 – 12 but some Trustees attend. Administrators Pittsburgh, PA . Investment Management www.nasra.org . World events related to pension industry . Economy . Healthcare Trends

(IFEBP) . Public sector benefit plan for th Int’l Foundation of Employee Benefit Plans 2021 67 Annual Conference Trustees of all levels of www.ifebp.org October 17-20 experience. The Colorado Convention Center Denver, CO. . Representatives-public funds of various types, sizes and geographical areas who want a high-level overview.

1 3RD QUARTER 2020 INVESTMENT SUMMARY

NEW HAMPSHIRE RETIREMENT SYSTEM November 2020 Sean Gill, Partner Kevin Leonard, Partner Will Forde, Sr. Consultant

Tab Executive Summary 1

NEPC Update & Market Outlook 2

Total Fund Performance 3

Appendix 4 EXECUTIVE SUMMARY

NEPC, LLC

1 UNIVERSE RANKINGS

InvestmentMetrics Public DB Net

New Hampshire Retirement System Universe Ranking Period Ending 09/30/2020

Q3 FYTD CYTD 1 Yr 3 Yrs 5 Yrs 7 Yrs # of Observations 446 446 444 443 426 405 373

NHRS Total Fund Composite 3.7% 3.7% -0.2% 4.7% 5.5% 8.0% 7.0%

Universe Median 5.2% 5.2% 2.5% 7.9% 6.6% 8.1% 7.0%

Total Fund Percentile Rank 95% 95% 89% 90% 77% 56% 49%

InvestmentMetrics Public DB Net > $5 Billion

New Hampshire Retirement System Universe Ranking Period Ending 09/30/2020

Q3 FYTD CYTD 1 Yr 3 Yrs 5 Yrs 7 Yrs # of Observations 19 19 19 19 19 19 18

NHRS Total Fund Composite 3.7% 3.7% -0.2% 4.7% 5.5% 8.0% 7.0%

Universe Median 5.2% 5.2% 0.8% 6.0% 5.6% 8.0% 6.8%

Total Fund Percentile Rank 95% 95% 73% 62% 62% 50% 48%

2 New Hampshire Retirement System TOTAL FUND PERFORMANCE SUMMARY Fiscal Market Value 3 Mo Rank YTD Rank Rank 1 Yr Rank 3 Yrs Rank 5 Yrs Rank 10 Yrs Rank 20 Yrs Rank 25 Yrs Rank YTD _ Total Fund Composite $9,344,668,331 3.7% 95 -0.2% 89 3.7% 95 4.7% 90 5.5% 77 8.0% 56 8.1% 31 5.6% 58 7.3% 33 Total Fund Custom Index 6.4% 8 3.6% 33 6.4% 8 8.8% 38 7.4% 28 8.8% 25 8.9% 8 6.3% 20 -- -- InvMetrics Public DB Net Median 5.2% 2.5% 5.2% 7.9% 6.6% 8.1% 7.6% 5.8% 7.1% XXXXX

Goals & Objectives: 3 Years Ending September 30, 2020 Anlzd Ret Rank Anlzd Std Dev Rank Sharpe Ratio Rank  The Fund's objective is to exceed the policy _ benchmark on a net of fee basis over a full Total Fund Composite 5.45% 77 9.22% 16 0.42 70 Total Fund Custom Index 7.45% 28 8.57% 8 0.69 6 market cycle. XXXXX  Goals are measured over a three to five year period. 5 Years Ending September 30, 2020 Anlzd Ret Rank Anlzd Std Dev Rank Sharpe Ratio Rank  Current target allocation is 30.0% to domestic _ equities, 20.0% to non-US equities, 25.0% to Total Fund Composite 7.95% 56 8.03% 19 0.85 24 Total Fund Custom Index 8.84% 25 7.29% 7 1.06 3 fixed income, 10.0% to real estate, and 15.0% XXXXX to alternatives.

Total Fund Performance vs. Peer Group:  The Fund returned 3.7% during the quarter, ranking in the 95th percentile of its peer universe.  The Fund returned 4.7% for the trailing one-year period, ranking in the 90th percentile of its peer universe.  The Fund returned 5.5% for the trailing three-year period, ranking in the 77th percentile of its peer universe.  The Fund returned 8.0% for the trailing five-year period, ranking in the 56th percentile of its peer universe.

3 INDEX OF MANAGERS Page Domestic Equity Boston Trust 65 SB&H 67 Wellington 69 AllianceBernstein 71 TSW 73 BlackRock 75

Non U.S. Equity Artisan 87 Causeway 89 LSV Int’l 91 Neuberger Berman 93 Wellington 95 SBH Int’l 97 Walter Scott 99

Fixed Income BlackRock 106 Brandywine 107 Fidelity 109 IR&M 110 Loomis 112 Manulife 114

4 SELECT MANAGER PERFORMANCE - EQUITIES

5 SELECT MANAGER PERFORMANCE - FIXED INCOME

6 MANAGER COMMENTARY: QUARTERLY

7 MANAGER COMMENTARY: QUARTERLY

– Fixed Income • None of the fixed income managers detracted from relative performance in the third quarter

8 FUND ATTRIBUTION: ONE YEAR

Positives Negatives

Domestic Equity Domestic Equity • SBH – small cap • Boston Trust – small cap • Wellington – small cap • TSW – smid cap • BlackRock– large cap • AllianceBernstein – smid cap

9 MANAGER PERFORMANCE: ONE YEAR

10 MANAGER PERFORMANCE: ONE YEAR Significant NEGATIVE Contributors (Managers that are underperforming their respective benchmarks by more than 200 basis points) • Boston Trust Small Cap Equity – Boston Trust returned -7.2% for the one year period, underperforming its benchmark by 761 basis points – The portfolio’s value bias as well as healthcare and consumer discretionary holdings have detracted from recent performance – NEPC Outlook: NEPC believes that any concerns surrounding their performance are a byproduct of the strategy’s value holdings. Boston Trust remains a 1-rated manager in the small cap core space. • Causeway Non US Equity – Causeway returned -6.9% for the one year period, underperforming its benchmark by 742 basis points – The portfolio’s attractively priced value names and an overweight to banks and energy detracted from recent performance – NEPC Outlook: Causeway is presently 1-rated by NEPC Research. However, due to underperformance relative to value peers, the strategy is being reevaluated and may be susceptible to a downgrade. NEPC is keeping NHRS Staff up to date on the reevaluation and will communicate the outcomes of the reevaluation and any recommendations that may arise. • Segall Bryant & Hamill International Small Cap Equity – SBH returned -6.8% for the one year period, underperforming its benchmark by 1,367 basis points. – The portfolio’s stock selection and the energy and financials sectors have been key factors in the underperformance. – NEPC Outlook: NEPC believes that international small cap exposure can help diversify an International Equity program while potentially adding to returns over time. However, it has become challenging for small quant firms to compete given the need for expensive resources, which presents headwinds to the team and strategy's future alpha relative to their peer universe going forward. In result, SBH has been downgraded to a 3-rating by NEPC Research. • Neuberger Berman Emerging Markets Equity – Neuberger Berman returned 6.3% for the one year period, underperforming its benchmark by 421 basis points – The portfolio’s consumer discretionary and staples holdings, as well as exposure to foreign currencies, primarily Brazil, have detracted from recent performance – NEPC Outlook: NEPC continues to believe in the team at Neuberger Berman. Performance has largely been driven by the recent headwinds faced by most emerging markets managers over the past year. Neuberger Berman remains a 1-rated manager in the emerging markets space.

11 RISK BUDGETING – CURRENT ASSET ALLOCATION (AS OF 09/30/2020)

Non- Cash Core RE 1.1% 3.5%

EM Equities Global Multi- 3.9% Sec. FI Int’l Equities 9.5% Core Asset Lg. Cap SMID Cap 12.2% Pvt. Equity Core Bonds Abs. RE Allocation 20.3% 10.9% 12.3% 8.6% Return 6.7% FI 5.0% Priv. Debt 6.1%

Abs. Return Non-Core Pvt. Equity FI RE 0.3% 0.2% 0.5%

Global Multi- Core Core Sec. RE Bonds FI 1.0 0.5% 0.7% % Asset Risk Lg. Cap SMID Cap Int’l Equities EM Equities 3.1% 2.0% 2.1% 0.9% Priv. Debt 0.3%

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%

Percentages may not add to 100% due to rounding

12 MANAGER PERFORMANCE: SINCE INCEPTION

Positives Negatives

Domestic Equity Domestic Equity • SB&H – small cap • Boston Trust – small cap • Wellington – small cap • TSW –smid cap • AllianceBernstein – smid cap • BlackRock – large cap

Non U.S. Equity • Artisan – int’l core Manager • LSV – int’l value Non U.S. Equity Performance • Wellington – emerging • Causeway – int’l core • Neuberger - emerging • SB&H – int’l small cap • Walter Scott – global

Fixed Income • BlackRock SIO – unconstrained • IR&M – core Fixed Income • Brandywine – global multisector • Manulife – unconstrained • Fidelity – global multisector • Loomis – global multisector

13 POSITIVE CONTRIBUTORS: SINCE INCEPTION

Significant POSITIVE Contributors – NEPC continues to believes that the managers highlighted in GREEN on the previous slide have generated their relative outperformance in a manner that is consistent with the investment philosophy that NHRS has hired them for, and that the alpha generated within the corresponding market environment is consistent with the managers longer term track records.

14 NEGATIVE CONTRIBUTORS: SINCE INCEPTION

• Significant NEGATIVE Contributors (Managers that are underperforming their respective benchmarks by more than 200 basis points)

• Causeway Non US Equity – Causeway has underperformed its benchmark by 302 basis points inception-to-date. – The continued weakness in the value factor has been the mainreasonforunderperformance.Valuehassignificantly underperformed growth within the asset class since the portfolio’s inception. – NEPC Outlook: Causeway is presently 1-rated by NEPC Research. However, due to underperformance relative to value peers, the strategy is being reevaluated and may be susceptible to a downgrade. NEPC is keeping NHRS Staff up to date on the reevaluation and will communicate the outcomes of the reevaluation and any recommendations that may arise.

• SBH International Small Cap – SBH has underperformed its benchmark by 893 basis points inception-to-date. – The continued weakness in the value factor has been the main reason for underperformance. Value has significantly underperformed growth within the asset class since the portfolio’s inception. – NEPC Outlook: NEPC believes that international small cap exposure can help diversify an International Equity program while potentially adding to returns over time. However, it has become challenging for small quant firms to compete given the need for expensive resources, which presents headwinds to the team and strategy's future alpha relative to their peer universe going forward. In result, SBH has been downgraded to a 3-rating by NEPC Research.

15 NEPC UPDATE & MARKET OUTLOOK

NEPC, LLC

16 2020 THIRD QUARTER HAPPENINGS AT NEPC

NEPC INSIGHTS • 2020 Second Quarter Market Thoughts • Market Chatter: Investing in Private Markets, From Recession to Recovery • NEPC’s CIO Conversations Recap: Recovering From The COVID-19 Crisis With J.P. Morgan’s Michael Cembalest • Taking Stock: Diversifying Asset Allocations, an Exercise in Portfolio Construction • Taking Stock: Are U.S. Equities Overpriced? • Taking Stock: The Faceoff Between Value and Growth (Part 2): Is Active the Way to Go for Value Investors? • Taking Stock: The Faceoff Between Value and Growth (Part 3): Too Early to Call It? • Taking Stock: NEPC's Defined Contribution Flash Poll • Webinar Notes: Healthcare Strategic Investing Post-COVID-19, a Conversation with Health Velocity Capital • NEPC’s Healthcare Innovation Leaders Series: Redefining Strategic Investing in an Era of Technological Disruption with Scientia Ventures • Peer Roundtable Series: Multifaceted Challenges Facing Universities • Taking Stock: One Corporate Plan’s Journey of Terminating Its Pension (Part 2) • Taking Stock: NEPC's June 2020 Pension Monitor • Taking Stock: NEPC's July 2020 Pension Monitor • Taking Stock: NEPC's August 2020 Pension Monitor

To download NEPC’s recent insights and webinar replays, visit: www.NEPC.com/insights

17 2020 THIRD QUARTER HAPPENINGS AT NEPC

WEBINAR REPLAYS • NEPC's CIO Conversations: Market Impacts of COVID-19 with Cliff Asness • NEPC’s 2020 Q2 Market Outlook: Investing During a Pandemic • Healthcare Strategic Investing Post COVID-19 • Redefining Strategic Investing in an Era of Technological Disruption • Unprecedented Times or Business as Usual?

To stay up-to-date on our COVID-19 content, visit: https://info.nepc.com/covid-19

18 MARKET OUTLOOK

NEPC, LLC

19 MARKET OVERVIEW

Macro Equity

US Dollar VIX US 10-Year S&P 500 MSCI EAFE MSCI EM

-3.6% -4.1 2.6 bps 8.9% 4.8% 9.6%

Credit Real Assets

US Agg. High Yield Dollar EMD Oil Gold REITS

0.6% 4.6% 2.3% 2.0% 5.9% 1.4%

Market segment (index representation) as follows: US Dollar (DXY Index), VIX (CBOE Volatility Index), US 10-Year (US 10-Year Treasury Yield), S&P 500 (US Equity), MSCI EAFE Index (International Developed Equity), MSCI Emerging Markets (Emerging Markets Equity), US Agg (Barclays US Aggregate Bond Index), High Yield (Barclays US High Yield Index), Dollar EMD (JPM EMBI Global Diversified Index), Crude Oil (WTI Crude Oil Spot), Gold (Gold Price Spot), and REITs (NAREIT Composite Index). Source: FactSet

20 MACRO OVERVIEW

6% Currency Performance vs. USD 4% 2% 0% ‐2% ‐4% ‐6% ‐8% ‐10% Mexican British Euro South Australian Chinese Swiss MSCI EM Indian Japanese Brazilian Russian Peso Pound African Dollar Yuan Franc Currency Rupee Yen Real Ruble Rand Index

Source: MSCI, FactSet

Central Banks Current Rate CPI YOY Notes from the Quarter

The Fed announced a new framework that will allow inflation to run above its 2% Federal Reserve 0.00% - 0.25% 1.3% target and expects to hold interest rates at current levels for the next three years The ECB held current benchmark rates unchanged and stands ready to increase European Central Bank 0.00% -0.2% monetary stimulus to support economic recovery

The BoJ will continue its ultra-easy QE Bank of Japan -0.10% 0.1% program with inflation remaining well below target

Source: FactSet

21 EQUITY OVERVIEW

16% QTD Equity Index Returns 14% 12% 10% 8% 6% 4% 2% 0% ‐2% MSCI MSCI MSCI EM MSCI MSCI EM Russell S&P 500 MSCI MSCI MSCI MSCI Russell MSCI MSCI MSCI UK India China SC EAFE SC 3000 Germany ACWI Japan ACWI Ex‐ 2000 EAFE EAFE US Hedged

Source: S&P, MSCI, Russell, FactSet

Russell 3000 QTD Sector Returns QTD YTD

Technology 12.0% 29.1% Health Care 6.5% 8.4% Consumer Discretionary 17.5% 22.2% Consumer Staples 7.7% 0.0% Energy -16.4% -46.1% Materials & Processing 11.9% 1.9% Producer Durables 11.7% -4.6% Financial Services 3.3% -14.4% Utilities 5.7% -6.8% Source: FactSet

22 RATES OVERVIEW

3.5% Currency Performance vs. USD

3.0%

2.5%

2.0%

1.5%

1.0%

0.5%

0.0% BC TIPS Global Agg BC Short TIPS Core Bonds BC Treasury BC Treasury BC Long BC MBS BC Short STRIPS 20‐30 Treasury Treasury

Source: S&P, MSCI, Russell, FactSet

Previous Quarter Yield Current Quarter Yield |Δ|

US 10-Year 0.65% 0.68% 0.03%

US 30-Year 1.41% 1.45% 0.04%

US Real 10-Year -0.68% -0.94% -0.26%

German 10-Year -0.48% -0.53% -0.05%

Japan 10-Year 0.02% 0.02% 0.00%

China 10-Year 2.90% 3.16% 0.26%

EM Local Debt 4.51% 4.48% -0.03%

Source: Barclays, JPM, FactSet

23 CREDIT OVERVIEW

5.0% QTD Credit Index Returns 4.5% 4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% BC HY Bank Loans BC Muni HY JPM EMBI BC Long Credit BC IG BC Munis JPM GBI‐EM BC Securitized Glob Div Glob Div Source: S&P, MSCI, Russell, JPM, FactSet

Previous Quarter Current Quarter |Δ|Median Spread (bps) Spread (bps)

BC IG Credit 150 136 -14 137

BC Long Credit 202 188 -14 176

BC Securitized 75 64 -11 49

BC High Yield 626 517 -109 480

Muni HY 489 454 -35 636

JPM EMBI Glob Div 474 432 -42 342

Bank Loans - Libor 582 469 -113 449 Source: Barclays, JPM, FactSet; Medians calculated since 11/30/2000

24 REAL ASSETS OVERVIEW

10% QTD Real Asset Index Returns

‐5%

‐10%

‐15% Commodities Gold Nat Resource Oil Global REITS Global Infra Composite Midstream Equities Equities REITS Energy

Source: S&P, MSCI, Russell, FactSet Previous Current Real Asset Yields 15% Quarter Quarter 12‐Month Commodity Future Roll Yields 10% Midstream Energy 8.6% 9.9%

5% Core Real Estate* 4.5% 4.4%

0% Composite REITs 4.3% 4.1%

‐5% Global REITs 5.0% 4.8% Energy ‐10% Global Infrastructure Equities 4.2% 4.1% Metals Agriculture ‐15% 4.7% 4.5% Natural Resource Equities Crude Oil Nat Gas Copper Silver Corn Sugar Soybean #11 Oil Commodity Index Roll Yield -6.8% -6.7%

Sources: Alerian, NAREIT, Barclays, NEPC, FactSet Source: FactSet Core Real Estate* yields are subject to a one quarter lag

25 TOTAL FUND PERFORMANCE

NEPC, LLC

26 New Hampshire Retirement System TOTAL FUND RISK/RETURN

27 New Hampshire Retirement System TOTAL FUND RISK/RETURN

28 New Hampshire Retirement System TOTAL FUND ASSET ALLOCATION VS. POLICY

Asset Allocation vs. Target Look Current Policy Current Difference* Through _ Equity - Domestic $2,704,573,104 30.00% 28.94% 31.23% -1.06% Non-US Equity $1,718,007,758 20.00% 18.38% 16.10% -1.62% Fixed Income $2,156,046,298 25.00% 23.07% 23.07% -1.93% Alternatives $1,714,724,276 15.00% 18.35% 18.35% 3.35% Real Estate $944,341,484 10.00% 10.11% 10.11% 0.11% Cash $106,975,410 0.00% 1.14% 1.14% 1.14% Total $9,344,668,331 100.00% 100.00% 100.00% XXXXX *Difference between Policy and Current Allocation

The "Look Through" allocation breaks out the Walter Scott Global Equity Fund's allocation in US and Non-US Equity.

29 New Hampshire Retirement System TOTAL FUND ACTUAL ASSET ALLOCATION HISTORY

30 New Hampshire Retirement System TOTAL MARKETABLE ASSETS

"InvMetrics Public DB Net" refers to all InvestmentMetrics Public DB Net Returns (426) that encompass the universe.

31 New Hampshire Retirement System TOTAL MARKETABLE ASSETS

"InvMetrics Public DB Net" refers to all InvestmentMetrics Public DB Net Returns (405) that encompass the universe.

32 New Hampshire Retirement System TOTAL MARKETABLE ASSETS

"InvMetrics Public DB Net" refers to all InvestmentMetrics Public DB Net Returns (373) that encompass the universe.

33 New Hampshire Retirement System TOTAL MARKETABLE ASSETS

"InvMetrics Public DB Net" refers to all InvestmentMetrics Public DB Net Returns (329) that encompass the universe.

34 New Hampshire Retirement System TOTAL FUND ASSET GROWTH SUMMARY

35 New Hampshire Retirement System TOTAL FUND BY ASSET CLASS Fiscal Market Value % of 1 Mo 3 Mo YTD 1 Yr 2 Yrs 3 Yrs 5 Yrs 10 Yrs Inception Inception Policy % YTD ($) Portfolio (%) (%) (%) (%) (%) (%) (%) (%) (%) Date (%) _ Total Fund Composite 9,344,668,331 100.0 100.0 -1.6 3.7 -0.2 3.7 4.7 4.3 5.5 8.0 8.1 8.6 Jun-89 Total Fund Custom Index -1.6 6.4 3.6 6.4 8.8 7.4 7.4 8.8 8.9 -- Jun-89 Total Domestic Equity 2,704,573,104 28.9 30.0 -3.4 7.4 -1.3 7.4 7.2 3.9 7.9 11.2 12.0 10.8 Jul-75 US Equity Index -3.8 8.9 5.6 8.9 15.1 9.6 12.3 14.1 13.8 11.5 Jul-75 Total Non US Equity 1,718,007,758 18.4 20.0 -3.0 6.1 -6.3 6.1 2.3 1.0 1.4 6.7 4.6 5.9 Mar-88 Total Non-US Equity Index -2.5 6.3 -5.4 6.3 3.0 0.9 1.2 6.2 4.0 5.1 Mar-88 Total Fixed Income 2,156,046,298 23.1 25.0 -0.3 2.4 6.1 2.4 7.5 7.6 4.7 5.0 4.3 7.9 Jun-75 Total Fixed Income Benchmark -0.2 1.0 6.2 1.0 6.7 8.4 5.1 4.5 3.9 -- Jun-75 Total Cash 106,975,410 1.1 0.0 0.0 0.0 0.6 0.0 1.3 1.8 1.8 1.3 0.7 2.6 Apr-94 91 Day T-Bills 0.0 0.0 0.4 0.0 0.8 1.5 1.6 1.1 0.6 2.3 Apr-94 Total Real Estate 944,341,484 10.1 10.0 -0.1 0.2 2.1 0.2 3.8 5.4 7.0 8.8 11.1 9.2 Mar-83 Real Estate Blended Benchmark -1.8 -1.8 0.2 -1.8 1.3 3.4 4.7 6.3 9.8 8.2 Mar-83 Total Alternative Assets 1,714,724,276 18.3 15.0 0.0 0.1 -0.8 0.1 0.7 3.7 6.0 6.6 6.9 6.4 Mar-87 Alternative Assets Blended Benchmark 1.4 16.4 4.9 16.4 7.1 8.5 8.8 8.5 12.4 9.3 Mar-87 XXXXX

36 New Hampshire Retirement System TOTAL FUND PERFORMANCE DETAIL Fiscal Market Value % of 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Inception Inception YTD ($) Portfolio (%) (%) (%) (%) (%) (%) (%) Date (%) _ Total Fund Composite 9,344,668,331 100.0 3.7 -0.2 3.7 4.7 5.5 8.0 8.1 8.6 Jun-89 Total Fund Custom Index 6.4 3.6 6.4 8.8 7.4 8.8 8.9 -- Jun-89 Over/Under -2.7 -3.8 -2.7 -4.1 -1.9 -0.8 -0.8 InvMetrics Public DB Net Median 5.2 2.5 5.2 7.9 6.6 8.1 7.6 7.9 Jun-89 Total Marketable Assets 6,685,602,571 71.5 5.2 -0.2 5.2 6.0 5.2 8.1 7.9 9.4 Jul-75 Total Marketable Custom Index 5.6 3.2 5.6 9.5 7.2 9.0 8.5 -- Jul-75 Over/Under -0.4 -3.4 -0.4 -3.5 -2.0 -0.9 -0.6 InvMetrics Public DB Net Median 5.2 2.5 5.2 7.9 6.6 8.1 7.6 -- Jul-75 Total Domestic Equity 2,704,573,104 28.9 7.4 -1.3 7.4 7.2 7.9 11.2 12.0 10.8 Jul-75 US Equity Index 8.9 5.6 8.9 15.1 12.3 14.1 13.8 11.5 Jul-75 Over/Under -1.5 -6.9 -1.5 -7.9 -4.4 -2.9 -1.8 -0.7 S&P 500 8.9 5.6 8.9 15.1 12.3 14.1 13.7 11.3 Jul-75 eV All US Equity Net Median 6.8 -2.9 6.8 4.9 6.6 9.8 11.2 13.8 Jul-75 Total Small Cap Domestic Equity 567,742,293 6.1 5.3 -6.0 5.3 2.2 6.0 10.6 10.9 10.7 Nov-10 Russell 2000 4.9 -8.7 4.9 0.4 1.8 8.0 9.9 9.5 Nov-10 Over/Under 0.4 2.7 0.4 1.8 4.2 2.6 1.0 1.2 eV US Small Cap Equity Net Median 4.9 -11.6 4.9 -4.0 0.4 6.9 9.5 9.0 Nov-10 Boston Trust 138,695,856 1.5 2.0 -12.9 2.0 -7.2 4.3 9.3 -- 9.4 Nov-10 Russell 2000 4.9 -8.7 4.9 0.4 1.8 8.0 9.9 9.5 Nov-10 Over/Under -2.9 -4.2 -2.9 -7.6 2.5 1.3 -0.1 eV US Small Cap Equity Net Median 4.9 -11.6 4.9 -4.0 0.4 6.9 9.5 9.0 Nov-10 Segall Bryant & Hamill 156,512,050 1.7 4.6 -1.1 4.6 5.7 8.0 10.8 -- 10.3 Nov-10 Russell 2000 4.9 -8.7 4.9 0.4 1.8 8.0 9.9 9.5 Nov-10 Over/Under -0.3 7.6 -0.3 5.3 6.2 2.8 0.8 eV US Small Cap Equity Net Median 4.9 -11.6 4.9 -4.0 0.4 6.9 9.5 9.0 Nov-10 Wellington 272,534,387 2.9 7.6 -4.8 7.6 5.5 5.8 11.3 -- 12.4 Nov-10 Russell 2000 4.9 -8.7 4.9 0.4 1.8 8.0 9.9 9.5 Nov-10 Over/Under 2.7 3.9 2.7 5.1 4.0 3.3 2.9 eV US Small Cap Equity Net Median 4.9 -11.6 4.9 -4.0 0.4 6.9 9.5 9.0 Nov-10

37 New Hampshire Retirement System TOTAL FUND PERFORMANCE DETAIL Fiscal Market Value % of 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Inception Inception YTD ($) Portfolio (%) (%) (%) (%) (%) (%) (%) Date (%) _ Total SMid Cap Domestic Equity 448,026,853 4.8 6.3 -7.3 6.3 -0.9 2.7 7.2 -- 9.7 Dec-10 Russell 2500 5.9 -5.8 5.9 2.2 4.5 9.0 10.8 10.3 Dec-10 Over/Under 0.4 -1.5 0.4 -3.1 -1.8 -1.8 -0.6 eV US Small-Mid Cap Equity Net Median 5.4 -7.0 5.4 -0.2 4.7 8.0 10.1 9.5 Dec-10 AllianceBernstein 295,185,195 3.2 6.8 -0.2 6.8 7.8 6.7 10.3 -- 11.1 Dec-10 Russell 2500 5.9 -5.8 5.9 2.2 4.5 9.0 10.8 10.3 Dec-10 Over/Under 0.9 5.6 0.9 5.6 2.2 1.3 0.8 eV US Small-Mid Cap Equity Net Median 5.4 -7.0 5.4 -0.2 4.7 8.0 10.1 9.5 Dec-10 TSW 152,841,658 1.6 5.2 -18.6 5.2 -14.3 -3.7 2.3 -- 7.5 Dec-10 Russell 2500 / Russell 2500 Value Blend 3.5 -18.4 3.5 -12.6 -0.4 5.9 9.2 8.7 Dec-10 Over/Under 1.7 -0.2 1.7 -1.7 -3.3 -3.6 -1.2 eV US Small-Mid Cap Equity Net Median 5.4 -7.0 5.4 -0.2 4.7 8.0 10.1 9.5 Dec-10 Total Large Cap Domestic Equity 1,688,803,958 18.1 8.4 2.1 8.4 11.4 10.1 12.6 12.9 13.7 Sep-10 S&P 500 8.9 5.6 8.9 15.1 12.3 14.1 13.7 14.6 Sep-10 Over/Under -0.5 -3.5 -0.5 -3.7 -2.2 -1.5 -0.8 -0.9 eV US Large Cap Core Equity Net Median 7.8 2.6 7.8 10.5 9.9 12.0 12.5 13.4 Sep-10 Total Large Cap Passive Equity 1,688,793,403 18.1 8.9 5.6 8.9 15.1 12.3 14.1 13.7 14.6 Sep-10 S&P 500 8.9 5.6 8.9 15.1 12.3 14.1 13.7 14.6 Sep-10 Over/Under 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 eV US Passive Equity Net Median 8.9 5.3 8.9 14.7 11.6 13.5 13.1 13.9 Sep-10 Blackrock S&P 500 1,688,793,403 18.1 8.9 5.6 8.9 15.1 12.3 14.1 13.7 14.6 Sep-10 S&P 500 8.9 5.6 8.9 15.1 12.3 14.1 13.7 14.6 Sep-10 Over/Under 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 eV US Passive S&P 500 Equity Net Median 8.9 5.5 8.9 15.1 12.2 14.1 13.7 14.5 Sep-10

38 New Hampshire Retirement System TOTAL FUND PERFORMANCE DETAIL Fiscal Market Value % of 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Inception Inception YTD ($) Portfolio (%) (%) (%) (%) (%) (%) (%) Date (%) _ Total Non US Equity 1,718,007,758 18.4 6.1 -6.3 6.1 2.3 1.4 6.7 4.6 5.9 Mar-88 Total Non-US Equity Index 6.3 -5.4 6.3 3.0 1.2 6.2 4.0 5.1 Mar-88 Over/Under -0.2 -0.9 -0.2 -0.7 0.2 0.5 0.6 0.8 MSCI ACWI ex USA 6.3 -5.4 6.3 3.0 1.2 6.2 4.0 -- Mar-88 eV All ACWI ex-US Equity Net Median 9.2 -0.6 9.2 10.5 3.6 8.0 6.1 6.7 Mar-88 Total Core Non US Equity 847,198,347 9.1 3.9 -10.9 3.9 -2.8 -0.9 4.8 3.4 5.6 Mar-88 Core Non-US Equity Manager Index 6.3 -5.4 6.3 3.0 1.2 6.2 4.0 4.9 Mar-88 Over/Under -2.4 -5.5 -2.4 -5.8 -2.1 -1.4 -0.6 0.7 eV ACWI ex-US Core Equity Net Median 8.7 -2.0 8.7 8.4 1.8 7.1 5.3 7.9 Mar-88 Artisan Partners 328,263,376 3.5 6.9 -1.2 6.9 6.3 6.1 8.2 -- 5.0 Nov-14 MSCI EAFE 4.8 -7.1 4.8 0.5 0.6 5.3 4.6 3.1 Nov-14 Over/Under 2.1 5.9 2.1 5.8 5.5 2.9 1.9 eV EAFE Core Equity Net Median 7.0 -5.4 7.0 3.9 1.0 5.7 5.9 4.2 Nov-14 Causeway Capital 255,663,377 2.7 1.6 -16.4 1.6 -6.9 -4.6 1.9 -- -0.2 Oct-14 MSCI EAFE 4.8 -7.1 4.8 0.5 0.6 5.3 4.6 2.8 Oct-14 Over/Under -3.2 -9.3 -3.2 -7.4 -5.2 -3.4 -3.0 eV EAFE Core Equity Net Median 7.0 -5.4 7.0 3.9 1.0 5.7 5.9 4.0 Oct-14 LSV International Value 262,342,677 2.8 2.8 -15.8 2.8 -8.2 -4.0 3.5 -- 0.5 Oct-14 MSCI ACWI ex USA / MSCI ACWI ex USA Value Blend 2.3 -17.6 2.3 -10.8 -3.9 3.0 2.4 0.3 Oct-14 Over/Under 0.5 1.8 0.5 2.6 -0.1 0.5 0.2 eV All ACWI ex-US Equity Net Median 9.2 -0.6 9.2 10.5 3.6 8.0 6.1 5.3 Oct-14 Total Emerging Markets 359,812,586 3.9 8.1 -2.0 8.1 7.3 0.5 7.6 -- 2.6 Jun-11 MSCI Emerging Markets 9.6 -1.2 9.6 10.5 2.4 9.0 2.5 1.6 Jun-11 Over/Under -1.5 -0.8 -1.5 -3.2 -1.9 -1.4 1.0 eV Emg Mkts Equity Net Median 9.7 -1.3 9.7 10.3 1.9 8.4 2.8 2.1 Jun-11 Neuberger Berman 187,212,126 2.0 7.8 -2.8 7.8 6.3 0.6 9.1 -- 3.9 Apr-14 MSCI Emerging Markets 9.6 -1.2 9.6 10.5 2.4 9.0 2.5 3.8 Apr-14 Over/Under -1.8 -1.6 -1.8 -4.2 -1.8 0.1 0.1 eV Emg Mkts Equity Net Median 9.7 -1.3 9.7 10.3 1.9 8.4 2.8 3.9 Apr-14 Wellington Emerging Markets 172,600,461 1.8 8.5 -1.1 8.5 8.5 1.4 8.6 -- 4.5 Jun-11 MSCI Emerging Markets 9.6 -1.2 9.6 10.5 2.4 9.0 2.5 1.6 Jun-11 Over/Under -1.1 0.1 -1.1 -2.0 -1.0 -0.4 2.9 eV Emg Mkts Equity Net Median 9.7 -1.3 9.7 10.3 1.9 8.4 2.8 2.1 Jun-11

39 New Hampshire Retirement System TOTAL FUND PERFORMANCE DETAIL Fiscal Market Value % of 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Inception Inception YTD ($) Portfolio (%) (%) (%) (%) (%) (%) (%) Date (%) _ Total Non US Small Cap 109,924,433 1.2 7.9 -17.0 7.9 -6.8 -8.6 -0.7 -- 1.2 Jul-11 eV Non-US Diversified Small Cap Eq Net Median 10.1 -3.9 10.1 8.3 1.0 8.0 8.5 7.1 Jul-11 SBH International Small Cap 109,924,433 1.2 7.9 -17.0 7.9 -6.8 -8.6 -- -- -2.4 Feb-17 MSCI EAFE Small Cap 10.3 -4.2 10.3 6.8 1.4 7.4 7.3 6.6 Feb-17 Over/Under -2.4 -12.8 -2.4 -13.6 -10.0 -9.0 eV Non-US Diversified Small Cap Eq Net Median 10.1 -3.9 10.1 8.3 1.0 8.0 8.5 6.8 Feb-17 Total Global Equity 401,072,391 4.3 8.3 4.5 8.3 12.9 12.9 14.1 11.6 8.6 May-08 MSCI ACWI 8.1 1.4 8.1 10.4 7.1 10.3 8.5 5.4 May-08 Over/Under 0.2 3.1 0.2 2.5 5.8 3.8 3.1 3.2 eV Global All Cap Equity Net Median 8.3 2.9 8.3 11.4 6.3 9.2 8.8 5.7 May-08 Walter Scott Global Equity 401,072,391 4.3 8.3 4.5 8.3 12.9 12.9 14.1 11.5 9.7 Jan-05 MSCI EAFE / ACWI Blend 8.1 1.4 8.1 10.4 7.1 10.3 8.5 7.1 Jan-05 Over/Under 0.2 3.1 0.2 2.5 5.8 3.8 3.0 2.6 eV Global All Cap Equity Net Median 8.3 2.9 8.3 11.4 6.3 9.2 8.8 6.2 Jan-05

40 New Hampshire Retirement System TOTAL FUND PERFORMANCE DETAIL Fiscal Market Value % of 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Inception Inception YTD ($) Portfolio (%) (%) (%) (%) (%) (%) (%) Date (%) _ Total Fixed Income 2,156,046,298 23.1 2.4 6.1 2.4 7.5 4.7 5.0 4.3 7.9 Jun-75 Total Fixed Income Benchmark 1.0 6.2 1.0 6.7 5.1 4.5 3.9 -- Jun-75 Over/Under 1.4 -0.1 1.4 0.8 -0.4 0.5 0.4 BBgBarc US Aggregate TR 0.6 6.8 0.6 7.0 5.2 4.2 3.6 -- Jun-75 BBgBarc US Universal TR 1.0 6.2 1.0 6.7 5.1 4.5 3.9 -- Jun-75 eV All US Fixed Inc Net Median 1.3 3.8 1.3 4.8 4.1 4.0 3.8 -- Jun-75 BlackRock SIO Bond Fund 248,018,554 2.7 2.6 3.3 2.6 4.9 ------5.6 Jan-19 BlackRock Custom Benchmark 0.1 0.6 0.1 1.1 1.9 1.5 0.9 1.7 Jan-19 Over/Under 2.5 2.7 2.5 3.8 3.9 eV All Global Fixed Inc Net Median 3.4 3.0 3.4 4.9 3.8 4.7 3.6 7.6 Jan-19 Brandywine Asset Mgmt 249,434,135 2.7 3.8 1.7 3.8 5.9 1.8 4.6 3.6 6.9 Nov-97 Brandywine Custom Benchmark 2.9 7.1 2.9 6.8 4.4 3.9 1.9 4.4 Nov-97 Over/Under 0.9 -5.4 0.9 -0.9 -2.6 0.7 1.7 2.5 eV All Global Fixed Inc Net Median 3.4 3.0 3.4 4.9 3.8 4.7 3.6 5.3 Nov-97 FIAM (Fidelity) Tactical Bond Fund 368,891,866 3.9 2.8 4.9 2.8 6.5 ------9.0 Feb-19 BBgBarc US Aggregate TR 0.6 6.8 0.6 7.0 5.2 4.2 3.6 8.7 Feb-19 Over/Under 2.2 -1.9 2.2 -0.5 0.3 eV US Core Fixed Inc Net Median 1.0 7.2 1.0 7.2 5.4 4.4 3.9 9.0 Feb-19 Income Research & Management 804,449,514 8.6 1.3 9.5 1.3 9.3 6.4 5.1 4.5 7.1 Sep-87 BBgBarc US Govt/Credit TR 0.8 8.0 0.8 8.0 5.9 4.7 3.9 6.4 Sep-87 Over/Under 0.5 1.5 0.5 1.3 0.5 0.4 0.6 0.7 eV US Core Fixed Inc Net Median 1.0 7.2 1.0 7.2 5.4 4.4 3.9 6.3 Sep-87 Loomis Sayles 274,425,396 2.9 3.1 7.3 3.1 9.2 5.8 6.6 5.7 8.0 Oct-02 65% BBgBarc Aggregate / 35% BBgBarc HY 2.0 4.8 2.0 5.9 5.0 5.2 4.7 5.9 Oct-02 Over/Under 1.1 2.5 1.1 3.3 0.8 1.4 1.0 2.1 eV US Core Plus Fixed Inc Net Median 1.7 6.7 1.7 7.1 5.4 4.8 4.5 5.2 Oct-02 Manulife Strategic Fixed Income Fund 210,826,832 2.3 3.0 3.9 3.0 5.1 4.0 4.0 -- 3.2 Mar-15 BBgBarc Multiverse 2.7 5.3 2.7 6.0 4.0 4.1 2.5 3.4 Mar-15 Over/Under 0.3 -1.4 0.3 -0.9 0.0 -0.1 -0.2 eV All Global Fixed Inc Net Median 3.4 3.0 3.4 4.9 3.8 4.7 3.6 3.6 Mar-15

41 New Hampshire Retirement System TOTAL FUND PERFORMANCE DETAIL Fiscal Market Value % of 3 Mo YTD 1 Yr 3 Yrs 5 Yrs 10 Yrs Inception Inception YTD ($) Portfolio (%) (%) (%) (%) (%) (%) (%) Date (%) _ Total Cash 106,975,410 1.1 0.0 0.6 0.0 1.3 1.8 1.3 0.7 2.6 Apr-94 91 Day T-Bills 0.0 0.4 0.0 0.8 1.6 1.1 0.6 2.3 Apr-94 Over/Under 0.0 0.2 0.0 0.5 0.2 0.2 0.1 0.3 eV US Cash Management Net Median 0.0 0.6 0.0 1.1 1.8 1.3 0.7 2.4 Apr-94 Total Real Estate 944,341,484 10.1 0.2 2.1 0.2 3.8 7.0 8.8 11.1 9.2 Mar-83 Real Estate Blended Benchmark -1.8 0.2 -1.8 1.3 4.7 6.3 9.8 8.2 Mar-83 Over/Under 2.0 1.9 2.0 2.5 2.3 2.5 1.3 1.0 Total Strategic Core Real Estate 621,908,955 6.7 0.0 1.5 0.0 2.9 6.8 8.0 10.6 9.1 Mar-83 Real Estate Blended Benchmark -1.8 0.2 -1.8 1.3 4.7 6.3 9.8 8.2 Mar-83 Over/Under 1.8 1.3 1.8 1.6 2.1 1.7 0.8 0.9 Total Tactical Non-Core Real Estate 322,432,529 3.5 0.5 3.3 0.5 5.8 7.3 10.1 12.4 8.8 Sep-04 Real Estate Blended Benchmark -1.8 0.2 -1.8 1.3 4.7 6.3 9.8 8.6 Sep-04 Over/Under 2.3 3.1 2.3 4.5 2.6 3.8 2.6 0.2 Total Alternative Assets 1,714,724,276 18.3 0.1 -0.8 0.1 0.7 6.0 6.6 6.9 6.4 Mar-87 Alternative Assets Blended Benchmark 16.4 4.9 16.4 7.1 8.8 8.5 12.4 9.3 Mar-87 Over/Under -16.3 -5.7 -16.3 -6.4 -2.8 -1.9 -5.5 -2.9 Total Private Equity 1,147,641,060 12.3 0.1 0.3 0.1 2.5 9.2 9.7 9.6 5.3 Dec-90 Private Equity Blended Benchmark 21.4 8.1 21.4 10.7 14.0 14.0 18.4 15.2 Dec-90 Over/Under -21.3 -7.8 -21.3 -8.2 -4.8 -4.3 -8.8 -9.9 Total Private Debt 567,083,216 6.1 0.1 -3.1 0.1 -2.8 2.6 4.6 -- 3.8 Jun-11 Private Debt Blended Benchmark 6.6 -1.8 6.6 -0.4 2.5 3.0 12.4 9.8 Jun-11 Over/Under -6.5 -1.3 -6.5 -2.4 0.1 1.6 -6.0 XXXXX

42 New Hampshire Retirement System TOTAL FUND RETURN SUMMARY

43 New Hampshire Retirement System TOTAL FUND RETURN SUMMARY VS. PEER UNIVERSE

44 New Hampshire Retirement System TOTAL FUND RETURN SUMMARY VS. PEER UNIVERSE

45 New Hampshire Retirement System TOTAL FUND RETURN SUMMARY VS. PEER UNIVERSE

Total Fund Composite vs. InvestorForce Public DB Net (USD) (peer) 3 Years

46 New Hampshire Retirement System TOTAL FUND RETURN SUMMARY VS. PEER UNIVERSE

Total Fund Composite vs. InvestorForce Public DB Net (USD) (peer) 5 Years

47 New Hampshire Retirement System TOTAL FUND RETURN SUMMARY VS. PEER UNIVERSE

Total Fund Composite vs. InvestorForce Public DB Net (USD) (peer) 7 Years

48 New Hampshire Retirement System TOTAL FUND RETURN SUMMARY VS. PEER UNIVERSE

Total Fund Composite vs. InvestorForce Public DB Net (USD) (peer) 10 Years

49 New Hampshire Retirement System TOTAL FUND RETURN SUMMARY VS. PEER UNIVERSE

50 New Hampshire Retirement System ATTRIBUTION ANALYTICS DEFINITIONS

Asset Allocation Effect - Measures an investment manager's ability to effectively allocate their portfolio's assets to various sectors. The allocation effect determines whether the overweighting or underweighting of sectors relative to a benchmark contributes positively or negatively to the overall portfolio return. Positive allocation occurs when the portfolio is overweighted in a sector that outperforms the benchmark. Negative allocation occurs when the portfolio is overweighted in a sector that underperforms the benchmark and underweighted in a sector that outperforms the benchmark.

Selection Effect - Measures the investment manager's ability to select securities within a given sector relative to a benchmark. The over or underperformance of the portfolio is weighted by the benchmark weight, therefore, selection is not affected by the manager's allocation to the sector. The weight of the security in the portfolio determines the size of the effect -- the larger the security, the larger the effect is, positive or negative.

Interaction Effect - The interaction effect measures the combined impact of an investment manager's selection and allocation decisions within a sector. For example, if an investment manager had superior selection and overweighted that particular sector, the interaction effect is positive. If an investment manager had superior selection, but underweighted that sector, the interaction effect is negative. In this case, the investment manager did not take advantage of the superior selection by allocating more assets to that sector. Since many investment managers consider the interaction effect to be part of the selection or the allocation, it is often combined with either effect.

51 New Hampshire Retirement System TOTAL FUND ATTRIBUTION ANALYSIS

Attribution Summary 3 Months Ending September 30, 2020 Wtd. Wtd. Index Excess Selection Allocation Interaction Total Actual Return Return Effect Effect Effects Effects Return Total Domestic Equity 7.40% 8.93% -1.53% -0.47% -0.07% 0.04% -0.51% Total Non US Equity 6.05% 6.25% -0.20% -0.03% 0.00% 0.00% -0.03% Total Fixed Income 2.36% 0.99% 1.38% 0.35% 0.09% -0.02% 0.41% Total Cash 0.01% 0.02% -0.01% 0.00% -0.09% 0.00% -0.09% Total Real Estate 0.15% -1.75% 1.90% 0.20% -0.04% 0.00% 0.16% Total Alternative Assets 0.09% 16.36% -16.27% -2.38% 0.35% -0.61% -2.64% Total 3.72% 6.42% -2.70% -2.34% 0.23% -0.60% -2.70%

Note: Plan attribution calculations are returns based and the results shown reflect the composites shown. As a result, the total returns shown may vary from the calculated return shown on the performance summary.

The target return shown for each composite is a custom index, based on aggregated policy indices. This policy index asset weights the underlying policy indices of each option in the plan and the respective benchmark return.

The allocation, selection, and interaction effects are calculated using the custom index described above along with the policy or target weight of each composite.

May not add due to rounding

52 New Hampshire Retirement System TOTAL FUND ATTRIBUTION ANALYSIS

Attribution Summary 9 Months Ending September 30, 2020 Wtd. Wtd. Index Excess Selection Allocation Interaction Total Actual Return Return Effect Effect Effects Effects Return Total Domestic Equity -1.33% 5.57% -6.90% -1.89% -0.36% 0.13% -2.12% Total Non US Equity -6.32% -5.44% -0.88% -0.12% 0.00% -0.01% -0.13% Total Fixed Income 6.13% 6.20% -0.07% 0.01% -0.02% -0.03% -0.04% Total Cash 0.63% 0.43% 0.20% 0.00% -0.09% 0.00% -0.08% Total Real Estate 2.07% 0.24% 1.83% 0.19% -0.13% 0.00% 0.06% Total Alternative Assets -0.83% 4.88% -5.71% -1.12% -0.28% -0.08% -1.48% Total -0.16% 3.63% -3.79% -2.93% -0.87% 0.00% -3.79%

The allocation, selection, and interaction effects are calculated using the custom index described above along with the policy or target weight of each composite.

May not add due to rounding

53 New Hampshire Retirement System TOTAL FUND ATTRIBUTION ANALYSIS

Attribution Summary 1 Year Ending September 30, 2020 Wtd. Wtd. Index Excess Selection Allocation Interaction Total Actual Return Return Effect Effect Effects Effects Return Total Domestic Equity 7.19% 15.15% -7.96% -2.11% -0.45% 0.14% -2.43% Total Non US Equity 2.28% 3.00% -0.72% -0.08% -0.06% -0.01% -0.15% Total Fixed Income 7.52% 6.68% 0.83% 0.24% 0.06% -0.05% 0.24% Total Cash 1.28% 0.82% 0.46% 0.00% -0.17% 0.00% -0.16% Total Real Estate 3.80% 1.33% 2.47% 0.26% -0.13% 0.00% 0.13% Total Alternative Assets 0.71% 7.07% -6.36% -1.27% -0.40% -0.11% -1.78% Total 4.67% 8.81% -4.14% -2.95% -1.15% -0.03% -4.14%

The allocation, selection, and interaction effects are calculated using the custom index described above along with the policy or target weight of each composite.

May not add due to rounding

54 New Hampshire Retirement System TOTAL FUND ATTRIBUTION ANALYSIS

Attribution Summary 3 Years Ending September 30, 2020 Wtd. Wtd. Index Excess Selection Allocation Interaction Total Actual Return Return Effect Effect Effects Effects Return Total Domestic Equity 7.92% 12.28% -4.36% -1.17% -0.21% 0.04% -1.34% Total Non US Equity 1.38% 1.16% 0.22% 0.07% 0.00% -0.01% 0.06% Total Fixed Income 4.66% 5.15% -0.49% -0.12% -0.03% 0.01% -0.13% Total Cash 1.76% 1.58% 0.18% 0.00% 0.00% 0.00% 0.00% Total Real Estate 6.96% 4.72% 2.24% 0.23% -0.09% -0.01% 0.13% Total Alternative Assets 5.97% 8.83% -2.86% -0.55% -0.09% -0.07% -0.71% Total 5.45% 7.45% -2.00% -1.53% -0.43% -0.04% -2.00%

The allocation, selection, and interaction effects are calculated using the custom index described above along with the policy or target weight of each composite.

May not add due to rounding

55 New Hampshire Retirement System TOTAL FUND ATTRIBUTION ANALYSIS

Attribution Summary 5 Years Ending September 30, 2020 Wtd. Wtd. Index Excess Selection Allocation Interaction Total Actual Return Return Effect Effect Effects Effects Return Total Domestic Equity 11.23% 14.15% -2.92% -0.78% -0.05% -0.01% -0.84% Total Non US Equity 6.69% 6.23% 0.46% 0.11% -0.03% 0.00% 0.07% Total Fixed Income 5.02% 4.49% 0.53% 0.14% 0.01% 0.00% 0.15% Total Cash 1.31% 1.13% 0.17% 0.00% -0.02% 0.00% -0.02% Total Real Estate 8.77% 6.35% 2.42% 0.25% -0.07% 0.00% 0.18% Total Alternative Assets 6.57% 8.47% -1.89% -0.37% -0.03% -0.05% -0.44% Total 7.94% 8.84% -0.90% -0.65% -0.18% -0.06% -0.90%

The allocation, selection, and interaction effects are calculated using the custom index described above along with the policy or target weight of each composite.

May not add due to rounding

56 New Hampshire Retirement System TOTAL FUND RISK STATISTICS 3 Years Ending September 30, 2020 Anlzd Std Ann Excess % of Tot Anlzd Ret Rank Rank Sharpe Ratio Rank Info Ratio Rank Rank Dev BM Return _ Total Domestic Equity 28.94% 7.92% 46 19.51% 45 0.33 47 -1.24 63 -4.36% 46 US Equity Index -- 12.28% 30 17.74% 24 0.60 28 ------30 Total Non US Equity 18.38% 1.38% 60 17.10% 46 -0.01 60 0.13 60 0.22% 60 Total Non-US Equity Index -- 1.16% 62 16.23% 30 -0.03 62 ------62 Total Fixed Income 23.07% 4.66% 39 4.67% 59 0.66 58 -0.18 42 -0.49% 39 Total Fixed Income Benchmark -- 5.15% 30 3.40% 41 1.05 23 ------30 Total Cash 1.14% 1.76% 53 0.25% 64 0.75 42 1.13 32 0.18% 53 91 Day T-Bills -- 1.58% 72 0.22% 39 0.00 72 ------72 Total Real Estate 10.11% 6.96% -- 4.37% -- 1.23 -- 0.71 -- 2.24% -- Real Estate Blended Benchmark -- 4.72% -- 2.75% -- 1.14 ------Total Alternative Assets 18.35% 5.97% -- 5.61% -- 0.78 -- -0.24 -- -2.86% -- Alternative Assets Blended -- 8.83% -- 11.60% -- 0.63 ------Benchmark XXXXX

5 Years Ending September 30, 2020 Anlzd Std Ann Excess % of Tot Anlzd Ret Rank Rank Sharpe Ratio Rank Info Ratio Rank Rank Dev BM Return _ Total Domestic Equity 28.94% 11.23% 43 16.42% 41 0.61 44 -0.85 59 -2.92% 43 US Equity Index -- 14.15% 25 14.88% 19 0.87 21 ------25 Total Non US Equity 18.38% 6.69% 61 14.90% 37 0.37 60 0.25 56 0.46% 61 Total Non-US Equity Index -- 6.23% 64 14.49% 28 0.35 63 ------64 Total Fixed Income 23.07% 5.02% 29 4.24% 62 0.92 33 0.21 27 0.53% 29 Total Fixed Income Benchmark -- 4.49% 38 3.15% 42 1.07 11 ------38 Total Cash 1.14% 1.31% 57 0.26% 61 0.68 49 1.36 31 0.17% 57 91 Day T-Bills -- 1.13% 76 0.24% 46 0.00 75 ------76 Total Real Estate 10.11% 8.77% -- 5.03% -- 1.52 -- 0.74 -- 2.42% -- Real Estate Blended Benchmark -- 6.35% -- 3.24% -- 1.61 ------Total Alternative Assets 18.35% 6.57% -- 5.27% -- 1.03 -- -0.19 -- -1.89% -- Alternative Assets Blended -- 8.47% -- 9.35% -- 0.78 ------Benchmark XXXXX

57 New Hampshire Retirement System TOTAL FUND RISK STATISTICS 7 Years Ending September 30, 2020 Anlzd Std Ann Excess % of Tot Anlzd Ret Rank Rank Sharpe Ratio Rank Info Ratio Rank Rank Dev BM Return _ Total Domestic Equity 28.94% 10.03% 43 14.89% 37 0.62 42 -0.84 66 -2.54% 43 US Equity Index -- 12.57% 22 13.66% 17 0.86 17 ------22 Total Non US Equity 18.38% 3.52% 67 13.81% 35 0.20 68 0.17 64 0.34% 67 Total Non-US Equity Index -- 3.18% 72 13.70% 30 0.17 72 ------72 Total Fixed Income 23.07% 4.11% 41 3.90% 63 0.84 59 -0.02 41 -0.05% 41 Total Fixed Income Benchmark -- 4.16% 39 2.99% 43 1.12 15 ------39 Total Cash 1.14% 0.94% 60 0.27% 65 0.46 57 1.15 40 0.13% 60 91 Day T-Bills -- 0.82% 72 0.25% 42 0.00 72 ------72 Total Real Estate 10.11% 10.46% -- 6.14% -- 1.57 -- 0.56 -- 2.30% -- Real Estate Blended Benchmark -- 8.16% -- 3.87% -- 1.90 ------Total Alternative Assets 18.35% 6.96% -- 4.81% -- 1.28 -- -0.50 -- -4.94% -- Alternative Assets Blended -- 11.89% -- 9.41% -- 1.18 ------Benchmark XXXXX

10 Years Ending September 30, 2020 Anlzd Std Ann Excess % of Tot Anlzd Ret Rank Rank Sharpe Ratio Rank Info Ratio Rank Rank Dev BM Return _ Total Domestic Equity 28.94% 11.99% 43 14.46% 32 0.79 41 -0.70 72 -1.82% 43 US Equity Index -- 13.81% 24 13.43% 17 0.98 15 ------24 Total Non US Equity 18.38% 4.62% 70 14.82% 36 0.27 71 0.30 63 0.62% 70 Total Non-US Equity Index -- 4.00% 81 14.76% 32 0.23 78 ------81 Total Fixed Income 23.07% 4.30% 38 3.90% 65 0.95 50 0.17 39 0.38% 38 Total Fixed Income Benchmark -- 3.92% 47 2.91% 42 1.14 22 ------47 Total Cash 1.14% 0.69% 56 0.25% 69 0.40 57 1.07 46 0.10% 56 91 Day T-Bills -- 0.59% 69 0.23% 42 0.00 69 ------69 Total Real Estate 10.11% 11.13% -- 5.90% -- 1.79 -- 0.27 -- 1.34% -- Real Estate Blended Benchmark -- 9.79% -- 4.40% -- 2.09 ------Total Alternative Assets 18.35% 6.91% -- 4.86% -- 1.30 -- -0.59 -- -5.47% -- Alternative Assets Blended -- 12.38% -- 8.94% -- 1.32 ------Benchmark XXXXX

58 New Hampshire Retirement System TOTAL DOMESTIC EQUITY 3 Years Ending September 30, 2020 Anlzd Std Ann Excess % of Tot Anlzd Ret Rank Rank Sharpe Ratio Rank Info Ratio Rank Rank Dev BM Return _ Total Domestic Equity 28.94% 7.92% 46 19.51% 45 0.33 47 -1.24 63 -4.36% 46 US Equity Index -- 12.28% 30 17.74% 24 0.60 28 ------30 zTotal Domestic Equity ex Passive 10.87% 3.55% -- 21.81% -- 0.09 -- -1.39 -- -8.09% -- Russell 3000 -- 11.65% -- 18.44% -- 0.55 ------US Active 10.87% 3.55% 66 21.81% 67 0.09 67 -1.25 68 -8.73% 66 S&P 500 -- 12.28% 32 17.74% 25 0.60 30 ------32 Total Small Cap Domestic Equity 6.08% 5.96% 32 21.46% 18 0.20 31 1.27 21 4.19% 32 Russell 2000 -- 1.77% 44 23.00% 41 0.01 44 ------44 Boston Trust 1.48% 4.34% 36 19.51% 7 0.14 34 0.38 36 2.57% 36 Russell 2000 -- 1.77% 44 23.00% 41 0.01 44 ------44 Segall Bryant & Hamill 1.67% 7.99% 27 20.17% 11 0.32 26 1.01 25 6.22% 27 Russell 2000 -- 1.77% 44 23.00% 41 0.01 44 ------44 Wellington 2.92% 5.79% 32 23.86% 57 0.18 32 1.24 22 4.02% 32 Russell 2000 -- 1.77% 44 23.00% 41 0.01 44 ------44 Total SMid Cap Domestic Equity 4.79% 2.69% 58 22.86% 60 0.05 58 -0.83 70 -1.76% 58 Russell 2500 -- 4.45% 51 22.53% 50 0.13 51 ------51 AllianceBernstein 3.16% 6.71% 41 22.86% 60 0.22 43 0.78 32 2.25% 41 Russell 2500 -- 4.45% 51 22.53% 50 0.13 51 ------51 TSW 1.64% -3.65% 87 23.82% 71 -0.22 87 -0.60 88 -3.25% 87 Russell 2500 / Russell 2500 Value -- -0.40% 72 23.53% 69 -0.08 72 ------72 Blend Total Large Cap Domestic Equity 18.07% 10.13% 46 18.25% 72 0.47 56 -1.91 98 -2.15% 46 S&P 500 -- 12.28% 32 17.74% 25 0.60 30 ------32 Total Passive Domestic Equity 18.07% 12.26% 20 17.74% 29 0.60 29 0.47 23 0.62% 20 Russell 3000 -- 11.65% 50 18.44% 63 0.55 55 ------50 Total Large Cap Passive Equity 18.07% 12.26% 20 17.74% 29 0.60 29 -2.04 91 -0.02% 20 S&P 500 -- 12.28% 32 17.74% 25 0.60 30 ------32 Blackrock S&P 500 18.07% 12.26% 13 17.74% 99 0.60 70 -2.04 51 -0.02% 13 S&P 500 -- 12.28% 32 17.74% 25 0.60 30 ------32 Total Large Cap Active Equity 0.00% -72.37% 99 60.70% 99 -1.22 99 -1.36 99 -75.00% 99 Russell 1000 Value -- 2.63% 56 18.33% 51 0.06 55 ------56 LSV Asset Management 0.00% -67.00% 99 60.27% 99 -1.14 99 -1.27 99 -69.63% 99 Large Cap Value Manager Index -- 2.63% 56 18.33% 51 0.06 55 ------56

59 New Hampshire Retirement System TOTAL DOMESTIC EQUITY 5 Years Ending September 30, 2020 Anlzd Std Ann Excess % of Tot Anlzd Ret Rank Rank Sharpe Ratio Rank Info Ratio Rank Rank Dev BM Return _ Total Domestic Equity 28.94% 11.23% 43 16.42% 41 0.61 44 -0.85 59 -2.92% 43 US Equity Index -- 14.15% 25 14.88% 19 0.87 21 ------25 zTotal Domestic Equity ex Passive 10.87% 8.29% -- 18.38% -- 0.39 -- -0.99 -- -5.40% -- Russell 3000 -- 13.69% -- 15.47% -- 0.81 ------US Active 10.87% 8.29% 66 18.38% 64 0.39 69 -0.90 70 -5.86% 66 S&P 500 -- 14.15% 29 14.88% 19 0.87 25 ------29 Total Small Cap Domestic Equity 6.08% 10.64% 30 18.37% 15 0.52 28 0.83 18 2.64% 30 Russell 2000 -- 8.00% 44 20.08% 43 0.34 44 ------44 Boston Trust 1.48% 9.33% 36 16.98% 6 0.48 31 0.22 36 1.33% 36 Russell 2000 -- 8.00% 44 20.08% 43 0.34 44 ------44 Segall Bryant & Hamill 1.67% 10.78% 29 17.21% 7 0.56 25 0.48 28 2.78% 29 Russell 2000 -- 8.00% 44 20.08% 43 0.34 44 ------44 Wellington 2.92% 11.30% 28 20.39% 50 0.50 30 1.10 10 3.29% 28 Russell 2000 -- 8.00% 44 20.08% 43 0.34 44 ------44 Total SMid Cap Domestic Equity 4.79% 7.17% 59 19.18% 48 0.31 58 -0.83 80 -1.79% 59 Russell 2500 -- 8.97% 44 19.12% 47 0.41 45 ------44 AllianceBernstein 3.16% 10.34% 37 19.56% 60 0.47 40 0.49 32 1.38% 37 Russell 2500 -- 8.97% 44 19.12% 47 0.41 45 ------44 TSW 1.64% 2.30% 92 19.62% 61 0.06 92 -0.69 92 -3.61% 92 Russell 2500 / Russell 2500 Value -- 5.90% 64 19.87% 63 0.24 66 ------64 Blend Total Large Cap Domestic Equity 18.07% 12.58% 41 15.35% 71 0.75 51 -1.35 93 -1.56% 41 S&P 500 -- 14.15% 29 14.88% 19 0.87 25 ------29 Total Passive Domestic Equity 18.07% 14.13% 18 14.88% 25 0.87 28 0.36 19 0.44% 18 Russell 3000 -- 13.69% 44 15.47% 61 0.81 54 ------44 Total Large Cap Passive Equity 18.07% 14.14% 17 14.88% 25 0.87 28 -0.86 53 -0.01% 17 S&P 500 -- 14.15% 29 14.88% 19 0.87 25 ------29 Blackrock S&P 500 18.07% 14.13% 20 14.88% 99 0.87 67 -1.88 44 -0.02% 20 S&P 500 -- 14.15% 29 14.88% 19 0.87 25 ------29 Total Large Cap Active Equity 0.00% -51.22% 99 47.71% 99 -1.10 99 -1.37 99 -58.87% 99 Russell 1000 Value -- 7.66% 51 15.50% 49 0.42 51 ------51 LSV Asset Management 0.00% -45.44% 99 47.36% 99 -0.98 99 -1.25 99 -53.10% 99 Large Cap Value Manager Index -- 7.66% 51 15.50% 49 0.42 51 ------51 XXXXX

60 New Hampshire Retirement System TOTAL DOMESTIC EQUITY 7 Years Ending September 30, 2020 Anlzd Std Ann Excess % of Tot Anlzd Ret Rank Rank Sharpe Ratio Rank Info Ratio Rank Rank Dev BM Return _ Total Domestic Equity 28.94% 10.03% 43 14.89% 37 0.62 42 -0.84 66 -2.54% 43 US Equity Index -- 12.57% 22 13.66% 17 0.86 17 ------22 zTotal Domestic Equity ex Passive 10.87% 7.46% -- 16.54% -- 0.40 -- -0.95 -- -4.64% -- Russell 3000 -- 12.11% -- 14.12% -- 0.80 ------US Active 10.87% 7.46% 69 16.54% 61 0.40 71 -0.87 78 -5.22% 69 S&P 500 -- 12.68% 27 13.65% 18 0.87 21 ------27 Total Small Cap Domestic Equity 6.08% 8.36% 32 16.90% 14 0.45 28 0.66 17 1.94% 32 Russell 2000 -- 6.42% 47 18.47% 45 0.30 48 ------47 Boston Trust 1.48% 6.71% 44 15.87% 6 0.37 37 0.05 45 0.29% 44 Russell 2000 -- 6.42% 47 18.47% 45 0.30 48 ------47 Segall Bryant & Hamill 1.67% 7.65% 35 15.88% 6 0.43 30 0.22 34 1.23% 35 Russell 2000 -- 6.42% 47 18.47% 45 0.30 48 ------47 Wellington 2.92% 9.74% 23 18.69% 49 0.48 24 1.10 3 3.31% 23 Russell 2000 -- 6.42% 47 18.47% 45 0.30 48 ------47 Total SMid Cap Domestic Equity 4.79% 6.62% 57 17.31% 45 0.34 54 -0.52 72 -1.07% 57 Russell 2500 -- 7.70% 42 17.35% 45 0.40 45 ------42 AllianceBernstein 3.16% 8.50% 36 17.79% 58 0.43 41 0.29 32 0.80% 36 Russell 2500 -- 7.70% 42 17.35% 45 0.40 45 ------42 TSW 1.64% 3.61% 82 17.56% 53 0.16 81 -0.40 83 -1.92% 82 Russell 2500 / Russell 2500 Value -- 5.52% 67 17.93% 63 0.26 67 ------67 Blend Total Large Cap Domestic Equity 18.07% 11.36% 40 14.04% 64 0.75 55 -1.22 99 -1.32% 40 S&P 500 -- 12.68% 27 13.65% 18 0.87 21 ------27 Total Passive Domestic Equity 18.07% 12.66% 16 13.65% 32 0.87 28 0.45 19 0.56% 16 Russell 3000 -- 12.11% 44 14.12% 63 0.80 56 ------44 Total Large Cap Passive Equity 18.07% 12.67% 16 13.65% 32 0.87 28 -0.99 69 -0.01% 16 S&P 500 -- 12.68% 27 13.65% 18 0.87 21 ------27 Blackrock S&P 500 18.07% 12.66% 19 13.65% 99 0.87 63 -1.93 36 -0.01% 19 S&P 500 -- 12.68% 27 13.65% 18 0.87 21 ------27 Total Large Cap Active Equity 0.00% -38.93% 99 40.70% 99 -0.98 99 -1.28 99 -46.29% 99 Russell 1000 Value -- 7.35% 48 14.11% 45 0.46 49 ------48 LSV Asset Management 0.00% -33.58% 99 40.43% 99 -0.85 99 -1.14 99 -40.93% 99 Large Cap Value Manager Index -- 7.35% 48 14.11% 45 0.46 49 ------48 XXXXX

61 New Hampshire Retirement System TOTAL DOMESTIC EQUITY

Note: All Style Analysis are returns based.

62 New Hampshire Retirement System TOTAL DOMESTIC EQUITY

Characteristics Portfolio S&P 500 Number of Holdings 1,117 505 Weighted Avg. Market Cap. ($B) 282.6 443.2 Median Market Cap. ($B) 5.7 22.8 Price To Earnings 22.7 23.8 Price To Book 3.8 4.4 Price To Sales 1.9 2.4 Return on Equity (%) 3.3 4.1 Yield (%) 1.6 1.7 Beta 1.1 1.0 R-Squared 1.0 1.0

63 New Hampshire Retirement System TOTAL DOMESTIC EQUITY Top Ten Holdings Top Positive Contributors Top Negative Contributors APPLE INC 4.2% Relative Relative MICROSOFT CORP 3.6% Contribution Contribution Return % Return % AMAZON.COM INC 3.0% % % FACEBOOK INC 1.4% _ _ APPLE INC 0.8% 27.2% INTEL CORP -0.1% -12.9% ALPHABET INC 1.0% AMAZON.COM INC 0.3% 14.1% EXXON MOBIL CORP -0.1% -21.7% ALPHABET INC 1.0% NVIDIA CORPORATION 0.2% 42.5% CISCO SYSTEMS INC -0.1% -14.9% BERKSHIRE HATHAWAY INC 1.0% FACEBOOK INC 0.2% 15.3% CHEVRON CORP -0.1% -18.1% JOHNSON & JOHNSON 0.9% BERKSHIRE HATHAWAY INC 0.1% 19.3% CITIGROUP INC -0.1% -14.8% PROCTER & GAMBLE CO (THE) 0.8% TRUPANION INC 0.1% 84.8% GILEAD SCIENCES INC 0.0% -17.0% VISA INC 0.8% FEDEX CORP. 0.1% 79.9% ABBVIE INC 0.0% -9.7% SALESFORCE.COM INC 0.1% 34.2% PHILLIPS 66 0.0% -26.9% IRHYTHM TECHNOLOGIES INC 0.1% 105.5% VALERO ENERGY CORP 0.0% -25.0% MICROSOFT CORP 0.1% 3.6% HMS HOLDINGS CORP 0.0% -26.1%

_ _ Equity Sector Attribution Attribution Effects Returns Sector Weights Total Selection Allocation Interaction Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark _ Energy 0.21% 0.00% 0.19% 0.02% -44.82% -45.36% 3.81% 4.64% Materials -0.53% -0.34% -0.05% -0.14% -1.87% 11.98% 3.72% 2.71% Industrials -0.65% -0.20% -0.36% -0.08% -1.42% 1.18% 11.55% 9.39% Consumer Discretionary -1.44% -1.23% -0.11% -0.10% 14.68% 29.76% 10.81% 10.12% Consumer Staples -0.13% -0.29% 0.10% 0.06% 5.07% 8.55% 6.40% 7.37% Health Care 0.38% 0.50% -0.10% -0.01% 24.50% 20.62% 12.81% 13.63% Financials -1.38% -0.59% -0.67% -0.12% -15.38% -11.30% 15.74% 13.11% Information Technology -3.28% -2.62% -1.09% 0.43% 34.86% 47.18% 18.68% 21.92% Communication Services -0.46% -0.47% -0.17% 0.17% 14.71% 19.29% 6.70% 10.49% Utilities -0.23% -0.24% 0.01% 0.00% -11.43% -4.97% 3.18% 3.42% Real Estate -0.72% -0.19% -0.40% -0.13% -13.24% -7.54% 5.11% 3.19% Cash -0.31% 0.00% -0.31% 0.00% 0.82% -- 1.43% 0.00% Unclassified 0.00% 0.00% 0.00% 0.00% 19.41% -- 0.05% 0.00% Portfolio -8.53% = -5.68% + -2.96% + 0.10% 6.97% 15.50% 100.00% 100.00%

_ Note: All Information above is based on data for the quarter ending September 30, 2020 Holdings data includes data from US Equity managers only.

64 New Hampshire Retirement System BOSTON TRUST

Boston Trust is looking to outperform its benchmark with less risk over time through identification of innovative, higher quality firms. They believe that stocks of higher quality companies are systematically mispriced because most investors fail to discount sufficiently for risk. They feel that companies with unique innovations can sustain their businesses more successfully through economic cycles. Through both quantitative screening and fundamental analysis, Boston Trust seeks to invest in the securities of companies with three key characteristics: 1) companies that in the management's judgment possess higher financial quality than average; 2) companies believed to be distinctly innovative in their products, services or practices; and 3) companies whose business model leverages one of several favored secular trends.

65 New Hampshire Retirement System BOSTON TRUST

Note: All Style Analysis are returns based.

66 New Hampshire Retirement System SEGALL BRYANT & HAMILL

Through a combination of quantitative analysis, fundamental analysis and experienced judgment, Segall Bryant & Hamill can exploit the relatively more inefficient small cap market by investing in companies that are trading below their intrinsic value. These inefficiencies are primarily the result of lack of company sponsorship (institutional ownership and/or analyst coverage) and liquidity. They focus on companies that have sustainable or improving return on invested capital (ROIC), utilizing a barbell approach, buying both growth stocks and value stocks. The barbell strategy is executed by the selection of two distinctive types of companies: 1) growth stocks that are best described as having GARP characteristics and 2) value stocks, which have an identifiable catalyst, which is still producing positive returns in the current quarter or one quarter out. This approach eliminates many highflying growth names and many deep value cyclical companies.

67 New Hampshire Retirement System SEGALL BRYANT & HAMILL

Note: All Style Analysis are returns based.

68 New Hampshire Retirement System WELLINGTON

Wellington employs a fundamental, bottom-up approach to investing in equity assets. The strategy delivers a research portfolio managed by the firm’s global industry analysts and representing their best small cap ideas. The overall investment approach is diversified by investment style. Individual analysts have developed valuation methodologies that have proven most relevant to their particular industry, some with a growth bias and others with a value bias. As a result, the portfolio combines a blend of investment disciplines, which diversifies investment style risk. The portfolio invests primarily in securities of US small cap companies. While the investment objective is to outperform the Russell 2000 Index, the strategy is not limited to investing in stocks in the benchmark. The portfolio consists of multiple industry sub-portfolios, each of which is actively managed by one of Wellington’s global industry analysts. The allocation of assets to each sub-portfolio is constrained to +/-1% versus the corresponding industry weight in the benchmark.

69 New Hampshire Retirement System WELLINGTON

Note: All Style Analysis are returns based.

70 New Hampshire Retirement System ALLIANCEBERNSTEIN

AllianceBernstein SMID Cap style blend is an active, core equity portfolio which is designed to take advantage of the strengths of growth equities and value equities. It aims to deliver significant premium with consistency by combining a high-conviction growth component with a deep-value component. They manage the growth and value components of US SMID style blend separately because the growth and value styles require fundamentally different mindsets. The growth equities research department focuses on identifying companies with significant and underappreciated top-line and earnings-growth strength, talented management teams and a distinct competitive advantage, typically within a growing market. The value equities research department focuses on identifying companies that are trading at a discount to their long-term earnings power, usually because of a problem that might only be temporary. The blend strategies investment team combines the two style components, with a target mix of 50% growth and 50% value. Whenever either component hits 55% of the total, the team rebalances to take it back to 52.5%, a discipline that trades off the risk-reduction benefits with the costs of rebalancing.

71 New Hampshire Retirement System ALLIANCEBERNSTEIN

Note: All Style Analysis are returns based.

72 New Hampshire Retirement System TSW

TSW’s value-added is attributable to the experienced investment professionals, a disciplined process, and their focus on preserving their alpha potential by establishing conservative capacity limits. Fundamental analysis focuses on finding a value catalyst in identifying stocks with attractive reward/risk. Quantitative tools are used to cull the universe down to the names that are subjected to fundamental analysis by the team. The screening process balances two factors that look back at cash flow data and two factors that look forward at earnings and price strength data, which when taken together, should help avoid investing in many value traps. TSW's investment philosophy has three tenets: 1) Value wins over time. 2) Independent fundamental research adds value. 3) It is imperative to manage the risk/return tradeoffs.

73 New Hampshire Retirement System TSW

Note: All Style Analysis are returns based.

74 New Hampshire Retirement System BLACKROCK S&P 500

Superior investment outcomes are best achieved through a disciplined, objective process that balances return, risk and cost. Blackrock has followed the same investment philosophy of Total Performance Management for index equity strategies since 1971. To successfully and consistently achieve the benchmark return, risks must be well understood and adequately compensated, and transaction costs must be explicitly considered in all investment decisions. Blackrock’s comprehensive range of investment strategies are designed so that the thousands of index changes and rebalancing decisions are implemented to preserve value for client portfolios while ensuring that tracking targets are met systematically and consistently.

75 New Hampshire Retirement System BLACKROCK S&P 500

Note: All Style Analysis are returns based.

76 New Hampshire Retirement System TOTAL NON US EQUITY 3 Years Ending September 30, 2020 Ann Excess BM % of Tot Anlzd Ret Rank Anlzd Std Dev Rank Info Ratio Rank Rank Return _ Total Non US Equity 18.38% 1.38% 60 17.10% 46 0.13 60 0.22% 60 Total Non-US Equity Index -- 1.16% 62 16.23% 30 ------62 Total Core Non US Equity 9.07% -0.89% 81 17.64% 61 -0.79 90 -2.05% 81 Core Non-US Equity Manager Index -- 1.16% 59 16.23% 34 ------59 Artisan Partners 3.51% 6.05% 9 16.05% 42 1.40 3 5.43% 9 MSCI EAFE -- 0.62% 55 15.45% 30 ------55 Causeway Capital 2.74% -4.61% 96 19.78% 92 -0.91 88 -5.22% 96 MSCI EAFE -- 0.62% 55 15.45% 30 ------55 Fisher Investments 0.01% 2.77% 42 12.79% 1 0.14 54 1.61% 42 Core Non-US Equity Manager Index -- 1.16% 59 16.23% 34 ------59 LSV International Value 2.81% -4.03% 90 18.00% 62 -0.04 90 -0.12% 90 MSCI ACWI ex USA / MSCI ACWI ex USA -- -3.92% 90 17.64% 56 ------90 Value Blend Total Emerging Markets 3.85% 0.53% 64 19.25% 42 -0.44 67 -1.89% 64 MSCI Emerging Markets -- 2.42% 43 18.94% 34 ------43 Neuberger Berman 2.00% 0.59% 63 18.46% 21 -0.47 68 -1.82% 63 MSCI Emerging Markets -- 2.42% 43 18.94% 34 ------43 Wellington Emerging Markets 1.85% 1.43% 56 20.62% 77 -0.16 52 -0.98% 56 MSCI Emerging Markets -- 2.42% 43 18.94% 34 ------43 SBH International Small Cap 1.18% -8.58% 95 20.28% 76 -2.80 99 -9.98% 95 MSCI EAFE Small Cap -- 1.40% 48 18.58% 37 ------48 Total Global Equity 4.29% 12.87% 25 15.39% 20 1.53 13 5.75% 25 MSCI ACWI -- 7.12% 49 16.88% 43 ------49 Walter Scott Global Equity 4.29% 12.87% 25 15.39% 20 1.53 13 5.75% 25 MSCI EAFE / ACWI Blend -- 7.12% 49 16.88% 43 ------49 XXXXX

77 New Hampshire Retirement System TOTAL NON US EQUITY 5 Years Ending September 30, 2020 Ann Excess BM % of Tot Anlzd Ret Rank Anlzd Std Dev Rank Info Ratio Rank Rank Return _ Total Non US Equity 18.38% 6.69% 61 14.90% 37 0.25 56 0.46% 61 Total Non-US Equity Index -- 6.23% 64 14.49% 28 ------64 Total Core Non US Equity 9.07% 4.82% 83 15.49% 57 -0.54 87 -1.42% 83 Core Non-US Equity Manager Index -- 6.23% 62 14.49% 36 ------62 Artisan Partners 3.51% 8.15% 19 14.48% 45 0.65 16 2.89% 19 MSCI EAFE -- 5.26% 57 14.01% 30 ------57 Causeway Capital 2.74% 1.89% 97 17.01% 88 -0.69 94 -3.38% 97 MSCI EAFE -- 5.26% 57 14.01% 30 ------57 Fisher Investments 0.01% 7.94% 41 12.85% 3 0.19 52 1.71% 41 Core Non-US Equity Manager Index -- 6.23% 62 14.49% 36 ------62 LSV International Value 2.81% 3.48% 86 15.75% 57 0.18 83 0.48% 86 MSCI ACWI ex USA / MSCI ACWI ex USA -- 3.00% 92 15.53% 51 ------92 Value Blend Total Emerging Markets 3.85% 7.60% 61 17.08% 26 -0.33 64 -1.36% 61 MSCI Emerging Markets -- 8.97% 44 17.36% 41 ------44 Neuberger Berman 2.00% 9.06% 44 16.80% 18 0.02 44 0.09% 44 MSCI Emerging Markets -- 8.97% 44 17.36% 41 ------44 Wellington Emerging Markets 1.85% 8.59% 47 18.09% 66 -0.07 45 -0.37% 47 MSCI Emerging Markets -- 8.97% 44 17.36% 41 ------44 Total Global Equity 4.29% 14.07% 22 13.13% 18 1.04 15 3.77% 22 MSCI ACWI -- 10.30% 43 14.42% 40 ------43 Walter Scott Global Equity 4.29% 14.07% 22 13.13% 18 1.04 15 3.77% 22 MSCI EAFE / ACWI Blend -- 10.30% 43 14.42% 40 ------43 XXXXX

78 New Hampshire Retirement System TOTAL NON US EQUITY 7 Years Ending September 30, 2020 Ann Excess BM % of Tot Anlzd Ret Rank Anlzd Std Dev Rank Info Ratio Rank Rank Return _ Total Non US Equity 18.38% 3.52% 67 13.81% 35 0.17 64 0.34% 67 Total Non-US Equity Index -- 3.18% 72 13.70% 30 ------72 Total Core Non US Equity 9.07% 1.88% 95 14.41% 59 -0.46 99 -1.30% 95 Core Non-US Equity Manager Index -- 3.18% 76 13.70% 40 ------76 Fisher Investments 0.01% 5.02% 42 12.63% 5 0.24 59 1.84% 42 Core Non-US Equity Manager Index -- 3.18% 76 13.70% 40 ------76 Total Emerging Markets 3.85% 3.37% 60 15.91% 17 -0.09 61 -0.37% 60 MSCI Emerging Markets -- 3.74% 54 16.74% 47 ------54 Wellington Emerging Markets 1.85% 5.40% 26 16.54% 38 0.28 34 1.66% 26 MSCI Emerging Markets -- 3.74% 54 16.74% 47 ------54 Total Global Equity 4.29% 10.86% 24 12.23% 20 0.91 16 3.02% 24 MSCI ACWI -- 7.84% 46 13.36% 38 ------46 Walter Scott Global Equity 4.29% 10.86% 24 12.23% 20 0.91 16 3.02% 24 MSCI EAFE / ACWI Blend -- 7.84% 46 13.36% 38 ------46 XXXXX

79 New Hampshire Retirement System TOTAL NON US EQUITY

Note: All Style Analysis are returns based.

80 New Hampshire Retirement System TOTAL NON US EQUITY

Characteristics MSCI ACWI ex Portfolio USA Number of Holdings 984 2,374 Weighted Avg. Market Cap. ($B) 127.7 97.2 Median Market Cap. ($B) 2.7 7.4 Price To Earnings 17.2 16.5 Price To Book 3.3 2.9 Price To Sales 1.1 1.1 Return on Equity (%) 10.8 10.4 Yield (%) 2.3 2.6 Beta 1.0 1.0 R-Squared 1.0 1.0

Regional Allocation As Of September 30, 2020 Total Non US Equity MSCI ACWI ex USA Region Weighting Americas 23.98 9.57 Europe 35.40 40.84 Asia/Pacific 38.26 46.83 Other 2.36 2.77

81 New Hampshire Retirement System TOTAL NON US EQUITY Top Ten Holdings Top Positive Contributors Top Negative Contributors ROCHE HOLDING AG 2.1% Relative Relative TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD 1.7% Contribution Contribution Return % Return % ALIBABA GROUP HOLDING LTD 1.5% % % _ _ TAIWAN SEMICONDUCTOR MANUFACTURING TAIWAN SEMICONDUCTOR MANUFACTURING LINDE PLC ORD 1.3% 0.5% 43.5% -0.5% 41.4% CO LTD CO LTD SAMSUNG ELECTRONICS CO LTD 1.3% NIKE INC 0.1% 28.3% ALIBABA GROUP HOLDING LTD -0.2% 36.3% NESTLE SA, CHAM UND VEVEY 1.2% DEUTSCHE POST AG 0.1% 28.4% MEITUAN -0.1% 40.7% BABA-SW ORD 1.1% INTUITIVE SURGICAL INC 0.1% 24.5% ROLLS ROYCE HOLDINGS PLC -0.1% -52.4% DEUTSCHE BOERSE AG 1.1% ADOBE INC 0.1% 12.7% CISCO SYSTEMS INC -0.1% -14.9% MICROSOFT CORP 1.0% MASTERCARD INC 0.1% 14.5% EOG RESOURCES INC. -0.1% -28.5% ADOBE INC 0.9% EDWARDS LIFESCIENCES CORP 0.1% 15.5% UNICREDIT SPA -0.1% -10.2% COGNIZANT TECHNOLOGY SOLUTIONS CORP 0.1% 22.6% ILLUMINA INC -0.1% -16.5% YANDEX NV 0.1% 30.4% DAIMLER AG 0.0% 36.2% STRYKER CORP 0.1% 16.0% RELIANCE INDUSTRIES LTD 0.0% 35.2%

_ _

Equity Sector Attribution Attribution Effects Returns Sector Weights Total Selection Allocation Interaction Effects Effect Effect Effects Portfolio Benchmark Portfolio Benchmark _ Energy 0.2% 0.0% 0.3% 0.0% -7.5% -7.5% 2.7% 4.9% Materials 0.0% 0.1% -0.1% 0.0% 12.6% 10.8% 6.5% 7.6% Industrials -0.3% -0.2% 0.0% -0.1% 6.8% 9.4% 10.9% 11.1% Consumer Discretionary -0.4% -0.2% -0.1% -0.1% 14.7% 16.6% 11.6% 12.8% Consumer Staples -0.1% 0.0% 0.0% -0.1% 4.1% 4.6% 7.9% 10.1% Health Care 0.4% 0.4% -0.2% 0.1% 5.3% 2.6% 14.5% 10.8% Financials 0.1% 0.1% 0.1% -0.1% 0.1% -0.1% 15.9% 18.4% Information Technology 0.4% 0.0% 0.5% 0.0% 12.3% 13.6% 16.8% 10.4% Communication Services -0.1% 0.0% 0.0% -0.1% 2.7% 3.4% 7.7% 7.8% Utilities -0.1% -0.1% 0.1% 0.0% -3.2% 2.2% 2.1% 3.5% Real Estate 0.0% 0.0% 0.1% -0.1% 2.4% 2.1% 1.2% 2.8% Cash -0.1% 0.0% -0.1% 0.0% 0.0% -- 2.3% 0.0% Unclassified 0.0% ------0.0% 0.0% Portfolio 0.3% = 0.1% + 0.6% + -0.5% 6.4% 6.1% 100.0% 100.0%

_ Note: All Information above is based on data for the quarter ending September 30, 2020

82 New Hampshire Retirement System TOTAL NON US EQUITY Country Allocation Versus Country Allocation Versus Country Allocation Versus MSCI ACWI ex USA - Quarter Ending September 30, 2020 MSCI ACWI ex USA - Quarter Ending September 30, 2020 MSCI ACWI ex USA - Quarter Ending September 30, 2020 Manager Index Manager Index Manager Index Manager Index Manager Index Manager Index Allocation Allocation Allocation Allocation Allocation Allocation Return (USD) Return (USD) Return (USD) Return (USD) Return (USD) Return (USD) (USD) (USD) (USD) (USD) (USD) (USD) _ _ _ Americas Europe AsiaPacific Argentina* 0.0% 0.0% -26.1% 6.7% Austria 0.1% 0.1% -18.0% -4.8% Australia 1.4% 4.5% 6.8% 2.5% Brazil* 1.8% 1.5% -4.2% -2.9% Belgium 0.4% 0.6% 2.7% 0.4% Bangladesh** 0.0% 0.0% -- -- Canada 1.9% 6.6% 10.5% 6.5% Croatia** 0.0% 0.0% -- -- China* 5.8% 12.0% 15.7% 12.4% Chile* 0.1% 0.2% -4.7% -4.0% Czech Republic* 0.1% 0.0% 2.2% -4.8% Hong Kong 7.0% 2.2% 1.5% 1.6% Colombia* 0.0% 0.1% 14.9% -1.0% Denmark 1.6% 1.6% 9.3% 15.4% India* 3.8% 2.4% 20.7% 15.2% Mexico* 0.5% 0.5% 0.4% 4.4% Estonia** 0.0% 0.0% -- -- Indonesia* 0.7% 0.4% -5.9% -5.7% Peru* 0.2% 0.1% -7.2% 3.5% Finland 0.3% 0.7% 24.9% 12.5% Japan 7.4% 16.9% 4.7% 7.0% United States 17.1% 0.0% 9.0% 9.5% France 5.8% 7.2% 0.0% 2.8% Korea* 4.1% 3.4% 12.6% 13.2% Total-Americas 21.6% 9.0% 7.6% 4.6% Germany 5.1% 3.9% 7.2% 5.8% Malaysia* 0.3% 0.5% 28.0% 4.0% _ Greece* 0.2% 0.0% 6.0% 3.4% New Zealand 0.0% 0.2% 5.1% -0.9% Hungary* 0.2% 0.1% 0.3% -9.1% Pakistan* 0.0% 0.0% -- 12.5% Ireland 1.0% 0.4% 11.0% 12.4% Philippines* 0.2% 0.2% 0.0% -2.7% Italy 1.4% 1.5% -4.4% 1.5% Singapore 0.5% 0.7% -0.5% -1.1% Lithuania** 0.0% 0.0% -- -- Sri Lanka** 0.0% 0.0% -- -- Luxembourg 0.0% 0.0% -- -- Taiwan* 5.9% 3.6% 13.5% 16.7% Netherlands 1.7% 2.9% 12.0% 5.9% Thailand* 0.7% 0.7% -2.4% -13.8% Norway 0.2% 0.3% 0.5% 8.4% Vietnam** 0.0% 0.0% -- -- Poland* 0.5% 0.2% 8.7% -0.9% Total-AsiaPacific 37.8% 47.7% 9.5% 8.6% Portugal 0.2% 0.1% 7.8% -2.2% Other Romania** 0.0% 0.0% -- -- Bahrain** 0.0% 0.0% -- -- Russia* 1.1% 0.9% -2.0% -5.0% Egypt* 0.1% 0.0% 12.9% 4.6% Serbia** 0.0% 0.0% -- -- Israel 0.4% 0.4% 14.5% -2.0% Slovenia** 0.0% 0.0% -- -- Jordan** 0.0% 0.0% -- -- Spain 1.4% 1.6% -3.9% -3.9% Kazakhstan** 0.0% 0.0% -- -- Sweden 0.9% 2.0% 17.2% 14.3% Kenya** 0.0% 0.0% -- -- Switzerland 7.1% 6.9% 3.1% 5.2% Kuwait** 0.0% 0.0% -- -- United Kingdom 7.2% 9.4% -2.1% -0.4% Lebanon** 0.0% 0.0% -- -- Total-Europe 36.4% 40.4% 2.9% 3.7% Mauritius** 0.0% 0.0% -- -- Totals Morocco** 0.0% 0.0% -- -- Developed 69.9% 70.7% 4.8% 4.7% Nigeria** 0.0% 0.0% -- -- Emerging* 27.8% 29.3% 11.0% 9.7% Oman** 0.0% 0.0% -- -- Frontier** 0.0% 0.0% -- -- Other Countries 0.0% 0.0% -- -- Other 0.0% -- Qatar* 0.1% 0.2% 26.3% 7.5% Cash 2.3% 0.0% Saudi Arabia* 0.2% 0.8% 24.3% 9.5% _ South Africa* 1.0% 1.1% 2.4% 3.4% Tunisia** 0.0% 0.0% -- -- Turkey* 0.2% 0.1% -12.3% -15.8% United Arab Emirates* 0.0% 0.2% 0.4% 6.3% * categorized as an Emerging market country Total-Other 2.0% 2.8% 6.5% 3.9% _ ** catergorized as a Frontier market country

83 New Hampshire Retirement System TOTAL NON US EQUITY International Equity Performance Attribution International Equity Performance Attribution Versus MSCI ACWI ex USA - Quarter Ending September 30, 2020 Versus MSCI ACWI ex USA - Quarter Ending September 30, 2020 Returns and Weights Attribution Effects Returns and Weights Attribution Effects Manager Index Manager Index Selection Allocation Currency Interaction Total Manager Index Manager Index Selection Allocation Currency Interaction Total Return Return Weight Weight Effect Effect Effect Effect Effects Return Return Weight Weight Effect Effect Effect Effect Effects _ _ Americas AsiaPacific Argentina* -26.1% 6.7% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Australia 6.8% 2.5% 1.4% 4.5% 0.2% 0.1% -0.1% -0.1% 0.1% Brazil* -4.2% -2.9% 1.8% 1.5% 0.0% 0.0% 0.0% 0.0% 0.0% Bangladesh** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Canada 10.5% 6.5% 1.9% 6.6% 0.3% 0.0% -0.1% -0.2% -0.1% China* 15.7% 12.4% 5.8% 12.0% 0.3% -0.5% 0.0% -0.2% -0.4% Chile* -4.7% -4.0% 0.1% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% Hong Kong 1.5% 1.6% 7.0% 2.2% 0.0% -0.1% 0.0% 0.0% -0.1% Colombia* 14.9% -1.0% 0.0% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% India* 20.7% 15.2% 3.8% 2.4% 0.1% 0.1% 0.0% 0.1% 0.4% Mexico* 0.4% 4.4% 0.5% 0.5% 0.0% 0.0% 0.0% 0.0% 0.0% Indonesia* -5.9% -5.7% 0.7% 0.4% 0.0% 0.0% 0.0% 0.0% 0.0% Peru* -7.2% 3.5% 0.2% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% Japan 4.7% 7.0% 7.4% 16.9% -0.4% -0.1% -0.2% 0.2% -0.5% United States 9.0% 9.5% 17.1% 0.0% 0.0% 1.0% 0.0% -0.1% 0.9% Korea* 12.6% 13.2% 4.1% 3.4% 0.0% 0.0% 0.0% 0.0% 0.0% Europe Malaysia* 28.0% 4.0% 0.3% 0.5% 0.1% 0.0% 0.0% 0.0% 0.1% Austria -18.0% -4.8% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% New Zealand 5.1% -0.9% 0.0% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% Belgium 2.7% 0.4% 0.4% 0.6% 0.0% 0.0% 0.0% 0.0% 0.0% Pakistan* -- 12.5% 0.0% 0.0% -- 0.0% 0.0% -- 0.0% Czech 2.2% -4.8% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Philippines* 0.0% -2.7% 0.2% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% Republic* Singapore -0.5% -1.1% 0.5% 0.7% 0.0% 0.0% 0.0% 0.0% 0.0% Denmark 9.3% 15.4% 1.6% 1.6% -0.1% 0.0% 0.0% 0.0% -0.1% Sri Lanka** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Finland 24.9% 12.5% 0.3% 0.7% 0.1% 0.0% 0.0% 0.0% 0.0% Taiwan* 13.5% 16.7% 5.9% 3.6% -0.1% 0.3% 0.0% -0.1% 0.1% France 0.0% 2.8% 5.8% 7.2% -0.2% 0.1% -0.1% 0.0% -0.2% Thailand* -2.4% -13.8% 0.7% 0.7% 0.1% 0.0% 0.0% 0.0% 0.1% Germany 7.2% 5.8% 5.1% 3.9% 0.1% 0.0% 0.0% 0.0% 0.1% Vietnam** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Greece* 6.0% 3.4% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Totals Hungary* 0.3% -9.1% 0.2% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% Developed 4.8% 4.7% 69.9% 70.7% 0.8% 0.0% -0.7% 0.0% 0.1% Ireland 11.0% 12.4% 1.0% 0.4% 0.0% 0.0% 0.0% 0.0% 0.0% Emerging* 11.0% 9.7% 27.8% 29.3% 0.3% -0.1% 0.1% 0.0% 0.3% Italy -4.4% 1.5% 1.4% 1.5% -0.1% 0.0% 0.0% 0.0% -0.1% Frontier** -- -- 0.0% 0.0% -- 0.0% 0.0% -- 0.0% Luxembourg -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Other -- -- 0.0% 0.0% -- 0.0% 0.0% -- 0.0% Netherlands 12.0% 5.9% 1.7% 2.9% 0.2% 0.0% -0.1% -0.1% 0.1% Cash 0.0% -- 2.3% 0.0% 0.0% -0.1% 0.0% 0.0% -0.1% Norway 0.5% 8.4% 0.2% 0.3% 0.0% 0.0% 0.0% 0.0% 0.0% _ Poland* 8.7% -0.9% 0.5% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% Portugal 7.8% -2.2% 0.2% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% Russia* -2.0% -5.0% 1.1% 0.9% 0.0% 0.0% 0.0% 0.0% 0.0% Spain -3.9% -3.9% 1.4% 1.6% 0.0% 0.0% 0.0% 0.0% 0.0% Sweden 17.2% 14.3% 0.9% 2.0% 0.1% -0.1% 0.0% 0.0% -0.1% Switzerland 3.1% 5.2% 7.1% 6.9% -0.1% 0.0% 0.0% 0.0% -0.1% United -2.1% -0.4% 7.2% 9.4% -0.2% 0.2% -0.1% 0.0% 0.0% Kingdom _

* categorized as an Emerging market country ** catergorized as a Frontier market country

84 New Hampshire Retirement System TOTAL NON US EQUITY

International Equity Performance Attribution Versus MSCI ACWI ex USA - Quarter Ending September 30, 2020 Returns and Weights Attribution Effects Manager Index Manager Index Selection Allocation Currency Interaction Total Return Return Weight Weight Effect Effect Effect Effect Effects _ Other Bahrain** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Croatia** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Egypt* 12.9% 4.6% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Estonia** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Israel 14.5% -2.0% 0.4% 0.4% 0.1% 0.0% 0.0% 0.0% 0.1% Jordan** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Kazakhstan** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Kenya** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Kuwait** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Lebanon** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Lithuania** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Mauritius** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Morocco** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Nigeria** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Oman** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Qatar* 26.3% 7.5% 0.1% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% Romania** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Saudi Arabia* 24.3% 9.5% 0.2% 0.8% 0.1% 0.0% 0.0% -0.1% 0.0% Serbia** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Slovenia** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% South Africa* 2.4% 3.4% 1.0% 1.1% 0.0% 0.0% 0.0% 0.0% 0.0% Tunisia** -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% Turkey* -12.3% -15.8% 0.2% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% United Arab 0.4% 6.3% 0.0% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% Emirates* Other Countries -- -- 0.0% 0.0% -- -- 0.0% -- 0.0% _

* categorized as an Emerging market country ** catergorized as a Frontier market country

85 New Hampshire Retirement System TOTAL NON US EQUITY

Returns and Weights Attribution Effects Manager Index Manager Index Selection Allocation Currency Interaction Total Return Return Weight Weight Effect Effect Effect Effect Effects _ Totals Americas 7.6% 4.6% 21.6% 9.0% 0.4% -0.1% -0.1% 0.6% 0.8% Europe 2.9% 3.7% 36.4% 40.4% -0.3% 0.1% -0.2% 0.0% -0.3% Asia/Pacific 9.5% 8.6% 37.8% 47.7% 0.6% -0.3% -0.3% -0.1% -0.2% Other 6.5% 3.9% 2.0% 2.8% 0.1% 0.0% 0.0% 0.0% 0.0% Cash 0.0% -- 2.3% 0.0% 0.0% -0.1% 0.0% 0.0% -0.1% Total 6.4% 6.1% 100.0% 100.0% 0.8% -0.3% -0.6% 0.4% 0.3% Totals Developed 4.8% 4.7% 69.9% 70.7% 0.8% 0.0% -0.7% 0.0% 0.1% Emerging* 11.0% 9.7% 27.8% 29.3% 0.3% -0.1% 0.1% 0.0% 0.3% Cash 0.0% -- 2.3% 0.0% 0.0% -0.1% 0.0% 0.0% -0.1% _

86 New Hampshire Retirement System ARTISAN PARTNERS

Artisan’s International Equity strategy seeks to identify securities that are trading at attractive valuations and have sustainable growth characteristics. Sustainable growth is defined as companies that have a competitive advantage, a superior business model, and a high quality management team. The research process is narrowed through the identification of long-term secular growth themes. They concentrate on industries or themes that present accelerating growth prospects and companies well positioned to capitalize on that growth. Themes and industries are identified from a variety of sources including company visits, balance sheet analysis, and extrapolation of U.S. trends. The portfolio has a primary emphasis on developed markets and is constructed without regard to EAFE index weightings. Up to 20% of the portfolio may be invested in the emerging markets.

87 New Hampshire Retirement System ARTISAN PARTNERS

Note: All Style Analysis are returns based.

88 New Hampshire Retirement System CAUSEWAY CAPITAL

Causeway focuses on active international investment management with a bottom up approach to stock selection. They believe that stocks derive their value from the contribution of yield and the profitable reinvestment of retained earnings over time. Causeway divides research on a global sector basis with senior and tenured investment professionals. The strong analytical capability of the team allows Causeway to identify underpriced securities that they will purchase and hold until the market recognizes fair value. The value discipline within the portfolio has allowed Causeway to move earlier into cyclical stocks and enabled them to catch market inflection points. When considering risk in the portfolio they believe that the true risk to the portfolio is the volatility of the underlying stocks and not the tracking error to the benchmark.

89 New Hampshire Retirement System CAUSEWAY CAPITAL

Note: All Style Analysis are returns based.

90 New Hampshire Retirement System LSV INTERNATIONAL VALUE

The fundamental premise on which LSV's investment philosophy is based is that superior long-term results can be achieved by systematically exploiting the judgmental biases and behavioral weaknesses that influence the decisions of many investors. The International Large Cap Value Equity strategy is managed using quantitative techniques to select individual securities in a risk-controlled, bottom-up approach. Value factors and security are applied in a country and sector neutral framework to be the sole drivers of performance. The process avoids introducing any judgmental biases and behavioral factors that often influence fundamental investment decisions. The portfolio decision making process is quantitative and driven by (1) a proprietary model which ranks securities based on fundamental measures of value and indicators of near-term appreciation potential and, (2) a risk control process that controls for residual benchmark risk while maximizing the expected return of the portfolio.

91 New Hampshire Retirement System LSV INTERNATIONAL VALUE

Note: All Style Analysis are returns based.

92 New Hampshire Retirement System NEUBERGER BERMAN

Neuberger Berman seeks to maximize performance by constructing its portfolios with a bias towards domestically-oriented small-cap companies that have sustainable cash flow growth, which are trading at attractive valuations. Neuberger Berman’s individual name exposures are fundamental, bottom up views on the particular company, while in aggregate at the portfolio level they exhibit a preference towards small and mid-cap relative to the benchmark. It is the investment team's belief that emerging markets, especially in the domestically-focused, small and mid-cap companies, are under-researched, and because of this the team’s experienced fundamental analysts seek to identify companies with unique assets, differentiated business models and attractive growth prospects. The investment universe includes companies with principal businesses in Emerging Markets. This includes investing in MSCI EM Index names, but names outside the Index as well. The team will invest in countries outside of the current MSCI EM Index (up to 20%) but that is limited to frontier markets, and developed market companies whose assets and/or revenues principally are in emerging markets.

93 New Hampshire Retirement System NEUBERGER BERMAN

Note: All Style Analysis are returns based.

94 New Hampshire Retirement System WELLINGTON EMERGING MARKETS

Wellington’s investment philosophy and process is uniquely suited for investing in emerging markets. They believe emerging markets companies often operate in environments of transition, caused by the process of economic development or a sharp fundamental disruption. They seek companies where the growth and profitability prospects are not reflected in market valuation, where the balance sheet is able to support growth and weather storms, and where foreign minority shareholders can expect to be treated fairly. Cash flow analysis is also especially helpful in assessing issues of corporate governance and returns to shareholders. They utilize an integrated analytical approach that blends top-down country and sector work with bottom-up fundamental analysis. Their valuation approach uses earnings and cash flow multiples, as well as asset-based valuations.

95 New Hampshire Retirement System WELLINGTON EMERGING MARKETS

Note: All Style Analysis are returns based.

96 New Hampshire Retirement System SBH INTERNATIONAL SMALL CAP

Segall Bryant & Hamill utilizes a multi factor model that blends value, momentum, and profitability to drive stock rankings. The combination of the various factors generates a more style neutral portfolio that is not levered to one specific metric. This coupled with a proprietary risk model based off long term forecasts maximizes the stock selection alpha while reducing risks such as country, sector, or style. The process is quantitatively driven with a focus on valuation as well as "smarter" risk taking. To compliment value they incorporate momentum factors to identify those stocks that are priced cheaply and moving in the correct direction. Their approach is to identify stocks which are attractively priced relative to their peers, but are otherwise normal and healthy. The significant emphasis in the models on valuation provides price discipline, while the complimentary assessments on price and earnings momentum and profitability look to disqualify cheap stocks that are “unhealthy” in some way or another.

97 New Hampshire Retirement System SBH INTERNATIONAL SMALL CAP

Note: All Style Analysis are returns based.

98 New Hampshire Retirement System WALTER SCOTT GLOBAL EQUITY

Walter Scott's fundamental, bottom-up investment approach combines detailed financial research with business and industry analysis. The primary focus is upon stock selection, finding companies capable of generating wealth internally at 20% per annum, and compounding at this rate into the future. Meetings with company management are central to the process. The Walter Scott research process seeks to identify companies that generate consistently high levels of cash from their activities, reflecting highly successful and repeatable businesses. They invest in companies whose businesses serve their customers successfully, and keep doing so year after year. They believe investment returns are a result of compounding, and so Walter Scott invests their clients’ assets in companies that generate high rates of internal return and can potentially lead to high levels of investor return.

99 New Hampshire Retirement System WALTER SCOTT GLOBAL EQUITY

Note: All Style Analysis are returns based.

100 New Hampshire Retirement System TOTAL FIXED INCOME 3 Years Ending September 30, 2020 Ann Excess BM % of Tot Anlzd Ret Rank Anlzd Std Dev Rank Info Ratio Rank Rank Return _ Total Fixed Income 23.07% 4.66% 39 4.67% 59 -0.18 42 -0.49% 39 Total Fixed Income Benchmark -- 5.15% 30 3.40% 41 ------30 Brandywine Asset Mgmt 2.67% 1.75% 89 9.84% 82 -0.33 86 -2.61% 89 Brandywine Custom Benchmark -- 4.37% 40 4.52% 17 ------40 Income Research & Management 8.61% 6.42% 3 4.10% 80 1.14 1 0.56% 3 BBgBarc US Govt/Credit TR -- 5.85% 16 4.03% 75 ------16 Loomis Sayles 2.94% 5.78% 24 5.51% 92 0.38 35 0.80% 24 65% BBgBarc Aggregate / 35% BBgBarc -- 4.98% 79 4.25% 49 ------79 HY 3 Years Ending September 30, 2020 Manulife Strategic Fixed Income Fund 2.26% 3.95% 48 5.05% 24 -0.01 48 Ann Excess-0.04% BM 48 % of Tot Anlzd Ret Rank Anlzd Std Dev Rank Info Ratio Rank Rank BBgBarc Multiverse -- 3.99% 48 4.24% 12 -- -- Return-- 48 _ BBgBarc US Aggregate TR -- 5.24% 27 3.37% 40 ------27 XXXXX

5 Years Ending September 30, 2020 Ann Excess BM % of Tot Anlzd Ret Rank Anlzd Std Dev Rank Info Ratio Rank Rank Return _ Total Fixed Income 23.07% 5.02% 29 4.24% 62 0.21 27 0.53% 29 Total Fixed Income Benchmark -- 4.49% 38 3.15% 42 ------38 Brandywine Asset Mgmt 2.67% 4.58% 53 9.15% 87 0.09 57 0.63% 53 Brandywine Custom Benchmark -- 3.95% 71 5.43% 35 ------71 Income Research & Management 8.61% 5.13% 9 3.77% 83 1.02 1 0.47% 9 BBgBarc US Govt/Credit TR -- 4.66% 27 3.73% 82 ------27 Loomis Sayles 2.94% 6.59% 2 5.26% 99 0.61 1 1.42% 2 65% BBgBarc Aggregate / 35% BBgBarc -- 5.16% 27 3.79% 49 ------27 HY 5 Years Ending September 30, 2020 Manulife Strategic Fixed Income Fund 2.26% 4.01% 70 4.10% 13 -0.02 70 Ann Excess-0.07% BM 70 BBgBarc Multiverse % of-- Tot Anlzd4.08% Ret Rank68 Anlzd4.75% Std Dev Rank20 Info --Ratio Rank-- -- Rank68 XXXXX Return _ BBgBarc US Aggregate TR -- 4.18% 46 3.15% 42 ------46 XXXXX

101 New Hampshire Retirement System TOTAL FIXED INCOME 7 Years Ending September 30, 2020 Ann Excess BM % of Tot Anlzd Ret Rank Anlzd Std Dev Rank Info Ratio Rank Rank Return _ Total Fixed Income 23.07% 4.11% 41 3.90% 63 -0.02 41 -0.05% 41 Total Fixed Income Benchmark -- 4.16% 39 2.99% 43 ------39 Brandywine Asset Mgmt 2.67% 2.95% 65 8.30% 88 0.12 71 0.73% 65 Brandywine Custom Benchmark -- 2.22% 82 5.11% 40 ------82 Income Research & Management 8.61% 4.78% 9 3.59% 86 1.11 1 0.48% 9 BBgBarc US Govt/Credit TR -- 4.30% 35 3.57% 85 ------35 Loomis Sayles 2.94% 5.04% 7 Years13 Ending September4.92% 30, 2020 99 0.23 17 0.54% 13 65% BBgBarc Aggregate / 35% BBgBarc Ann Excess BM % of-- Tot Anlzd4.50% Ret Rank47 Anlzd3.52% Std Dev Rank46 Info --Ratio Rank-- -- Rank47 HY Return _ BBgBarc US Aggregate TR -- 3.97% 45 3.03% 44 ------45 XXXXX

10 Years Ending September 30, 2020 Ann Excess BM % of Tot Anlzd Ret Rank Anlzd Std Dev Rank Info Ratio Rank Rank Return _ Total Fixed Income 23.07% 4.30% 38 3.90% 65 0.17 39 0.38% 38 Total Fixed Income Benchmark -- 3.92% 47 2.91% 42 ------47 Brandywine Asset Mgmt 2.67% 3.64% 50 7.84% 83 0.30 59 1.76% 50 Brandywine Custom Benchmark -- 1.88% 90 5.18% 40 ------90 Income Research & Management 8.61% 4.49% 14 3.50% 87 0.90 1 0.61% 14 BBgBarc US Govt/Credit TR -- 3.87% 53 3.49% 87 ------53 Loomis Sayles 2.94% 5.72% 10 Years2 Ending September5.32% 30, 2020 99 0.36 5 1.04% 2 65% BBgBarc Aggregate / 35% BBgBarc Ann Excess BM % of-- Tot Anlzd4.68% Ret Rank34 Anlzd3.40% Std Dev Rank43 Info --Ratio Rank-- -- Rank34 HY Return _ BBgBarc US Aggregate TR -- 3.63% 54 2.96% 44 ------54 XXXXX

102 New Hampshire Retirement System TOTAL FIXED INCOME

Note: All Style Analysis are returns based.

103 New Hampshire Retirement System TOTAL FIXED INCOME Characteristics History Maturity Distribution History Total Fixed BBgBarc US Total Fixed BBgBarc US Q3-20 Q2-20 Income Universal TR Income Universal TR <1 Year 4.2% 4.4% Q3-20 Q3-20 Q2-20 Q2-20 1-3 Years 17.4% 18.7% Yield to Maturity 2.5% 1.7% 2.8% 1.9% 3-5 Years 18.0% 18.7% Avg. Eff. 11.2 yrs. 8.2 yrs. 10.9 yrs. 8.7 yrs. Maturity 5-7 Years 13.8% 13.6% Avg. Duration 7.7 yrs. 6.4 yrs. 7.3 yrs. 6.5 yrs. 7-10 Years 16.4% 16.6% Avg. Quality A -- A -- 10-15 Years 3.1% 2.9% 15-20 Years 6.9% 7.4% >20 Years 20.1% 17.8% Not Rated/Cash 0.0% 0.0%

Quality Distribution History Sector Distribution History Total Fixed BBgBarc US Total Fixed BBgBarc US Total Fixed BBgBarc US Total Fixed BBgBarc US Income Universal TR Income Universal TR Income Universal TR Income Universal TR Q3-20 Q3-20 Q2-20 Q2-20 Q3-20 Q3-20 Q2-20 Q2-20 AAA 5.3% 58.7% 11.4% 58.9% UST/Agency 15.6% 30.8% 15.6% 36.1% AA 25.6% 4.2% 19.3% 4.1% Corporate 54.5% 33.4% 53.4% 33.2% A 12.4% 13.1% 13.7% 13.4% MBS 7.9% 24.1% 8.0% 24.5% BBB 37.4% 16.2% 37.8% 16.1% ABS 7.7% 0.3% 7.2% 0.3% BB and Below 19.0% 7.8% 17.3% 7.5% Foreign 10.8% -- 9.7% -- Not Rated 0.3% -- 0.5% -- Muni 1.9% -- 1.7% -- Other 1.6% -- 4.6% -- Note: All Information above is based on data for the quarter ending September 30, 2020 Holdings-based analysis is dependent on third party recognition services and may exclude derivatives (e.g. futures, swaps, options, etc.) and less frequently traded securities. Due to BlackRock policy, the holdings loaded for BlackRock's SIO fund are one quarter lagged.

104 New Hampshire Retirement System TOTAL FIXED INCOME Characteristics History Maturity Distribution History Total Fixed BBgBarc US Total Fixed BBgBarc US Q3-20 Q2-20 Income Aggregate TR Income Aggregate TR <1 Year 4.2% 4.4% Q3-20 Q3-20 Q2-20 Q2-20 1-3 Years 17.4% 18.7% Yield to Maturity 2.5% 1.2% 2.8% 1.3% 3-5 Years 18.0% 18.7% Avg. Eff. 11.2 yrs. 8.3 yrs. 10.9 yrs. 8.6 yrs. Maturity 5-7 Years 13.8% 13.6% Avg. Duration 7.7 yrs. 6.5 yrs. 7.3 yrs. 6.7 yrs. 7-10 Years 16.4% 16.6% Avg. Quality A -- A -- 10-15 Years 3.1% 2.9% 15-20 Years 6.9% 7.4% >20 Years 20.1% 17.8% Not Rated/Cash 0.0% 0.0%

Quality Distribution History Sector Distribution History Total Fixed BBgBarc US Total Fixed BBgBarc US Total Fixed BBgBarc US Total Fixed BBgBarc US Income Aggregate TR Income Aggregate TR Income Aggregate TR Income Aggregate TR Q3-20 Q3-20 Q2-20 Q2-20 Q3-20 Q3-20 Q2-20 Q2-20 AAA 5.3% 69.9% 11.4% 69.7% UST/Agency 15.6% 38.7% 15.6% 39.6% AA 25.6% 3.5% 19.3% 3.5% Corporate 54.5% 27.5% 53.4% 27.4% A 12.4% 12.2% 13.7% 12.4% MBS 7.9% 29.0% 8.0% 29.0% BBB 37.4% 14.5% 37.8% 14.4% ABS 7.7% 0.4% 7.2% 0.4% BB and Below 19.0% -- 17.3% -- Foreign 10.8% -- 9.7% -- Not Rated 0.3% -- 0.5% -- Muni 1.9% -- 1.7% -- Other 1.6% -- 4.6% -- Note: All Information above is based on data for the quarter ending September 30, 2020 Holdings-based analysis is dependent on third party recognition services and may exclude derivatives (e.g. futures, swaps, options, etc.) and less frequently traded securities. Due to BlackRock policy, the holdings loaded for BlackRock's SIO fund are one quarter lagged.

105 New Hampshire Retirement System BLACKROCK SIO BOND FUND

BlackRock's ability to identify key drivers in current macro regimes and allocate risk accordingly to specific sectors, alpha opportunities, and tail-risk hedging strategies allow the Strategy to achieve positive returns in most market environments. Central to our investment thesis is BlackRock SIO's macro capabilities, the breadth and depth of their alpha sources, and their sharp focus on risk budgeting and risk management.

106 New Hampshire Retirement System BRANDYWINE ASSET MGMT

Brandywine’s investment approach centers on identifying markets that they believe are undervalued. The portfolio is tactical and invests in countries with high real yields and in currencies that are undervalued on a real exchange rate basis. Following Brandywine’s value philosophy, it is the portfolio’s construction methodology that is critical to their process. Investment grade credit, high yield, emerging market debt and mortgage backed securities are tactically used when valuations are attractive, providing diversification and enhanced yield. Brandywine’s tactical use of spread sectors and their high real yield approach to country and currency selection is a major contributor to excess returns.

107 New Hampshire Retirement System BRANDYWINE ASSET MGMT

Note: All Style Analysis are returns based.

108 New Hampshire Retirement System FIAM (FIDELITY) TACTICAL BOND FUND

The deep credit research team, intensive investment process, and proprietary quantitative analytical tools at FIAM are key to the value add for the Tactical Bond strategy. In building off of the core and core plus strategies, Tactical Bond benefits from further removal of traditional benchmark sector constraints, allowing the team to seek the highest risk-adjusted returns within liquid global fixed income markets. The team emphasizes liquidity in the portfolio, which contributes to the strategy’s ability to rotate allocations across sectors.

109 New Hampshire Retirement System INCOME RESEARCH & MANAGEMENT

IR+M’s investment philosophy is consistent across all of their broad market strategies and is based on the belief that careful security selection and higher portfolio income provide superior returns over the long term. Portfolios are constructed using a disciplined, bottom-up investment approach to select attractive securities from the investment grade universe. This philosophy has remained consistent since the inception of the firm. IR+M strives to add value through vigilant security selection by emphasizing attractive, overlooked, and inefficiently priced issues. Fundamental analysis provides the basis of selection with an emphasis on favorable credit, structure, and price characteristics. In addition, their manageable asset size allows them sufficient market agility to acquire meaningful positions of their best ideas. Without the liquidity constraints faced by many larger firms, each idea can potentially become a significant position across portfolios.

110 New Hampshire Retirement System INCOME RESEARCH & MANAGEMENT

Note: All Style Analysis are returns based.

111 New Hampshire Retirement System LOOMIS SAYLES

The Multisector Full Discretion strategy represents the best ideas across the global fixed income markets as identified by the Loomis Sayles fixed income organization. Loomis’ team of experienced credit analysts cover all parts of an issuer’s capital structure, and all issuers in a specific industry, making each analyst a specialist in their respective industry. Analysts are charged with developing a nuanced position on each credit, with the objective to develop a thesis on the credit before the marketplace and rating agencies can react. Loomis’ team of portfolio managers will tactically allocate to portions of the global bond market where the best relative value opportunities exist. It is therefore a combination of the security selection recommendations from the credit analyst group, the enhanced yield of the portfolio from its historic credit bias, and the tactical nature of the portfolio where clients will recognize value-added.

112 New Hampshire Retirement System LOOMIS SAYLES

Note: All Style Analysis are returns based.

113 New Hampshire Retirement System MANULIFE STRATEGIC FIXED INCOME FUND

The Strategic Fixed Income Strategy’s portfolio management team believes that consistently superior total rates of return and high levels of current income can be generated by capitalizing on favorable market trends in global bond and currency markets, as well as by identifying relative value opportunities in the below investment-grade market sectors. The Strategic Fixed Income Strategy employs a sector rotation style of fixed income management. Team members capitalize on relative value opportunities in the marketplace and actively diversify portfolio investments among three primary fixed income sectors: U.S. Government debt; corporate debt (primarily high yield); and foreign debt (both government and corporate). Currency is a particular emphasis in this strategy and serves as a source of active management and excess return.

114 New Hampshire Retirement System MANULIFE STRATEGIC FIXED INCOME FUND

Note: All Style Analysis are returns based.

115 APPENDIX

NEPC, LLC

116 NEPC DUE DILIGENCE LEGEND KEY

Due Diligence Ratings (Investment Product only)

A high conviction investment product with a clear and economically-grounded investment thesis, and is managed by an investment team 1 that is sufficiently resourced and incented to execute on the thesis. A 1 rating represents NEPC Research’s best ideas. Not all 1 rated products are suitable for all clients.

NEPC has a positive view of the strategy. Strategy has a compelling and sound investment thesis. The manager is sufficiently resourced 2 and incented to execute on the thesis. Strengths outweigh the weaknesses, but the strategy does not meet all requirements for a 1 rating.

A satisfactory investment product. The strategy lacks a compelling investment thesis, however there are no significant concerns around 3 the manager’s viability.

The strategy may have an unclear or ambiguous investment thesis or the manager may lack the ability to execute on the stated thesis. 4 The strategy likely has strengths and weaknesses and the weaknesses may outweigh the strengths.

A strategy that lacks an investment thesis or NEPC has no confidence in the manager’s ability to execute on the thesis, and/or the 5 investment firm may not be viable. Serious issues have been identified with an investment manager or product. This rating aligns with a Due Diligence status of Terminate for client-owned products.

Not Rated Due diligence has not been sufficiently completed on the product or manager.

Due Diligence Status (Firm and Product)

No Action Informational items have surfaced; no action is recommended.

Issues have surfaced which may require increased monitoring, but which are not considered serious in the near-term. Close monitoring Watch is appropriate until the issues are resolved.

Serious issues have surfaced which require increased monitoring. These issues could have long-term implications on the investment Hold team’s ability to effectively execute the investment strategy.

Very serious issues have surfaced with an investment manager. For products that have been fully vetted, the issues may be significant Client Review enough to violate the original investment thesis. Clients are advised to review their relationship with the manager.

We have lost all confidence in the product; manager would not be recommended for searches and clients would be discouraged from Terminate using. The manager cannot be in future searches unless a client specifically requests. Current clients must be advised to replace the manager.

117 NEPC RESEARCH RATINGS

Consulting Team Inception Manager/Asset Class Benchmark NEPC Research Rating Recommendations / Date Comments Small Cap Domestic Equity Boston Trust Russell 2000 1 Watch 10‐Nov Segall Bryant & Hamill Russell 2000 1 No Action 10‐Nov Wellington Russell 2000 1 No Action 10‐Nov SMid Cap Domestic Equity AllianceBernstein Russell 2500 3 No Action 10‐Dec TSW Russell 2500 / Russell 2500 Value Blend 3 No Action 10‐Dec Large Cap Passive Equity BlackRock S&P 500 S&P 500 1 No Action 10‐Sep Core Non US Equity Artisan Partners MSCI EAFE 1 No Action 14‐Nov Causeway Capital MSCI EAFE 1 No Action 14‐Oct MSCI ACWI ex US / MSCI ACWI ex US LSV International Value 1 No Action 14‐Oct Value Blend Emerging Markets Equity Neuberger Berman MSCI Emerging Markets 1 No Action 14‐Apr Wellington Emerging Markets MSCI Emerging Markets 3 No Action 11‐Jun Non US Small Cap Equity SBH International Small Cap MSCI EAFE Small Cap 1 No Action 17‐Feb Global Equity Walter Scott Global Equity MSCI EAFE / ACWI Blend 1 No Action 5‐Jan

118 NEPC RESEARCH RATINGS (CONT.)

Consulting Team Inception Manager/Asset Class Benchmark NEPC Research Rating Recommendations / Date Comments Long Term Fixed Income ICE BofA USD 3‐Month Deposit Offered Rate BlackRock SIO Bond Fund 1 No Action 19‐Jan Constant Maturity Brandywine Asset Mgmt Brandywine Custom Benchmark 1 Watch 97‐Nov

FIAM (Fidelity) Tactical Bond Fund BBgBarc US Aggregate TR 1 No Action 19‐Feb

Income Research & Management BBgBarc US Govt/Credit TR 3* No Action87‐Sep

Loomis Sayles 65% BBgBarc Aggregate / 35% BBgBarc HY 1 No Action 2‐Oct

Manulife Strategic Fixed Income Fund BBgBarc Multiverse 1 No Action 15‐Mar

* The custom NHRS IR+M Govt/Credit mandate is similar in nature to the standard IR+M Core mandate, which is a 1 rated product. Both mandates are managed by the same team within IR+M.

119 New Hampshire Retirement System TOTAL MARKETABLE ASSETS - FEE SCHEDULE Market Value Est. Minimum Annual Estimated Annual Fee Estimated Annual Fee Account Fee Schedule As of 9/30/2020 Fee ($) ($) (%)

_ Total Small Cap Domestic Equity No Fee $567,742,293 -- -- Boston Trust 0.70% of First 20.0 Mil, $138,695,856 $714,783 0.5154% 0.60% of Next 20.0 Mil, 0.50% of Next 60.0 Mil, 0.40% of Next 100.0 Mil, 0.30% Thereafter Segall Bryant & Hamill 0.80% of Assets $156,512,050 $1,252,096 0.8000% Wellington 0.90% of First 25.0 Mil, $272,534,387 $1,982,741 0.7275% 0.80% of Next 25.0 Mil, 0.70% Thereafter Total SMid Cap Domestic Equity No Fee $448,026,853 -- -- AllianceBernstein 0.58% of First 100.0 Mil, $295,185,195 $1,594,963 0.5403% 0.52% Thereafter TSW 0.65% of First 200.0 Mil, $152,841,658 $993,471 0.6500% 0.50% Thereafter Total Large Cap Passive Equity No Fee $1,688,793,403 -- -- Blackrock S&P 500 0.02% of First 500.0 Mil, $1,688,793,403 $112,500 $159,588 0.0094% 0.01% Thereafter Total Large Cap Active Equity No Fee $10,555 -- -- LSV Asset Management 0.30% of Assets $10,790 $32 0.3000% Pavilion Transition Account No Fee -$235 -- -- Total Core Non US Equity No Fee $847,198,347 -- -- Artisan Partners 0.80% of First 50.0 Mil, $328,263,376 $2,069,580 0.6305% 0.60% Thereafter Causeway Capital 0.75% of First 10.0 Mil, $255,663,377 $1,363,317 0.5332% 0.65% of Next 40.0 Mil, 0.50% Thereafter Fisher Investments 0.60% of First 50.0 Mil, $928,917 $5,574 0.6000% 0.50% Thereafter LSV International Value 0.55% of Assets $262,342,677 $1,442,885 0.5500%

The fee schedule for AllianceBernstein includes a 5% discount on the fees for the first $100 million under management. If LSV Asset Management's assets fall below $200 million as a result of market movement or NHRS withdrawal activity a tiered fee schedule applies of 60 bps on the first $25 million, 50 bps on the next $25 million, 40 bps on the next $50 million, 30 bps on the next $100 million and 30 bps thereafter.

120 New Hampshire Retirement System TOTAL MARKETABLE ASSETS - FEE SCHEDULE Market Value Est. Minimum Annual Estimated Annual Fee Estimated Annual Fee Account Fee Schedule As of 9/30/2020 Fee ($) ($) (%)

_ Total Emerging Markets No Fee $359,812,586 -- -- Neuberger Berman 0.85% of Assets $187,212,126 $1,591,303 0.8500% Wellington Emerging Markets 1.00% of Assets $172,600,461 $1,726,005 1.0000% Total Non US Small Cap No Fee $109,924,433 -- -- SBH International Small Cap 0.55% of Assets $109,924,433 $604,584 0.5500% Total Global Equity No Fee $401,072,391 -- -- Walter Scott Global Equity 0.55% of First 250.0 Mil, $401,072,391 $2,130,362 0.5312% 0.50% of Next 250.0 Mil, 0.45% of Next 250.0 Mil, 0.40% of Next 250.0 Mil, 0.35% Thereafter Long Term Fixed Income No Fee $2,156,046,298 -- -- BlackRock SIO Bond Fund 0.48% of Assets $248,018,554 $1,190,489 0.4800% Brandywine Asset Mgmt 0.40% of First 50.0 Mil, $249,434,135 $786,085 0.3151% 0.33% of Next 50.0 Mil, 0.30% of Next 100.0 Mil, 0.25% Thereafter FIAM (Fidelity) Tactical Bond Fund 0.32% of First 500.0 Mil, $368,891,866 $1,180,454 0.3200% 0.22% Thereafter Income Research & Management 0.35% of First 20.0 Mil, $804,449,514 $1,344,674 0.1672% 0.25% of Next 20.0 Mil, 0.18% of Next 260.0 Mil, 0.15% Thereafter Loomis Sayles 0.50% of First 20.0 Mil, $274,425,396 $893,276 0.3255% 0.40% of Next 30.0 Mil, 0.30% Thereafter Manulife Strategic Fixed Income Fund 0.35% of First 25.0 Mil, $210,826,832 $589,567 0.2796% 0.30% of Next 75.0 Mil, 0.25% Thereafter Investment Management Fee $6,578,627,160 $23,615,830 0.3590%

XXXXX

121 DESCRIPTION OF BENCHMARK CHANGES TOTAL FUND CUSTOM INDEX

Date Range Benchmark Components Date Range Benchmark Components

Beginning 30% S&P 500 Index Beginning 43.0% Russell 3000 Index (55% U.S. Equity less actual weights of alternatives and real estate) July 1, 2015 20% of the MSCI All Country World ex-U.S. Index April 1, 2013 20% of the MSCI All Country World ex-U.S. Index 25% of the Blended Fixed Income benchmark 25% of the Blended Fixed Income benchmark 10% of the NCREIF NFI-ODCE Index (Net of Fee) (1 qtr lag) 8.6% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 15% of the Alternatives Assets Blended Benchmark 3.4% Qtr ending weight of Private Equity x S & P 500 plus 5% (1 qtr lag) + Qtr ending weight Absolute Return x Consumer Price Index plus 5% (1 qtr lag) Beginning 37.3% Russell 3000 Index (55% U.S. Equity less actual weights of alternatives and real Beginning 43.6% Russell 3000 Index (55% U.S. Equity less actual weights of alternatives and real estate) April 1, 2015 estate) January 1, 2013 20% of the MSCI All Country World ex-U.S. Index 20% of the MSCI All Country World ex-U.S. Index 25% of the Blended Fixed Income benchmark 25% of the Blended Fixed Income benchmark 8.8% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 8.7% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 2.6% Qtr ending weight of Private Equity x S & P 500 plus 5% (1 qtr lag) + Qtr ending weight 9.0% of the S & P 500 plus 5% (1 qtr lag) Absolute Return x Consumer Price Index plus 5% (1 qtr lag) Beginning 37.7% Russell 3000 Index (55% U.S. Equity less actual weights of alternatives and real Beginning 43.9% Russell 3000 Index (55% U.S. Equity less actual weights of alternatives and real estate) January 1, 2015 estate) October 1, 2012 20% of the MSCI All Country World ex-U.S. Index 20% of the MSCI All Country World ex-U.S. Index 25% of the Blended Fixed Income benchmark 25% of the Blended Fixed Income benchmark 8.7% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 8.8% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 2.4% Qtr ending weight of Private Equity x S & P 500 plus 5% (1 qtr lag) + Qtr ending weight 8.5% of the S & P 500 plus 5% (1 qtr lag) Absolute Return x Consumer Price Index plus 5% (1 qtr lag) Beginning 39.0% Russell 3000 Index (55% U.S. Equity less actual weights of alternatives and real Beginning 43.5% Russell 3000 Index (55% U.S. Equity less actual weights of alternatives and real estate) October 1, 2014 estate) July 1, 2012 20% of the MSCI All Country World ex-U.S. Index 20% of the MSCI All Country World ex-U.S. Index 25% of the Blended Fixed Income benchmark 25% of the Blended Fixed Income benchmark 9.0% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 8.6% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 2.5% Qtr ending weight of Private Equity x S & P 500 plus 5% (1 qtr lag) + Qtr ending weight 7.4% of the S & P 500 plus 5% (1 qtr lag) Absolute Return x Consumer Price Index plus 5% (1 qtr lag) Beginning 39.6% Russell 3000 Index (55% U.S. Equity less actual weights of alternatives and real Beginning 40.1% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real estate) July 1, 2014 estate) April 1, 2012 20% of the MSCI All Country World ex-U.S. Index 20% of the MSCI All Country World ex-U.S. Index 30% of the Blended Fixed Income benchmark 25% of the Blended Fixed Income benchmark 7.6% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 8.9% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 2.3% Qtr ending weight of Private Equity x S & P 500 plus 5% (1 qtr lag) + Qtr ending weight 6.5% of the S & P 500 plus 5% (1 qtr lag) Absolute Return x Consumer Price Index plus 5% (1 qtr lag) Beginning 42.2% Russell 3000 Index (55% U.S. Equity less actual weights of alternatives and real Beginning 39.7% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real estate) April 1, 2014 estate) January 1, 2012 20% of the MSCI All Country World ex-U.S. Index 20% of the MSCI All Country World ex-U.S. Index 30% of the Blended Fixed Income benchmark 25% of the Blended Fixed Income benchmark 8.0% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 8.6% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 2.3% Qtr ending weight of Private Equity x S & P 500 plus 5% (1 qtr lag) + Qtr ending weight 4.2% of the S & P 500 plus 5% (1 qtr lag) Absolute Return x Consumer Price Index plus 5% (1 qtr lag) Beginning 41.8% Russell 3000 Index (55% U.S. Equity less actual weights of alternatives and real Beginning 40.2% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real estate) January 1, 2014 estate) October 1, 2011 20% of the MSCI All Country World ex-U.S. Index 20% of the MSCI All Country World ex-U.S. Index 30% of the Blended Fixed Income benchmark 25% of the Blended Fixed Income benchmark 7.4% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 9.1% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 2.4% Qtr ending weight of Private Equity x S & P 500 plus 5% (1 qtr lag) + Qtr ending weight 4.1% of the S & P 500 plus 5% (1 qtr lag) Absolute Return x Consumer Price Index plus 5% (1 qtr lag) Beginning 42.9% Russell 3000 Index (55% U.S. Equity less actual weights of alternatives and real Beginning 42.5% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real estate) October 1, 2013 estate) July 1, 2011 20% of the MSCI All Country World ex-U.S. Index 20% of the MSCI All Country World ex-U.S. Index 30% of the Blended Fixed Income benchmark 25% of the Blended Fixed Income benchmark 5.4% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 8.7% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 2.1% (actual alternatives weight) of the S & P 500 plus 5% (1 qtr lag) 3.5% of the S & P 500 plus 5% (1 qtr lag) Beginning 42.55% Russell 3000 Index (55% U.S. Equity less actual weights of alternatives and real Beginning 43.0% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real estate) July 1, 2013 estate) April 1, 2011 15% of the MSCI All Country World ex-U.S. Index 20% of the MSCI All Country World ex-U.S. Index 5% of the MSCI All Country World Index 25% of the Blended Fixed Income benchmark 30% of the Blended Fixed Income benchmark 9.0% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 5.3% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 3.5% of the S & P 500 plus 5% (1 qtr lag) 1.7% (actual alternatives weight) of the Consumer Price Index plus 5% (1 qtr lag)

122 DESCRIPTION OF BENCHMARK CHANGES TOTAL FUND CUSTOM INDEX

Date Range Benchmark Components Date Range Benchmark Components

Beginning 43.0% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real Prior to 37.2% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real estate) January 1, 2011 estate) April 1, 2009 15% of the MSCI All Country World ex-U.S. Index 15% of the MSCI All Country World ex-U.S. Index 5% of the MSCI All Country World Index 5% of the MSCI All Country World Index 30% of the Blended Fixed Income benchmark 30% of the Blended Fixed Income benchmark 9.7% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 5.2% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 3.1% (actual alternatives weight) of the Consumer Price Index plus 5% (1 qtr lag) 1.8% (actual alternatives weight) of the Consumer Price Index plus 5% (1 qtr lag) Prior to 42.8% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real Prior to 38.9% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real estate) January 1, 2011 estate) Jan 1, 2009 15% of the MSCI All Country World ex-U.S. Index 15% of the MSCI All Country World ex-U.S. Index 5% of the MSCI All Country World Index 5% of the MSCI All Country World Index 30% of the Blended Fixed Income benchmark 30% of the Blended Fixed Income benchmark 8.2% (actual real estate weight) of the NCREIF Property Index 5.4% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 2.9% (actual alternatives weight) of the Consumer Price Index plus 5% 1.8% (actual alternatives weight) of the Consumer Price Index plus 5% (1 qtr lag) Prior to 42.9% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real Prior to 40% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real estate) October 1, 2010 estate) Oct 1, 2008 15% of the MSCI All Country World ex-U.S. Index 15% of the MSCI All Country World ex-U.S. Index 5% of the MSCI All Country World Index 5% of the MSCI All Country World Index 30% of the Blended Fixed Income benchmark 30% of the Blended Fixed Income benchmark 7.3% (actual real estate weight) of the NCREIF Property Index 5.0% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 2.7% (actual alternatives weight) of the Consumer Price Index plus 5% 2.1% (actual alternatives weight) of the Consumer Price Index plus 5% (1 qtr lag) Prior to 43.3% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real Prior to 44% of the Russell 3000 Index July 1, 2010 estate) July 1, 2008 16% of the MSCI All Country World ex-U.S. Index 15% of the MSCI All Country World ex-U.S. Index 30% of the Blended Fixed Income benchmark 5% of the MSCI All Country World Index 5% of the NCREIF Property Index 30% of the Blended Fixed Income benchmark 5% of the Consumer Price Index plus 5% 4.7% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 2.0% (actual alternatives weight) of the Consumer Price Index plus 5% (1 qtr lag) Prior to 42.3% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real Prior to 44% of the Russell 3000 Index January 1, 2010 estate) July 1, 2007 16% of the MSCI All Country World ex-U.S. Index 15% of the MSCI All Country World ex-U.S. Index 26% of the Barclays Capital Universal Bond Index 5% of the MSCI All Country World Index 4% of the Global Fixed Income Blended Benchmark 30% of the Blended Fixed Income benchmark 5% of the NCREIF Property Index 5.5% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 5% of the Consumer Price Index plus 5% 2.2% (actual alternatives weight) of the Consumer Price Index plus 5% (1 qtr lag) Prior to 41.5% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real Prior to 47% of the Russell 3000 Index October 1, 2009 estate) Dec 1, 2006 12% of the MSCI All Country World ex-U.S. Index 15% of the MSCI All Country World ex-U.S. Index 18% of the Barclays Capital Universal Bond Index 5% of the MSCI All Country World Index 3% of the Global Fixed Income Blended Benchmark 30% of the Blended Fixed Income benchmark 10% of the NCREIF Property Index 6.2% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 10% of the Consumer Price Index plus 5% 2.3% (actual alternatives weight) of the Consumer Price Index plus 5% (1 qtr lag) Prior to 38.0% Russell 3000 Index (50% U.S. Equity less actual weights of alternatives and real Prior to 50% of the S&P 500 Index July 1, 2009 estate) July 1, 2003 9% of the MSCI EAFE Index 15% of the MSCI All Country World ex-U.S. Index 18% of the Barclays Capital Universal Bond Index 5% of the MSCI All Country World Index 3% of the Global Fixed Income Blended Benchmark 30% of the Blended Fixed Income benchmark 10% of the NCREIF Property Index 9.3% (actual real estate weight) of the NCREIF Property Index plus 50 bps (1 qtr lag) 10% of the Consumer Price Index plus 5% 2.7% (actual alternatives weight) of the Consumer Price Index plus 5% (1 qtr lag)

123 DESCRIPTION OF BENCHMARK CHANGES TOTAL MARKETABLE CUSTOM INDEX

Date Date Date Benchmark Components Benchmark Components Benchmark Components Range Range Range Beginning 40.0% S&P 500 Index Beginning 49.1% Russell 3000 Index Prior to 43.2% Russell 3000 Index July 1, 2015 26.7% of the MSCI All Country World ex-U.S. Index July 1, 2012 22.6% of the MSCI All Country World ex-U.S. Index July 1, 2009 17.0% of the MSCI All Country World ex-U.S. Index 33.3% of the Blended Fixed Income benchmark 28.3% of the Blended Fixed Income benchmark 5.7% of the MSCI All Country World Index 34.1% of the Blended Fixed Income benchmark Beginning 45.3% Russell 3000 Index Beginning 44.5% Russell 3000 Index Prior to 42.7% Russell 3000 Index April 1, 2015 24.3% of the MSCI All Country World ex-U.S. Index April 1, 2012 22.2% of the MSCI All Country World ex-U.S. Index April 1, 2009 17.2% of the MSCI All Country World ex-U.S. Index 30.4% of the Blended Fixed Income benchmark 33.3% of the Blended Fixed Income benchmark 5.7% of the MSCI All Country World Index 34.4% of the Blended Fixed Income benchmark Beginning 45.6% Russell 3000 Index Beginning 44.3% Russell 3000 Index Prior to 43.8% Russell 3000 Index January 1, 2015 24.2% of the MSCI All Country World ex-U.S. Index January 1, 2012 22.3% of the MSCI All Country World ex-U.S. Index Jan 1, 2009 16.9% MSCI All Country World ex-U.S. Index 30.2% of the Blended Fixed Income benchmark 33.4% of the Blended Fixed Income benchmark 5.6% of the MSCI All Country World Index 33.7% of the Blended Fixed Income benchmark Beginning 46.4% Russell 3000 Index Beginning 44.6% Russell 3000 Index Prior to 44.4% Russell 3000 Index October 1, 2014 23.8% of the MSCI All Country World ex-U.S. Index October 1, 2011 22.2% of the MSCI All Country World ex-U.S. Index Oct 1, 2008 16.7% MSCI All Country World ex-U.S. Index 29.8% of the Blended Fixed Income benchmark 33.3% of the Blended Fixed Income benchmark 5.6% of the MSCI All Country World Index 33.3% of the Blended Fixed Income benchmark Beginning 46.8% Russell 3000 Index Beginning 45.9% Russell 3000 Index Prior to 48.9% Russell 3000 Index July 1, 2014 23.6% of the MSCI All Country World ex-U.S. Index July 1, 2011 21.6% of the MSCI All Country World ex-U.S. Index July 1, 2008 17.8% MSCI All Country World ex-U.S. Index 29.6% of the Blended Fixed Income benchmark 32.4% of the Blended Fixed Income benchmark 33.3% of the Blended Fixed Income benchmark Beginning 48.4% Russell 3000 Index Beginning 46.2% Russell 3000 Index Prior to 48.9% Russell 3000 Index April 1, 2014 22.9% of the MSCI All Country World ex-U.S. Index January 1, 2011 16.1% of the MSCI All Country World ex-U.S. Index July 1, 2007 17.8% MSCI All Country World ex-U.S. Index 28.7% of the Blended Fixed Income benchmark 5.4% of the MSCI All Country World Index 28.9% Barclays Capital Universal Bond Index 32.3% of the Blended Fixed Income benchmark 4.4% Global Fixed Income Blended Benchmark Beginning 48.2% Russell 3000 Index Prior to 46.1% Russell 3000 Index Prior to 58.75% Russell 3000 Index January 1, 2014 23.0% of the MSCI All Country World ex-U.S. Index January 1, 2011 16.2% of the MSCI All Country World ex-U.S. Index Dec 1, 2006 15% MSCI All Country World ex-U.S. Index 28.8% of the Blended Fixed Income benchmark 5.4% of the MSCI All Country World Index 22.5% Barclays Capital Universal Bond Index 32.3% of the Blended Fixed Income benchmark 3.75% Global Fixed Income Blended Benchmark Beginning 48.8% Russell 3000 Index Prior to 46.2% Russell 3000 Index Prior to 62.5% S&P 500 Index October 1, 2013 22.8% of the MSCI All Country World ex-U.S. Index October 1, 2010 16.1% of the MSCI All Country World ex-U.S. Index July 1, 2003 11.25% MSCI EAFE Index 28.5% of the Blended Fixed Income benchmark 5.4% of the MSCI All Country World Index 22.5% Barclays Capital Universal Bond Index 32.3% of the Blended Fixed Income benchmark 3.75% Global Fixed Income Blended Benchmark Beginning 48.6% Russell 3000 Index Prior to 46.5% Russell 3000 Index July 1, 2013 22.8% of the MSCI All Country World ex-U.S. Index July 1, 2010 16.0% of the MSCI All Country World ex-U.S. Index 28.6% of the Blended Fixed Income benchmark 5.4% of the MSCI All Country World Index 32.1% of the Blended Fixed Income benchmark Beginning 48.9% Russell 3000 Index Prior to 46.4% Russell 3000 Index April 1, 2013 22.7% of the MSCI All Country World ex-U.S. Index April 1, 2010 16.1% of the MSCI All Country World ex-U.S. Index 28.4% of the Blended Fixed Income benchmark 5.4% of the MSCI All Country World Index 32.2% of the Blended Fixed Income benchmark Beginning 49.2% Russell 3000 Index Prior to 45.8% Russell 3000 Index January 1, 2013 22.6% of the MSCI All Country World ex-U.S. Index January 1, 2010 16.2% of the MSCI All Country World ex-U.S. Index 28.2% of the Blended Fixed Income benchmark 5.4% of the MSCI All Country World Index 32.5% of the Blended Fixed Income benchmark Beginning 49.4% Russell 3000 Index Prior to 45.4% Russell 3000 Index October 1, 2012 22.5% of the MSCI All Country World ex-U.S. Index October 1, 2009 16.4% of the MSCI All Country World ex-U.S. Index 28.1% of the Blended Fixed Income benchmark 5.5% of the MSCI All Country World Index 32.8% of the Blended Fixed Income benchmark

124 DESCRIPTION OF BENCHMARK CHANGES OTHER BENCHMARKS

Benchmark Benchmark Components Benchmark Benchmark Components Total Domestic Equity Blended July 1, 2015 – present – S&P 500 Index Large Cap Value Manager Index January 1, 2007 – present--Russell 1000 Value Index Benchmark Prior to July 1, 2015 -- Russell 3000 Index Prior to January 1, 2007-- S&P 500 Index Prior to July 1, 2003 -- S&P 500 Index Total Non-US Equity Blended July 1, 2003 – present--MSCI All Country World ex-U.S. Index Core Non-US Equity Manager Index July 1, 2007 – present-- MSCI ACWI ex-U.S. Index Benchmark Prior to July 1, 2003-- MSCI EAFE Index Prior to July 1, 2007-- MSCI EAFE Index Total Fixed Income Blended July 1, 2007 – present --Barclays Capital Universal Bond Index Real Estate Blended Benchmark July 1, 2015 – present -- NCREIF NFI-ODCE Index (net of fees) Benchmark lagged one quarter Prior to July 1, 2007 --85% Barclays Capital Universal Bond Index & 15% Brandywine Blended Benchmark Prior to July 1, 2015 -- NCREIF Property Index + 50 bps lagged one quarter Prior to January 1, 2006 --83% of the Barclays Capital Universal Bond Index & 17% of the Brandywine Blended Benchmark Prior to January 1, 2009-- NCREIF Property Index lagged one quarter

Prior to January 1, 2001 --80% of the Barclays Capital Universal Bond Index & 20% of the Brandywine Blended Benchmark

Prior to January 1, 1997 --Barclays Capital Universal Bond Index Total Global Fixed Income/Brandywine September 1, 2013 – Present Citi WGBI Alternative Assets Blended July 1, 2019 -- present – 66.7% S&P 500 +3% (1 qtr lag) + 33.3% Blended Benchmark Benchmark S&P LSTA Leverage Loan 100 Index (1 qtr lag) Prior to September 2013 -- JP Morgan GBI Broad Index July 1, 2016 -- July 1, 2019 -- 33.3% S&P 500 +3% (1 qtr lag) + Prior to November 1, 1997 --JP Morgan GBI Global Index 33.3% S&P LSTA Leverage Loan 100 Index (1 qtr lag) + 33.3% of Cash (6-month USD LIBOR) +5%

July 1, 2015 -- July 1, 2016 -- 33.3% S&P 500 +3% (1 qtr lag) + 33.3% S&P LSTA Leverage Loan 100 Index (1 qtr lag) + 33.3% of Cash (1 month USD LIBID) +5%

Prior to July 1, 2015 -- S & P 500 plus 5% (1 qtr lag)

Prior to July 1, 2013 – Qtr ending weight of Private Equity x S & P 500 plus 5% (1 qtr lag) + Qtr ending weight Absolute Return x Consumer Price Index plus 5% (1 qtr lag)

Prior to July 1, 2011 -- Consumer Price Index plus 5% (1 qtr lag) TSW Blended Benchmark July 1, 2019 – present -- Russell 2500 Value Index Private Equity Blended Benchmark July 1, 2015 – present -- S&P 500 +3% (1 qtr lag)

Prior to July 1, 2019 – Russell 2500 Index Prior to July 1, 2015 -- S&P 500 +5% (1 qtr lag)

LSV International Value Blended July 1, 2019 – present -- MSCI ACWI ex USA Value Index Private Debt Blended Benchmark July 1, 2015 – present -- S&P LSTA Leverage Loan 100 Index (1 qtr Benchmark lag) Prior to July 1, 2019 -- MSCI ACWI ex USA Index Prior to July 1, 2015 -- S&P 500 +5% (1 qtr lag) Walter Scott Blended Benchmark May 1, 2008 – present -- MSCI AC World Index BlackRock Custom Benchmark July 1, 2020 – present -- ICE BofA US Dollar 3-Month Deposit Offered Rate Constant Maturity Index Prior to May 1, 2008 --MSCI EAFE Index Prior to July 1, 2020 – 3-Month Libor Total Return USD

125 Information Disclaimer

• Past performance is no guarantee of future results.

• All investments carry some level of risk. Diversification and other asset allocation techniques are not guaranteed to ensure profit or protect against losses.

• NEPC’s source for portfolio pricing, calculation of accruals, and transaction information is the plan’s custodian bank. Information on market indices and security characteristics is received from other sources external to NEPC. While NEPC has exercised reasonable professional care in preparing this report, we cannot guarantee the accuracy of all source information contained within.

• Some index returns displayed in this report or used in calculation of a policy, allocation or custom benchmark may be preliminary and subject to change.

• This report is provided as a management aid for the client’s internal use only. Information contained in this report does not constitute a recommendation by NEPC.

• This report may contain confidential or proprietary information and may not be copied or redistributed to any party not legally entitled to receive it.

Reporting Methodology

• The client’s custodian bank is NEPC’s preferred data source unless otherwise directed. NEPC generally reconciles custodian data to manager data. If the custodian cannot provide accurate data, manager data may be used.

• Trailing time period returns are determined by geometrically linking the holding period returns, from the first full month after inception to the report date. Rates of return are annualized when the time period is longer than a year. Performance is presented gross and/or net of manager fees as indicated on each page.

• For managers funded in the middle of a month, the “since inception” return will start with the first full month, although actual inception dates and cash flows are taken into account in all Composite calculations.

• This report may contain forward-looking statements that are based on NEPC’s estimates, opinions and beliefs, but NEPC cannot guarantee that any plan will achieve its targeted return or meet other goals.

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