May 12 2021 CERS Investment Committee Meeting Materials.Pdf

CERS Special Called Investment Committee Meeting - Agenda

County Employees Retirement System Special Called Investment Committee Meeting May 12, 2021, 2 p.m. ET (1 p.m. CT) Live Video Conference/Facebook Live

AGENDA

1. Call to Order

2. Roll Call Alane Foley

3. Public Comment

4. Investment Compliance Report* Jared Crawford

5. Investment Performance Review Steven Herbert

a. Monthly Update b. Commissions Report c. Internal Asset Transactions & Holdings d. Security Litigation e. Capital Calls f. Management Fees g. Meetings Report

6. Real Estate Fund Investments Increased Allocation Steven Herbert

7. Wilshire Investment Performance Review David Lindberg a. Quarterly Performance reports b. Asset Liability Study

8. Investment Policies Drafts Dr. Merl Hackbart a. Investment Procurement b. Investment Policy Statement c. Procedures for Selecting Pre-Qualified Managers

9. KPPA Investment Staff Update Steven Herbert

10. Adjourn

*Committee may take action on these items.

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County Employees Retirement System (CERS) Fiscal Year 2021 Investment Policy Performance Review For the Quarter Ended March 31, 20211

Asset Allocations

The Investment Committee recognizes asset allocation as an investment strategy where apportioning resources across asset classes may temper volatility and risk. Portfolio diversification is important to address risk tolerance. Therefore, each system has been studied and asset allocation guidelines have been established by the Investment Committee, Investment staff, and Wilshire. For the purposes of this report, the CERS data was gleaned from the current iteration of our performance and attribution reporting provided by BNY Mellon. The section of this report titled “Returns by Asset Class” is for the quarter ended March 31, 2021, and represents the total KRS fund.

CERS and CERS-H Target Asset Allocations

1 Some sections are for the total KRS fund, as reporting occurred before the separation of Boards.

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CERS

KRS Pension Fund Asset Allocation for CERS For the Quarter Ended March 31, 2021 Target Asset Class Allocation FY2021 Q3 FY2021 Q2 FY2021 Q1 FY2020 Q4 FY2020 Q3 Growth 62.50% 70.67% 66.29% 64.25% 65.27% 66.53% US Equity 18.75% 23.24% 20.57% 19.98% 20.48% 20.31% Non US Equity 18.75% 23.16% 20.68% 20.11% 20.72% 21.39% Private Equity 10.00% 8.47% 8.98% 8.62% 8.88% 8.50% High Y ield/Specialty Credit 15.00% 15.80% 16.06% 15.54% 15.19% 16.33% Fixed Income / Liquidity 14.50% 14.96% 18.93% 20.56% 18.11% 17.33% Core Fixed Income 13.50% 13.93% 17.40% 18.16% 16.66% 16.32% Cash 1.00% 1.03% 1.53% 2.40% 1.45% 1.01% Diversifying Strategies 23.00% 14.34% 14.71% 15.13% 16.54% 16.15% Real Estate 5.00% 5.12% 5.36% 5.52% 5.38% 4.33% Opportunistic 3.00% 2.65% 3.70% 3.85% 3.03% 2.93% Real Return 2 15.00% 6.57% 5.65% 5.76% 8.13% 8.89%

2 Absolute Return funds that were being liquidated were rolled into the Real Return portfolio. For the quarter ended March 31, 2021, there were no allocations to Absolute Return.

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CERS-H

KRS Pension Fund Asset Allocation for CERS-H For the Quarter Ended March 31, 2021 Target Asset Class Allocation FY2021 Q3 FY2021 Q2 FY2021 Q1 FY2020 Q4 FY2020 Q3 Growth 62.50% 70.64% 66.42% 64.04% 65.18% 64.84% US Equity 18.75% 23.11% 20.86% 20.35% 19.95% 20.30% Non US Equity 18.75% 23.05% 20.27% 19.72% 19.84% 20.63% Private Equity 10.00% 8.43% 8.93% 8.61% 9.96% 8.95% High Y ield/Specialty Credit 15.00% 16.05% 16.36% 15.36% 15.43% 14.96% Fixed Income / Liquidity 14.50% 15.40% 19.25% 21.18% 19.67% 19.00% Core Fixed Income 13.50% 14.15% 17.68% 18.49% 14.18% 16.89% Cash 1.00% 1.25% 1.57% 2.69% 5.49% 2.11% Diversifying Strategies 23.00% 13.86% 14.23% 14.66% 15.03% 16.15% Real Estate 5.00% 4.77% 5.01% 5.17% 5.55% 5.03% Opportunistic 3.00% 2.58% 3.56% 3.71% 3.68% 2.91% Real Return 3 15.00% 6.51% 5.66% 5.78% 5.80% 8.21%

3 A bsolute Return funds that were being liquidated were rolled into the Real Return portfolio. For the quarter ended March 31, 2021, , there were no allocations to Absolute Return.

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Investment Objectives and Rates of Return

Returns are measured on a rolling basis and should exceed the return rates of comparable passive market indices. All allocations, ranges, and assumed rates of return are based on actuarial assumptions that went into effect July 12, 2017. The following definitions of short-term and long-term rates of return can be found in KRS’ Investment Policy Statement.4 Short-Term Rate of Return: defined as a period shorter than the defined long-term period, typically considered as a full market cycle lasting three years. For more information, see the individual portfolio information included in the monthly update.5

Long-Term Rate of Return: defined as a period exceeding twenty years. In the long-term, total assets should achieve a return which exceeds the actuarially required rate of return of each plan. In addition to exceeding the actuarially required rate of return, the total fund return should exceed the return achieved by its blended performance benchmark.

The table below displays the market value, percent ownership of the total market value, rate of return, and index for each plan for the third quarter of fiscal year 2021. Note that the Total is the total market value for all funds, so the total will not foot to the market values for CERS and CERS-H.

KRS Pension Fund Market V alues and Returns For the Quarter Ended March 31, 2021 Market Value % of Total Index Return Performance CERS $8,201,883,088 55.25% 2.99 3.96 Above T arget CERS-H $2,780,134,312 18.73% 2.99 3.93 Above T arget TOTAL KRS $14,845,454,691

4Kentucky Retirement Systems, “Statement of Investment Policy.” Adopted on July 12, 2017 Available at: https://kyret.ky.gov/Investments/Investment%20Policies/2020%20Statement%20of%20Investment%20Policy.pdf

5 KRS Monthly Staff Performance Reports available at: hps://kyret.ky.gov/Investments/Investments-Library/Pages/Monthly%20Performance%20Updates.aspx.

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The table below shows 1-Year returns for each of CERS’ plans and KRS in total.

KRS Pension Fund FY2020 Returns by Plan For the Quarter Ended March 31, 2021 Fund Benchmark Index Return Performance KRS 1-Y ear Return KRS Pension Blended Index 28.57 29.02 Above T arget CERS Pension Plan T actical CERS 1-Y ear Return Index 29.39 29.68 Above T arget CERS-H Pension Plan CERS-H 1-Y ear Return Tactical Index 29.59 29.39 Above T arget

The table below displays 10-Year and 30-Year returns for both CERS plans.

KRS Pension Fund Long-Term Returns For the Quarter Ended March 31, 2021 Fund Benchmark Index Return Performance KY Ret. CERS Plan CERS 30-Year Return Tactical 8.12 8.22 Above Target KY Ret. CERS Plan CERS 10-Year Return Tactical 7.43 7.53 Above Target KY Ret. CERS Haz CERS-H 30-Year Return Plan Tactical 8.12 8.22 Above Target KY Ret. CERS Haz CERS-H 10-Year Return Plan Tactical 7.43 7.52 Above Target

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Returns by Asset Class The following tables display KRS’ 3-year, 5-year, and 10-year returns for the following asset classes: U.S. Equity, Non-U.S. Equity, Real Return, and Cash; these returns are compared to benchmarked indices. The 20-year returns have also been provided for U.S. Equity and Cash. For all periods, the U.S. Equity portfolio trailed its benchmark. When applicable, portfolio performance is also examined using the standard deviation, Sharpe ratio, and median return. The standard deviation is a statistical measure of volatility where a higher standard deviation indicates greater volatility indicating higher risk. The Sharpe ratio measures risk as the average return in excess of a risk free investment, e.g. a U.S. Treasury bond. A higher Sharpe ratio exemplifies a higher return in excess of a risk free investment. Finally, distance from the median measures performance based on peer comparisons.

KRS U.S. Equity Below T arget Out of Last Four Standard Measurement KRS Index Result Quarters Short-Term: For periods less than five years or a full market cycle, U.S. Equity should exceed 3-Year 16.50 17.12 Below T arget 4 the returns of the KRS Equity Blended Index. Long-Term: (5 & 10 Y ears)

5-Year 15.99 16.64 Below T arget 4 U.S. Equity return should exceed the 10-Year 13.13 13.77 Below T arget 4 KRS Equity Blended Index. 20-Year 8.66 9.05 Below T arget 4

Volatility, as measured by the standard 5-Year Within Range 0 deviation of monthly returns, should be 15.53 15.43 comparable to that of the Index within a 10-Year 14.27 14.09 Within Range 0 10 percent range of the Index. U.S. Equity return should compare 5-Year 0.97 1.01 Within Range 1 favorably to the KRS Equity Blended Index on a risk-adjusted basis, as 10-Year 0.90 0.95 Below T arget 4 measured by Sharpe ratio. U.S. Equity should generate returns that 5-Year 16.09 16.64 Below T arget 4 rank above the median return of a relevant peer group. 10-Year 13.24 13.77 Below T arget 4

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KRS Non-U.S. Equity Below T arget Out of Last Four Standard Measurement KRS Index Result Quarters Short-Term: For periods less than five years or a full market cycle, Non-U.S. Equity should 3-Year 8.18 6.51 Above T arget 0 exceed the returns of the KRS International Equity Blended Index Long-Term: (5 & 10 Y ears) Non-U.S. Equity return should exceed 5-Year 11.13 10.01 Above T arget 0 the KRS International Equity Blended Index 10-Year 5.80 5.31 Above T arget 0 Volatility, as measured by the standard 5-Year 15.07 14.78 Within Range 0 deviation of monthly returns, should be comparable to that of the Index within a 10-Year 15.16 15.23 Within Range 0 10 percent range of the Index. Non-U.S. Equity return should compare 5-Year 0.70 0.65 Above T arget 2 favorably to the KRS International Equity Blended Index on a risk-adjusted 10-Year 0.41 0.38 Above T arget 1 basis, as measured by sharpe ratio. Non-U.S. Equity should generate 5-Year 11.43 10.01 Above T arget 0 returns that rank above the median return of a relevant peer group 10-Year 6.06 5.31 Above T arget 0

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KRS Real Return Below T arget Out of Last Four Standard Measurement KRS Index Result Quarters Short-Term: For periods less than five years or a full market cycle, Real Return should 3-Year 3.74 3.74 On T arget 0 exceed the returns of the KRS Pension Real Return Custom Benchmark Long-Term

Real Return return should exceed the 5-Year 5.25 4.09 Above T arget 0 KRS Pension Real Return Custom Benchmark 10-Year N/A N/A N/A N/A

Volatility, as measured by the standard 5-Year 9.28 9.17 Within Range 0 deviation of monthly returns, should be comparable to that of the Index within a 10 percent range of the Index. 10-Year N/A N/A N/A 0 Total Real Return Allocation return 5-Year 0.48 0.36 Above T arget 0 should compare favorably to the KRS Pension Real Return Custom Benchmark on a risk-adjusted basis, as 10-Year N/A N/A N/A 0 measured by sharpe ratio.

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KRS Cash Below T arget Out of Last Four Standard Measurement KRS Index Result Quarters Short-Term: For periods less than five years or a full market cycle, return should exceed the 3-Year 1.60 1.45 Above T arget 0 Citi Group 3 Month -bill Index. Long-Term: (5 & 10 Y ears) 5-Year 1.50 1.15 Above T arget 0 Return should exceed the Citi Group 3 10-Year 0.91 0.60 Above T arget 0 Month -bill Index. 20-Year 1.85 1.43 Above T arget 0 Volatility, as measured by the standard Outside 5-Year 0.34 0.24 4 deviation of monthly returns, should be Range comparable to that of the Index within a Outside 10-Year 0.32 0.23 4 10 percent range. Range

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P ortfolio Compliance Guidelines

● Securities issued by the state of Kentucky, its subsidiaries or affiliates are prohibited. In Compliance ● The amount of stock in the domestic or international equity allocation in any In Compliance single corporation shall not exceed 5% of the aggregate market value of the System’s assets. ● The amount of stock held in domestic or international equity allocation In Compliance shall not exceed 3% of the shares outstanding of any corporation. ● The amount of stock in any one industry in the domestic equity allocation In Compliance shall not exceed 10% of the aggregate market value of the System’s assets. ● Investment on “frontier” markets shall not exceed 10% of the System’s In Compliance international equity assets. ● The duration of the total fixed income portfolio shall not deviate from the In Compliance KRS Fixed Income Index by more than 25%. ● The amount invested in the debt of a single corporation shall not exceed 5% In Compliance of the total market value of the System’s Assets. ● No public fixed income manager shall invest more than 5% of the total market In Compliance value of assets held in any single issue short-term instruments, with the exception of U.S. Government issued, guaranteed or agency obligations. ● 50% of the fixed income assets must have liquidity that is T+3 (trade date plus In Compliance three days) settlement or better. ● F or the S&P 500 portfolio, securities must be in the S&P 500. N ot In Compliance

As indicated above, there were Public Equities that did not comply with the policy that S&P securities must be held in the S&P 500. The exceptions were due to spin-offs, mergers, and loss of market capitalization. The S&P portfolio typically falls into compliance after monthly rebalancing by Investment staff. This is presented for informational purposes only. No action is required of the Committee.

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KENTUCKY RETIREMENT SYSTEMS - PENSION FUND - NET RETURNS - 03/31/21 Structure Inception Market Value % of Total Month QTD Fiscal YTD 1 Year 3 Years 5 Years 10 Years 20 Years ITD TOTAL FUND 4/1/1984 14,845,454,693.81 100.00 1.93 3.80 18.44 29.02 8.52 9.61 7.47 6.64 9.13 KY Ret. Blended Index 1.48 2.83 17.38 28.57 7.98 9.25 7.40 6.62 9.19 GROWTH 7/1/2018 10,320,642,122.93 69.52 2.55 4.88 25.35 39.74 11.13 Growth Custom Benchmark 2.29 5.57 30.32 43.84 12.94 PUBLIC EQUITY 4/1/1984 6,619,150,685.74 44.59 2.58 5.47 32.24 59.44 12.10 13.47 9.20 7.10 10.77 Global Equity Blended Index 2.48 5.07 31.58 57.28 11.81 13.38 9.10 7.04 10.59 US PUBLIC 4/1/1984 3,368,632,302.72 22.69 3.78 7.45 34.33 63.72 16.50 15.99 13.13 8.66 11.73 KY Domestic Equity Blend 3.58 6.35 33.19 62.53 17.12 16.64 13.77 9.05 11.81 EQUITY NON US 7/1/2000 3,250,518,383.02 21.90 1.37 3.48 30.14 54.86 8.18 11.13 5.80 6.04 4.09 KY Ret.Int'l Eq. Blended Index 1.37 3.77 29.91 51.94 6.51 10.01 5.31 6.11 4.14 PRIVATE EQUITY 7/1/2002 1,155,001,941.18 7.78 4.54 5.97 21.62 14.34 11.74 12.12 12.62 11.27 Russell 3000 + 3%(Qtr Lag) 4.54 5.97 21.62 14.34 11.74 12.12 16.44 12.42 HIGH YIELD / SPECIALTY CREDIT 7/1/2017 2,546,489,496.01 17.15 1.60 2.89 12.06 13.42 5.73 6.13 High Yield Custom Benchmark 0.07 1.32 11.17 22.23 5.49 5.09 FIXED INCOME / LIQUIDITY 7/1/2018 2,549,258,201.90 17.17 -0.13 -0.18 2.25 6.43 4.62 Liquidity Custom Benchmark -1.16 -3.14 -1.97 0.68 4.89 CORE FIXED INCOME 7/1/2013 2,263,311,450.14 15.25 -0.15 -0.21 2.55 8.01 4.99 3.44 3.57 Bloomberg Barclays US Aggregate -1.25 -3.37 -2.12 0.71 4.65 3.10 3.28 CASH 1/1/1988 285,946,751.76 1.93 0.03 0.05 0.11 0.21 1.60 1.50 0.91 1.78 3.43 Citigroup Treasury Bill-3 Month 0.01 0.02 0.07 0.21 1.45 1.15 0.60 1.36 3.00 DIVERSIFYING STRATEGIES 7/1/2018 1,600,788,854.42 10.78 1.45 3.50 12.40 16.94 5.14 Diversifying Strategies Custom 0.75 1.63 4.78 5.83 4.59 REAL ESTATE 7/1/1984 589,400,001.67 3.97 0.32 1.64 4.99 4.78 8.65 9.33 9.28 7.26 6.29 NCREIF NFI-ODCE Net 1 Qtr in Arrears Index^ 1.10 1.10 -0.41 0.34 3.99 5.27 8.87 6.52 6.24 REAL RETURN 7/1/2011 1,011,388,852.75 6.81 2.12 4.61 16.89 25.45 3.74 5.25 3.79 Pension Real Return Custom Benchmark 2.12 4.61 16.89 25.45 3.74 5.25 2.93 OPPORTUNISTIC 7/1/2018 375,449,617.00 2.53 1.03 3.61 16.99 24.64 8.72 S&P LSTA Leveraged Loan Index 0.00 1.78 10.03 20.71 4.16

KENTUCKY RETIREMENT SYSTEMS - PENSION FUND - PLAN NET RETURNS - 03/31/21 Plan Inception Market Value % of Total Month 3 Months Fiscal YTD 1 Year 3 Years 5 Years 10 Years 20 Years ITD KERS 2,706,296,495.32 100.00 1.59 3.21 16.40 26.47 8.23 8.98 7.18 6.49 9.05 KY Ret. KERS Plan Index 1.20 2.26 15.14 25.46 7.56 8.62 7.11 6.48 9.11 KERS- H 825,636,856.81 100.00 1.91 3.80 18.70 29.80 8.47 9.59 7.49 6.65 9.14 KY Ret. KERS Haz Plan Index 1.58 2.99 17.94 29.39 8.15 9.46 7.43 6.64 9.20 CERS 8,201,883,087.75 100.00 2.02 3.96 19.00 29.68 8.56 9.74 7.53 6.66 9.15 KY Ret. CERS Plan Index 1.58 2.99 17.94 29.39 8.15 9.48 7.43 6.64 9.20 CERS- H 2,780,134,312.48 100.00 2.02 3.93 18.96 29.59 8.52 9.70 7.52 6.66 9.14 KY Ret. CERS Haz Plan Index 1.58 2.99 17.94 29.39 8.15 9.47 7.43 6.64 9.20 SPRS 331,503,938.81 100.00 1.55 3.20 16.09 26.57 8.08 9.02 7.06 6.43 9.02 KY Ret. SPRS Plan Index 1.20 2.26 15.14 25.46 7.50 8.78 7.10 6.47 9.11

KERS 17.7 17.3 6.9 17.2 22.3 4.8 4.9 6.5 2.3 KERS-H 23.1 22.9 7.6 16.6 14.4 2.1 4.6 6.2 2.4 CERS 23.6 23.3 8.3 15.9 13.8 0.9 5.1 6.6 2.6 CERS-H 23.4 23.2 8.3 16.1 14.0 1.1 4.8 6.5 2.6 SPRS 18.4 17.4 5.6 16.5 23.2 5.4 4.8 6.3 2.4

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% US Equity Non US Equity Private Equity High Yield / Specialty Credit Core Fixed Income Cash Real Estate Real Return Opportunistic

Note: The above chart displays the average monthly allocation.

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KENTUCKY RETIREMENT SYSTEMS - INSURANCE FUND - NET RETURNS - 03/31/21 Structure Inception Market Value % of Total Month QTD Fiscal YTD 1 Year 3 Years 5 Years 10 Years 20 Years ITD KRS KRS KRS KRS KRS KRS KRS KRS KRS TOTAL FUND 4/1/1987 6,556,911,109.32 100.00 2.02 3.89 18.74 28.86 8.37 9.66 7.07 5.98 7.57 KY Ret. Blended Index 1.59 2.94 17.72 28.53 7.97 9.40 7.46 6.21 7.87 GROWTH 7/1/2018 4,683,594,990.26 71.43 2.64 4.94 25.17 38.34 10.54 Growth Custom Benchmark 2.29 5.57 30.32 43.84 12.94 PUBLIC EQUITY 7/1/1992 2,988,294,143.74 45.57 2.59 5.47 32.25 59.42 12.03 13.44 9.19 7.10 9.16 Global Equity Blended Index 2.48 5.06 31.57 57.23 11.77 13.35 9.10 6.67 8.92 US PUBLIC 7/1/1992 1,533,926,947.95 23.39 3.78 7.41 34.28 63.72 16.44 15.99 13.17 8.59 10.36 KY Domestic Equity Blend 3.58 6.35 33.19 62.53 17.12 16.64 13.80 8.77 10.31 EQUITY NON US 4/1/2000 1,454,367,195.79 22.18 1.36 3.50 30.17 54.76 8.07 11.02 5.65 6.39 4.06 KY Ret.Int'l Eq. Blended Index 1.37 3.77 29.91 51.94 6.51 10.01 5.33 5.77 3.39 PRIVATE EQUITY 7/1/2002 561,073,080.75 8.56 5.12 6.43 20.83 9.23 9.69 11.56 12.70 10.05 Russell 3000 + 3%(Qtr Lag) 5.12 6.43 20.83 9.23 9.69 11.56 16.42 11.92 HIGH YIELD / SPECIALTY CREDIT 7/1/2017 1,134,227,765.77 17.30 1.58 2.86 11.83 12.85 5.47 5.82 Bloomberg Barclays US High Yield 0.07 1.32 11.17 22.23 5.49 5.09 FIXED INCOME / LIQUIDITY 7/1/2018 1,005,699,172.08 15.34 -0.17 -0.25 2.13 6.60 4.50 Liquidity Custom Benchmark -1.16 -3.14 -1.97 0.68 4.89 CORE FIXED INCOME 7/1/2013 864,872,800.18 13.19 -0.20 -0.30 2.43 7.78 4.78 3.32 3.24 Bloomberg Barclays US Aggregate -1.25 -3.37 -2.12 0.71 4.65 3.10 3.28 CASH 7/1/1992 140,826,371.90 2.15 0.01 0.02 0.09 0.20 1.43 1.23 0.75 1.57 2.52 Citigroup Treasury Bill-3 Month 0.01 0.02 0.07 0.21 1.45 1.15 0.60 1.36 2.40 DIVERSIFYING STRATEGIES 7/1/2018 676,856,904.80 10.32 1.37 3.20 12.22 16.67 5.52 Diversifying Strategies Custom 0.75 1.63 4.78 5.83 4.59 REAL ESTATE 5/1/2009 249,384,482.65 3.80 0.36 1.60 5.02 4.89 8.78 9.51 9.22 9.11 NCREIF NFI-ODCE Net 1 Qtr in Arrears Index^ 1.10 1.10 -0.41 0.34 3.99 5.27 8.87 5.43 REAL RETURN 7/1/2011 427,472,422.15 6.52 1.97 4.15 16.25 24.14 4.27 5.32 3.76 Pension Real Return Custom Benchmark 1.97 4.15 16.25 24.14 4.27 5.32 3.17 OPPORTUNISTIC 7/1/2018 191,181,257.00 2.92 1.03 3.61 16.99 24.64 8.72 S&P LSTA Leveraged Loan Index 0.00 1.78 10.03 20.71 4.16

KENTUCKY RETIREMENT SYSTEMS - INSURANCE FUND - PLAN NET RETURNS - 03/31/21 Plan Inception Market Value % of Total Month 3 Months Fiscal YTD 1 Year 3 Years 5 Years 10 Years 20 Years ITD KERS INS 1,230,494,747.53 100.00 1.87 3.73 19.02 30.90 8.29 9.45 6.84 5.87 7.50 KY Ins. KERS Plan Index 1.61 2.97 17.75 28.62 7.99 9.49 7.36 6.16 7.84 KERS - H INS 596,829,016.49 100.00 2.05 3.93 18.65 28.39 8.20 9.54 7.02 5.96 7.56 KY Ins. KERS Haz Plan Index 1.61 2.97 17.75 28.62 8.04 9.50 7.39 6.18 7.85 CERS INS 2,966,839,435.34 100.00 2.03 3.90 18.62 28.52 8.33 9.65 7.10 5.99 7.58 KY Ins. CERS Plan Index 1.61 2.97 17.75 28.62 8.04 9.47 7.40 6.19 7.85 CERS - H INS 1,529,029,858.53 100.00 2.08 3.96 18.71 28.16 8.36 9.69 7.13 6.01 7.59 KY Ins. CERS Haz Plan Index 1.61 2.97 17.75 28.62 8.04 9.47 7.40 6.19 7.85 SPRS INS 233,718,047.53 100.00 2.06 3.96 18.94 28.52 8.54 9.80 7.17 6.03 7.60 KY Ins. SPRS Plan Index 1.61 2.97 17.75 28.62 8.04 9.47 7.41 6.19 7.86

KERS INS 25.6 22.5 5.3 16.6 14.4 3.2 3.8 6.1 2.5 KERS-H INS 22.4 22.4 8.7 17.1 13.0 0.8 5.8 6.5 3.3 CERS INS 22.4 22.2 9.1 16.3 13.2 2.5 5.1 6.2 2.9 CERS-H INS 22.3 22.2 10.0 15.5 13.5 1.7 5.4 6.3 3.1 SPRS INS 22.2 22.4 10.0 15.7 13.1 1.5 5.7 6.4 3.1

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% US Equity Non US Equity Private Equity High Yield / Specialty Credit Core Fixed Income Cash Real Estate Real Return Opportunistic

Note: The above chart displays the average monthly allocation.

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March 2021 KRS MONTHLY PERFORMANCE UPDATE

What’s going on in the marketplace? The month was marked by optimism in the global equity markets. Vaccine rollouts and predictions for better global economic growth drove markets and were supported by improving corporate earnings, not to mention additional fiscal stimulus. This wave of news propelled U.S. stock sharply, which outperformed their international counterparts. The improved outlook pushed bond yields higher, which in turn created negative returns in the global fixed income markets.

The KRS investment portfolio returned 1.9% versus the benchmark of 1.5%. Relative outperformance in the Specialty Credit, Core Fixed Income and U.S. Equity asset classes bolstered the overall portfolio performance from a selection perspective. From an allocation perspective, the overweight to U.S. Equity asset class provided a tailwind to the overall portfolio. Some of the relative outperformance offset can be attributed to the underweight to Private Equities combined with an overweight to the credit space.

The fiscal year return to date now stands at 18.4% versus a benchmark return of 17.4% In general, the portfolio has benefitted from its overweight to the public equity markets, as these have been the strongest performing asset classes for the period. Further, strong absolute performance within private equity has been beneficial.

U.S. Equities U.S. markets gained 3.6% during the month per the Russell 3000. The strong market performance was led by midcaps, followed by large caps, and then the small cap market segment (MC: 4.7% vs LC: 4.4% vs SC: 1.0%). Extending a recent trend, value outperformed growth during the month (R3000V: 5.8%% vs R3000G: 1.4%).

During the month, the KRS U.S. Equity portfolio outpaced its benchmark by 20 bps, returning 3.8% versus the Russell 3000 Index return of 3.6%. The portfolio was mixed in terms of stock selection; however, the internal factor-based large cap and small cap strategies provided solid relative outperformance. In addition, the portfolio’s slight value tilt was beneficial during the period.

For the first nine months of the fiscal year, the portfolio returned 34.3% versus the benchmark return of 33.2%. Stock selection was mixed, though the net result was added to relative performance. Allocation from a style perspective helped the portfolio as the slight value tilt served as a tailwind (R3000V: 38.3% vs R3000G: 28.4%). However, the portfolio’s smaller positioning has also helped as small caps, followed by mid-caps, outpaced their large cap counterparts (SC: 55.4% vs MC: 47.9% vs LC: 29.7%).

Non-U.S. Equities Non-U.S. equity markets provided a solid 1.4% return during the KRS Pension Performance - 03/31/21 month per the MSCI ACWI-Ex US Index. Emerging markets trailed 30.00 their developed market counterparts (MSCI World Ex-US: 2.6% vs 25.00 MSCI EM: -1.5%). Like the U.S. markets, value outpaced growth 20.00 in the international markets. 15.00

The KRS Non-U.S. Equity portfolio gained 1.4% during the month, 10.00 matching the index. KRS’ external MSCI ACWI Ex-US mandates 5.00 and external MSCI EM strategies were mixed in terms of relative 0.00 performance. The value tilt within the MSCI ACWI-Ex US Month QTD FYTD 1YR 3YR 5YR 10YR 20YR ITD mandates was beneficial. KRS Benchmark

During the three quarters of the fiscal year, the KRS Non-U.S. Equity portfolio returned 30.1%, outpacing the index by 23 bps. Individual strategy results have been good, with only one MSCI ACWI Ex-U.S. mandate trailing the core index.

14 CERS Special Called Investment Committee Meeting - Investment Performance Review

Fixed Income Fixed Income markets were negative during the month with the higher yielding segments (those with more significant credit risk) holding up better than those segments that are traditionally considered safer. The high yield gained 0.2% during the period, while the leveraged loan market was flat. The intermediate bond market fell approximately -0.7%, followed by the U.S. Aggregate Index, which lost -1.3%.

The KRS Specialty Credit allocation returned 1.6%, outpacing its benchmark by 153 bps during the month. This primarily can be attributed to the relative strength in the leveraged loan and high yield portion of the allocation. The KRS Core Fixed Income portfolio lost 15 bps; however, it outpaced the Bloomberg Barclays Aggregate (-0.2% vs -1.3%). Relative performance amongst the individual mandates was good, as all strategies outperformed their respective indices.

The KRS Specialty Credit allocation returned 12.1% during the fiscal year to date outpacing its benchmark return of 11.2%. Individual strategy relative performance has been mixed, with the corporate high yield allocations providing the strongest returns generally. The core portion of the credit allocation returned 2.6% for the nine-month period, with the short-term corporate strategy providing the bulk of performance.

Alternative Assets

The diversifying strategy group returned 1.5% during the month, adding 70 bps over its index. Both segments of the allocation provided positive performance. The Real Return portfolio gained 2.0%, while the Real Estate allocation gained 0.3%.

The Private Equity allocation (part of the growth bucket) earned 4.5% during the period.

The Opportunistic bucket, which makes up approximately 2.5% of the total fund, gained 1.0% during the month of March.

For the fiscal year, the diversifying strategy bucket has returned 12.4%, led by the Real Return allocation (16.9%). The Real Estate allocation has returned 5.0% during the period.

Private Equity investments have added 21.6% during the fiscal year and the Opportunistic bucket has returned 17.0%.

Cash The Cash portfolio outpaced the 3-month T-Bill, returning 3 basis points. This brought the fiscal year return to 11 bps.

NOTES: 1) Returns displayed are “net”. For the purposes of this report, total fund return information is net of fees and expenses, with audited data beginning in July 2011. At the manager level returns are net of fees beginning with July 2011, and gross of fees for prior data. 2) Individual plan allocation and performance (pgs.4&5). 3) Prior to January 1, 2014, the inception date for the Private Equity asset class was stated as 10/1/1990 for Pension Fund and 6/1/2001 for Insurance Fund. Prior to 07/01/02, the characteristics of the allocation, and the benchmark itself, were more closely aligned with Real Estate. As such, it is not appropriate to report this portion of the return stream within the Private Equity allocation, whose true inception date has been determined to be 07/01/02 based on funding the Systems’ first private equity mandate. The portion of the original return streams that are no longer reported within the Private Equity allocation (Pension from 10/1/90 to 06/30/02; Insurance 06/01/01 to 06/30/02) are reported within the Fund Level performance figures. 4) Private Equity Composite (Pension) Private Equity Composite (Insurance) Inception (07/01/02) to 06/30/11 Inception (07/01/02) to 06/30/11 60.00% S&P 1500 Composite Index 80.00% S&P 1500 Composite Index 40.00% Barclays US Corporate High Yield Index 20.00% Barclays US Corporate High Yield Index 07/01/11 to 12/31/15 07/01/11 to 12/31/15 100.00% Russell 3000 Index + 4% (Qtr Lag) 100.00% Russell 3000 Index + 4% (Qtr Lag)

15 CERS Special Called Investment Committee Meeting - Investment Performance Review

01/01/16 to Present 01/01/16 to Present 100.00% Russell 3000 Index + 3% (Qtr Lag) 100.00% Russell 3000 Index + 3% (Qtr Lag) 5) The Private Equity & Real Return Benchmarks, from one month returns up until five year returns, is equal to the performance of the associated KRS allocations. Given there is not appropriate benchmark to use for short term performance evaluation, this will allow greater focus on longer term returns, which is more appropriate given the long term nature of these investments. Pension Benchmark Composite 01/01/16 to 08/31/17 Insurance Benchmark Composite 01/01/16 to 08/31/17 US Equity: Russell 3000 (25.6%) US Equity: Russell 3000 (26.5%) Non US Equity: MSCI AXCI Ex-US IMI (25.2%) Non US Equity: MSCI AXCI Ex-US IMI (26.5%) Global Fixed Income: Barclays Universal Index (6.8%) Global Fixed Income: Barclays Universal Index (6.0%) Credit Fixed Income: Barclays US High Yield (7.2%) Credit Fixed Income: Barclays US High Yield (6.0%) Real Estate: NCREIF ODCE (5.0%) Real Estate: NCREIF ODCE (5.0%) Absolute Return: HFRI Diversified FOF (10.0%) Absolute Return: HFRI Diversified FOF (10.0%) Real Return: Allocation Specific (8.0%) Real Return: Allocation Specific (8.0%) Private Equity<5Yrs: Actual Performance Private Equity<5Yrs: Actual Performance Private Equity>5Yrs: Russell 3000 Index+3% (10.0%) Private Equity>5Yrs: Russell 3000 Index+3% (10.0%) Cash: Cit Grp 3-mos Treasury Bill (2.2%) Cash: Cit Grp 3-mos Treasury Bill (2.0%) Pension Benchmark Composite 09/01/17 to 05/31/18 - Insurance Benchmark Composite 09/01/17 to 05/31/18 - Transition Period w/Sliding Targets Transition Period w/Sliding Targets US Equity: Russell 3000 (23.6%) US Equity: Russell 3000 (24.5%) Non US Equity: MSCI AXCI Ex-US IMI (23.2%) Non US Equity: MSCI AXCI Ex-US IMI (24.5%) Global Fixed Income: Barclays Universal Index (9.0%) Global Fixed Income: Barclays Universal Index (8.0%) Credit Fixed Income: Barclays US High Yield (9.0%) Credit Fixed Income: Barclays US High Yield (8.0%) Real Estate: NCREIF ODCE (5.0%) Real Estate: NCREIF ODCE (5.0%) Absolute Return: HFRI Diversified FOF (10.0%) Absolute Return: HFRI Diversified FOF (10.0%) Real Return<5yrs: Actual Performance Real Return<5yrs: Actual Performance Real Return>5yrs: CPI+3% (8%) Real Return>5yrs: CPI+3% (8%) Private Equity<5Yrs: Actual Performance Private Equity<5Yrs: Actual Performance Private Equity>5Yrs: Russell 3000 Index+3% (10.0%) Private Equity>5Yrs: Russell 3000 Index+3% (10.0%) Cash: Cit Grp 3-mos Treasury Bill (2.2%) Cash: Cit Grp 3-mos Treasury Bill (2.0%) Pension Benchmark Composite 06/01/18 to 07/31/18 Insurance Benchmark Composite 06/01/18 to 07/31/18 US Equity: Russell 3000 (17.0%) US Equity: Russell 3000 (17.9%) Non US Equity: MSCI AXCI Ex-US IMI (21.0%) Non US Equity: MSCI AXCI Ex-US IMI (21.9%) Global Fixed Income: Barclays Universal Index (13.0%) Global Fixed Income: Barclays Universal Index (13.0%) Credit Fixed Income: Barclays US High Yield (12.4%) Credit Fixed Income: Barclays US High Yield (11.0%) Real Estate: NCREIF ODCE (5.0%) Real Estate: NCREIF ODCE (5.0%) Absolute Return: HFRI Diversified FOF (10.0%) Absolute Return: HFRI Diversified FOF (10.0%) Real Return<5yrs: Actual Performance Real Return<5yrs: Actual Performance Real Return>5yrs: CPI+3% (10.0%) Real Return>5yrs: CPI+3% (10.0%) Private Equity<5Yrs: Actual Performance Private Equity<5Yrs: Actual Performance Private Equity>5Yrs: Russell 3000 Index+3% (9.4%) Private Equity>5Yrs: Russell 3000 Index+3% (9.2%) Cash: Cit Grp 3-mos Treasury Bill (2.2%) Cash: Cit Grp 3-mos Treasury Bill (2.0%) Pension Benchmark Composite 07/31/18 to 12/31/20 Insurance Benchmark Composite 07/31/18 to 12/31/20 US Equity: Russell 3000 (18.2%) US Equity: Russell 3000 (18.75%) Non US Equity: MSCI AXCI Ex-US IMI (18.2%) Non US Equity: MSCI AXCI Ex-US IMI (18.75%) Core Fixed Income: Barclays US Aggregate (14.8%) Core Fixed Income: Barclays US Aggregate (5.0%) Specialty Credit/High Yield FI: Custom Benchmark (15.0%) Specialty Credit/High Yield FI: Custom Benchmark (13.5%) Real Estate: NCREIF ODCE (5.0%) Real Estate: NCREIF ODCE (10.0%) Absolute Return: HFRI Diversified FOF (3.0%) Absolute Return: HFRI Diversified FOF (3.0%) Real Return<5yrs: Actual Performance Real Return<5yrs: Actual Performance Real Return>5yrs: CPI+3% (15.0%) Real Return>5yrs: CPI+3% (15.0%) Private Equity<5Yrs: Actual Performance Private Equity<5Yrs: Actual Performance Private Equity>5Yrs: Russell 3000 Index+3% (9.4%) Private Equity>5Yrs: Russell 3000 Index+3% (15.0%)

16 CERS Special Called Investment Committee Meeting - Investment Performance Review

Cash: Cit Grp 3-mos Treasury Bill (1.4%) Cash: Cit Grp 3-mos Treasury Bill (1.0%) Pension Benchmark Composite 01/01/21 to Present Insurance Benchmark Composite 01/01/21 to Present US Equity: Russell 3000 (20.6%) US Equity: Russell 3000 (21.75%) Non US Equity: MSCI AXCI Ex-US IMI (20.6%) Non US Equity: MSCI AXCI Ex-US IMI (21.75%) Core Fixed Income: Barclays US Aggregate (12.2%) Core Fixed Income: Barclays US Aggregate (10.0%) Specialty Credit/High Yield FI: Custom Benchmark (15.0%) Specialty Credit/High Yield FI: Custom Benchmark (15.0%) Real Estate: NCREIF ODCE (10.0%) Real Estate: NCREIF ODCE (10.0%) Real Return<5yrs: Actual Performance Real Return<5yrs: Actual Performance Real Return>5yrs: CPI+3% (10.0%) Real Return>5yrs: CPI+3% (10.0%) Private Equity<5Yrs: Actual Performance Private Equity<5Yrs: Actual Performance Private Equity>5Yrs: Russell 3000 Index+3% (9.4%) Private Equity>5Yrs: Russell 3000 Index+3% (10.0%) Cash: Cit Grp 3-mos Treasury Bill (2.2%) Cash: Cit Grp 3-mos Treasury Bill (1.5%)

**Fund composite benchmark is a roll-up of individual plans, which may differ from one another.

17 CERS Special Called Investment Committee Meeting - Investment Performance Review

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% US Equity Non US Equity Private Equity High Yield / Specialty Credit Core Fixed Income Cash Real Estate Real Return Opportunistic

Note: The above chart displays the average monthly allocation.

18 CERS Special Called Investment Committee Meeting - Investment Performance Review

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% US Equity Non US Equity Private Equity High Yield / Specialty Credit Core Fixed Income Cash Real Estate Real Return Opportunistic

Note: The above chart displays the average monthly allocation.

19 CERS Special Called Investment Committee Meeting - Investment Performance Review

Kentucky Retirement Systems Domestic and Global Commissions Report

Quarter Ending: March 31, 2021

20 CERS Special Called Investment Committee Meeting - Investment Performance Review

Kentucky Retirement Systems Domestic Equity - Common Stock Commissions Quarter Ended March 31, 2021

Shares Traded Commission Value of Trade Per Share % Cost of Broker/Account Trade

B RILEY AND CO LLC, NEW YORK 237,247 7,627 9,888,511 0.0321 0.0771% BAIRD, ROBERT W & CO INC, MILWAUKEE 2,580 103 237,741 0.0400 0.0434% BARCLAYS 265,886 2,558 3,634,225 0.0096 0.0704% BERNSTEIN SANFORD C & CO, NEW YORK 399,090 10,212 20,017,155 0.0256 0.0510% BNY MELLON CLEARING 67,041 2,490 2,962,882 0.0371 0.0840% BTIG LLC, NEW YORK 1,318,985 39,345 61,842,623 0.0298 0.0636% CANTOR FITZGERALD & CO INC, NEW YORK 426,039 12,781 16,413,314 0.0300 0.0779% CITIGROUP 67,630 547 1,388,493 0.0081 0.0394% COWEN AND CO LLC, NEW YORK 41,020 308 783,612 0.0075 0.0393% CREDIT SUISSE 202,604 3,371 12,420,304 0.0166 0.0271% GOLDMAN SACHS 120,450 3,542 7,832,916 0.0294 0.0452% GUGGENHEIM CAPITAL MARKETS LLC, NEW YORK 431,491 15,111 10,683,334 0.0350 0.1414% INSTINET CORP 395,931 9,819 14,195,341 0.0248 0.0692% INVESTMENT TECH GROUP INC, NEW YORK 188,693 4,537 8,754,714 0.0240 0.0518% ISI GROUP 546,383 10,442 17,379,340 0.0191 0.0601% ITG INC, NEW YORK 180,476 1,480 8,166,984 0.0082 0.0181% J.P MORGAN SECURITIES INC, NEW YORK 441,494 5,980 30,110,850 0.0135 0.0199% JEFFERIES & CO INC, NEW YORK 48,995 815 2,352,047 0.0166 0.0346% JMP SECURITIES, SAN FRANCISCO 16,160 646 1,707,479 0.0400 0.0379% JONESTRADING INST SVCS LLC, NEW YORK 6,710 201 1,765,038 0.0300 0.0114% KEEFE BRUYETTE + WOODS INC, NEW YORK 62,610 2,504 4,067,243 0.0400 0.0616% KEYBANC CAPITAL MARKETS INC, NEW YORK 11,957 478 1,584,434 0.0400 0.0302% LEERINK SWANN AND COMPANY, NEW YORK 20,799 832 520,026 0.0400 0.1600% LIQUIDNET INC, NEW YORK 1,583,810 23,189 42,384,866 0.0146 0.0547% LUMINEX TRADING AND ANALYTICS, BOSTON 140,268 2,446 8,205,237 0.0174 0.0298% MERRILL LYNCH 459,444 12,044 25,592,044 0.0262 0.0471% MORGAN STANLEY 73,839 2,954 1,669,332 0.0400 0.1769% NATIONAL FINL SVCS CORP, NEW YORK 50,569 2,023 3,226,617 0.0400 0.0627% NEEDHAM AND CO LLC, NEW YORK 23,606 944 2,271,196 0.0400 0.0416% NORTHLAND SECURITIES INC., NEW YORK 120,689 3,621 1,632,842 0.0300 0.2217% PIPER JAFFRAY & CO., JERSEY CITY 553,199 17,846 18,977,181 0.0323 0.0940% RAYMOND JAMES & ASSOC INC, ST PETERSBURG 165,997 4,451 17,147,883 0.0268 0.0260% RBC CAPITAL MARKETS 206,208 1,547 4,818,398 0.0075 0.0321% SCOTIA CAPITAL (USA) INC, NEW YORK 17,890 134 458,208 0.0075 0.0293% STIFEL NICOLAUS 40,950 1,638 5,471,642 0.0400 0.0299% SUNTRUST CAPITAL MARKETS INC, NEW YORK 31,387 1,255 4,606,230 0.0400 0.0273% TOURMALINE PARTNERS LLC, NEW YORK 33,849 677 1,891,744 0.0200 0.0358% UBS 1,776,276 17,777 169,253,876 0.0100 0.0105% VIRTU AMERICAS LLC, NEW YORK 134,505 3,711 4,471,442 0.0276 0.0830% WEDBUSH MORGAN SECS INC, LOS ANGELES 226,312 6,888 3,653,951 0.0304 0.1885% WELLS FARGO SECURITIES, LLC, NEW YORK 141,797 5,484 8,159,646 0.0387 0.0672% WILLIAM BLAIR & CO, CHICAGO 199,395 7,976 9,179,499 0.0400 0.0869% TOTAL DOMESTIC 11,480,261 252,335 571,780,440 0.0220 0.0441%

Shares Traded Commission Value of Trade Per Share % Cost of Broker/Account Trade

DAG VENTURES V QP 27,120 271 507,390 0.0100 0.0534% NEXT CENTURY GROWTH 2,469,201 61,044 66,471,806 0.0247 0.0918% NTGI STRUCTURED 170,779 1,284 5,488,045 0.0075 0.0234% RIVER ROAD FAV 3,986,664 108,304 173,946,806 0.0272 0.0623% S&P 500 INDEX 1,746,655 17,467 168,584,913 0.0100 0.0104% TORTOISE CAP 1,301,535 10,919 25,027,757 0.0084 0.0436% WATERFALL 6,200 186 141,736 0.0300 0.1312% WESTFIELD CAPITAL 1,772,107 52,860 131,611,987 0.0298 0.0402% TOTAL DOMESTIC 11,480,261 252,335 571,780,440 0.0220 0.0441%

21 CERS Special Called Investment Committee Meeting - Investment Performance Review

Kentucky Retirement Systems Global Equity - Common Stock Commissions Quarter Ended March 31, 2021

Shares Traded Commission Value of Trade Per Share % Cost of Broker/Account Trade

ABN AMRO CLEARING BANK N.V, AMSTERDAM 26,594 710 3,343,525 0.0267 0.0212% BAIRD, ROBERT W & CO INC, MILWAUKEE 36,578 1,164 3,983,822 0.0318 0.0292% BANCO ITAU, SAO PAULO 345,200 909 910,616 0.0026 0.0999% BARCLAYS 860,653 1,876 13,833,256 0.0022 0.0136% BERENBERG GOSSLER & CIE, HAMBURG 2,120 411 822,362 0.1939 0.0500% BERNSTEIN SANFORD C & CO, NEW YORK 3,069,571 6,579 9,083,698 0.0021 0.0724% BNP PARIBUS 584,528 3,918 7,328,896 0.0067 0.0535% BNY MELLON CLEARING 709,080 13,561 24,187,010 0.0191 0.0561% BOFA SECURITIES, INC, NEW YORK 3,500 6 15,737 0.0018 0.0401% BRASIL PLURAL CCTVM SA, SAO PAULO 1,750,000 1,536 1,538,344 0.0009 0.0999% BROCKHOUSE AND COOPER, MONTREAL 9,900 13 44,333 0.0013 0.0300% CANADIAN IMPERIAL BK OF COMMERCE, NY 1,186,540 6,886 11,469,704 0.0058 0.0600% CANTOR FITZGERALD & CO INC, NEW YORK 16,951 509 1,892,143 0.0300 0.0269% CIBC WORLD MKTS INC, TORONTO 74,001 1,757 1,126,550 0.0237 0.1559% CITIGROUP 4,165,156 15,987 29,691,545 0.0038 0.0538% CLSA INDIA LTD, MUMBAI 269,499 674 1,200,448 0.0025 0.0561% CREDIT LYONNAIS SEC, SEOUL 31,363 4,785 2,911,717 0.1526 0.1643% CREDIT LYONNAIS SECS (ASIA), HONG KONG 1,657,000 7,190 7,376,480 0.0043 0.0975% CREDIT LYONNAIS SECS ASIA LTD, TAIPEI 1,041,000 2,177 2,814,128 0.0021 0.0774% CREDIT SUISSE 8,328,136 48,776 51,282,856 0.0059 0.0951% D CARNEGIE AB, STOCKHOLM 135,875 16,212 10,824,348 0.1193 0.1498% DAIWA SECURITIES 183,609 7,019 13,417,074 0.0382 0.0523% DEPOSITORY TR CO (DTC), TORONTO (DTCC) 38,159 604 585,562 0.0158 0.1032% DEXIA BK (FORMERLY KEMPEN), AMSTERDAM 35,897 1,722 2,452,521 0.0480 0.0702% EXANE, PARIS (EXANFRPP) 89,718 4,489 5,158,601 0.0500 0.0870% GOLDMAN SACHS 1,782,973 21,671 42,219,289 0.0122 0.0513% HAITONG INTL SEC CO LTD, HONG KONG 13,400 172 573,666 0.0129 0.0300% HANWHA SECS CO LTD, SEOUL 23,838 258 858,327 0.0108 0.0300% HSBC 982,214 5,200 5,081,953 0.0053 0.1023% INSTINET CORP 485,842 1,226 3,116,432 0.0025 0.0393% INVESTEC MARKETS(PROPRIETARY)LI, SANDTON 13,830 182 182,348 0.0131 0.0996% INVESTMENT TECHNOLOGY GROUP LTD,DUBLIN 556,140 719 3,056,025 0.0013 0.0235% ITG HONG KONG LIMITED, HONG KONG 434,000 437 437,605 0.0010 0.0998% J.P MORGAN SECURITIES INC, NEW YORK 8,150 122 2,126,125 0.0150 0.0057% JEFFERIES & CO INC, NEW YORK 115,100 2,855 5,623,705 0.0248 0.0508% JEFFERIES & CO LTD, LONDON 120,600 1,154 3,846,728 0.0096 0.0300% JEFFERIES HONG KONG LIMITED, HONG KONG 3,544,000 2,243 3,950,088 0.0006 0.0568% JP MORGAN SECURITIES 2,821,750 26,932 37,907,625 0.0095 0.0710% JPMORGAN SECURITIES INC, NEW YORK 4,573 63 315,785 0.0138 0.0200% KEPLER EQUITIES, PARIS 44,302 937 1,873,254 0.0212 0.0500% LIQUIDNET ASIA LTD, HONG KONG 58,900 298 994,827 0.0051 0.0300% LIQUIDNET CANADA INC, TORONTO 10,359 124 287,992 0.0120 0.0432% LIQUIDNET EUROPE LIMITED, LONDON 521,496 2,572 4,594,169 0.0049 0.0560% LIQUIDNET INC, NEW YORK 20,704 104 129,607 0.0050 0.0799% MACQUARIE SECURITIES 1,649,100 6,741 10,571,716 0.0041 0.0638% MERRILL LYNCH 3,549,848 8,462 23,552,199 0.0024 0.0359% MITSUBISHI SECURITIES 700 21 42,364 0.0303 0.0500% MIZUHO SECURITIES USA INC, NEW YORK 10,466 209 460,022 0.0200 0.0455% MIZUHO SECURITIES USA INC. NEW YORK 101,300 8,323 8,378,823 0.0822 0.0993% MORGAN STANLEY 1,653,483 34,321 60,322,605 0.0208 0.0569% NATIONAL FINL SVCS CORP, NEW YORK 72,447 2,016 10,056,520 0.0278 0.0201% NBCN INC, TORONTO (NBCS) 4,290 102 59,270 0.0237 0.1716% NESBITT BURNS, TORONTO (NTDT) 90,823 1,075 1,721,630 0.0118 0.0624% NUMIS SECURITIES INC., NEW YORK 4,297 146 292,958 0.0341 0.0500% RAYMOND JAMES & ASSOC INC, ST PETERSBURG 9,270 324 162,485 0.0350 0.1997% RBC CAPITAL MARKETS 331,679 6,267 7,337,597 0.0189 0.0854% REDBURN PARTNERS LLP, LONDON 162,336 2,756 3,962,371 0.0170 0.0696% RENAISSANCE CAPITAL LTD, LONDON 6,751 207 295,639 0.0306 0.0700% RENAISSANCE SECS (CYPRUS) LTD, NICOSIA 963,489 1,893 538,945 0.0020 0.3512% SANFORD C BERNSTEIN & CO INC, LONDON 3,526,565 15,873 21,620,585 0.0045 0.0734% SG SECURITIES, HONG KONG 70,000 54 180,525 0.0008 0.0300% SKANDINAVISKA ENSKILDA BANKEN, STOCKHOLM 4,887 43 85,189 0.0087 0.0500%

22 CERS Special Called Investment Committee Meeting - Investment Performance Review

SMBC SECURITIES, INC NEW YORK 12,800 375 748,849 0.0293 0.0500% SOCIETE GENERALE, PARIS 66,442 551 1,104,996 0.0083 0.0498% STIFEL NICOLAUS 26,442 793 1,012,039 0.0300 0.0784% TD WATERHOUSE SEC, TORONTO (GIST) 130,279 2,751 2,161,584 0.0211 0.1273% TORONTO DOMINION SEC, TORONTO 4,656 111 126,967 0.0239 0.0876% UBS 5,006,281 19,977 35,436,136 0.0040 0.0564% UNION BANK OF SWITZERLAND, ZURICH 7,000 1,762 2,518,428 0.2517 0.0700% UNION BANK SWITZERLAND SECS, LONDON 1,232,400 328 1,369,373 0.0003 0.0240% WARBURG DILLON READ SEC, MUMBAI 108,292 702 1,401,073 0.0065 0.0501% WILLIAM BLAIR & CO, CHICAGO 42,334 1,270 1,964,749 0.0300 0.0646% XP INVESTIMENTOS CCTVM SA,RIO DE JANEIRO 1,346,900 2,470 4,119,993 0.0018 0.0599% TOTAL GLOBAL 56,408,356 336,665 526,076,456 0.0060 0.0640%

Shares Traded Commission Value of Trade Per Share % Cost of Broker/Account Trade

AMERICAN CENTURY 9,150,046 92,076 147,866,837 0.0101 0.0623% FRANKIN TEMPLETON 4,462,600 98,782 123,377,811 0.0221 0.0801% JP MORGAN EMERG MKTS 6,734,324 26,901 51,072,291 0.0040 0.0527% LAZARD ASSET MGMT 1,949,486 31,728 63,505,048 0.0163 0.0500% LSV ASSET MANAGEMENT 11,726,228 16,225 38,008,267 0.0014 0.0427% LSV ASSET MGMT 4,760,061 6,996 16,392,266 0.0015 0.0427% MANULIFE ASSET MGMT 714,299 20,491 30,580,338 0.0287 0.0670% PZENA EMERGING MKTS 16,911,312 43,466 55,273,598 0.0026 0.0786% TOTAL GLOBAL 56,408,356 336,665 526,076,456 0.0060 0.0640%

23 CERS Special Called Investment Committee Meeting - Investment Performance Review

Kentucky Retirement Systems Internal Asset Holdings Report & Internal Asset Transaction Report

Quarter Ending: March 31, 2021

Reports can be found:

https://kyret.ky.gov/Investments/Investme nts-Library/Pages/Investment-Committee- Meeting-Materials.aspx

24 CERS Special Called Investment Committee Meeting - Investment Performance Review

Kentucky Retirement Systems Security Litigation Report

Quarter Ending: March 31, 2021

Claims Filed during the Quarter (pg 3): 15 Proceeds Received during the Quarter (pg 4): $92,995.76

25 CERS Special Called Investment Committee Meeting - Investment Performance Review

Kentucky Retirement Systems Quarterly Securities Litigation Report Quarter Ended 03/31/21

Total Claims Filed No Claim on File 9 Fiscal Year 1997 1 Fiscal Year 1998 2 Fiscal Year 1999 5 Fiscal Year 2000 9 Fiscal Year 2001 8 Fiscal Year 2002 33 Fiscal Year 2003 45 Fiscal Year 2004 38 Fiscal Year 2005 89 Fiscal Year 2006 150 Fiscal Year 2007 70 Fiscal Year 2008 73 Fiscal Year 2009 85 Fiscal Year 2010 65 Fiscal Year 2011 69 Fiscal Year 2012 54 Fiscal Year 2013 48 Fiscal Year 2014 65 Fiscal Year 2015 80 Fiscal Year 2016 224 Fiscal Year 2017 140 Fiscal Year 2018 74 Fiscal Year 2019 55 Fiscal Year 2020 42 Fiscal Year 2021 37 Total Filed 1,570

Proceeds Received Fiscal Year 1998 $67,682 Fiscal Year 1999 $233,370 Fiscal Year 2000 $303,918 Fiscal Year 2001 $415,502 Fiscal Year 2002 $387,318 Fiscal Year 2003 $519,059 Fiscal Year 2004 $1,080,920 Fiscal Year 2005 $1,645,440 Fiscal Year 2006 $797,535 Fiscal Year 2007 $5,398,363 Fiscal Year 2008 $5,402,336 Fiscal Year 2009 $3,504,682 Fiscal Year 2010 $2,776,544 Fiscal Year 2011 $1,292,484 Fiscal Year 2012 $468,657 Fiscal Year 2013 $1,070,427 Fiscal Year 2014 $308,704 Fiscal Year 2015 $23,639,565 Fiscal Year 2016 $2,417,957 Fiscal Year 2017 $1,886,532 Fiscal Year 2018 $2,247,966 Fiscal Year 2019 $1,702,272 Fiscal Year 2020 $1,743,474 Fiscal Year 2021 $229,254 Total Proceeds $59,539,962

26 CERS Special Called Investment Committee Meeting - Investment Performance Review

Class Action Name TNT Status Code Status as of Date Class Period Start Date Class Period End Date Class Account Id Claimed Account Name AMERICAN RENAL ASSOCIATES HOLDINGS, INC. (2019) FILED 1/4/2021 8/10/2016 3/27/2019 956588 KRS NTGI STRUCTURED AMERICAN RENAL ASSOCIATES HOLDINGS, INC. (2019) FILED 1/4/2021 8/10/2016 3/27/2019 956765 KRS INS NTGI STRUCTURED BANKRATE (SEC) INC. FILED 2/16/2021 7/31/2012 1/7/2015 2602408 ZZ*KRS PEN NTGI STRUCTURED SM- BANKRATE (SEC) INC. FILED 2/16/2021 7/31/2012 1/7/2015 2688058 ZZKRS INS NTGI STRUCTURED SM BANKRATE, INC. (SEC) FILED 2/23/2021 8/1/2012 10/9/2014 KR2F1002002 NTGI STRUCTURED BANKRATE, INC. (SEC) FILED 2/23/2021 8/1/2012 10/9/2014 KR3F1002002 NTGI STRUCTURED CHEMICAL AND MINING COMPANY OF CHILE INC FILED 3/11/2021 6/29/2010 6/15/2015 KEN01 KRS PEN PYRAMIS NON-US GROWTH CHEMICAL AND MINING COMPANY OF CHILE INC FILED 3/11/2021 6/29/2010 6/15/2015 KEN03 KRS INS PYRAMIS NON-US GROWTH DAIMLER AG. FILED 2/7/2021 2/22/2012 4/21/2016 KR3F2007002 LSV ASSET MGMT DAIMLER AG. FILED 2/7/2021 2/22/2012 4/21/2016 KR3F2002002 BOSTON CO NON-US VAL DAIMLER AG. FILED 2/7/2021 2/22/2012 4/21/2016 KR2F2002002 BOSTON CO NON-US VAL DAIMLER AG. FILED 2/7/2021 2/22/2012 4/21/2016 KR2F2007002 LSV ASSET MANAGEMENT DAVITA INC. FILED 3/20/2021 2/26/2015 10/6/2017 956772 KRS INS KRS INTERNAL EQUITY DAVITA INC. FILED 3/20/2021 2/26/2015 10/6/2017 956596 KRS KRS INTERNAL EQUITY DAVITA INC. FILED 3/20/2021 2/26/2015 10/6/2017 909181 KRS INS RIVER ROAD FAV DAVITA INC. FILED 3/20/2021 2/26/2015 10/6/2017 956599 KRS S P 500 INDEX DAVITA INC. FILED 3/20/2021 2/26/2015 10/6/2017 956597 KRS RIVER ROAD FAV DELL INC. (2014) FILED 2/4/2020 2/21/2012 8/20/2012 2606488 ZZKRS PEN INVESCO US QUANT C-S DELL INC. (2014) FILED 2/4/2020 2/21/2012 8/20/2012 2672606 ZZKRS PEN WESTWOOD MANAGEMEN-S ENVISION HEALTHCARE CORPORATION (D. DEL.) FILED 3/11/2021 8/10/2018 10/11/2018 956599 KRS S P 500 INDEX ENVISION HEALTHCARE CORPORATION (D. DEL.) FILED 3/11/2021 8/10/2018 10/11/2018 956774 KRS INS S P 500 INDEX FINISAR CORPORATION (2011) FILED 2/19/2021 12/1/2010 6/7/2011 2602408 ZZ*KRS PEN NTGI STRUCTURED SM- METLIFE, INC. (2012) (S.D.N.Y.) FILED 2/19/2021 8/2/2010 1/12/2012 2672606 ZZKRS PEN WESTWOOD MANAGEMEN-S METLIFE, INC. (2012) (S.D.N.Y.) FILED 2/19/2021 8/2/2010 1/12/2012 2672607 ZZKRS INS WESTWOOD MANAGEMEN-S METLIFE, INC. (2012) (S.D.N.Y.) FILED 2/26/2021 8/3/2010 10/6/2011 KR2F1008002 WESTWOOD MGMT METLIFE, INC. (2012) (S.D.N.Y.) FILED 2/26/2021 8/3/2010 10/6/2011 KR3F1901002 STATE STREET TRANSITION METLIFE, INC. (2012) (S.D.N.Y.) FILED 2/26/2021 8/3/2010 10/6/2011 KR3F1008002 WESTWOOD MGMT METLIFE, INC. (2012) (S.D.N.Y.) FILED 2/26/2021 8/3/2010 10/6/2011 KR3F1902002 S&P 500 INDEX METLIFE, INC. (2012) (S.D.N.Y.) FILED 2/26/2021 8/3/2010 10/6/2011 KR2F1901002 STATE STREET TRANSITION METLIFE, INC. (2012) (S.D.N.Y.) FILED 2/26/2021 8/3/2010 10/6/2011 KR2F1902002 S&P 500 INDEX SMANJAK GROUP (PETITION FOR REMISSION) (CRIMINAL) FILED 1/8/2021 1/1/2007 12/31/2010 KR2F1002002 NTGI STRUCTURED SPECTRUM BRANDS LEGACY, INC. FKA SPECTRUM BRANDS HOLDINGS, INC. FILED 2/25/2021 1/26/2017 11/19/2018 956588 KRS NTGI STRUCTURED SPECTRUM BRANDS LEGACY, INC. FKA SPECTRUM BRANDS HOLDINGS, INC. FILED 2/25/2021 1/26/2017 11/19/2018 956765 KRS INS NTGI STRUCTURED THE SOUTHERN COMPANY FILED 1/27/2021 4/24/2012 1/28/2014 2672598 ZZKRS PEN RIVER ROAD ASSET M-S THE SOUTHERN COMPANY FILED 1/27/2021 4/24/2012 1/28/2014 2672602 ZZKRS INS RIVER ROAD ASSET M-S THE SOUTHERN COMPANY FILED 2/18/2021 4/25/2012 10/30/2013 KR2F1901002 STATE STREET TRANSITION THE SOUTHERN COMPANY FILED 2/18/2021 4/25/2012 10/30/2013 KR3F1902002 S&P 500 INDEX TILE SHOP HOLDINGS, INC. (2019) FILED 1/8/2021 10/18/2019 6/30/2020 956765 KRS INS NTGI STRUCTURED TILE SHOP HOLDINGS, INC. (2019) FILED 1/8/2021 10/18/2019 6/30/2020 956588 KRS NTGI STRUCTURED TRINITY INDUSTRIES INC. FILED 3/12/2020 2/15/2012 7/24/2015 2644678 ZZKRS INS SYSTEMATIC FIN MGM-S TRINITY INDUSTRIES INC. FILED 3/12/2020 2/15/2012 7/24/2015 2644679 ZZKRS PEN SYSTEMATIC FIN MGM-S Valeant Pharmaceuticals International, Inc. (Canada) (Quebec Superior Court) (Other Defendants) FILED 2/15/2021 2/27/2012 11/12/2015 KR3F2901002 NON-US TRANS ACCT Valeant Pharmaceuticals International, Inc. (Canada) (Quebec Superior Court) (Other Defendants) FILED 2/15/2021 2/27/2012 11/12/2015 KR2F3006002 LOOMIS Valeant Pharmaceuticals International, Inc. (Canada) (Quebec Superior Court) (Other Defendants) FILED 2/15/2021 2/27/2012 11/12/2015 KR3F3007002 COLUMBIA Valeant Pharmaceuticals International, Inc. (Canada) (Quebec Superior Court) (Other Defendants) FILED 2/15/2021 2/27/2012 11/12/2015 KR2F3007002 COLUMBIA Valeant Pharmaceuticals International, Inc. (Canada) (Quebec Superior Court) (Other Defendants) FILED 2/15/2021 2/27/2012 11/12/2015 KR2F2901002 NON-US TRANS ACCT Valeant Pharmaceuticals International, Inc. (Canada) (Quebec Superior Court) (Other Defendants) FILED 2/15/2021 2/27/2012 11/12/2015 KR3F3006002 LOOMIS VALEANT PHARMACEUTICALS INTL (CDA) FILED 2/12/2021 2/27/2012 1/22/2021 KEN24 KRS INS COLUMBIA VALEANT PHARMACEUTICALS INTL (CDA) FILED 2/12/2021 2/27/2012 1/22/2021 KEN25 KRS PEN COLUMBIA VALEANT PHARMACEUTICALS INTL (CDA) FILED 2/12/2021 2/27/2012 1/22/2021 KEN22 KRS INS LOOMIS VALEANT PHARMACEUTICALS INTL (CDA) FILED 2/12/2021 2/27/2012 1/22/2021 KEN23 KRS PEN LOOMIS

27 CERS Special Called Investment Committee Meeting - Investment Performance Review

Transaction Detail Report ID : IACS0008 Reported By Transaction Category Base Currency : USD TOTAL FUND - KR2G00000000 12/31/2020 - 3/31/2021 Status : REVISED

Trans Code Shares/Par Description Trade Date Price Cost Amount Net Gain/Loss Link Ref Security ID Broker C. Settle Date Local/Base Local/Base Local/Base Local/Base Transaction No./Client Ref No. Reported Date

CLASS ACTIONS

CASH & CASH EQUIVALENTS

U.S. DOLLAR CD 0.000 CLASS ACTION PROCEEDS 1/4/2021 0.000000 381.00 381.00 381.00 NA9123459 20210105S000030 / FRT 0.000000 381.00 381.00 381.00 KR2F20070002: LSV ASSET 1/4/2021 Gain/Loss Local Amounts: 381.00 Long Gain/Loss Base Amounts: 381.00 Long

CD 0.000 AMERICAN REALITY CAP PROPERTIE 2/4/2021 0.000000 11,038.93 11,038.93 11,038.93 NA9123459 S INC - SEC LIT 0.000000 11,038.93 11,038.93 11,038.93 20210208S000080 / 36345064 2/4/2021 Gain/Loss Local Amounts: 11,038.93 Long KR2F10020002: NTGI STRUCTURED Gain/Loss Base Amounts: 11,038.93 Long

CD 0.000 AMERICAN REALITY CAP PROPERTIE 2/4/2021 0.000000 6,531.27 6,531.27 6,531.27 NA9123459 S INC - SEC LIT 0.000000 6,531.27 6,531.27 6,531.27 20210208S000090 / 36345064 2/4/2021 Gain/Loss Local Amounts: 6,531.27 Long KR2F10020002: NTGI STRUCTURED Gain/Loss Base Amounts: 6,531.27 Long

CD 0.000 WEATHERFORD INTERNATIONAL LTD 2/4/2021 0.000000 18.60 18.60 18.60 NA9123459 - SEC LIT 0.000000 18.60 18.60 18.60 20210208S000110 / 36345064 2/4/2021 Gain/Loss Local Amounts: 18.60 Long KR2F10060002: WESTFIELD CAPITAL Gain/Loss Base Amounts: 18.60 Long

CD 0.000 AMGEN INC (2007) - SEC LIT 2/4/2021 0.000000 192.50 192.50 192.50 NA9123459 20210208S005150 / 36345064 0.000000 192.50 192.50 192.50 KR2F19020002: S&P 500 INDEX 2/4/2021 Gain/Loss Local Amounts: 192.50 Long Gain/Loss Base Amounts: 192.50 Long

CD 0.000 CITIGROUP INC 2/4/2021 0.000000 5,401.19 5,401.19 5,401.19 NA9123459 CLASS ACTION PROCEEDS 0.000000 5,401.19 5,401.19 5,401.19 20210212A000390 2/4/2021 Gain/Loss Local Amounts: 5,401.19 Long KR2F90010002: CASH ACCOUNT KR2 Gain/Loss Base Amounts: 5,401.19 Long

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28 CERS Special Called Investment Committee Meeting - Investment Performance Review

Transaction Detail Report ID : IACS0008 Reported By Transaction Category Base Currency : USD TOTAL FUND - KR2G00000000 12/31/2020 - 3/31/2021 Status : REVISED

CD 0.000 CITIGROUP INC (VOL FA CAP) 2/4/2021 0.000000 1,505.24 1,505.24 1,505.24 NA9123459 20210212A000410 0.000000 1,505.24 1,505.24 1,505.24 KR2F90010002: CASH ACCOUNT KR2 2/4/2021 Gain/Loss Local Amounts: 1,505.24 Long Gain/Loss Base Amounts: 1,505.24 Long

CD 0.000 4-14-cv-01680-PJHIMPERVA, INC. 2/18/2021 0.000000 25.54 25.54 25.54 NA9123459 Distribution 2nd DISTRIBUTION 0.000000 25.54 25.54 25.54 20210218S000360 / 000000000000 2/18/2021 Gain/Loss Local Amounts: 25.54 Long KR2F10020002: NTGI STRUCTURED Gain/Loss Base Amounts: 25.54 Long

CD 0.000 1-17-cv-00774-SJDMeridian Bios 2/22/2021 0.000000 12.82 12.82 12.82 NA9123459 cience, Inc. Distribution 1ST 0.000000 12.82 12.82 12.82 20210222S000210 / 000000000000 2/22/2021 Gain/Loss Local Amounts: 12.82 Long KR2F10020002: NTGI STRUCTURED Gain/Loss Base Amounts: 12.82 Long

CD 0.000 1-18-CV-01713AKORN, INC. (2018 2/26/2021 0.000000 1,051.40 1,051.40 1,051.40 NA9123459 ) Distribution 1ST DISTRIBUTIO 0.000000 1,051.40 1,051.40 1,051.40 20210226S000710 / 000000000087 2/26/2021 Gain/Loss Local Amounts: 1,051.40 Long KR2F10020002: NTGI STRUCTURED Gain/Loss Base Amounts: 1,051.40 Long

CD 0.000 115-cv-11775-GAOENDURANCE INTE 3/4/2021 0.000000 906.55 906.55 906.55 NA9123459 RNATIONAL GROUP HOLDINGS, INC. 0.000000 906.55 906.55 906.55 20210304S000380 / 000000000000 3/4/2021 Gain/Loss Local Amounts: 906.55 Long KR2F10020002: NTGI STRUCTURED Gain/Loss Base Amounts: 906.55 Long

CD 0.000 14-CV-09662 (JSR)PETROBRAS - P 3/24/2021 0.000000 47,524.88 47,524.88 47,524.88 NA9123459 ETROLEO BRASILEIRO S.A (2014) 0.000000 47,524.88 47,524.88 47,524.88 20210324S000030 / 000000000022 3/24/2021 Gain/Loss Local Amounts: 47,524.88 Long KR2F90010002: CASH ACCOUNT KR2 Gain/Loss Base Amounts: 47,524.88 Long

CD 0.000 EVT: EI/COMMVAULT SYSTEMS 1ST 3/26/2021 0.000000 2,088.79 2,088.79 2,088.79 NA9123459 20210326S000010 / 26MAR2140003 0.000000 2,088.79 2,088.79 2,088.79 KR2F90010002: CASH ACCOUNT KR2 3/26/2021 Gain/Loss Local Amounts: 2,088.79 Long Gain/Loss Base Amounts: 2,088.79 Long

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29 CERS Special Called Investment Committee Meeting - Investment Performance Review

Transaction Detail Report ID : IACS0008 Reported By Transaction Category Base Currency : USD TOTAL FUND - KR2G00000000 12/31/2020 - 3/31/2021 Status : REVISED

CD 0.000 2-16-cv-02279-RFB-EJYSPECTRUM 3/30/2021 0.000000 235.60 235.60 235.60 NA9123459 PHARMACEUTICALS, INC. (2016) ( 0.000000 235.60 235.60 235.60 20210330S000600 / 000000000000 3/30/2021 Gain/Loss Local Amounts: 235.60 Long KR2F10020002: NTGI STRUCTURED Gain/Loss Base Amounts: 235.60 Long

CD 0.000 UBS LIBOR AG SETTLEMENT FUND 3/16/2021 0.000000 1,264.00 1,264.00 1,264.00 NA99V9HA2 CLASS ACTION - USD 0.000000 1,264.00 1,264.00 1,264.00 20210412A000040 3/16/2021 Gain/Loss Local Amounts: 1,264.00 Long KR2F90010002: CASH ACCOUNT KR2 Gain/Loss Base Amounts: 1,264.00 Long

TOTAL U.S. DOLLAR CASH & CASH EQUIVALENTS: 78,178.31 78,178.31 78,178.31 78,178.31 78,178.31 78,178.31

TOTAL CASH & CASH EQUIVALENTS CLASS ACTIONS: 78,178.31 78,178.31 78,178.31 EQUITY

U.S. DOLLAR CD 0.000 AMGEN INC 2007 2/4/2021 0.000000 2,101.38 2,101.38 2,101.38 031162100 AMGEN INC 0.000000 2,101.38 2,101.38 2,101.38 20210212A000400 2/4/2021 Gain/Loss Local Amounts: 2,101.38 Long KR2F90010002: CASH ACCOUNT KR2 Gain/Loss Base Amounts: 2,101.38 Long

CD 0.000 POSEIDON CONCEPTS CORP 2/4/2021 0.000000 1,217.78 1,217.78 1,217.78 73731R103 POSEIDON CONCEPTS CORP 0.000000 1,217.78 1,217.78 1,217.78 20210212A000420 2/4/2021 Gain/Loss Local Amounts: 1,217.78 Long KR2F90010002: CASH ACCOUNT KR2 Gain/Loss Base Amounts: 1,217.78 Long

TOTAL U.S. DOLLAR EQUITY: 3,319.16 3,319.16 3,319.16 3,319.16 3,319.16 3,319.16

TOTAL EQUITY CLASS ACTIONS: 3,319.16 3,319.16 3,319.16

TOTAL CLASS ACTIONS: 81,497.47 81,497.47 81,497.47

TOTAL TRANSACTIONS BASE: 81,497.47 81,497.47 81,497.47

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30 CERS Special Called Investment Committee Meeting - Investment Performance Review

Transaction Detail Report ID : IACS0008 Reported By Transaction Category Base Currency : USD TOTAL FUND - KR3G00000000 12/31/2020 - 3/31/2021 Status : REVISED

CLASS ACTIONS

CASH & CASH EQUIVALENTS

U.S. DOLLAR CD 0.000 14-81156CIV-WPDALTISOURCE PORT 1/25/2021 0.000000 14.73 14.73 14.73 NA9123459 FOLIO SOLUTIONS S.A. Distribut 0.000000 14.73 14.73 14.73 20210125S000150 / 000000000012 1/25/2021 Gain/Loss Local Amounts: 14.73 Long KR3F10020002: NTGI STRUCTURED Gain/Loss Base Amounts: 14.73 Long

CD 0.000 AMERICAN REALITY CAP PROPERTIE 2/4/2021 0.000000 8,267.37 8,267.37 8,267.37 NA9123459 S INC - SEC LIT 0.000000 8,267.37 8,267.37 8,267.37 20210208S000080 / 36345064 2/4/2021 Gain/Loss Local Amounts: 8,267.37 Long KR3F10020002: NTGI STRUCTURED Gain/Loss Base Amounts: 8,267.37 Long

CD 0.000 AMGEN INC (2007) - SEC LIT 2/4/2021 0.000000 4.89 4.89 4.89 NA9123459 20210208S005170 / 36345064 0.000000 4.89 4.89 4.89 KR3F19020002: S&P 500 INDEX 2/4/2021 Gain/Loss Local Amounts: 4.89 Long Gain/Loss Base Amounts: 4.89 Long

CD 0.000 CITIGROUP IN (VOL FA CAP) 2/4/2021 0.000000 103.13 103.13 103.13 NA9123459 20210212A000410 0.000000 103.13 103.13 103.13 KR3F90010002: CASH ACCOUNT KR3 2/4/2021 Gain/Loss Local Amounts: 103.13 Long Gain/Loss Base Amounts: 103.13 Long

CD 0.000 4-14-cv-01680-PJHIMPERVA, INC. 2/18/2021 0.000000 12.21 12.21 12.21 NA9123459 Distribution 2nd DISTRIBUTION 0.000000 12.21 12.21 12.21 20210218S000330 / 000000000000 2/18/2021 Gain/Loss Local Amounts: 12.21 Long KR3F10020002: NTGI STRUCTURED Gain/Loss Base Amounts: 12.21 Long

CD 0.000 115-cv-11775-GAOENDURANCE INTE 3/4/2021 0.000000 620.93 620.93 620.93 NA9123459 RNATIONAL GROUP HOLDINGS, INC. 0.000000 620.93 620.93 620.93 20210304S000400 / 000000000000 3/4/2021 Gain/Loss Local Amounts: 620.93 Long KR3F10020002: NTGI STRUCTURED Gain/Loss Base Amounts: 620.93 Long

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31 CERS Special Called Investment Committee Meeting - Investment Performance Review

Transaction Detail Report ID : IACS0008 Reported By Transaction Category Base Currency : USD TOTAL FUND - KR3G00000000 12/31/2020 - 3/31/2021 Status : REVISED

CD 0.000 1 11-CV-07866--VMMF GLOBAL LTD 3/10/2021 0.000000 151.57 151.57 151.57 NA9123459 . (SENIOR NOTES UNDERWRITERS D 0.000000 151.57 151.57 151.57 20210310S000250 / 000000000000 3/10/2021 Gain/Loss Local Amounts: 151.57 Long KR3F10020002: NTGI STRUCTURED Gain/Loss Base Amounts: 151.57 Long

CD 0.000 1 11-CV-07866--VMMF GLOBAL LTD 3/12/2021 0.000000 130.63 130.63 130.63 NA9123459 . (SENIOR NOTES UNDERWRITERS D 0.000000 130.63 130.63 130.63 20210312S000590 / 000000000000 3/12/2021 Gain/Loss Local Amounts: 130.63 Long KR3F10020002: NTGI STRUCTURED Gain/Loss Base Amounts: 130.63 Long

CD 0.000 DIAMOND FOODS INC SEC LIT 3/16/2021 0.000000 296.83 296.83 296.83 NA9123459 20210318S000330 / 36487141 0.000000 296.83 296.83 296.83 KR3F10020002: NTGI STRUCTURED 3/16/2021 Gain/Loss Local Amounts: 296.83 Long Gain/Loss Base Amounts: 296.83 Long

CD 0.000 EVT: EI/COMMVAULT SYSTEMS 1ST 3/26/2021 0.000000 900.82 900.82 900.82 NA9123459 20210326S000010 / 26MAR2140003 0.000000 900.82 900.82 900.82 KR3F90010002: CASH ACCOUNT KR3 3/26/2021 Gain/Loss Local Amounts: 900.82 Long Gain/Loss Base Amounts: 900.82 Long

CD 0.000 UBS LIBOR AG SETTLEMENT FUND 3/16/2021 0.000000 555.31 555.31 555.31 NA99V9HA2 CLASS ACTION - USD 0.000000 555.31 555.31 555.31 20210412A000030 3/16/2021 Gain/Loss Local Amounts: 555.31 Long KR3F90010002: CASH ACCOUNT KR3 Gain/Loss Base Amounts: 555.31 Long

TOTAL U.S. DOLLAR CASH & CASH EQUIVALENTS: 11,058.42 11,058.42 11,058.42 11,058.42 11,058.42 11,058.42

TOTAL CASH & CASH EQUIVALENTS CLASS ACTIONS: 11,058.42 11,058.42 11,058.42 EQUITY

U.S. DOLLAR

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32 CERS Special Called Investment Committee Meeting - Investment Performance Review

Transaction Detail Report ID : IACS0008 Reported By Transaction Category Base Currency : USD TOTAL FUND - KR3G00000000 12/31/2020 - 3/31/2021 Status : REVISED

CD 0.000 POSEIDON CONCEPTS CORP 2/4/2021 0.000000 439.87 439.87 439.87 73731R103 POSEIDON CONCEPTS CORP 0.000000 439.87 439.87 439.87 20210212A000400 2/4/2021 Gain/Loss Local Amounts: 439.87 Long KR3F90010002: CASH ACCOUNT KR3 Gain/Loss Base Amounts: 439.87 Long

TOTAL CLASS ACTIONS: 11,498.29 11,498.29 11,498.29

TOTAL TRANSACTIONS BASE: 11,498.29 11,498.29 11,498.29

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33 CERS Special Called Investment Committee Meeting - Investment Performance Review

BeginningEndingBeginningEndingPeriodUnann.Adjustments AdjustedInvestmentGroupBy1GroupBy2GroupBy3Adjustments AdjustedIRR ContributionsDistributionsCommitmentValuation IRRValuation Valuation Valuation Adjusted Ending1/1/2021 Value - 3/31/2021 (Point to Point) All Portfolio Investments USD

ADJUSTED ENDING VALUE POINT TO POINT (1/1/2021 - 3/31/2021) TWR

All Portfolio Investments Base Currency: USD Beginning Ending Beginning Period Period Ending 1 Unann. Investment Commitment Adjustments Adjusted Adjustments Adjusted IRR Valuation Contributions Distributions Valuation IRR Valuation Valuation

Kentucky Retirement Systems - Pension Fund Kentucky Retirement SystemsAdams Kentucky- Pension Street SPCRetirement Fund II A1 Systems - Pension Fund175,000,000 39,430,456 0 39,430,456 3,335,768 0 39,430,456 3,335,768 42,766,224 0.00 0.00 Kentucky Retirement SystemsAdams Kentucky- Pension Street SPCRetirement Fund II B1 Systems - Pension Fund175,000,000 39,879,805 0 39,879,805 3,335,768 0 39,879,805 3,335,768 43,215,573 0.00 0.00 Kentucky Retirement SystemsAMERRA Kentucky- Pension Agri FundRetirement Fund II, LP Systems - Pension Fund40,100,000 24,959,741 0 24,959,741 0 104,871 24,959,741 -104,871 24,854,870 0.00 0.00 Kentucky Retirement SystemsAMERRA-KRS Kentucky- Pension AgriRetirement Fund Holding Systems Company, - Pension LP Fund65,000,000 44,812,287 0 44,812,287 1,616,915 592,722 44,812,287 1,024,194 45,836,481 0.00 0.00 Kentucky Retirement SystemsArbor Kentucky- CapitalPension II,Retirement L.P.Fund Systems - Pension Fund22,500,000 70,202 0 70,202 0 0 70,202 0 70,202 0.00 0.00 Kentucky Retirement SystemsArcano Kentucky- Pension KRS Fund Retirement Fund I, L.P. Systems - Pension Fund36,000,000 22,264,808 0 22,264,808 0 1,169,708 22,264,808 -1,169,708 21,095,100 0.00 0.00 Kentucky Retirement SystemsAres KentuckySpecial- Pension Situations Retirement Fund Fund Systems IV, L.P. - Pension Fund26,192,000 24,689,739 0 24,689,739 0 0 24,689,739 0 24,689,739 0.00 0.00 Kentucky Retirement SystemsBarings Kentucky- Pension Euro Real Retirement Fund Estate II Systems - Pension Fund174,825,875 493,266 0 493,266 0 0 493,266 -19,452 473,814 -3.94 -3.94 Kentucky Retirement SystemsBarings Kentucky- Pension Real Estate Retirement Fund European Systems Value - AddPension I SCSp Fund123,406,500 74,926,155 0 74,926,155 2,907,145 4,823,620 74,926,155 -4,812,040 70,114,114 -3.91 -3.91 SCSp Kentucky Retirement SystemsBay Hills Kentucky- Pension Capital Retirement I,Fund L.P. Systems - Pension Fund67,500,000 7,821,091 -1,912,488 5,908,603 0 0 7,821,091 -1,912,488 5,908,603 0.00 0.00 Kentucky Retirement SystemsBay Hills Kentucky- Pension Capital Retirement III,Fund L.P. Systems - Pension Fund51,250,000 71,845,087 -4,045,000 67,800,087 0 0 71,845,087 -4,045,000 67,800,087 0.00 0.00 Kentucky Retirement SystemsBay Hills Kentucky- Pension Emerging Retirement Fund Partners Systems II LP - Pension Fund45,000,000 85,937,271 -7,645,500 78,291,771 0 0 85,937,271 -7,645,500 78,291,771 0.00 0.00 Kentucky Retirement SystemsBay Hills Kentucky- Pension Emerging Retirement Fund Partners Systems II-B LP - Pension Fund45,000,000 69,834,182 -11,524,500 58,309,682 180,000 0 69,834,182 -11,344,500 58,489,682 0.00 0.00 Kentucky Retirement SystemsBDCM Kentucky- PensionOpportunity Retirement Fund Fund IV,Systems L.P. - Pension Fund35,580,000 38,705,175 136,727 38,841,902 1,672,063 8,005,378 38,705,175 -6,196,588 32,508,587 0.00 0.00 Kentucky Retirement SystemsBlackstone Kentucky- Pension Capital Retirement Fund Partners Systems V, L.P. - Pension Fund47,174,735 1,738,849 0 1,738,849 0 1,052,799 1,738,849 -1,052,828 686,021 0.00 0.00 Kentucky Retirement SystemsBlackstone Kentucky- Pension Capital Retirement Fund Partners Systems VI, L.P. - Pension Fund60,000,000 38,265,645 0 38,265,645 41,366 1,467,078 38,265,645 -1,425,712 36,839,933 0.00 0.00 Kentucky Retirement SystemsBlue KentuckyTorch- Pension Credit Retirement Fund Opportunities Systems Fund - Pension II LP Fund140,000,000 21,291,209 0 21,291,209 46,666,667 0 21,291,209 46,666,667 67,957,876 0.00 0.00 Kentucky Retirement SystemsBSP Co-Invest Kentucky- Pension RetirementVehicle Fund K LP Systems - Pension Fund 0 26,375,259 0 26,375,259 0 517,539 26,375,259 -517,539 25,857,720 0.00 0.00 Kentucky Retirement SystemsBSP Private Kentucky- Pension Credit Retirement Fund Fund Systems - Pension Fund100,000,000 89,578,969 0 89,578,969 0 1,907,337 89,578,969 -1,907,337 87,671,632 0.00 0.00 Kentucky Retirement SystemsBTG KentuckyPactual- Pension Brazil Retirement Fund Timberland Systems Fund - IPension Fund34,500,000 23,440,730 0 23,440,730 0 0 23,440,730 0 23,440,730 0.00 0.00 Kentucky Retirement SystemsCamelot Kentucky- Pension Opportunities Retirement Fund Fund, Systems L.P. - Pension Fund23,400,000 10,549,233 0 10,549,233 0 0 10,549,233 0 10,549,233 0.00 0.00 Kentucky Retirement SystemsCerberus Kentucky- Pension KRS LeveredRetirement Fund Loan Systems Opportunities - Pension Fund, Fund 140,000,000L.P. 130,729,531 0 130,729,531 0 0 133,538,771 0 133,538,771 2.15 2.15 Fund, L.P. Kentucky Retirement SystemsColumbia Kentucky- Pension Captal Retirement FundEquity Partners Systems IV, - L.P.Pension Fund27,000,000 3,597,315 0 3,597,315 0 0 3,597,315 0 3,597,315 0.00 0.00 Kentucky Retirement SystemsCrestview Kentucky- Pension Partners Retirement Fund II, L.P. Systems - Pension Fund67,500,000 37,257,733 0 37,257,733 1,286,626 4,309,938 37,257,733 -3,023,312 34,234,421 0.00 0.00 Kentucky Retirement SystemsCrestview Kentucky- Pension Partners Retirement Fund III, L.P. Systems - Pension Fund39,000,000 25,171,988 0 25,171,988 0 0 25,171,988 0 25,171,988 0.00 0.00 Kentucky Retirement SystemsCS Adjacent Kentucky- Pension Investment Retirement Fund Partners Systems Parallel - Pension LP Fund140,000,000 35,394,689 0 35,394,689 6,986,000 405,481 35,394,689 6,580,519 41,975,209 0.00 0.00 LP Kentucky Retirement SystemsCVC KentuckyEuropean- Pension RetirementEquity Fund Partners Systems VI, L.P. - Pension Fund25,763,480 32,637,400 0 32,637,400 0 180,247 32,637,400 -1,462,043 31,175,357 -3.94 -3.94 Kentucky Retirement SystemsDAG Kentucky -Ventures Pension RetirementII, FundL.P. Systems - Pension Fund27,000,000 1,698,635 0 1,698,635 0 0 1,698,635 0 1,698,635 0.00 0.00 Kentucky Retirement SystemsDAG Kentucky -Ventures Pension RetirementIII, Fund L.P. Systems - Pension Fund27,000,000 452,319 -59,154 393,165 0 83,624 452,319 -142,779 309,541 0.00 0.00 Kentucky Retirement SystemsDAG Kentucky -Ventures Pension RetirementIV, Fund L.P. Systems - Pension Fund90,000,000 63,490,973 -8,963,030 54,527,942 0 5,872,500 63,490,973 -14,835,531 48,655,442 0.00 0.00 Kentucky Retirement SystemsDAG Kentucky -Ventures Pension RetirementV, FundL.P. Systems - Pension Fund 8,000,000 5,999,628 -230,508 5,769,120 40,000 316,427 5,999,628 -506,934 5,492,694 0.00 0.00 Kentucky Retirement SystemsDCM Kentucky -VI, Pension L.P. Retirement Fund Systems - Pension Fund13,500,000 15,667,786 0 15,667,786 0 0 15,667,786 0 15,667,786 0.00 0.00 Kentucky Retirement SystemsDivcoWest Kentucky- Pension Fund Retirement FundIV Systems - Pension Fund20,800,000 2,977,498 0 2,977,498 0 175,588 2,977,498 -175,588 2,801,910 0.00 0.00 Kentucky Retirement SystemsEssexEssex Kentucky- Woodlands WoodlandsPension Retirement Fund FundFund VIII,VIII, Systems L.P.L.P. - Pension Fund22,500,000 10,074,887 -626,897 9,447,990 2,197,734 7,092,676 10,074,887 -5,521,839 4,553,048 0.00 0.00

1 Calculation follows the “Nominalize Short Term IRR Values” preference

Page 1 Generated on 22-Apr-2021 08:18:04

34 CERS Special Called Investment Committee Meeting - Investment Performance Review

ADJUSTED ENDING VALUE POINT TO POINT (1/1/2021 - 3/31/2021) TWR

Kentucky Retirement Systems - Pension Fund Kentucky Retirement SystemsFundamentalFundamental Kentucky- Pension Partners PartnersRetirement Fund IIIIII LPLP Systems - Pension Fund70,000,000 57,988,262 0 57,988,262 0 2,819,739 57,988,262 -2,819,739 55,168,523 0.00 0.00 Kentucky Retirement SystemsGreen Kentucky- EquityPension Investors Retirement Fund IV, SystemsL.P. - Pension Fund67,500,000 0 -40,373 -40,373 0 0 0 -40,373 -40,373 0.00 0.00 Kentucky Retirement SystemsGreen Kentucky- EquityPension Investors Retirement Fund V, L.P.Systems - Pension Fund90,000,000 38,716,014 0 38,716,014 0 2,321,508 38,716,014 -2,321,508 36,394,506 0.00 0.00 Kentucky Retirement SystemsGreen Kentucky- EquityPension Investors Retirement Fund VI, SystemsL.P. - Pension Fund32,000,000 38,335,610 0 38,335,610 83,740 131,934 38,335,610 -48,194 38,287,416 0.00 0.00 Kentucky Retirement SystemsGreen Kentucky- EquityPension Investors Retirement Fund VII SystemsLP - Pension Fund25,000,000 33,905,401 0 33,905,401 40,444 1,515,545 33,905,401 -1,475,101 32,430,300 0.00 0.00 Kentucky Retirement SystemsGreenfield Kentucky- Pension Acquisition Retirement Fund Partners Systems VI, L.P.- Pension Fund38,100,000 328,838 0 328,838 0 0 328,838 0 328,838 0.00 0.00 Kentucky Retirement SystemsGreenfield Kentucky- Pension Acquisition Retirement Fund Partners Systems VII, -L.P. Pension Fund27,800,000 13,996,478 0 13,996,478 0 508,829 13,996,478 -508,829 13,487,649 0.00 0.00 Kentucky Retirement SystemsGTCR Kentucky- FundPension IX-A, Retirement FundL.P. Systems - Pension Fund63,000,000 0 0 0 0 0 0 0 0 N/A N/A Kentucky Retirement SystemsH.I.G. Kentucky- BioVentures Pension Retirement Fund II, L.P. Systems - Pension Fund13,500,000 15,010,713 0 15,010,713 0 0 15,010,713 0 15,010,713 0.00 0.00 Kentucky Retirement SystemsH.I.G. Kentucky- Capital Pension Partner Retirement Fund V, L.P. Systems - Pension Fund13,100,000 16,662,570 0 16,662,570 298,169 1,151,005 16,662,570 -852,836 15,809,734 0.00 0.00 Kentucky Retirement SystemsH.I.G. Kentucky- Ventures Pension Retirement II, Fund L.P. Systems - Pension Fund18,000,000 4,379,736 0 4,379,736 0 0 4,379,736 0 4,379,736 0.00 0.00 Kentucky Retirement SystemsH&FKentucky Spock- Pension I LP Retirement Fund Systems - Pension Fund 3,250,153 7,213,240 0 7,213,240 0 0 7,213,240 0 7,213,240 0.00 0.00 Kentucky Retirement SystemsHarvest Kentucky- Pension Partners Retirement FundV, L.P. Systems - Pension Fund36,000,000 130,677 0 130,677 0 0 130,677 0 130,677 0.00 0.00 Kentucky Retirement SystemsHarvest Kentucky- Pension Partners Retirement FundVI, L.P. Systems - Pension Fund28,400,000 11,490,159 -2,837,652 8,652,507 0 0 11,490,159 -2,837,652 8,652,507 0.00 0.00 Kentucky Retirement SystemsHarvest Kentucky- Pension Partners Retirement FundVII LP Systems - Pension Fund20,000,000 23,464,500 49,345 23,513,845 0 0 23,464,500 49,345 23,513,845 0.00 0.00 Kentucky Retirement SystemsHellman Kentucky- Pension and Friedman Retirement Fund Capital Systems Partners - Pension VI, L.P. Fund20,000,000 334,754 0 334,754 0 0 334,754 0 334,754 0.00 0.00 L.P. Kentucky Retirement SystemsHorsley Kentucky- Pension Bridge Retirement International Fund Systems Fund V,- PensionL.P. Fund45,000,000 97,148,440 -3,863,931 93,284,509 0 3,947,150 97,148,440 -7,811,081 89,337,359 0.00 0.00 Kentucky Retirement SystemsIFMIFM US USKentucky- Pension InfrastructureInfrastructure Retirement Fund DebtDebt Systems FundFund - Pension Fund70,000,000 45,599,040 0 45,599,040 588,566 584,965 45,599,040 3,601 45,602,641 0.00 0.00 Kentucky Retirement SystemsInstitutionalInstitutional Kentucky- Pension VentureVenture Retirement Fund PartnersPartners Systems XI,XI, L.P.L.P. - Pension Fund 0 0 0 0 0 0 0 0 0 N/A N/A Kentucky Retirement SystemsInstitutionalInstitutional Kentucky- Pension VentureVenture Retirement Fund PartnersPartners Systems XII,XII, L.P.L.P. - Pension Fund27,000,000 892,001 0 892,001 0 0 892,001 0 892,001 0.00 0.00 Kentucky Retirement SystemsJWJW ChildsChilds Kentucky- Pension EquityEquity Retirement FundPartnersPartners III,SystemsIII, L.P.L.P. - Pension Fund36,000,000 20,187 0 20,187 0 0 20,187 0 20,187 0.00 0.00 Kentucky Retirement SystemsKayne Kentucky- AndersonPension Retirement FundEnergy Fund Systems VII LP - Pension Fund50,000,000 13,574,468 0 13,574,468 0 0 13,574,468 0 13,574,468 0.00 0.00 Kentucky Retirement SystemsKCP IVKentucky- PensionCo-Invest Retirement Fund Systems - Pension Fund13,939,058 5,242,184 227,542 5,469,726 0 0 5,242,184 11,846 5,254,031 -3.94 -3.94 Kentucky Retirement SystemsKeyhaven Kentucky- Pension Capital Retirement Fund Partners SystemsFund III, -L.P. Pension Fund29,655,394 17,361,080 -256,524 17,104,556 0 522,717 17,361,080 -1,447,097 15,913,983 -3.92 -3.92 Kentucky Retirement SystemsKeyhaven Kentucky- Pension Capital Retirement Fund Partners SystemsIV LP - Pension Fund13,939,058 5,873,297 486,992 6,360,289 213,725 0 5,873,297 444,212 6,317,509 -3.99 -3.99 Kentucky Retirement SystemsLevineLevine Kentucky- PensionLeichtmanLeichtman Retirement Fund CapitalCapital PartnersPartnersSystems V,V,- Pension L.P.L.P. Fund46,000,000 48,841,950 0 48,841,950 5,582,211 2,538,695 48,841,950 3,043,515 51,885,465 0.00 0.00 Kentucky Retirement SystemsLevineLevine Kentucky- PensionLeichtmanLeichtman Retirement Fund CapitalCapital PartnersPartnersSystems VIVI- Pension LPLP Fund37,500,000 23,166,501 0 23,166,501 324,031 1,096,549 23,166,501 -772,518 22,393,983 0.00 0.00 Kentucky Retirement SystemsLubertLubert Kentucky- PensionAdlerAdler VIIVII Retirement Fund Systems - Pension Fund34,750,000 23,179,234 0 23,179,234 0 0 23,179,234 0 23,179,234 0.00 0.00 Kentucky Retirement SystemsLubert-AdlerLubert-Adler Kentucky- Pension RealReal Retirement Fund EstateEstate FundFund Systems VII-BVII-B - LPLPPension Fund36,750,000 30,304,905 0 30,304,905 868,750 953,313 30,304,905 -84,563 30,220,343 0.00 0.00 Kentucky Retirement SystemsMagentar Kentucky- Pension MTP Retirement Energy Fund Opportunities Systems - Pension Fund II FundLLC 37,500,000 29,715,111 0 29,715,111 0 3,711,616 29,715,111 -3,711,616 26,003,495 0.00 0.00 II LLC Kentucky Retirement SystemsMatlinPatterson Kentucky- Pension Retirement GlobalFund Opportunities Systems - Pension Partners Fund45,000,000 0 0 0 0 0 0 0 0 N/A N/A Partners Kentucky Retirement SystemsMatlinPatterson Kentucky- Pension Retirement GlobalFund Opportunities Systems - Pension Partners Fund II 45,000,000 1,336,910 0 1,336,910 0 0 1,336,910 0 1,336,910 0.00 0.00 Partners II

1 Calculation follows the “Nominalize Short Term IRR Values” preference

Page 2 Generated on 22-Apr-2021 08:18:13

35 CERS Special Called Investment Committee Meeting - Investment Performance Review

ADJUSTED ENDING VALUE POINT TO POINT (1/1/2021 - 3/31/2021) TWR

Kentucky Retirement Systems - Pension Fund Kentucky Retirement SystemsMatlinPatterson Kentucky- Pension Retirement GlobalFund Opportunities Systems - Pension Partners Fund III 45,000,000 996,403 0 996,403 0 0 996,403 0 996,403 0.00 0.00 Partners III Kentucky Retirement SystemsMerit Kentucky- Mezzanine Pension Retirement FundFund IV, SystemsL.P. - Pension Fund27,000,000 250,825 0 250,825 0 0 250,825 0 250,825 0.00 0.00 Kentucky Retirement SystemsMesa Kentucky- West Pension Core Retirement FundLending Fund,Systems LP - Pension Fund57,500,000 59,793,136 0 59,793,136 0 0 59,793,136 0 59,793,136 0.00 0.00 Kentucky Retirement SystemsMesa Kentucky- West Pension Real Retirement EstateFund Income Systems Fund - PensionII Fund 9,999,999 0 0 0 0 0 0 0 0 N/A N/A Kentucky Retirement SystemsMesa Kentucky- West Pension Real Retirement EstateFund Income Systems Fund - PensionIV LP Fund36,000,000 22,032,428 0 22,032,428 0 1,200,000 22,032,428 -1,200,000 20,832,428 0.00 0.00 Kentucky Retirement SystemsMHR Kentucky -Institutional Pension Retirement Fund Partners Systems III, L.P. - Pension Fund 0 0 0 0 0 0 0 0 0 N/A N/A Kentucky Retirement SystemsMiddleGround Kentucky- Pension Retirement Partners Fund I LP Systems - Pension Fund50,000,000 33,147,859 11,272,467 44,420,326 -2,520,948 9,607,284 33,147,859 -855,765 32,292,094 0.00 0.00 Kentucky Retirement SystemsMill Road Kentucky- Pension Capital Retirement Fund I, L.P. Systems - Pension Fund27,000,000 3,334,219 0 3,334,219 0 0 3,334,219 0 3,334,219 0.00 0.00 Kentucky Retirement SystemsNew KentuckyMountain- Pension Retirement Partners Fund II, SystemsL.P. - Pension Fund25,000,000 294,136 0 294,136 0 0 294,136 0 294,136 0.00 0.00 Kentucky Retirement SystemsNew KentuckyMountain- Pension Retirement Partners Fund III, Systems L.P. - Pension Fund33,750,000 18,303,215 0 18,303,215 0 0 18,303,215 0 18,303,215 0.00 0.00 Kentucky Retirement SystemsNew KentuckyMountain- Pension Retirement Partners Fund IV, Systems L.P. - Pension Fund32,800,000 32,431,064 0 32,431,064 289,166 7,444,007 32,431,064 -7,154,841 25,276,223 0.00 0.00 Kentucky Retirement SystemsOak HillKentucky- Pension Capital Retirement Partners Fund II, Systems L.P. - Pension Fund67,500,000 929,639 0 929,639 0 0 929,639 0 929,639 0.00 0.00 Kentucky Retirement SystemsOak HillKentucky- Pension Capital Retirement Partners Fund III, Systems L.P. - Pension Fund33,750,000 7,220,830 0 7,220,830 0 0 7,220,830 0 7,220,830 0.00 0.00 Kentucky Retirement SystemsOberland Kentucky- Pension Capital Retirement Fund Healthcare Systems LP - Pension Fund34,500,000 8,221,636 0 8,221,636 0 0 8,221,636 0 8,221,636 0.00 0.00 Kentucky Retirement SystemsOCM Kentucky -Opportunities Pension Retirement Fund Fund VIIb,Systems L.P. - Pension Fund 0 0 0 0 0 0 0 0 0 N/A N/A Kentucky Retirement SystemsPatron Kentucky- PensionCapital RetirementV LPFund Systems - Pension Fund42,310,800 19,992,176 0 19,992,176 3,402,016 0 19,992,176 2,613,237 22,605,412 -3.90 -3.90 Kentucky Retirement SystemsRiverside Kentucky- Pension Capital Retirement FundAppreciation Systems Fund - VI,Pension L.P. Fund35,500,000 17,917,590 0 17,917,590 0 0 17,917,590 0 17,917,590 0.00 0.00 Kentucky Retirement SystemsRubenstein Kentucky- Pension Properties Retirement Fund Fund Systems II - Pension Fund20,800,000 16,036,057 0 16,036,057 413,981 0 16,036,057 413,981 16,450,038 0.00 0.00 Kentucky Retirement SystemsSecondarySecondary Kentucky- Pension OpportunitiesOpportunities Retirement Fund FundFundSystems III,III, L.P. L.P.- Pension Fund25,000,000 13,331,645 0 13,331,645 0 718,046 13,331,645 -718,046 12,613,599 0.00 0.00 Kentucky Retirement SystemsStrategicStrategic Kentucky- Pension ValueValue Retirement SpecialSpecial Fund SituationsSituations Systems FundFund - Pension IVIV LP Fund43,300,000 46,278,128 0 46,278,128 2,165,000 0 46,278,128 2,165,000 48,443,128 0.00 0.00 LP Kentucky Retirement SystemsSunSun Capital KentuckyCapital- Pension PartnersPartners Retirement Fund IVIV Systems - Pension Fund 0 0 0 0 0 0 0 0 0 N/A N/A Kentucky Retirement SystemsTaurusTaurus Kentucky- Pension MiningMining Retirement FinanceFinance Fund FundFund Systems LLCLLC - Pension Fund45,100,000 18,987,042 0 18,987,042 0 5,257,486 18,987,042 -5,257,486 13,729,556 0.00 0.00 Kentucky Retirement SystemsTCVTCV KentuckyVI,VI,- Pension L.P.L.P. Retirement Fund Systems - Pension Fund 0 0 0 0 0 0 0 0 0 N/A N/A Kentucky Retirement SystemsTenaskaTenaska Kentucky- Pension PowerPower Retirement FundFund Fund II,II, L.P.L.P. Systems - Pension Fund27,000,000 686,397 0 686,397 0 0 686,397 0 686,397 0.00 0.00 Kentucky Retirement SystemsTritonTriton Kentucky- FundPensionFund IV,IV, Retirement L.P.L.P. Fund Systems - Pension Fund29,569,282 16,938,654 0 16,938,654 0 395,959 16,938,654 -1,064,786 15,873,868 -3.95 -3.95 Kentucky Retirement SystemsVantagePoint Kentucky- Pension VentureRetirement Fund Partners Systems 2006, - Pension L.P. Fund27,000,000 8,278,377 0 8,278,377 0 0 8,278,377 0 8,278,377 0.00 0.00 Kentucky Retirement SystemsVantagePoint Kentucky- Pension VentureRetirement Fund Partners Systems IV, L.P.- Pension Fund36,000,000 639,361 0 639,361 0 0 639,361 0 639,361 0.00 0.00 Kentucky Retirement SystemsVista Kentucky -Equity Pension Partners Retirement Fund III, L.P. Systems - Pension Fund45,000,000 3,703,420 0 3,703,420 31,668 0 3,703,420 31,668 3,735,088 0.00 0.00 Kentucky Retirement SystemsVista Kentucky -Equity Pension Partners Retirement Fund IV, L.P. Systems - Pension Fund27,000,000 17,001,302 0 17,001,302 92,188 0 17,001,302 92,188 17,093,490 0.00 0.00 Kentucky Retirement SystemsVista Kentucky -Equity Pension Partners Retirement Fund VI LP Systems - Pension Fund25,000,000 32,825,893 0 32,825,893 13,100 43,668 32,825,893 -30,568 32,795,325 0.00 0.00 Kentucky Retirement SystemsWalton Kentucky- Pension Street RetirementReal Fund Estate FundSystems VI, LP- Pension Fund36,000,000 11,268,970 0 11,268,970 0 0 11,268,970 0 11,268,970 0.00 0.00 Kentucky Retirement SystemsWalton Kentucky- Pension Street RetirementReal Fund Estate FundSystems VII, -LP Pension Fund38,120,000 8,485,871 0 8,485,871 0 321 8,485,871 -321 8,485,550 0.00 0.00 Kentucky Retirement SystemsWarburg, Kentucky- Pension Pincus Retirement FundPrivate Equity Systems IX, L.P.- Pension Fund50,000,000 1,650,173 0 1,650,173 0 0 1,650,173 0 1,650,173 0.00 0.00 Kentucky Retirement SystemsWarburg, Kentucky- Pension Pincus Retirement FundPrivate Equity Systems X, L.P. - Pension Fund38,750,000 4,433,798 0 4,433,798 0 1,141,420 4,433,798 -1,141,420 3,292,378 0.00 0.00 Kentucky Retirement SystemsWayzata Kentucky- Pension Opportunities Retirement Fund Fund Systems II, L.P. - Pension Fund67,500,000 1,842,177 0 1,842,177 0 0 1,842,177 0 1,842,177 0.00 0.00

1 Calculation follows the “Nominalize Short Term IRR Values” preference

Page 3 Generated on 22-Apr-2021 08:18:22

36 CERS Special Called Investment Committee Meeting - Investment Performance Review

ADJUSTED ENDING VALUE POINT TO POINT (1/1/2021 - 3/31/2021) TWR

Kentucky Retirement Systems - Pension Fund Kentucky Retirement SystemsWayzata Kentucky- Pension Opportunities Retirement Fund Fund Systems III, L.P. - Pension Fund35,500,000 5,360,617 0 5,360,617 0 0 5,360,617 0 5,360,617 0.00 0.00 Kentucky Retirement SystemsWayzata Kentucky- Pension Opportunities Retirement Fund Fund, Systems L.P. - Pension Fund67,500,000 0 0 0 0 0 0 0 0 N/A N/A Kentucky Retirement SystemsWhite Kentucky- OakPension Yield Retirement SpectrumFund Systems Parallel Fund- Pension LP Fund100,000,000 165,315,160 0 165,315,160 0 2,651,894 165,315,160 -2,651,894 162,663,266 0.00 0.00

Total: Kentucky Retirement Systems - Pension Fund4,610,926,334 2,324,199,998 -29,832,484 2,294,367,514 82,151,859 88,341,183 2,327,009,238 -42,816,314 2,284,192,924 -0.17 -0.17

Kentucky RetirementAll Systems - PensionAll Fund Total

Total Investments:104 4,610,926,334 2,324,199,998 -29,832,484 2,294,367,514 82,151,859 88,341,183 2,327,009,238 -42,816,314 2,284,192,924 -0.17 -0.17

All All All Total

1 Calculation follows the “Nominalize Short Term IRR Values” preference

Page 4 Generated on 22-Apr-2021 08:18:23

37 CERS Special Called Investment Committee Meeting - Investment Performance Review

ADJUSTED ENDING VALUE POINT TO POINT (1/1/2021 - 3/31/2021) TWR

Kentucky Retirement Systems - Insurance Fund Kentucky Retirement SystemsAdams -Kentucky Insurance Street SPCRetirement Fund II A1 Systems - Insurance Fund75,000,000 16,898,767 0 16,898,767 1,429,615 0 16,898,767 1,429,615 18,328,382 0.00 0.00 Kentucky Retirement SystemsAdams -Kentucky Insurance Street SPCRetirement Fund II B1 Systems - Insurance Fund75,000,000 17,091,347 0 17,091,347 1,429,615 0 17,091,347 1,429,615 18,520,962 0.00 0.00 Kentucky Retirement SystemsAMERRA -Kentucky Insurance Agri FundRetirement Fund II, LP Systems - Insurance Fund16,200,000 10,066,296 0 10,066,296 0 42,295 10,066,296 -42,295 10,024,001 0.00 0.00 Kentucky Retirement SystemsAMERRA-KRS -Kentucky Insurance AgriRetirement Fund Holding Systems Company, - Insurance LP Fund35,000,000 24,129,694 0 24,129,694 870,647 319,158 24,129,694 551,489 24,681,183 0.00 0.00 Kentucky Retirement SystemsArbor -Kentucky InsuranceCapital II,Retirement L.P. Fund Systems - Insurance Fund2,500,000 7,800 0 7,800 0 0 7,800 0 7,800 0.00 0.00 Kentucky Retirement SystemsArcano -Kentucky Insurance KRS Fund Retirement I,Fund L.P. Systems - Insurance Fund4,000,000 2,473,869 0 2,473,869 0 129,968 2,473,869 -129,968 2,343,901 0.00 0.00 Kentucky Retirement SystemsAres - Kentucky SpecialInsurance Situations Retirement Fund Fund Systems IV, L.P. - Insurance Fund13,808,000 13,016,033 0 13,016,033 0 0 13,016,033 0 13,016,033 0.00 0.00 Kentucky Retirement SystemsAvenue -Kentucky Insurance Special Retirement Situations Fund SystemsFund V, L.P.- Insurance Fund7,500,000 0 -10,266 -10,266 0 0 0 -10,266 -10,266 0.00 0.00 Kentucky Retirement SystemsBarings -Kentucky Insurance Euro Real Retirement FundEstate II Systems - Insurance Fund74,925,375 211,399 0 211,399 0 0 211,399 -8,336 203,062 -3.94 -3.94 Kentucky Retirement SystemsBarings -Kentucky Insurance Real Estate Retirement Fund European Systems Value - AddInsurance I SCSp Fund52,888,500 32,111,210 0 32,111,210 1,245,919 2,067,266 32,111,210 -2,062,303 30,048,907 -3.91 -3.91 SCSp Kentucky Retirement SystemsBay -HillsKentucky Insurance Capital Retirement I, FundL.P. Systems - Insurance Fund7,500,000 869,011 -212,499 656,512 0 0 869,011 -212,499 656,512 0.00 0.00 Kentucky Retirement SystemsBay -HillsKentucky Insurance Capital Retirement III, Fund L.P. Systems - Insurance Fund48,750,000 61,438,635 -3,455,000 57,983,635 0 0 61,438,635 -3,455,000 57,983,635 0.00 0.00 Kentucky Retirement SystemsBay -HillsKentucky Insurance Emerging Retirement Fund Partners Systems II LP - Insurance Fund5,000,000 9,548,586 -849,500 8,699,086 0 0 9,548,586 -849,500 8,699,086 0.00 0.00 Kentucky Retirement SystemsBay -HillsKentucky Insurance Emerging Retirement Fund Partners Systems II-B LP - Insurance Fund5,000,000 7,759,353 -1,280,500 6,478,853 20,000 0 7,759,353 -1,260,500 6,498,853 0.00 0.00 Kentucky Retirement SystemsBDCM -Kentucky Insurance Opportunity Retirement Fund Fund IV,Systems L.P. - Insurance Fund24,420,000 26,564,939 93,840 26,658,779 1,147,609 5,494,415 26,564,939 -4,252,966 22,311,973 0.00 0.00 Kentucky Retirement SystemsBlackstone -Kentucky Insurance Capital Retirement Fund Partners Systems V, L.P. - Insurance Fund12,414,403 457,297 0 457,297 0 277,047 457,297 -277,055 180,242 0.00 0.00 Kentucky Retirement SystemsBlackstone -Kentucky Insurance Capital Retirement Fund Partners Systems VI, L.P. - Insurance Fund40,000,000 25,510,433 0 25,510,433 27,577 978,052 25,510,433 -950,475 24,559,958 0.00 0.00 Kentucky Retirement SystemsBlue - KentuckyTorch Insurance Credit Retirement FundOpportunities Systems Fund - Insurance II LP Fund60,000,000 9,124,803 0 9,124,803 20,000,000 0 9,124,803 20,000,000 29,124,803 0.00 0.00 Kentucky Retirement SystemsBSP -Co-InvestKentucky Insurance RetirementVehicle Fund K LP Systems - Insurance Fund 0 12,460,105 0 12,460,105 0 241,216 12,460,105 -241,216 12,218,889 0.00 0.00 Kentucky Retirement SystemsBSP -PrivateKentucky Insurance Credit Retirement Fund Fund Systems - Insurance Fund50,000,000 44,789,484 0 44,789,484 0 953,669 44,789,484 -953,669 43,835,815 0.00 0.00 Kentucky Retirement SystemsBTG -KentuckyPactual Insurance Brazil Retirement Fund Timberland Systems Fund - IInsurance Fund15,500,000 10,531,342 0 10,531,342 0 0 10,531,342 0 10,531,342 0.00 0.00 Kentucky Retirement SystemsCamelot -Kentucky Insurance Opportunities Retirement Fund Fund, Systems L.P. - Insurance Fund2,600,000 1,172,138 0 1,172,138 0 0 1,172,138 0 1,172,138 0.00 0.00 Kentucky Retirement SystemsCerberus -Kentucky Insurance KRS LeveredRetirement Fund Loan Systems Opportunities - Insurance Fund, Fund L.P.60,000,000 56,026,941 0 56,026,941 0 0 57,230,901 0 57,230,901 2.15 2.15 Fund, L.P. Kentucky Retirement SystemsColumbia -Kentucky Insurance Captal Retirement EquityFund Partners Systems IV, - L.P.Insurance Fund3,000,000 399,703 0 399,703 0 0 399,703 0 399,703 0.00 0.00 Kentucky Retirement SystemsCrestview -Kentucky Insurance Partners Retirement Fund II, L.P. Systems - Insurance Fund7,500,000 4,139,738 0 4,139,738 142,960 478,881 4,139,738 -335,921 3,803,817 0.00 0.00 Kentucky Retirement SystemsCrestview -Kentucky Insurance Partners Retirement Fund III, L.P. Systems - Insurance Fund21,000,000 13,554,141 0 13,554,141 0 0 13,554,141 0 13,554,141 0.00 0.00 Kentucky Retirement SystemsCS Adjacent -Kentucky Insurance Investment Retirement Fund Partners Systems Parallel - Insurance LP Fund60,000,000 15,169,153 0 15,169,153 2,994,000 173,778 15,169,153 2,820,222 17,989,375 0.00 0.00 LP Kentucky Retirement SystemsCVC - KentuckyEuropean Insurance RetirementEquity Fund Partners Systems VI, L.P. - Insurance Fund14,221,365 17,245,527 0 17,245,527 0 95,242 17,245,527 -772,540 16,472,986 -3.94 -3.94 Kentucky Retirement SystemsDAG - Kentucky VenturesInsurance RetirementII, L.P. Fund Systems - Insurance Fund3,000,000 188,728 0 188,728 0 0 188,728 0 188,728 0.00 0.00 Kentucky Retirement SystemsDAG - Kentucky VenturesInsurance RetirementIII, L.P.Fund Systems - Insurance Fund3,000,000 50,245 -6,573 43,672 0 9,292 50,245 -15,864 34,381 0.00 0.00 Kentucky Retirement SystemsDAG - Kentucky VenturesInsurance RetirementIV, FundL.P. Systems - Insurance Fund10,000,000 7,054,553 -995,892 6,058,660 0 652,500 7,054,553 -1,648,392 5,406,160 0.00 0.00 Kentucky Retirement SystemsDAG - Kentucky VenturesInsurance RetirementV, L.P.Fund Systems - Insurance Fund7,000,000 5,249,668 -201,696 5,047,972 35,000 276,874 5,249,668 -443,569 4,806,099 0.00 0.00 Kentucky Retirement SystemsDCM -Kentucky VI,Insurance L.P. Retirement Fund Systems - Insurance Fund1,500,000 1,740,865 0 1,740,865 0 0 1,740,865 0 1,740,865 0.00 0.00 Kentucky Retirement SystemsDivcoWest -Kentucky Insurance Fund Retirement IV Fund Systems - Insurance Fund9,200,000 1,316,974 0 1,316,974 0 77,664 1,316,974 -77,664 1,239,310 0.00 0.00

1 Calculation follows the “Nominalize Short Term IRR Values” preference

Page 1 Generated on 22-Apr-2021 08:19:28

38 CERS Special Called Investment Committee Meeting - Investment Performance Review

ADJUSTED ENDING VALUE POINT TO POINT (1/1/2021 - 3/31/2021) TWR

Kentucky Retirement Systems - Insurance Fund Kentucky Retirement SystemsEssexEssex -Kentucky InsuranceWoodlandsWoodlands Retirement Fund VIII,VIII, Systems L.P.L.P. - Insurance Fund5,000,000 2,238,863 -139,310 2,099,553 488,385 1,576,150 2,238,863 -1,227,075 1,011,788 0.00 0.00 Kentucky Retirement SystemsFundamentalFundamental -Kentucky Insurance Partners PartnersRetirement Fund IIIIII LPLP Systems - Insurance Fund30,000,000 24,852,117 0 24,852,117 0 1,208,460 24,852,117 -1,208,460 23,643,657 0.00 0.00 Kentucky Retirement SystemsGreen -Kentucky Insurance Equity Investors Retirement Fund IV, SystemsL.P. - Insurance Fund7,500,000 0 -4,486 -4,486 0 0 0 -4,486 -4,486 0.00 0.00 Kentucky Retirement SystemsGreen -Kentucky Insurance Equity Investors Retirement Fund V, L.P.Systems - Insurance Fund10,000,000 4,301,779 0 4,301,779 0 257,946 4,301,779 -257,946 4,043,833 0.00 0.00 Kentucky Retirement SystemsGreen -Kentucky Insurance Equity Investors Retirement Fund VI, SystemsL.P. - Insurance Fund28,000,000 33,543,672 0 33,543,672 73,272 115,442 33,543,672 -42,170 33,501,502 0.00 0.00 Kentucky Retirement SystemsGreen -Kentucky Insurance Equity Investors Retirement Fund VII SystemsLP - Insurance Fund25,000,000 33,905,401 0 33,905,401 40,444 1,515,545 33,905,401 -1,475,101 32,430,300 0.00 0.00 Kentucky Retirement SystemsGreenfield -Kentucky Insurance Acquisition Retirement Fund Partners Systems VI, L.P.- Insurance Fund16,700,000 144,536 0 144,536 0 0 144,536 0 144,536 0.00 0.00 Kentucky Retirement SystemsGreenfield -Kentucky Insurance Acquisition Retirement Fund Partners Systems VII, -L.P. Insurance Fund12,200,000 6,142,343 0 6,142,343 0 223,299 6,142,343 -223,299 5,919,044 0.00 0.00 Kentucky Retirement SystemsGTCR -Kentucky InsuranceFund IX-A, Retirement L.P.Fund Systems - Insurance Fund7,000,000 0 0 0 0 0 0 0 0 N/A N/A Kentucky Retirement SystemsH.I.G. -Kentucky InsuranceBioVentures Retirement Fund II, L.P. Systems - Insurance Fund11,500,000 12,786,902 0 12,786,902 0 0 12,786,902 0 12,786,902 0.00 0.00 Kentucky Retirement SystemsH.I.G. -Kentucky InsuranceCapital Partner Retirement Fund V, L.P. Systems - Insurance Fund6,900,000 8,776,469 0 8,776,469 157,051 606,255 8,776,469 -449,204 8,327,265 0.00 0.00 Kentucky Retirement SystemsH.I.G. -Kentucky InsuranceVentures Retirement II, L.P.Fund Systems - Insurance Fund2,000,000 486,637 0 486,637 0 0 486,637 0 486,637 0.00 0.00 Kentucky Retirement SystemsH&F - Kentucky SpockInsurance I LP Retirement Fund Systems - Insurance Fund1,794,672 2,704,961 0 2,704,961 0 0 2,704,961 0 2,704,961 0.00 0.00 Kentucky Retirement SystemsHarvest -Kentucky Insurance Partners Retirement V, Fund L.P. Systems - Insurance Fund4,000,000 14,520 0 14,520 0 0 14,520 0 14,520 0.00 0.00 Kentucky Retirement SystemsHarvest -Kentucky Insurance Partners Retirement VI, Fund L.P. Systems - Insurance Fund11,600,000 4,693,165 -1,159,040 3,534,125 0 0 4,693,165 -1,159,040 3,534,125 0.00 0.00 Kentucky Retirement SystemsHarvest -Kentucky Insurance Partners Retirement VII Fund LP Systems - Insurance Fund20,000,000 23,464,500 49,345 23,513,845 0 0 23,464,500 49,345 23,513,845 0.00 0.00 Kentucky Retirement SystemsHellman -Kentucky Insurance and Friedman Retirement Fund Capital Systems Partners - Insurance VI, L.P. Fund7,500,000 125,551 0 125,551 0 0 125,551 0 125,551 0.00 0.00 L.P. Kentucky Retirement SystemsHorsley -Kentucky Insurance Bridge Retirement International Fund Systems Fund V,- InsuranceL.P. Fund5,000,000 10,794,272 -429,326 10,364,946 0 438,572 10,794,272 -867,898 9,926,374 0.00 0.00 Kentucky Retirement SystemsIFMIFM -USUSKentucky Insurance InfrastructureInfrastructure Retirement Fund DebtDebt Systems FundFund - Insurance Fund30,000,000 19,542,446 0 19,542,446 252,243 250,699 19,542,446 1,543 19,543,990 0.00 0.00 Kentucky Retirement SystemsInstitutionalInstitutional -Kentucky Insurance VentureVenture Retirement Fund PartnersPartners Systems XI,XI, L.P.L.P. - Insurance Fund1,500,000 0 0 0 0 0 0 0 0 N/A N/A Kentucky Retirement SystemsInstitutionalInstitutional -Kentucky Insurance VentureVenture Retirement Fund PartnersPartners Systems XII,XII, L.P.L.P. - Insurance Fund3,000,000 98,977 0 98,977 0 0 98,977 0 98,977 0.00 0.00 Kentucky Retirement SystemsJWJW ChildsChilds-Kentucky Insurance EquityEquity Retirement Partners PartnersFund III,SystemsIII, L.P.L.P. - Insurance Fund4,000,000 2,243 0 2,243 0 0 2,243 0 2,243 0.00 0.00 Kentucky Retirement SystemsKayne -Kentucky Insurance Anderson Retirement Energy Fund Fund Systems VII LP - Insurance Fund50,000,000 13,574,468 0 13,574,468 0 0 13,574,468 0 13,574,468 0.00 0.00 Kentucky Retirement SystemsKCP -IVKentucky Insurance Co-Invest Retirement Fund Systems - Insurance Fund9,566,942 3,597,924 156,171 3,754,095 0 0 3,597,924 8,131 3,606,054 -3.94 -3.94 Kentucky Retirement SystemsKeyhaven -Kentucky Insurance Capital Retirement PartnersFund SystemsFund III, -L.P. Insurance Fund3,290,840 1,929,008 -28,503 1,900,505 0 58,080 1,929,008 -160,789 1,768,220 -3.92 -3.92 Kentucky Retirement SystemsKeyhaven -Kentucky Insurance Capital Retirement PartnersFund SystemsIV LP - Insurance Fund9,566,942 4,031,082 334,242 4,365,324 146,688 0 4,031,082 304,880 4,335,962 -3.99 -3.99 Kentucky Retirement SystemsLevineLevine -Kentucky Insurance LeichtmanLeichtman Retirement FundCapitalCapital PartnersPartnersSystems V,V,- Insurance L.P.L.P. Fund24,000,000 25,482,816 0 25,482,816 2,912,458 1,324,597 25,482,816 1,587,862 27,070,678 0.00 0.00 Kentucky Retirement SystemsLevineLevine -Kentucky Insurance LeichtmanLeichtman Retirement FundCapitalCapital PartnersPartnersSystems VIVI- Insurance LPLP Fund37,500,000 23,166,501 0 23,166,501 324,031 1,096,549 23,166,501 -772,518 22,393,983 0.00 0.00 Kentucky Retirement SystemsLubertLubert -Kentucky Insurance AdlerAdler VIIVII Retirement Fund Systems - Insurance Fund15,250,000 10,172,180 0 10,172,180 0 0 10,172,180 0 10,172,180 0.00 0.00 Kentucky Retirement SystemsLubert-AdlerLubert-Adler -Kentucky Insurance RealReal Retirement FundEstateEstate FundFund Systems VII-BVII-B - LPLPInsurance Fund15,750,000 12,987,817 0 12,987,817 381,250 408,563 12,987,817 -27,313 12,960,504 0.00 0.00 Kentucky Retirement SystemsMagentar -Kentucky Insurance MTP Retirement Energy Fund Opportunities Systems - Insurance Fund II LLC Fund12,500,000 9,905,037 0 9,905,037 0 1,237,205 9,905,037 -1,237,205 8,667,832 0.00 0.00 II LLC Kentucky Retirement SystemsMatlinPatterson -Kentucky Insurance Retirement Global Fund Opportunities Systems - Insurance Partners Fund5,000,000 0 0 0 0 0 0 0 0 N/A N/A Partners Kentucky Retirement SystemsMatlinPatterson -Kentucky Insurance Retirement Global Fund Opportunities Systems - Insurance Partners FundII 5,000,000 148,545 0 148,545 0 0 148,545 0 148,545 0.00 0.00 Partners II

1 Calculation follows the “Nominalize Short Term IRR Values” preference

Page 2 Generated on 22-Apr-2021 08:19:46

39 CERS Special Called Investment Committee Meeting - Investment Performance Review

ADJUSTED ENDING VALUE POINT TO POINT (1/1/2021 - 3/31/2021) TWR

Kentucky Retirement Systems - Insurance Fund Kentucky Retirement SystemsMatlinPatterson -Kentucky Insurance Retirement Global Fund Opportunities Systems - Insurance Partners FundIII 5,000,000 110,733 0 110,733 0 0 110,733 0 110,733 0.00 0.00 Partners III Kentucky Retirement SystemsMerit -Kentucky InsuranceMezzanine Retirement FundFund IV, SystemsL.P. - Insurance Fund3,000,000 27,869 0 27,869 0 0 27,869 0 27,869 0.00 0.00 Kentucky Retirement SystemsMesa -Kentucky InsuranceWest Core Retirement Lending Fund Fund,Systems LP - Insurance Fund29,600,000 40,934,850 0 40,934,850 1,045,330 0 40,934,850 1,045,330 41,980,180 0.00 0.00 Kentucky Retirement SystemsMesa -Kentucky InsuranceWest Real Retirement Estate Fund Income Systems Fund - InsuranceII Fund9,999,999 0 0 0 0 0 0 0 0 N/A N/A Kentucky Retirement SystemsMesa -Kentucky InsuranceWest Real Retirement Estate Fund Income Systems Fund - InsuranceIV LP Fund14,000,000 8,565,294 0 8,565,294 0 466,667 8,565,294 -466,667 8,098,627 0.00 0.00 Kentucky Retirement SystemsMHR -Kentucky InstitutionalInsurance Retirement FundPartners Systems III, L.P. - Insurance Fund4,000,000 1,488,008 0 1,488,008 0 15,429 1,774,271 0 1,774,271 20.40 20.40 Kentucky Retirement SystemsMiddleGround -Kentucky Insurance Retirement Partners Fund I LP Systems - Insurance Fund25,000,000 16,573,932 5,636,233 22,210,165 -1,260,473 4,803,643 16,573,932 -427,883 16,146,049 0.00 0.00 Kentucky Retirement SystemsMill -RoadKentucky Insurance Capital Retirement I,Fund L.P. Systems - Insurance Fund3,000,000 370,468 0 370,468 0 0 370,468 0 370,468 0.00 0.00 Kentucky Retirement SystemsNew - Kentucky MountainInsurance Retirement Partners Fund II, SystemsL.P. - Insurance Fund5,000,000 58,830 0 58,830 0 0 58,830 0 58,830 0.00 0.00 Kentucky Retirement SystemsNew - Kentucky MountainInsurance Retirement Partners Fund III, Systems L.P. - Insurance Fund7,500,000 4,067,379 0 4,067,379 0 0 4,067,379 0 4,067,379 0.00 0.00 Kentucky Retirement SystemsNew - Kentucky MountainInsurance Retirement Partners Fund IV, Systems L.P. - Insurance Fund17,200,000 17,006,533 0 17,006,533 151,635 3,903,567 17,006,533 -3,751,932 13,254,601 0.00 0.00 Kentucky Retirement SystemsOak -HillKentucky Insurance Capital Retirement Partners Fund II, Systems L.P. - Insurance Fund7,500,000 103,294 0 103,294 0 0 103,294 0 103,294 0.00 0.00 Kentucky Retirement SystemsOak -HillKentucky Insurance Capital Retirement Partners Fund III, Systems L.P. - Insurance Fund12,500,000 2,674,382 0 2,674,382 0 0 2,674,382 0 2,674,382 0.00 0.00 Kentucky Retirement SystemsOberland -Kentucky Insurance Capital Retirement HealthcareFund Systems LP - Insurance Fund15,500,000 3,693,780 0 3,693,780 0 0 3,693,780 0 3,693,780 0.00 0.00 Kentucky Retirement SystemsOCM -Kentucky InsuranceOpportunities Retirement Fund Fund VIIb,Systems L.P. - Insurance Fund7,500,000 14,300 0 14,300 0 0 14,300 0 14,300 0.00 0.00 Kentucky Retirement SystemsPatron -Kentucky Insurance Capital RetirementV LP Fund Systems - Insurance Fund16,454,200 7,774,951 0 7,774,951 1,323,006 0 7,774,951 1,016,250 8,791,201 -3.90 -3.90 Kentucky Retirement SystemsRiverside -Kentucky Insurance Capital Retirement AppreciationFund Systems Fund - VI,Insurance L.P. Fund18,712,500 9,444,553 0 9,444,553 0 0 9,444,553 0 9,444,553 0.00 0.00 Kentucky Retirement SystemsRubenstein -Kentucky Insurance Properties Retirement Fund Fund Systems II - Insurance Fund9,200,000 7,092,871 0 7,092,871 183,107 0 7,092,871 183,107 7,275,978 0.00 0.00 Kentucky Retirement SystemsSecondarySecondary -Kentucky Insurance OpportunitiesOpportunities Retirement Fund FundFundSystems III,III, L.P. L.P.- Insurance Fund75,000,000 39,994,935 0 39,994,935 0 2,154,138 39,994,935 -2,154,138 37,840,797 0.00 0.00 Kentucky Retirement SystemsStrategicStrategic -Kentucky Insurance ValueValue Retirement SpecialSpecial Fund SituationsSituations Systems FundFund - Insurance IVIV LP Fund21,700,000 23,192,516 0 23,192,516 1,085,000 0 23,192,516 1,085,000 24,277,516 0.00 0.00 LP Kentucky Retirement SystemsSunSun -CapitalKentuckyCapital Insurance PartnersPartners Retirement Fund IVIV Systems - Insurance Fund2,000,000 285,197 0 285,197 0 0 285,197 0 285,197 0.00 0.00 Kentucky Retirement SystemsTaurusTaurus -Kentucky Insurance MiningMining Retirement FinanceFinance Fund FundFund Systems LLCLLC - Insurance Fund19,900,000 8,377,874 0 8,377,874 0 2,319,822 8,377,874 -2,319,822 6,058,052 0.00 0.00 Kentucky Retirement SystemsTCVTCV - KentuckyVI,VI, Insurance L.P.L.P. Retirement Fund Systems - Insurance Fund2,500,000 42,860 0 42,860 0 0 42,860 0 42,860 0.00 0.00 Kentucky Retirement SystemsTenaskaTenaska -Kentucky Insurance PowerPower Retirement FundFund Fund II,II, L.P.L.P. Systems - Insurance Fund3,000,000 76,270 0 76,270 0 0 76,270 0 76,270 0.00 0.00 Kentucky Retirement SystemsTritonTriton -Kentucky Insurance FundFund IV,IV, Retirement L.P.L.P. Fund Systems - Insurance Fund15,213,083 8,928,732 0 8,928,732 0 208,718 8,928,732 -561,272 8,367,460 -3.95 -3.95 Kentucky Retirement SystemsVantagePoint -Kentucky Insurance VentureRetirement Fund Partners Systems 2006, - Insurance L.P. Fund3,000,000 919,821 0 919,821 0 0 919,821 0 919,821 0.00 0.00 Kentucky Retirement SystemsVantagePoint -Kentucky Insurance VentureRetirement Fund Partners Systems IV, L.P.- Insurance Fund4,000,000 279,854 0 279,854 0 0 279,854 0 279,854 0.00 0.00 Kentucky Retirement SystemsVista -Kentucky EquityInsurance Partners Retirement Fund III, L.P. Systems - Insurance Fund5,000,000 411,500 0 411,500 3,519 0 411,500 3,519 415,019 0.00 0.00 Kentucky Retirement SystemsVista -Kentucky EquityInsurance Partners Retirement Fund IV, L.P. Systems - Insurance Fund23,000,000 14,482,591 0 14,482,591 78,530 0 14,482,591 78,530 14,561,121 0.00 0.00 Kentucky Retirement SystemsVista -Kentucky EquityInsurance Partners Retirement Fund VI LP Systems - Insurance Fund25,000,000 32,825,893 0 32,825,893 13,100 43,668 32,825,893 -30,568 32,795,325 0.00 0.00 Kentucky Retirement SystemsWalton -Kentucky Insurance Street RetirementReal Fund Estate FundSystems VI, LP- Insurance Fund4,000,000 1,252,108 0 1,252,108 0 0 1,252,108 0 1,252,108 0.00 0.00 Kentucky Retirement SystemsWalton -Kentucky Insurance Street RetirementReal Fund Estate FundSystems VII, -LP Insurance Fund16,755,000 3,729,821 0 3,729,821 0 141 3,729,821 -141 3,729,680 0.00 0.00 Kentucky Retirement SystemsWarburg, -Kentucky Insurance Pincus Retirement Private Fund Equity Systems IX, L.P.- Insurance Fund10,000,000 330,035 0 330,035 0 0 330,035 0 330,035 0.00 0.00 Kentucky Retirement SystemsWarburg, -Kentucky Insurance Pincus Retirement Private Fund Equity Systems X, L.P. - Insurance Fund7,500,000 858,107 0 858,107 0 220,920 858,107 -220,920 637,187 0.00 0.00 Kentucky Retirement SystemsWayzata -Kentucky Insurance Opportunities Retirement Fund Fund Systems II, L.P. - Insurance Fund7,500,000 204,687 0 204,687 0 0 204,687 0 204,687 0.00 0.00

1 Calculation follows the “Nominalize Short Term IRR Values” preference

Page 3 Generated on 22-Apr-2021 08:20:07

40 CERS Special Called Investment Committee Meeting - Investment Performance Review

ADJUSTED ENDING VALUE POINT TO POINT (1/1/2021 - 3/31/2021) TWR

Kentucky Retirement Systems - Insurance Fund Kentucky Retirement SystemsWayzata -Kentucky Insurance Opportunities Retirement Fund Fund Systems III, L.P. - Insurance Fund18,712,500 2,825,649 0 2,825,649 0 0 2,825,649 0 2,825,649 0.00 0.00 Kentucky Retirement SystemsWayzata -Kentucky Insurance Opportunities Retirement Fund Fund, Systems L.P. - Insurance Fund7,500,000 0 0 0 0 0 0 0 0 N/A N/A Kentucky Retirement SystemsWhite -Kentucky Insurance Oak Yield Retirement Spectrum Fund Systems Parallel Fund- Insurance LP Fund50,000,000 77,801,118 0 77,801,118 0 1,247,950 77,801,118 -1,247,950 76,553,168 0.00 0.00

Total: Kentucky Retirement Systems - Insurance1,796,994,321 Fund 1,078,805,101 -2,502,759 1,076,302,343 36,741,518 37,969,339 1,080,295,324 -6,699,355 1,073,595,969 -0.14 -0.14

Kentucky RetirementAll Systems - InsuranceAll Fund Total

Total Investments:105 1,796,994,321 1,078,805,101 -2,502,759 1,076,302,343 36,741,518 37,969,339 1,080,295,324 -6,699,355 1,073,595,969 -0.14 -0.14

All All All Total

1 Calculation follows the “Nominalize Short Term IRR Values” preference

Page 4 Generated on 22-Apr-2021 08:20:10

41 CERS Special Called Investment Committee Meeting - Investment Performance Review

Investment Fees and Expenses For the Period Ended March 31, 2021 Pension 2021 2020 FYTD Fees % of MV Market Value FYTD Fees % of MV Market Value Absolute Return $ 909,647 0.48% $ 188,740,123 Investment Advisory Fees Absolute Return was absorbed by Real Return in 649,878 Performance Fees December 2020 259,770 Miscellaneous Fees and Expenses Core Fixed Income 2,031,618 0.09% 2,263,311,450 2,047,202 0.11% 1,868,303,152 Investment Advisory Fees 1,983,361 2,023,970 Performance Fees Miscellaneous Fees and Expenses 48,257 23,232 Opportunistic 2,727,633 0.73% 375,449,617 1,800,036 1.04% 173,646,206 Investment Advisory Fees - Performance Fees 2,727,633 1,800,036 Miscellaneous Fees and Expenses - Private Equity 34,414,531 2.98% 1,155,001,941 13,251,049 1.19% 1,117,077,718 Investment Advisory Fees 6,202,846 5,957,784 Performance Fees 26,932,151 6,658,339 Miscellaneous Fees and Expenses 1,279,534 634,926 Public Equity 9,171,751 0.14% 6,619,150,686 7,294,962 0.16% 4,666,213,612 Investment Advisory Fees 8,995,110 7,071,108 Miscellaneous Fees and Expenses 176,642 223,854 Real Estate 5,303,814 0.90% 589,400,002 19,020,959 3.31% 574,129,606 Investment Advisory Fees 3,254,551 3,510,064 Performance Fees (907,044) 14,490,063 Miscellaneous Fees and Expenses 2,956,307 1,020,832 Real Return 6,282,117 0.62% 1,011,388,853 5,979,832 0.76% 783,577,440 Investment Advisory Fees 3,527,345 3,237,238 Performance Fees 2,329,614 1,872,228 Miscellaneous Fees and Expenses 425,157 870,365 Speciality Credit Fixed Income 26,547,242 1.04% 2,546,489,496 13,019,951 0.67% 1,936,427,992 Investment Advisory Fees 11,228,203 9,180,157 Performance Fees 12,519,342 3,608,806 Miscellaneous Fees and Expenses 2,799,697 230,988 Cash 1,932,601 0.68% 285,262,649 2,397,836 0.56% 430,797,834 Consulting 454,818 Trustee 25,091 814,080 Miscellaneous Fees and Expenses 1,907,510 1,128,938 *Both FY20 and FY21 Real Estate fees reflect the Prologis adjustment made in June 2020* Total Investment Mgmt Fees 88,411,308 0.60% 14,845,454,694 65,721,473 0.56% 11,738,913,682

KENTUCKY PUBLIC PENSIONS AUTHORITY Investment Fees and Expenses For the Period Ended March 31, 2021 Insurance 2021 2020 FYTD Fees % of MV Market Value FYTD Fees % of MV Market Value Absolute Return $ 361,021 0.28% $ 130,499,754 Investment Advisory Fees Absolute Return was absorbed by Real Return in 257,993 Performance Fees December 2020 103,029 Miscellaneous Fees and Expenses Core Fixed Income 813,678 0.09% 864,872,800 822,812 0.10% 804,291,091 Investment Advisory Fees 766,735 813,682 Performance Fees 28,448 Miscellaneous Fees and Expenses 18,495 9,130 Opportunistic 1,388,928 0.73% 191,181,257 916,590 1.87% 48,898,446 Investment Advisory Fees - Performance Fees 1,388,928 916,590 Miscellaneous Fees and Expenses - Private Equity 22,861,402 4.07% 561,073,081 6,005,214 1.06% 566,696,034 Investment Advisory Fees 4,149,597 4,496,439 Performance Fees 18,202,847 5,676,645 Miscellaneous Fees and Expenses 508,958 (4,167,871) Public Equity 4,102,906 0.14% 2,988,294,144 3,230,408 0.17% 1,854,320,228 Investment Advisory Fees 4,026,883 3,132,942 Miscellaneous Fees and Expenses 76,023 97,466 Real Estate 2,331,407 0.93% 249,384,483 7,908,442 4.00% 197,814,172 Investment Advisory Fees 1,408,641 1,512,619 Performance Fees (290,973) 5,782,242 Miscellaneous Fees and Expenses 1,213,739 613,582 Real Return 2,465,101 0.58% 427,472,422 2,486,796 0.59% 424,045,095 Investment Advisory Fees 1,508,890 1,377,571 Performance Fees (139,583) 736,540 Miscellaneous Fees and Expenses 1,095,793 372,686 Speciality Credit Fixed Income 11,135,697 0.98% 1,134,227,766 5,607,597 0.72% 775,830,818 Investment Advisory Fees 5,087,579 3,961,845 Performance Fees 4,960,086 1,530,559 Miscellaneous Fees and Expenses 1,088,031 115,192 Cash 1,088,581 0.78% 140,405,157 1,212,906 0.73% 166,223,396 Consulting 194,723 Trustee 26,994 532,311 Miscellaneous Fees and Expenses 1,061,588 485,873 *Both FY20 and FY21 Real Estate fees reflect the Prologis adjustment made in June 2020* Total Investment Mgmt Fees $ 46,187,699 0.70% 6,556,911,109 $ 28,551,787 0.57% 4,968,619,034

42 CERS Special Called Investment Committee Meeting - Investment Performance Review

MEMORANDUM

TO: Investment Committee Board Members County Employees Retirement System

FROM: Carol Johnson, Administrative Secretary Kentucky Public Pensions Authority

DATE: May 5, 2021

RE: Manager Meetings

Please be advised that there were no manager site visits this past quarter due to the COVID-19 restrictions that were in place. Therefore, you will not find a meetings report for this past quarter in Board Books.

43 CERS Special Called Investment Committee Meeting - Real Estate Fund Investments Increased Allocation

KENTUCKY RETIREMENT SYSTEMS

INVESTMENTS

To: Investment Committee – Kentucky Retirement Systems

From: Anthony Chiu, Director

Date: March 29, 2021

Subject: Investment Recommendation – Harrison Street Core Property Fund

KRS Investment Staff is proposing an additional investment in Harrison Street Core Property Fund (the “Core Fund”), an open-end core real estate fund that focuses on stabilized properties in three sectors that Harrison Street believes to be defensive and needs-based: healthcare, education, and storage.

KRS is a founding investor in the fund, which launched in 2011. A commitment of 0.90% of plan assets (around $120 million at the time) was approved by the Investment Committee in November 2011. The Core Fund has approximately $10 billion of gross asset value and $7.5 billion of net asset value as of the end of 2020.

As a result of the new asset allocation that took effect at the beginning of 2021, KRS’s target weight for real estate increased from 5% to 10%. Both KRS’s Pension and Insurance entities began the year with around a 4% allocation to real estate, and this proposed addition will help move the plans toward their increased target as it gets deployed over the next 2-3 quarters.

Business / People: Harrison Street Capital was founded in 2005 in Chicago by Christopher Merrill (previously at Heitman from 1993-2005) and the Galvin family (founders of Motorola). In 2018, the firm sold a 75% stake to real estate services company Colliers International. The Galvins exited the company as a result of the deal, while Merrill remained the firm’s CEO and is the firm’s largest individual shareholder.

Harrison Street currently has $32 billion under management across several investment vehicles, including closed-end opportunistic fund series that focus on real estate in the US (7 funds) and Europe (3 funds). The firm also launched an open-end Social Infrastructure fund in 2018 that targets investments servicing universities, health systems, and municipalities.

Joey Lansing joined Harrison Street in 2011 to found the Core Fund and is its Senior Portfolio Manager. Prior to Harrison Street, he was the Chief Operating Officer at real estate consultant ORG Portfolio Management from 2009-2011. Before ORG, Lansing was a Senior Principal at Syndicated Equities, where he led a real estate fund-of-funds strategy.

Lansing is one of seven Core Fund Investment Committee members, which includes Merrill and five other senior executives who have been with the Core Fund since inception. As a firm, Harrison Street has close to 200 employees, including over 30 each on the Transactions and Asset Management teams.

Investment Process and Portfolio:

Over nearly 10 years, the Core Fund has built a portfolio of more than 300 healthcare, education, and storage properties across 36 states and 72 metro areas.

44 CERS Special Called Investment Committee Meeting - Real Estate Fund Investments Increased Allocation

This has been driven by a network of 50+ operating partners that specialize in the development, leasing, and management of assets in the Core Fund’s targeted sectors. These partners provide Harrison Street exclusive opportunities in exchange for their capital and structuring expertise.

By sector and value, the portfolio currently consists of roughly 70% healthcare, 20% student housing, and 10% self-storage. Within healthcare, medical office and senior housing each comprise around 30% of the total portfolio. Medical office occupancy has been stable, remaining at pre-pandemic levels of over 95%. Senior housing occupancy did decline as facilities were closed in early 2020, but move-ins have resumed and the fund’s assets are all private pay. The Core Fund’s student housing portfolio is also expected to normalize with universities nationwide largely planning to reopen for in-person enrollment in fall 2021.

The Core Fund continued to find attractive deals across its target sectors in 2020. These include a student housing portfolio at University of Massachusetts-Amherst, a medical office building that is master leased to Yale University for 20 years, and a Fort Myers, Florida area self-storage facility built in 2019 that is over 85% occupied.

The portfolio currently has and targets around 25% leverage, with a limit of 40%.

Performance:

Since Inception Fund 1 yr 3 yr 5 yr Inception Date Harrison Street Core Property Fund 5.0% 6.4% 7.6% 8.2% May 2012 NCREIF NFI ODCE Net Index 0.5% 4.3% 5.7% 8.2%

Source: BNY, Harrison Street, NCREIF as of 9/30/20

From its 4Q 2020 flash report, the Core Fund produced a net return of 4% for 2020 despite the pandemic. Almost all of this consisted of income, as appreciation was essentially flat. For comparison, the ODCE index returned 0.3% for the year.

Conclusion: KRS currently has ~$125 million in the Core Fund, and Staff is recommending an additional investment of $200 million to be shared among all plans. This represents an additional 0.9-1.0% of plan assets (depending on fluctuations in market value) and would result in a 1.5-1.6% weight when fully funded.

Investment and Terms Summary Type of Investment: Real Estate - Core Structure: Open end Management Fee: 0.75% of NAV Performance Fee: None Purpose: Capture current income from properties serving sectors with ongoing secular demand, with some potential for capital appreciation Risks: Equity, Leverage, Liquidity, Fund Size Exp. Net Return: 5 - 9%

45 CERS Special Called Investment Committee Meeting - Real Estate Fund Investments Increased Allocation

KENTUCKY RETIREMENT SYSTEMS

INVESTMENTS

To: Investment Committee – Kentucky Retirement Systems

From: Anthony Chiu, Director

Date: March 29, 2021

Subject: Investment Recommendation – Prologis Targeted U.S. Logistics Fund

KRS Investment Staff is proposing an additional investment in the Prologis Targeted U.S. Logistics Fund (“USLF”), an open-end core real estate fund that focuses exclusively on US industrial real estate.

A commitment to USLF of up to 1% of plan assets (around $120 million at the time) was approved by the Investment Committee in November 2013. An initial commitment of $70 million was made in late 2013 and funded at the beginning of 4Q 2014. A follow-on commitment of $70 million was subsequently added in 3Q 2018.

Business / People: Prologis is a leading global owner, operator, and developer of industrial real estate. The company is a publicly traded real estate investment trust (NYSE: PLD) and has over $145 billion of assets under management.

USLF was originally known as AMB U.S. Logistics REIT and was part of AMB Property Corporation, another publicly traded real estate investment trust (NYSE: AMB) that Prologis merged with in 2011.

USLF had approximately $17 billion of gross asset value and $13.4 billion of net asset value as of the end of 2020. For alignment, Prologis invests a substantial amount of balance sheet capital alongside institutional investors in vehicles like USLF, which they call their “co-investment ventures.” For USLF, Prologis currently owns more than 25% of the fund’s units.

Bobby Bransfield joined AMB in 1994, has managed USLF since 2004, and leads a Boston-based fund management team of eight. USLF is governed by the Prologis Americas Investment Committee which consists of nine senior executives and seven rotational seats that rotate quarterly among senior personnel. As a firm, Prologis has 1700 employees globally, with over 1000 in the Americas.

Investment Process and Portfolio:

USLF targets investments that they believe will produce a levered gross IRR of 7-9% based on a ten-year hold. The fund takes limited development risk and targets stabilized assets, which they define as having occupancy of at least 90%. The portfolio has ~20% leverage, with a target of 30-40% and a limit of 45%.

46 CERS Special Called Investment Committee Meeting - Real Estate Fund Investments Increased Allocation

Around 50% of the portfolio consists of third-party acquisitions, with another 45% internally sourced assets from the Prologis development pipeline. For internal deals, USLF has to receive approval from its Investor Advisory Committee (IAC), which consists of 9 rotating investors that serve two-year terms. KRS has previously served on the IAC and has expressed interest in participating again.

USLF owns 730 properties across 29 US markets, with a primary focus on major hub and gateway distribution markets. Southern California is the fund’s largest market, comprising over 20% of value, while the New York, San Francisco, and Seattle metro areas each make up around 10%. USLF’s customer base is also well-diversified, with its largest and top 10 customers comprising just 3% and 13% of rents, respectively. Portfolio occupancy was at 94% at the end of 2020.

Fund performance has been strong over the past several years given tailwinds like e-commerce growth and reshoring that have greatly benefited the industrial sector. The increased demand for industrial space has continued to drive higher rent growth, especially as inventory hit a 50-year low in 2020. While the double-digit capital appreciation of the past five years may taper somewhat going forward, the Fund seems likely to continue being a steady provider of current income.

Performance:

Since Inception Fund 1 yr 3 yr 5 yr Inception Date Prologis Targeted U.S. Logistics Fund 7.9% 13.5% 15.0% 14.3% Oct 2014 NCREIF NFI ODCE Net Index 0.5% 4.3% 5.7% 7.0%

Source: BNY, Prologis, NCREIF as of 9/30/20

From its 4Q 2020 report, USLF produced a net return of 9.8% for 2020, with about a third coming from income and the rest from appreciation. For comparison, the ODCE index returned 0.3% for the year.

Conclusion: KRS currently has ~$215 million in the Fund, and Staff is recommending an additional investment of $100 million to be shared among all plans. This represents an additional ~0.5% of plan assets (depending on fluctuations in market value) and would result in a ~1.5% weight when fully funded.

Investment and Terms Summary Type of Investment: Real Estate - Core Structure: Open end Fees: Class A (~$141MM) - Management fee: 0.90% of net asset value - Performance fee: 10% over a 7% IRR - Acquisition fee: None Class E (~$71 million) - no longer offered but KRS has some of these shares - Management fee: 7.5% of net operating income - Performance fee: 15% over a 9% IRR and 20% over a 12% IRR - Acquisition fee: 0.9% on third-party acquisitions Purpose: Capture current income from US industrial properties, with some potential for rent growth and capital appreciation Risks: Equity, Leverage, Liquidity, Fund Size Exp. Net Return: 5 - 9%

47 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

WILSHIRE Wilshire Consulting

County Employees Retirement System Quarterly Board Summary Report March 31, 2021

48 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

W i l s hi r e Cons ul ti ng MARCH 2021 ASSET CLASS ASSUMPTIONS

Equity Fixed Income Real Assets

GLOBAL DEV EMG. GLOBAL NON-U.S. U.S. REAL R EAL PRIVATE U.S. EX-U.S. MRKT. EX-U.S. GLOBAL PRIVATE CORE LT CORE HIGH BOND ESTATE ESTATE R EAL R EAL STOCK STOCK STOCK STOCK STOCK EQUITY C ASH BOND BOND U.S. TIPS YIELD (HDG) SECS SECS ESTATE CMDTY ASSETS U.S. CPI

Compound Return (%) 4.75 5.75 5.75 6.00 5.40 7.15 1.25 2.05 2.60 1.70 3.90 0.70 5.15 5.30 6.00 3.70 5.80 2.45

Arithmetic Return (%) 6.10 7.25 8.75 7.65 6.75 10.55 1.25 2.15 3.00 1.90 4.40 0.80 6.50 6.45 6.90 4.75 6.30 2.45

Expected Risk (%) 17.00 18.00 26.00 19.15 17.15 28.00 0.75 4.30 8.85 6.00 10.00 4.30 17.00 15.85 14.00 15.00 10.15 1.75

Cash Yield (%) 1.50 2.25 1.75 2.10 1.75 0.00 1.25 3.35 3.80 2.65 7.95 2.05 3.30 3.30 2.25 1.25 2.10 0.00

Growth Expoure 8.00 8.00 8.00 8.00 8.00 13.50 0.00 -0.80 -2.10 -3.00 4.00 -1.00 6.00 6.00 3.50 0.00 1.80 0.00

Inflation Expoure -3.00 0.00 5.00 1.55 -1.10 -3.80 0.00 -2.45 -6.55 2.50 -1.00 -3.00 1.00 1.95 1.00 12.00 4.90 1.00

Correlations US Stock 1.00

Dev ex-US Stock (USD) 0.81 1.00

Emerging Mkt Stock 0.74 0.74 1.00

Global ex-US Stock 0.83 0.96 0.87 1.00

Global Stock 0.95 0.92 0.83 0.94 1.00

Private Equity 0.74 0.64 0.62 0.67 0.74 1.00

Cash Equivalents -0.05 -0.09 -0.05 -0.08 -0.07 0.00 1.00

Core Bond 0.28 0.13 0.00 0.09 0.20 0.31 0.19 1.00

LT Core Bond 0.31 0.16 0.01 0.12 0.23 0.32 0.11 0.92 1.00

TIPS -0.05 0.00 0.15 0.05 0.00 -0.03 0.20 0.59 0.47 1.00

High Yield Bond 0.54 0.39 0.49 0.45 0.51 0.34 -0.10 0.25 0.32 0.05 1.00

Dev ex-US Bond (Hdg) 0.16 0.25 -0.01 0.17 0.18 0.26 0.10 0.66 0.65 0.39 0.26 1.00

US RE Securities 0.58 0.47 0.44 0.49 0.56 0.50 -0.05 0.17 0.23 0.10 0.56 0.05 1.00

Global RE Securities 0.64 0.58 0.56 0.61 0.65 0.58 -0.05 0.17 0.22 0.11 0.61 0.03 0.96 1.00

Private Real Estate 0.54 0.44 0.44 0.47 0.52 0.51 -0.05 0.19 0.25 0.09 0.57 0.05 0.77 0.75 1.00

Commodities 0.25 0.34 0.39 0.38 0.32 0.27 0.00 -0.02 -0.02 0.25 0.29 -0.10 0.25 0.28 0.25 1.00

Real Assets 0.48 0.51 0.58 0.57 0.54 0.47 -0.02 0.23 0.25 0.39 0.56 0.05 0.70 0.75 0.70 0.65 1.00

Inflation (CPI) -0.10 -0.15 -0.13 -0.15 -0.13 -0.10 0.10 -0.12 -0.12 0.15 -0.08 -0.08 0.05 0.03 0.05 0.44 0.26 1.00

49 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

W i l s hi r e Cons ul ti ng RISK MONITOR YIELDYIELD CURVE CURVE SLOPE SLOPE VS RECESSIONS VS RECESSIONS (IN GRAY) (IN GRAY) BLOOMBERGBLOOMBERG BARCLAYS BARCLAYS CREDIT CREDIT INDEXES INDEXESINDEXES 5.05.000 7.00 7.07.000 20.020.0020.000

4.04.000 18.018.0018.000 (%) 6.00 6.06.000 16.00 (%) 16.0016.00 3.03.000 TBill 5.00 5.05.000 14.014.0014.000 2.02.000 12.012.0012.000 Month (%) TBill 4.00 4.04.000 - Month 1.00 3 1.00 10.010.0010.000 - - 3- 0.00 3.00 3.03.000 8.00 0.00 8.008.00 -1.00 6.00 -1.00 2.00 2.02.000 6.00 4.00

Treasury Treasury -2.00 4.004.00 Option Adjusted Spread (%) Spread Adjusted Option -2.00 Option AdjustedSpread 1.01.000

Option Adjusted Spread (%) Spread Adjusted Option 1.00 2.00 Year Treasury Year 2.00 - -3.00 2.00 Year Year < - Investment Grade High Yield - >

10 0.00 -3.00 0.00.00<0 - Investment Grade High Yield - > 0.00 10 - -4.00 0.00 0.00 -4.00

Investment Grade High Yield ST. LOUIS FED FINANCIAL STRESS INDEX InvestmentCBOE VOLATILITY Grade HighINDEX Yield 8.00 ST. LOUIS FEDFED FINANCIALFINANCIAL STRESSSTRESS INDEXINDEX 70.00 CBOE VOLATILITY INDEX 8.008.00 70.070.000 7.00 7.007.00 60.00 6.00 60.060.000 (Zero)

6.006.00 (%) 5.00 50.00 5.005.00 50.050.000 4.00 40.00 4.004.00

to Average to 40.040.000 3.00 3.00 3.00 30.00 2.00 30.030.000 2.002.00

1.00 20.00ExpectedVolatility 1.001.00 20.020.000 Day Day Expected (%) Volatility - Day Day Expected (%) Volatility 0.00 Day 0.000.00 - Stress Relative Relative Stress

30 10.00 30 -1.00 30 - 10.010.000 --1.001.00

Market Stress Relative to Average (Zero) Average to RelativeStress Market -2.00 0.00 Market Stress Relative to Average (Zero) Average to RelativeStress Market Market --2.002.00 0.00.000

Data sources: Bloomberg

50 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

W i l s hi r e Cons ul ti ng U.S. EQUITY MARKET U.S. SECTOR WEIGHT AND RETURN (%) 11.8 Information Technology 27.1 28.8 Information Technology 25.4 1.4 6.1 AS OF 3/31/2021 QTR YTD 1 YR 3 YR 5 YR 10 YR Health Care 14.1 8.6 Health Care 13.2 2.9 18.9 Consumer Discretionary 12.5 29.3 Wilshire 5000 Index 6.5 6.5 62.2 17.2 16.7 13.8 Consumer Discretionary 12.6 4.9 3.7 Wilshire U.S. Large Cap 5.8 5.8 59.6 17.4 16.8 14.0 Financials 10.2 -21.6 Financials 12.0 16.7 Wilshire U.S. Small Cap 13.5 13.5 94.3 14.8 15.6 12.0 8.7 Communication Services 9.9 7.7 8.8 Wilshire U.S. Large Growth 2.0 2.0 66.5 21.3 20.7 15.9 Communication Services 10.0 Industrials 8.9 11.9 Wilshire U.S. Large Value 9.8 9.8 51.3 13.4 12.9 12.0 Industrials 9.7 11.4 -4.8 10.3 Wilshire U.S. Small Growth 9.0 9.0 96.7 17.7 18.9 13.1 ConsumerConsumer Staples Staples5.9 6.7 2.0 3.9

8.6 1.4 Wilshire U.S. Small Value 18.2 18.2 91.5 11.9 12.3 10.8 RealRea Estatel Estate3.5 3.6 -12.5

Wilshire REIT Index 8.8 8.8 34.7 9.0 5.0 8.5 31.7 5.0 EnergyUtilities2.7 2.9 -7.6 MSCI USA Min. Vol. Index 2.3 2.3 30.6 12.4 11.9 13.1 MatUtilitieserials2.6 2.3 3.0 12.1 FTSE RAFI U.S. 1000 Index 14.4 14.4 67.9 14.1 14.3 12.6 1.2 MaterialsEnergy2.5 2.0 11.5 -18.9 -48.0

WilshireWilshire 50005000 6.5 9.1 5.5 Quarter 1 Year LARGE CAP VS SMALL CAP Quarter Year-to-Date 20.0% LARGE CAP VS SMALL CAP LARGELARGE GROWTH GROWTH VS VS LARGE LARGEVALUE VALUE 20.0% 15.0% 15.0% 15.0% 10.0% 15.0% 10.010.0%% 5.0% 10.0% 0.0% 5.05.0%% 5.0% -5.0% 0.00.0%% -10.0%0.0%

-5.0% -15.0%-5.0% -5.0%

-20.0% -10.0% -10.0-10.0%%

Quarterly Excess Rolling 3-Year Excess Quarterly Excess Rolling 3-Year Excess QuarterlyQuarterlyExcess Excess RollingRolling 3 -3-YearYear Excess Excess Data sources: Bloomberg, WilshireAtlas

51 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

W i l s hi r e Cons ul ti ng NON-U.S. EQUITY MARKET AS OF 9/30/2020 QTR YTD 1 YR 3 YR 5 YR 10 YR AS OF 3/31/2021 QTR YTD 1 YR 3 YR 5 YR 10 YR

MSCI ACWI ex-US ($G) 3.6 3.6 50.0 7.0 10.3 5.4 MSCI EAFE ($G) 3.6 3.6 45.2 6.5 9.4 6.0 MSCI Emerging Markets ($G) 2.3 2.3 58.9 6.9 12.5 4.0 MSCI Frontier Markets ($G) -6.0 -6.0 34.0 -4.0 2.8 1.8 MSCI ACWI ex-US Growth ($G) 0.0 0.0 49.8 10.7 12.4 7.1 MSCI ACWI ex-US Value ($G) 7.3 7.3 51.7 3.2 8.1 3.9 MSCI ACWI ex-US Small ($G) 5.6 5.6 70.4 7.0 10.8 6.7 MSCI ACWI Minimum Volatility 1.9 1.9 25.1 8.5 9.0 9.8 MSCI EAFE Minimum Volatility -0.5 -0.5 19.5 3.4 5.6 7.0 FTSE RAFI Developed ex-US 8.6 8.6 54.5 4.7 9.0 4.6 MSCI EAFE LC (G) 7.7 7.7 37.1 7.6 9.3 8.0 MSCI Emerging Markets LC (G) 4.0 4.0 53.5 9.7 13.3 7.3

DEVELOPEDDEVELOPED MARKETS MARKETS WEIGHT WEIGHT AND AND RETURN RETURN(%) (%) EMERGINGEMERGING MARKETS MARKETS WEIGHT WEIGHT AND AND RETURN RETURN(%) (%)

7.1 12.5 Japan 25.8 1.7 China 41.9 -0.1 Japan 24.8 -0.4 China 37.9 16.5

11.0 17.0 6.2 -0.2 TaiwanTaiwan 12.813.8 UnitedUnitedKingdom Kingdom 13.314.3-23.4 15.2

1.0 12.9 2.9 4.6 South KoreaKorea 12.113.3 4.8 FFrancerance 10.711.1 -13.2

5.2 India 9.7 15.0 4.3 5.1 India 8.3 -4.1 SwitzGermanyerland 10.49.5 4.2

-10.0 -3.2 BraBrazilzil 44.5.6 -1.6 8.3 -40.8 SwitzerlandGermany 9.69.2 0.6

12.3 3.9 South AfriAfricaca 33.8.5 3.5 2.8 -21.0 AustAustraliaralia 6.67.0 -10.9 2.3 MSCI Emrg Mrkts 9.7 MSCI Emrg Mrkts 4.9 -0.9 MSCI EAFE 3.6 MSCI EAFE -6.7 -20 0 20 40 60 80 100 -50 -40 -30 -20 -10 0 10 20 Quarter 1 Year QuarterQuarterYear-to1 -YearDate Quarter Year-to-Date

Data sources: Bloomberg

52 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

W i l s hi r e Cons ul ti ng U.S.FIXEDINCOME

ASASOF OF9/30/2020 3/31/2021 YTWYTW DUR. QTRQTR YTDYTD 1 1YRYR 3 YR3 YR 5 YR5 YR 10 10YR YR Bloomberg Barclays Aggregate 1.6 6.4 -3.4 -3.4 0.7 4.7 3.1 3.4 Bloomberg Barclays Treasury 1.0 6.8 -4.3 -4.3 -4.4 4.1 2.2 2.9 Bloomberg Barclays Gov't-Rel. 1.5 6.0 -2.9 -2.9 2.4 4.4 3.1 3.3 Bloomberg Barclays Securitized 1.8 4.2 -1.2 -1.2 0.3 3.9 2.5 2.9 Bloomberg Barclays Corporate 2.3 8.5 -4.6 -4.6 8.7 6.2 4.9 5.0 Bloomberg Barclays LT Gov't/Credit 3.0 16.3 -10.4 -10.4 -2.1 7.1 5.5 7.0 Bloomberg Barclays LT Treasury 2.3 18.6 -13.5 -13.5 -15.8 5.9 3.1 6.3 Bloomberg Barclays LT Gov't-Rel. 3.4 13.5 -7.4 -7.4 5.2 6.1 5.3 6.7 Bloomberg Barclays LT Corporate 3.5 15.1 -8.5 -8.5 9.2 7.7 6.9 7.3 Bloomberg Barclays U.S. TIPS * 1.6 8.1 -1.5 -1.5 7.5 5.7 3.9 3.4 Bloomberg Barclays High Yield 4.2 3.9 0.8 0.8 23.7 6.8 8.1 6.5 Treasury Bills 0.0 0.3 0.0 0.0 0.1 1.5 1.2 0.7 * Yield and Duration statistics are for a proxy index based on similar maturity, the Bloomberg Barclays U.S. Treasury 7-10 Year Index

FIXEDFIXED INCOME INCOME OPTION OPTION ADJUSTED ADJUSTEDSPREAD SPREAD(BPS) (BPS) TREASURYTREASURY YIELD CURVE (%) 1,000 1,000 3.002.50 909000 800 800 2.502.00 707000 606000 2.00 1.50 505000 1.50 404000 303000 1.00 1.00 202000 101000 0.50 0.50 00

0.000.00 0 5 1010 1515 2020 2525 3030 SecuritizedSecuritized AaAaCorporate Corporate IGIG CorporateCorporate HighHigh YieldYield 3/31/20219/30/2020 12/31/20206/30/2020 3/31/20209/30/2019

Data sources: Bloomberg

53 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

W i l s hi r e Cons ul ti ng HIGHYIELD BOND MARKET

AS OF 3/31/2021 YTW QTR YTD 1 YR 3 YR 5 YR 10 YR AS OF 9/30/2020 YTW QTR YTD 1 YR 3 YR 5 YR 10 YR Bloomberg Barclays High Yield 4.2 0.8 0.8 23.7 6.8 8.1 6.5 S&P LSTA Leveraged Loan 3.7 1.0 1.0 15.3 4.1 5.0 3.9 HIGH YIELD QUALITY DISTRIBUTION WEIGHT Ba U.S. High Yield 53.2% 3.4 -0.1 -0.1 22.4 8.0 7.6 6.9 B U.S. High Yield 33.5% 4.5 1.2 1.2 21.6 6.4 7.6 6.1 Caa U.S. High Yield 12.8% 6.5 3.6 3.6 33.3 3.6 9.3 6.2 Ca to D U.S. High Yield 0.5% 17.2 14.6 14.6 67.3 4.2 18.2 -3.3 Non-Rated U.S. High Yield 0.0% 0.0 0.0 0.0 6.1 0.1 3.8 2.8

FIXED INCOME OPTION ADJUSTED SPREAD (BPS) 1,800 FIXED INCOME OPTION ADJUSTED SPREAD (BPS) 1,800 1,600 1,600 1,400 1,400 1,200 1,200 1,000 1,000 800 800 600 600 400 400

200200

HYHY IndIndex Indexex BaBa BB Caa CaaCaa

Data sources: Bloomberg

54 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

W i l s hi r e Cons ul ti ng REAL ASSETS

ASASOF OF9/30/2020 3/31/2021 QTRYTW YTDQTR 1 YTDYR 3 1YRYR 5 3YRYR 105 YRYR 10 YR Bloomberg Barclays U.S. TIPS -1.5 -1.5 7.5 5.7 3.9 3.4 Bloomberg Commodity Index 6.9 6.9 35.0 -0.2 2.3 -6.3 Bloomberg Gold Index -9.8 -9.8 4.4 7.4 5.5 0.9 Wilshire Global RESI Index 6.6 6.6 34.1 6.6 4.8 7.3 NCREIF ODCE Fund Index 2.1 2.1 2.3 4.9 6.2 9.7 NCREIF Timberland Index 0.8 0.8 1.5 1.8 2.6 4.6 Alerian Misstream Energy 20.9 20.9 74.5 4.2 4.8 n.a.

REAL ESTATE VALUATION (%) NCREIF ODCE FUND INDEX RETURN (%) 7.00 30.00

6.00 20.00 5.00 10.00 4.00 0.00 3.00 -10.00 2.00 -20.00 1.00

0.00 -30.00

-40.00

NPI Current Value Cap Rate FTSE NAREIT Current Yield 10-Year Treasury Constant Maturity Rate HY Index Ba B CAppreciationaa Income Total Return

Data Sources: Bloomberg, National Council of Real Estate Investment Fiduciaries

55 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

W i l s hi r e Cons ul ti ng ASSETCLASS PERFORMANCE

ANNUALIZEDANNUALIZED ASSETASSETASSET CLASS CLASSCLASS RETURNS RETURNSRETURNS -- BESTBEST TOTO WORSTWORST 5-5-YEAR5-YEARYEAR 20162015 20172016 2018 2017 20192018 2019 2020 20202021 YTD YTD ASAS AS OF OF OF 12/209/20 3/21 MLPsREITs EmrgMLPs Mrkts EmrgT-Bills Mrkts U.S.T-BillsT- BillsEquityU.S. U.S. EquityEquity U.S.MidstreamU.S. EquityTIPS U.S. U.S. Equity Equity 18.3%4.2% 37.7%18.3% 1.9%37.7% 31.0%1.9% 31.0% 20.8% 20.8%9.2%20.9% 13.8%15.5%16.7% HighU.S. Yield Equity DevelopedHigh Yield CoreDeveloped Bond CoreREITs Bond EmrgREITs Mrkts EmrgCoreREITs MrktsBond EmrgEmrg Mrkts Mrkts 17.1%0.7% 25.6%17.1% 0.0%25.6% 25.8%0.0% 25.8%18.7% 18.7%6.8%8.8% 13.2%9.4%12.5% U.S.Core Equity Bond U.S.U.S. Equity Equity U.S. EquityTIPS DevelopedU.S. TIPS DevelopedU.S. TIPS CommoditiesU.S.U.S.Equity TIPS HighDeveloped Yield 0.6% 13.4% 21.0% -1.3%-1.3% 22.7% 11.0%5.5% 8.6%6.8% 13.4% 21.0% -1.3% 22.7% 11.0% 6.9% 9.4% T-BillsT-Bills Commodities High Yield High Yield Emrg Mrkts DevelopedT-Bills Developed Commodities High Yield High Yield Emrg Mrkts Developed U.S. Equity High Yield 0.1% 11.8% 7.5% - -2.1%2.1% 18.9% 0.7%8.3% 8.0%5.8% Developed11.8% Emrg7.5% Mrkts -2.1%REITs 18.9%REITs High8.3% Yield CoreHigh6.5% YieldBond U.S.8.1% TIPS Emrg-0.4%- Mrkts0.4% REITs11.6% REITs4.2% High- -4.8%4.8% Yield Core14.3% Bond Developed0.6%7.5% 4.6%5.1%REITs 11.6%U.S. TIPS 4.2%REITs Core -4.8% Bond U.S.14.3% Equity Core7.5% Bond EmrgHigh3.6% MrktsYield Core5.0% Bond REITs--1.4%1.4% Core7.2% Bond U.S.3.6% Equity Core--5.3%5.3% Bond High8.7% Yield Emrg-7.1%0.9% Mrkts Midstream4.4%4.2% High7.2% Yield U.S.3.6% TIPS U.S. -5.3% TIPS Commodities8.7% U.S.7.1% TIPS DevelopedT-Bills2.3% REITs4.8% U.S.-4.5%- 4.5%TIPS U.S.4.7% TIPS Commodities3.0% U.S.-11.2%-11.2% TIPS T-Bills8.4% High-0.7%6.7% Yield U.S.3.7%4.3% TIPS Emrg4.7% Mrkts Core 3.0% Bond Commodities-11.2% MLPs8.4% Commodities0.7% Commodities0.8% MidstreamT-Bills3.9% 1.2% Core--14.6%14.6% Bond Commodities2.6% MLPs1.7% Commodities--12.4%12.4% Commodities7.7% - -3.1%12.1%T-Bills Core1.5% Bond Commodities Developed T-BillsT-Bills Developed MLPs REITs CommoditiesT-Bills 2.6% 1.7% -12.4% 7.7% -3.1% 0.0% 3.1% --24.7%24.7% 1.5% 0.8% -13.4%-13.4% 6.6% --7.9%16.7% -1.2%3.1% Developed T-Bills Developed MLPs REITs U.S. TIPS Commodities MLPs T-BillsT-Bills MLPs Emrg Mrkts T-T-BillsBills MidstrMidstreameam CommoditiesMidstream 1.5%-32.6%-32.6% 0.8%0.3% -13.4%-6.5%-6.5% -14.2%-14.2%6.6% 2.3%-7.9% -23.4%-36.2%-1.5% -1.0%4.5%2.3% T-Bills MLPs Emrg Mrkts T-Bills Midstream Core Bond T-Bills 0.3% -6.5% -14.2% 2.3% -23.4% -3.4% 1.2%

Data sources: Bloomberg Note: Developed asset class is developed equity markets ex-U.S., ex-Canada

56 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Pension Plan

57 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Asset Allocation Bucketing CERS Pension Plan Periods Ended As of March 31, 2021

58 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Asset Allocation Bucketing CERS(H) Pension Plan Periods Ended As of March 31, 2021

59 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Asset Allocation Compliance KRS Pension Plan Periods Ended As of March 31, 2021 Executive Summary

U.S. Equity (22.7%)

Non-U.S. Equity (21.9%)

Core Fixed (15.2%)

High Yield / Specialty (17.2%)

Real Estate (4.0%)

Real Return (6.8%)

Private Equity (7.8%)

Cash Equivalent (1.9%)

Opportunistic (2.5%)

0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0%

Policy Target In Policy Outside Policy

Asset Asset Minimum Maximum Target Target Allocation Allocation Allocation Allocation Allocation Rebalance $ (%) (%) (%) (%) $ U.S. Equity 3,368,632,303 22.7 14.4 26.8 20.6 -310,468,637 Non-U.S. Equity 3,250,518,383 21.9 14.4 26.8 20.6 -192,354,717 Core Fixed 2,263,311,445 15.2 9.8 14.6 12.2 -452,165,973 High Yield / Specialty 2,546,489,496 17.2 10.5 19.5 15.0 -319,671,293 Real Estate 589,400,002 4.0 7.0 13.0 10.0 895,145,467 Real Return 1,011,388,853 6.8 7.0 13.0 10.0 473,156,616 Private Equity 1,155,001,941 7.8 6.6 12.2 9.4 240,470,800 Cash Equivalent 285,262,649 1.9 0.0 4.4 2.2 41,337,354 Opportunistic 375,449,617 2.5 0.0 5.0 0.0 -375,449,617 Total Fund 14,845,454,688 100.0 100.0

60 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Total Fund Summary KRS Pension Plan Periods Ended March 31, 2021 Comparative Performance Added Value History 40.0 1.6

0.8 30.0 29.0 28.9 0.0 20.0 -0.8 Return Added Value Added (%) Value 9.6 9.2 10.0 8.5 8.4 7.5 7.5 7.6 -1.6 3.8 3.0 -2.4 0.0 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 3/21 1 1 3 5 10 Inc. Quarter Year Years Years Years 7/1/11 Quarterly Added Value (up market) Quarterly Added Value (down market)

KRS Pension Plan KRS IPS Index Annualized Added Value

Rolling Percentile Rank: All Public Plans-Total Fund Risk and Return 04/1/16 - 03/31/21 0.0 15.0

25.0 10.0

50.0 5.0 Return Return (%) 75.0 0.0 Return Return Percentile Rank 100.0 -5.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 Risk (Standard Deviation %) 5-25 25-Median Median-75 75-95 Total Period Count Count Count Count KRS Pension Plan KRS IPS Index ¾ KRS Pension Plan 10 0 (0%) 4 (40%) 5 (50%) 1 (10%) ¾ Benchmark 10 0 (0%) 1 (10%) 6 (60%) 3 (30%) 90 Day US Treasury Bill

61 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Total Fund Attribution KRS Pension Plan Periods Ended 1 Quarter Ending March 31, 2021 Total Fund Performance Total Value Added:0.8%

Total Value Added 0.8% Asset Allocation -0.2 %

Total Fund Benchmark 3.0% Manager Value Added 1.0%

Total Fund 3.8% Other 0.0%

0.0% 2.0% 4.0% 6.0% -0.8 % 0.0% 0.8% 1.6%

Total Asset Allocation:-0.2 % Asset Allocation Value Added:-0.2 % Total Manager Value Added:1.0%

US Equity Composite 1.4% 0.1% 0.2% Non-US Equity Composite 1.3% 0.0% -0.1 % High Yield / Specialty Composite 2.1% 0.0% 0.3% Private Equity Composite -1.6 % -0.1 % 0.0% Real Return Composite -3.2 % -0.1 % 0.0% Real Estate Composite -6.0 % 0.1% 0.0% Core Fixed Composite 3.6% -0.2 % 0.5% Cash Composite -0.2 % 0.0% 0.0% Opportunistic Composite 2.6% 0.0% 0.0%

-12.0 % -6.0 % 0.0% 6.0% -0.6 % -0.4 % -0.2 % 0.0% 0.2% -0.3 % 0.0% 0.3% 0.6% 0.9%

Average Active Weight Asset Allocation Value Added Manager Value Added

62 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Asset Allocation & Performance KRS Pension Plan Periods Ended March 31, 2021 Allocation Performance (%) net of fees Market 1 1 3 5 Since Inception Value % QTD FYTD Month Year Years Years Inception Date $ KRS Pension Plan 14,845,454,688 100.00 1.92 3.79 18.42 28.99 8.51 9.61 9.13 4/1/1984 KRS IPS Index 1.63 2.98 17.59 28.93 8.37 9.17 Value Added 0.29 0.81 0.83 0.06 0.14 0.44

CERS Pension Plan 8,201,883,085 55.25 2.01 3.95 18.98 29.65 8.54 9.73 9.14 4/1/1984 CERS IPS Index 1.76 3.22 18.02 29.32 8.48 Value Added 0.25 0.73 0.96 0.33 0.06 Assumed Rate 6.25% 0.51 1.53 4.65 6.25 6.25 Value Added 1.50 2.42 14.33 23.40 2.29

CERS (H) Pension Plan 2,780,134,311 18.73 2.01 3.93 18.95 29.56 8.52 9.69 9.14 4/1/1984 CERS (H) IPS Index 1.77 3.24 18.07 29.37 8.47 Value Added 0.24 0.69 0.88 0.19 0.05 Assumed Rate 6.25% 0.51 1.53 4.65 6.25 6.25 Value Added 1.50 2.40 14.30 23.31 2.27

63 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Plan Sponsor TF Asset Allocation KRS Pension Plan vs All Public Plans-Total Fund Periods Ended March 31, 2021 80.0

65.0

50.0

35.0

20.0 Allocation Allocation (%)

5.0

-10.0

-25.0 Global ex-US Global ex-US Cash & US Equity US Fixed Alternatives Total Real Estate Equity Fixed Equivalents ¢ KRS Pension Plan 22.69 21.90 32.40 13.68 3.97 1.92

5th Percentile 62.39 25.57 60.94 5.45 39.88 14.21 6.49 1st Quartile 50.97 18.92 33.22 2.95 20.38 8.83 2.25 Median 43.45 15.26 25.35 0.72 9.67 7.05 1.25 3rd Quartile 33.42 11.91 18.42 0.16 4.88 4.82 0.54 95th Percentile 17.69 6.40 12.71 0.02 1.86 2.18 0.08

KRS Pension Plan as of 3/31 was comprised of KERS, KERS(H), SPRS, CERS & CERS(H) portfolios 17

64 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Plan Sponsor Peer Group Analysis KRS Pension Plan vs All Public Plans-Total Fund Periods Ended March 31, 2021 60.0

50.0

40.0

30.0 Return 20.0

10.0

0.0

-10.0 1 3 5 10 QTD Year Years Years Years ¢ KRS Pension Plan 3.79 (21) 28.99 (86) 8.51 (84) 9.61 (66) 7.47 (78) KRS IPS Index 2.98 (55) 28.93 (86) 8.37 (85) 9.17 (75)

5th Percentile 4.81 44.04 12.43 11.92 9.55 1st Quartile 3.70 39.06 11.29 10.95 8.60 Median 3.10 35.60 10.16 10.16 7.97 3rd Quartile 2.49 31.52 8.89 9.16 7.50 95th Percentile 0.99 15.75 6.56 7.42 6.11

Population 417 416 398 377 310 Parentheses contain percentile rankings. Calculation based on monthly periodicity. KRS Pension Plan as of 3/31 was comprised of KERS, KERS(H), SPRS, CERS & CERS(H) portfolios 18

65 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Plan Sponsor Peer Group Analysis - Multi Statistics KRS Pension Plan vs All Public Plans-Total Fund Periods Ended March 31, 2021 Standard Sharpe Return Deviation Ratio 52.0 2.0 5.0

4.3 44.0 4.0

3.6 36.0 6.0

2.9 28.0 8.0

2.2

20.0 10.0 1.5

12.0 12.0 0.8

4.0 14.0 0.1

-4.0 16.0 -0.6 1 3 5 1 3 5 1 3 5 Year Years Years Year Years Years Year Years Years ¢ KRS Pension Plan 28.99 (86) 8.51 (84) 9.61 (66) 6.72 (6) 8.82 (7) 7.24 (7) 3.84 (2) 0.79 (37) 1.13 (6) KRS IPS Index 28.93 (86) 8.37 (85) 9.17 (75) 7.76 (11) 9.44 (10) 7.57 (8) 3.33 (19) 0.73 (62) 1.03 (16)

5th Percentile 44.04 12.43 11.92 5.55 7.85 6.73 3.58 0.93 1.13 1st Quartile 39.06 11.29 10.95 8.82 10.55 8.58 3.28 0.83 1.00 Median 35.60 10.16 10.16 10.07 11.69 9.45 3.14 0.76 0.95 3rd Quartile 31.52 8.89 9.16 10.77 12.61 10.16 3.01 0.69 0.89 95th Percentile 15.75 6.56 7.42 11.83 14.04 11.36 2.53 0.58 0.79 Parentheses contain percentile rankings. Calculation based on monthly periodicity. KRS Pension Plan as of 3/31 was comprised of KERS, KERS(H), SPRS, CERS & CERS(H) portfolios 19

66 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Plan Sponsor Scattergram KRS Pension Plan vs All Public Plans-Total Fund Periods Ended 3 Years Ending March 31, 2021 14.0

12.0

10.0 Return Return (%) 8.0

6.0

4.0 6.3 7.2 8.1 9.0 9.9 10.8 11.7 12.6 13.5 14.4 15.3 16.2 Risk (Standard Deviation %)

Standard Return Deviation KRS Pension Plan 8.51 8.82 pr KRS IPS Index 8.37 9.44 ¾ Median 10.16 11.69 Calculation based on monthly periodicity.

KRS Pension Plan as of 3/31 was comprised of KERS, KERS(H), SPRS, CERS & CERS(H) portfolios 20

67 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

GROWTH US Equity Composite 3,368,632,303 22.69 3.78 7.45 34.33 63.73 16.52 16.00 11.73 4/1/1984 Russell 3000 Index 3.58 6.35 33.19 62.53 17.12 16.64 11.63 Value Added 0.20 1.10 1.14 1.20 -0.60 -0.64 0.10

S&P 500 Index 2,049,133,096 13.80 4.37 6.17 29.61 56.54 17.26 16.57 8.69 7/1/2001 S&P 500 Index 4.38 6.17 29.71 56.35 16.78 16.29 8.27 Value Added -0.01 0.00 -0.10 0.19 0.48 0.28 0.42

Scientific Beta 221,010,199 1.49 5.14 7.19 29.25 54.82 12.53 13.10 7/1/2016 S&P 500 Index 4.38 6.17 29.71 56.35 16.78 16.62 Value Added 0.76 1.02 -0.46 -1.53 -4.25 -3.52

River Road FAV 252,853,437 1.70 5.45 7.45 34.97 54.60 12.98 14.57 7/1/2016 Russell 3000 Value Index 5.84 11.89 38.26 58.38 10.99 11.48 Value Added -0.39 -4.44 -3.29 -3.78 1.99 3.09

Westfield Capital 242,294,579 1.63 1.20 2.90 28.59 63.67 23.12 20.97 15.88 7/1/2011 Russell 3000 Growth Index 1.37 1.19 28.38 64.31 22.39 20.87 16.73 Value Added -0.17 1.71 0.21 -0.64 0.73 0.10 -0.85

Internal US Mid Cap 198,493,351 1.34 4.69 13.50 47.74 84.18 14.37 15.01 12.34 8/1/2014 S&P MidCap 400 Index 4.67 13.47 47.86 83.46 13.40 14.37 11.93 Value Added 0.02 0.03 -0.12 0.72 0.97 0.64 0.41

68 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Asset Allocation & Performance KRS Pension Plan Periods Ended March 31, 2021 Allocation Performance (%) net of fees Market 1 1 3 5 Since Inception Value % QTD FYTD Month Year Years Years Inception Date $ NTGI Structured 270,316,777 1.82 1.73 14.68 54.01 88.79 15.15 16.27 10.93 10/1/1999 Russell 2000 Index 1.00 12.70 55.36 94.85 14.76 16.35 9.41 Value Added 0.73 1.98 -1.35 -6.06 0.39 -0.08 1.52

Next Century Growth 134,401,035 0.91 -2.57 14.68 94.01 188.30 88.74 11/1/2019 Russell Microcap Growth Index -3.13 16.86 60.68 123.08 56.23 Value Added 0.56 -2.18 33.33 65.22 32.51

Abel Noser Transition 42,381 0.00

Invesco 49,485 0.00

Transition Account 37,963 0.00

Non-US Equity Composite 3,250,518,383 21.90 1.37 3.48 30.14 54.87 8.18 11.13 4.23 7/1/2000 Policy Index 1.37 3.77 29.91 51.94 6.51 10.01 4.14 Value Added 0.00 -0.29 0.23 2.93 1.67 1.12 0.09

BlackRock World Ex US 976,583,783 6.58 2.65 4.19 26.85 46.50 5.80 9.41 7.35 7/1/2009 Policy Index 2.55 4.04 26.46 45.86 5.44 9.10 7.10 Value Added 0.10 0.15 0.39 0.64 0.36 0.31 0.25

American Century 477,881,664 3.22 -1.73 0.49 32.11 62.62 14.93 15.77 9.80 7/1/2014 Policy Index 1.37 3.77 29.91 51.94 6.51 10.00 4.98 Value Added -3.10 -3.28 2.20 10.68 8.42 5.77 4.82

Franklin Templeton 356,956,919 2.40 -1.74 -2.08 22.91 57.99 11.24 14.45 9.51 7/1/2014 Policy Index 1.37 3.77 29.91 51.94 6.51 10.00 4.98 Value Added -3.11 -5.85 -7.00 6.05 4.73 4.45 4.53

69 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Asset Allocation & Performance KRS Pension Plan Periods Ended March 31, 2021 Allocation Performance (%) net of fees Market 1 1 3 5 Since Inception Value % QTD FYTD Month Year Years Years Inception Date $ Lazard Asset Mgmt 530,408,295 3.57 2.94 4.16 30.61 51.79 6.86 9.81 6.00 7/1/2014 Policy Index 1.37 3.77 29.91 51.94 6.51 10.00 4.98 Value Added 1.57 0.39 0.70 -0.15 0.35 -0.19 1.02

LSV Asset Mgmt 429,855,325 2.90 4.16 8.65 29.40 45.99 3.92 8.46 3.88 7/1/2014 Policy Index 1.37 3.77 29.91 51.94 6.51 10.00 4.98 Value Added 2.79 4.88 -0.51 -5.95 -2.59 -1.54 -1.10

NTGI Int'l Small Cap 102,955,329 0.69 2.18 5.26 37.58 69.20 6.76 10.64 12.00 12/1/2008 MSCI AC World ex USA Small Cap (Net) 2.03 5.53 38.25 69.82 6.61 10.40 12.20 Value Added 0.15 -0.27 -0.67 -0.62 0.15 0.24 -0.20

JP Morgan Emerging Markets 188,345,631 1.27 -3.70 -1.54 36.77 76.16 26.82 11/1/2019 MSCI Emerging Markets IMI -1.16 2.91 35.79 61.63 21.01 Value Added -2.54 -4.45 0.98 14.53 5.81

Pzena Emerging Markets 186,365,232 1.26 3.50 10.55 48.86 74.71 18.75 11/1/2019 MSCI Emerging Markets (Net) -1.51 2.29 34.13 58.39 20.25 Value Added 5.01 8.26 14.73 16.32 -1.50

Pyramis Intl 4,038 0.00

Non-US Equity Transition 1,162,168 0.01

High Yield / Specialty Credit Composite 2,546,489,496 17.15 1.60 2.90 12.06 13.44 6.23 10/1/2018 Policy Index 0.07 1.32 11.17 22.23 5.37 Value Added 1.53 1.58 0.89 -8.79 0.86

Adams St SPC II A 42,766,224 0.29 4.35 4.35 8.26 8.26 6/1/2020

Adams St SPC II B 43,215,573 0.29 5.00 5.00 9.52 9.52 6/1/2020

70 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

BSP Coinvestment 25,857,720 0.17 1.77 1.77 4.08 7.01 5.86 10/1/2019 S&P/LSTA Leverage Loan Index 0.00 1.78 10.03 20.71 4.47 Value Added 1.77 -0.01 -5.95 -13.70 1.39

BSP Private Credit 87,671,632 0.59 5.47 5.47 14.47 4.71 4.50 4.26 2/1/2018 S&P/LSTA Leverage Loan Index 0.00 1.78 10.03 20.71 4.13 4.06 Value Added 5.47 3.69 4.44 -16.00 0.37 0.20

Capital Springs 41,975,209 0.28 2.38 2.38 19.55 14.04 11.92 2/1/2020 S&P/LSTA Leverage Loan Index 0.00 1.78 10.03 20.71 3.74 Value Added 2.38 0.60 9.52 -6.67 8.18

Cerberus Capital Mgmt 133,538,771 0.90 1.15 3.56 9.36 9.59 9.27 8.78 8.62 9/1/2014 S&P/LSTA Leverage Loan Index 0.00 1.78 10.03 20.71 4.13 5.28 3.95 Value Added 1.15 1.78 -0.67 -11.12 5.14 3.50 4.67

Columbia 507,694,264 3.42 0.14 0.34 10.86 20.81 7.18 7.10 6.93 11/1/2011 Blmbg. Barc. U.S. Corp: High Yield 0.15 0.85 12.29 23.72 6.84 8.06 6.83 Value Added -0.01 -0.51 -1.43 -2.91 0.34 -0.96 0.10

Manulife Asset Mgmt 355,891,532 2.40 0.09 0.59 9.98 17.85 6.63 5.09 4.93 12/1/2011 Policy Index -1.16 -3.05 -0.83 2.95 4.86 3.59 2.28 Value Added 1.25 3.64 10.81 14.90 1.77 1.50 2.65

Marathon Bluegrass 458,318,245 3.09 3.92 5.50 14.86 6.52 5.54 6.98 6.64 1/1/2016 Blmbg. Barc. U.S. Corp: High Yield 0.15 0.85 12.29 23.72 6.84 8.06 8.34 Value Added 3.77 4.65 2.57 -17.20 -1.30 -1.08 -1.70

71 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Asset Allocation & Performance KRS Pension Plan Periods Ended March 31, 2021 Allocation Performance (%) net of fees Market 1 1 3 5 Since Inception Value % QTD FYTD Month Year Years Years Inception Date $ Shenkman Capital 203,199,966 1.37 -0.10 1.24 9.27 20.35 4.26 4.96 4.62 10/1/2010 S&P/LSTA Leverage Loan Index 0.00 1.78 10.03 20.71 4.13 5.28 4.60 Value Added -0.10 -0.54 -0.76 -0.36 0.13 -0.32 0.02

Waterfall 247,609,095 1.67 1.34 5.39 16.71 17.41 4.05 8.13 9.96 2/1/2010 Policy Index 0.11 0.81 8.61 16.92 5.10 6.07 5.21 Value Added 1.22 4.58 8.10 0.49 -1.05 2.06 4.75

White Oak Yield Spectrum 162,663,265 1.10 2.17 2.17 7.53 5.19 5.28 5.13 3/1/2018 S&P/LSTA Leverage Loan Index 0.00 1.78 10.03 20.71 4.13 4.11 Value Added 2.17 0.39 -2.50 -15.52 1.15 1.02

H/2 Credit Partner 89,045,869 0.60 3.70 12.19 29.46 8.13 1.74 4.35 4.83 7/1/2011

Mesa West Core Lend 58,214,766 0.39 0.00 0.00 2.86 3.49 6.39 6.85 6.52 5/1/2013

Mesa West IV 20,832,428 0.14 1.06 1.06 4.08 6.58 7.06 5.83 3/1/2017

Loomis 37,062 0.00

Private Equity Composite 1,155,001,941 7.78 4.52 5.96 21.67 14.43 11.77 12.15 11.28 7/1/2002 KRS Short-Term PE Index 4.52 5.96 21.67 14.43 11.77 12.15 11.28 Value Added 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Russell 3000 +3% 1 Quarter Lag 4.76 15.53 56.25 24.51 17.93 18.90 12.28 Value Added -0.24 -9.57 -34.58 -10.08 -6.16 -6.75 -1.00

72 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

DIVERSIFYING STRATEGIES Real Return Composite 1,011,388,853 6.81 2.12 4.60 16.82 25.44 3.76 5.26 3.80 7/1/2011 Real Return (P) 2.12 4.60 16.82 25.44 4.23 3.95 2.94 Value Added 0.00 0.00 0.00 0.00 -0.47 1.31 0.86

Putnam 570,430,839 3.84 1.73 3.31 18.51 18.51 7/1/2020 Policy Index 1.60 2.36 18.32 18.32 Value Added 0.13 0.95 0.19 0.19

Tortoise Capital 117,013,270 0.79 5.92 18.08 26.56 64.63 -4.40 -1.23 6.42 8/1/2009 Alerian MLP Index 6.91 21.95 35.26 103.13 -2.98 -1.30 3.83 Value Added -0.99 -3.87 -8.70 -38.50 -1.42 0.07 2.59

Amerra AGRI Fund II 24,854,870 0.17 2.29 2.23 2.86 3.38 5.80 4.32 5.18 12/1/2012

Amerra AGRI Holdings 45,836,480 0.31 -2.51 -2.51 0.22 -0.83 -0.99 -1.10 -1.03 8/1/2015

BTG Pactual 23,440,730 0.16 5.39 5.39 5.22 -9.89 -2.74 0.44 -6.71 12/1/2014

IFM Infrastructure 45,602,641 0.31 2.00 2.00 3.71 2.14 2.86 7/1/2019

Magnetar MTP EOF II 26,003,495 0.18 12.83 12.83 64.28 18.30 10.45 10.98 6.31 8/1/2015

Oberland Capital 8,221,636 0.06 6.17 6.17 7.87 24.98 15.42 8/1/2018

Taurus Mine Finance 13,729,557 0.09 -3.67 -3.67 -4.21 -15.20 1.99 9.08 7.96 4/1/2015

TPF II 773,085 0.01 0.00 0.00 -0.18 -0.35 4.07 -2.29 -1.87 10/1/2008

Internal TIPS 127,934 0.00

Nuveen Real Asset 194,614 0.00

73 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Asset Allocation & Performance KRS Pension Plan Periods Ended March 31, 2021 Allocation Performance (%) net of fees Market 1 1 3 5 Since Inception Value % QTD FYTD Month Year Years Years Inception Date $ Blackstone Strat Opp 1,630,194 0.01 0.34 -6.73 -7.90 -17.09 -7.12 -5.08 8/1/2017

Luxor Capital 1,067,357 0.01 -0.05 -2.43 6.19 -13.51 -8.13 3.35 -2.76 4/1/2014

Myriad Opportunities 27,804,715 0.19 0.52 10.45 30.83 15.55 1.79 5.32 5/1/2016

Pine River 83,415 0.00 -1.44 1.77 6.01 0.78 10.22 7.39 4.46 5/1/2014

PRISMA Capital 98,109,835 0.66 0.00 0.85 -0.02 1.12 1.06 2.68 3.01 9/1/2011

SRS Partners US 4,889,016 0.03 3.71 12.46 9.52 4.54 7.47 9.99 8/1/2017

Tricadia Select 1,575,171 0.01 0.00 0.00 0.00 0.00 -7.11 -6.89 9/1/2017

Real Estate Composite 589,400,002 3.97 0.33 1.65 4.99 4.79 8.05 8.69 6.20 7/1/1984 NCREIF ODCE NOF 1 Quarter Lag 1.10 1.10 -0.41 0.34 3.99 5.27 Value Added -0.77 0.55 5.40 4.45 4.06 3.42

Baring 70,114,116 0.47 -2.94 -3.71 9.61 16.43 24.33 1/1/2019

Barings Euro RE II 473,814 0.00 -30.29 -30.85 -29.27 12/1/2020

Divcowest IV 2,801,910 0.02 -1.27 -1.27 5.91 -3.01 8.86 16.40 17.16 3/1/2014

Fundamental Partners III 55,168,523 0.37 4.97 4.97 12.76 13.26 12.38 10.76 5/1/2017

Greenfield Acq VI 328,838 0.00 -25.58 -25.58 -30.98 -41.38 -41.21 -28.08 -13.23 12/1/2012

Greenfield Acq VII 13,487,649 0.09 15.12 15.12 17.94 12.51 14.47 14.04 13.33 7/1/2014

Harrison Street 83,830,549 0.56 0.00 0.00 2.49 4.15 6.20 7.70 7.97 5/1/2012

Lubert Adler VII 23,179,234 0.16 -4.18 -4.18 -13.98 -19.84 -1.80 1.80 -2.64 7/1/2014

74 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Asset Allocation & Performance KRS Pension Plan Periods Ended March 31, 2021 Allocation Performance (%) net of fees Market 1 1 3 5 Since Inception Value % QTD FYTD Month Year Years Years Inception Date $ Lubert Adler VII B 30,220,343 0.20 2.79 2.79 7.06 8.65 10.33 6.82 7/1/2017

Patron Capital 22,605,412 0.15 -6.22 -8.16 3.96 -8.10 2.46 0.96 8/1/2016

Prologis Targeted US 154,335,029 1.04 0.00 5.93 7.49 9.97 14.46 15.26 14.73 10/1/2014

Rubenstein PF II 16,450,038 0.11 -3.29 -3.29 -5.65 -8.50 2.04 5.16 9.04 7/1/2013

Stockbridge Sm/Mkts 89,350,025 0.60 2.27 2.27 4.63 3.29 6.16 7.11 7.98 5/1/2014

Walton St RE VI 11,268,970 0.08 -0.78 -0.78 -0.12 -10.98 -2.47 -1.27 -15.02 5/1/2009

Walton St RE VII 8,485,550 0.06 0.95 0.95 -4.90 -16.73 -6.53 0.19 5.28 7/1/2013

Perimeter Park 7,300,002 0.05

LIQUIDITY Core Fixed Composite 2,263,311,445 15.25 -0.15 -0.21 2.56 8.02 5.75 10/1/2018 Blmbg. Barc. U.S. Aggregate -1.25 -3.38 -2.13 0.71 5.67 Value Added 1.10 3.17 4.69 7.31 0.08

Loomis Sayles Intmd 463,878,080 3.12 -0.56 -1.58 -0.07 3.71 5.37 2/1/2019 Blmbg. Barc. U.S. Intermediate Aggregate -0.69 -1.61 -0.73 1.38 4.46 Value Added 0.13 0.03 0.66 2.33 0.91

Lord Abbett 1,635,977,889 11.02 0.05 0.52 3.79 10.07 3.93 10/1/2018 ICE BofAML 1-3 Year U.S. Corporate -0.08 0.02 1.50 5.95 4.16 Value Added 0.13 0.50 2.29 4.12 -0.23

NISA 163,455,475 1.10 -0.94 -3.43 -1.76 2.01 5.05 3.43 4.22 2/1/2009 Blmbg. Barc. U.S. Aggregate -1.25 -3.38 -2.13 0.71 4.65 3.10 3.96 Value Added 0.31 -0.05 0.37 1.30 0.40 0.33 0.26

75 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Cash Composite 285,262,649 1.92 0.02 0.09 0.33 0.48 1.77 1.61 3.44 1/1/1988 90 Day US Treasury Bill 0.01 0.02 0.09 0.12 1.49 1.18 3.07 Value Added 0.01 0.07 0.24 0.36 0.28 0.43 0.37

OPPORTUNISTIC 375,449,617 2.53

Arrowmark 375,449,617 2.53 1.03 3.61 16.99 24.64 8.45 6/1/2018 S&P/LSTA Leverage Loan Index 0.00 1.78 10.03 20.71 4.16 Value Added 1.03 1.83 6.96 3.93 4.29

76 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Insurance Plan

77 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Asset Allocation Bucketing CERS Insurance Plan Periods Ended As of March 31, 2021

78 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Asset Allocation Bucketing CERS(H) Insurance Plan Periods Ended As of March 31, 2021

79 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Asset Allocation Compliance KRS Insurance Plan Periods Ended As of March 31, 2021 Executive Summary

U.S. Equity (23.4%)

Non-U.S. Equity (22.2%)

Core Fixed (13.2%)

High Yield / Specialty (17.3%)

Real Estate (3.8%)

Real Return (6.5%)

Private Equity (8.6%)

Cash Equivalent (2.1%)

Opportunistic (2.9%)

0.0% 6.0% 12.0% 18.0% 24.0% 30.0% 36.0% 42.0%

Policy Target In Policy Outside Policy

Asset Asset Minimum Maximum Target Target Allocation Allocation Allocation Allocation Allocation Rebalance $ (%) (%) (%) (%) $ U.S. Equity 1,533,926,948 23.4 15.2 28.3 21.8 -107,798,784 Non-U.S. Equity 1,454,367,196 22.2 15.2 28.3 21.8 -28,239,032 Core Fixed 864,872,791 13.2 8.0 12.0 10.0 -209,181,681 High Yield / Specialty 1,134,227,766 17.3 10.5 19.5 15.0 -150,691,101 Real Estate 249,384,483 3.8 7.0 13.0 10.0 406,306,627 Real Return 427,472,422 6.5 7.0 13.0 10.0 228,218,688 Private Equity 561,073,081 8.6 7.0 13.0 10.0 94,618,029 Cash Equivalent 140,405,157 2.1 0.0 3.0 1.5 -42,051,491 Opportunistic 191,181,257 2.9 0.0 5.0 0.0 -191,181,257 Total Fund 6,556,911,101 100.0 100.0

80 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Total Fund Summary KRS Insurance Plan Periods Ended March 31, 2021 Comparative Performance Added Value History 40.0 1.4

30.0 28.9 29.0 0.7

0.0 20.0 Return

Added Value Added (%) Value -0.7 8.4 9.7 8.9 10.0 8.4 7.1 8.4 3.9 3.2 -1.4 0.0 6/16 12/16 6/17 12/17 6/18 12/18 6/19 12/19 6/20 3/21 1 1 3 5 10 Inc. Quarter Year Years Years Years 7/1/17 Quarterly Added Value (up market) Quarterly Added Value (down market)

KRS Insurance Plan KRS IPS Index Annualized Added Value

Rolling Percentile Rank: All Public Plans-Total Fund Risk and Return 04/1/16 - 03/31/21 0.0 15.0

25.0 10.0

50.0 5.0 Return Return (%) 75.0 0.0 Return Return Percentile Rank 100.0 -5.0 -2.0 0.0 2.0 4.0 6.0 8.0 10.0 9/16 3/17 9/17 3/18 9/18 3/19 9/19 3/20 9/20 3/21 Risk (Standard Deviation %) 5-25 25-Median Median-75 75-95 Total Period Count Count Count Count KRS Insurance Plan KRS Allocation Index ¾ KRS Insurance Plan 10 2 (20%) 4 (40%) 1 (10%) 3 (30%) ¾ Benchmark 2 0 (0%) 0 (0%) 0 (0%) 2 (100%) 90 Day US Treasury Bill

81 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Total Fund Attribution KRS Insurance Plan Periods Ended 1 Quarter Ending March 31, 2021 Total Fund Performance Total Value Added:0.7%

Total Value Added 0.7% Asset Allocation -0.2 %

Total Fund Benchmark 3.2% Manager Value Added 0.9%

Total Fund 3.9% Other 0.0%

0.0% 2.0% 4.0% 6.0% -1.2 % -0.6 % 0.0% 0.6% 1.2% 1.8%

Total Asset Allocation:-0.2 % Asset Allocation Value Added:-0.2 % Total Manager Value Added:0.9%

US Equity Composite 1.0% 0.0% 0.2% Non-US Equity Composite 0.5% 0.0% -0.1 % High Yield / Specialty Composite 2.3% 0.0% 0.3% Private Equity Composite -1.4 % -0.1 % 0.0% Real Return Composite -3.4 % 0.0% 0.0% Real Estate Composite -6.1 % 0.1% 0.0% Core Fixed Composite 3.7% -0.2 % 0.4% Cash Composite 0.5% 0.0% 0.0% Opportunistic Composite 3.0% 0.0% 0.0%

-12.0 % -6.0 % 0.0% 6.0% -0.6 % -0.3 % 0.0% 0.3% 0.6% -0.3 % 0.0% 0.3% 0.6%

Average Active Weight Asset Allocation Value Added Manager Value Added

82 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Asset Allocation & Performance KRS Insurance Plan Periods Ended March 31, 2021 Allocation Performance (%) net of fees Market 1 1 3 5 10 Since Inception Value % QTD FYTD Month Year Years Years Years Inception Date $ KRS Insurance Plan 6,556,911,101 100.00 2.02 3.89 18.73 28.85 8.36 9.66 7.07 7.57 4/1/1987 KRS IPS Index 1.78 3.21 18.04 28.99 8.40 Value Added 0.24 0.68 0.69 -0.14 -0.04

CERS (H) Insurance Plan 1,529,029,856 23.32 2.08 3.96 18.71 28.14 8.34 9.68 7.12 7.59 4/1/1987 CERS (H) IPS Index 1.79 3.23 18.05 28.93 8.41 Value Added 0.29 0.73 0.66 -0.79 -0.07 Assumed Rate 6.25% 0.51 1.53 4.65 6.25 6.25 Value Added 1.57 2.43 14.06 21.89 2.09

CERS Insurance Plan 2,966,839,430 45.25 2.03 3.90 18.62 28.52 8.32 9.65 7.09 7.58 4/1/1987 CERS IPS Index 1.79 3.24 18.04 29.02 8.43 Value Added 0.24 0.66 0.58 -0.50 -0.11 Assumed Rate 6.25% 0.51 1.53 4.65 6.25 6.25 Value Added 1.52 2.37 13.97 22.27 2.07

83 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Plan Sponsor TF Asset Allocation KRS Insurance Plan vs All Public Plans-Total Fund Periods Ended March 31, 2021 80.0

65.0

50.0

35.0

20.0 Allocation Allocation (%)

5.0

-10.0

-25.0 Global ex-US Global ex-US Cash & US Equity US Fixed Alternatives Total Real Estate Equity Fixed Equivalents ¢ KRS Insurance Plan 23.39 22.18 30.49 14.23 3.80 2.14

KRS Insurance Plan as of 3/31 was comprised of KERS, KERS(H), SPRS, CERS & CERS(H) portfolios 37

84 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Plan Sponsor Peer Group Analysis KRS Insurance Plan vs All Public Plans-Total Fund Periods Ended March 31, 2021 60.0

50.0

40.0

30.0 Return 20.0

10.0

0.0

-10.0 1 3 5 10 QTD Year Years Years Years ¢ KRS Insurance Plan 3.89 (19) 28.85 (86) 8.36 (85) 9.66 (64) 7.07 (88) KRS IPS Index 3.21 (45) 28.99 (86) 8.40 (85)

5th Percentile 4.81 44.04 12.43 11.92 9.55 1st Quartile 3.70 39.06 11.29 10.95 8.60 Median 3.10 35.60 10.16 10.16 7.97 3rd Quartile 2.49 31.52 8.89 9.16 7.50 95th Percentile 0.99 15.75 6.56 7.42 6.11

Population 417 416 398 377 310 Parentheses contain percentile rankings. Calculation based on monthly periodicity. KRS Insurance Plan as of 3/31 was comprised of KERS, KERS(H), SPRS, CERS & CERS(H) portfolios 38

85 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Plan Sponsor Peer Group Analysis - Multi Statistics KRS Insurance Plan vs All Public Plans-Total Fund Periods Ended March 31, 2021 Standard Sharpe Return Deviation Ratio 52.0 2.0 5.0

4.3 44.0 4.0

3.6 36.0 6.0

2.9 28.0 8.0

2.2

20.0 10.0 1.5

12.0 12.0 0.8

4.0 14.0 0.1

-4.0 16.0 -0.6 1 3 5 1 3 5 1 3 5 Year Years Years Year Years Years Year Years Years ¢ KRS Insurance Plan 28.85 (86) 8.36 (85) 9.66 (64) 6.92 (7) 8.94 (7) 7.36 (7) 3.72 (3) 0.77 (48) 1.12 (7) KRS IPS Index 28.99 (86) 8.40 (85) 7.92 (13) 9.48 (10) 3.27 (27) 0.73 (62)

5th Percentile 44.04 12.43 11.92 5.55 7.85 6.73 3.58 0.93 1.13 1st Quartile 39.06 11.29 10.95 8.82 10.55 8.58 3.28 0.83 1.00 Median 35.60 10.16 10.16 10.07 11.69 9.45 3.14 0.76 0.95 3rd Quartile 31.52 8.89 9.16 10.77 12.61 10.16 3.01 0.69 0.89 95th Percentile 15.75 6.56 7.42 11.83 14.04 11.36 2.53 0.58 0.79 Parentheses contain percentile rankings. Calculation based on monthly periodicity. KRS Insurance Plan as of 3/31 was comprised of KERS, KERS(H), SPRS, CERS & CERS(H) portfolios 39

86 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Consulting Plan Sponsor Scattergram KRS Insurance Plan vs All Public Plans-Total Fund Periods Ended 3 Years Ending March 31, 2021 14.0

12.0

10.0 Return Return (%) 8.0

6.0

4.0 6.3 7.2 8.1 9.0 9.9 10.8 11.7 12.6 13.5 14.4 15.3 16.2 Risk (Standard Deviation %)

Standard Return Deviation KRS Insurance Plan 8.36 8.94 pr KRS IPS Index 8.40 9.48 ¾ Median 10.16 11.69 Calculation based on monthly periodicity.

KRS Insurance Plan as of 3/31 was comprised of KERS, KERS(H), SPRS, CERS & CERS(H) portfolios 40

87 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

WILSHIRE ASSOCIATES

Kentucky Retirement Systems Pension

November 2020

88 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AGENDA

Executive Summary Page 3

Background & Overview Page 7

Asset Allocation Approach Page 10

Asset Allocation Inputs Page 14

Asset Liability Projections Page 27

Observations & Recommendations Page 98

Appendix Page 108

89 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Executive Summary

90 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates Executive Summary

• Asset class assumptions down across the board vs. last time Wilshire performed Asset Liability Study for KRS • Current policies fail to reach stated plan discount rates of 5.25% and 6.25% • Wilshire has provided three portfolios for the IC/Board to select from – Similar Risk (shortfall of stated discount rates) – Similar Return (shortfall of stated discount rates with slight increase of current risk levels) – Discount Rate Policy Portfolio » 5.25% plans are able to select a portfolio expected to hit the discount rate with small increases to risk levels » 6.25% plans need to allocate approximately 6% more to public equities, bringing the Growth bucket to 68.5%, to have a 50% chance of meeting discount rate • Decision comes down to risk tolerances for each set of plans

91 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates Executive Summary – KERS (NH) &

SPRS Current Similar Risk Similar 5.25% Return Asset Class Policy Policy Return Policy Policy • Efficient policies shown result in increase targets to U.S. Equity 15.75% 15.75% 16.00% 16.25% Cash and Real Estate, with Non-U.S. Equity 15.75% 15.75% 16.00% 16.25% a reduction to Real Return High Yield / Specialty Credit 15.00% 15.00% 15.00% 15.00% Private Equity 0.00% 0.00% 0.00% 0.00% • Total Fixed Income Private Equity (Revised) 7.00% 6.00% 6.75% 7.00% (Liquidity bucket) increases Total Growth Assets 53.50% 52.50% 53.75% 54.50% by various levels across all efficient portfolios Core Fixed Income 20.50% 22.50% 21.25% 20.50% Cash 3.00% 5.00% 5.00% 5.00% Total Fixed Income 23.50% 27.50% 26.25% 25.50% • Total Diversifying assets reduced to 20% across all Real Estate 5.00% 10.00% 10.00% 10.00% efficient portfolios Opportunistic 3.00% 0.00% 0.00% 0.00% Real Return 15.00% 10.00% 10.00% 10.00% Total Diversifying 23.00% 20.00% 20.00% 20.00%

Total Assets 100.0% 100.0% 100.0% 100.0%

Total Illiquid Assets 2 21.75% 21.50% 22.25% 22.50%

1 Non-U.S. Equity is constrained to be no more than U.S. Equity. 2 Illiquid Assets are comprised of 20% of High Yield / Specialty Credit, Private Equity, Real Estate, Opportunistic and 25% of Real Return. 3 Private Equity is assumed to be 80% U.S. Equity and 20% of Private Equity (standard assumption).

92 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates Executive Summary – KERS/CERS Hazardous, CERS (NH), and

Insurance Plans Similar Risk Similar Return 6.25% Return Asset Class Current Policy Policy Policy Policy • Efficient policies shown result in increase targets to U.S. Equity 18.75% 18.25% 18.75% 21.75% Cash and Real Estate, with Non-U.S. Equity 18.75% 18.25% 18.75% 21.75% High Yield / Specialty Credit 15.00% 15.00% 15.00% 15.00% a reduction to Real Return Private Equity 10.00% 10.00% 10.00% 10.00% Private Equity (Revised) 0.00% 0.00% 0.00% 0.00% • Total Growth assets Total Growth Assets 62.50% 61.50% 62.50% 68.50% increased by 6% to reach Core Fixed Income 13.50% 15.50% 14.50% 10.00% 6.25% Cash 1.00% 3.00% 3.00% 1.50% Total Fixed Income 14.50% 18.50% 17.50% 11.50% • Total Fixed Income (Liquidity bucket) increased Real Estate 5.00% 10.00% 10.00% 10.00% Opportunistic 3.00% 0.00% 0.00% 0.00% in Similar Risk/Return Real Return 15.00% 10.00% 10.00% 10.00% policies, but decreased in Total Diversifying 23.00% 20.00% 20.00% 20.00% order to reach 6.25% Total Assets 100.0% 100.0% 100.0% 100.0%

• Total Diversifying assets Total Illiquid Assets 2 21.75% 25.50% 25.50% 25.50% reduced to 20% across all 1 Non-U.S. Equity is constrained to be no more than U.S. Equity. efficient portfolios 2 Illiquid Assets are comprised of 20% of High Yield / Specialty Credit, Private Equity, Real Estate, Opportunistic and 25% of Real Return. 3 Private Equity is assumed to be 80% U.S. Equity and 20% of Private Equity (standard assumption).

93 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates Asset Class Assumptions as of 6/30/2020

• Wilshire’s asset class return, risk and correlation assumptions are developed based on 10-year forward looking expectations, adjusted to incorporate recent trends. U.S. Equity U.S. Equity Non-U.S. Credit / Specialty Yield High Private Equity Private Equity (Revised) Income Fixed Core Cash Real Estate Opportunistic Real Return Return - 10-Year (%) 6.00 6.75 5.40 8.15 6.65 1.25 0.75 6.80 3.75 5.45 Return - 30-Year (%) 7.05 7.55 6.60 9.55 7.80 3.30 2.05 7.40 5.10 6.60 • Return expectations Risk (%) 17.00 18.95 7.30 28.00 18.15 5.15 1.25 14.00 4.60 8.75 represent a passive Correlations investment (beta) and do not U.S. Equity 1.00 reflect any value added from Non-U.S. Equity 0.83 1.00 active management (alpha). High Yield / Specialty Credit 0.58 0.50 1.00 Private Equity 0.74 0.67 0.32 1.00 Private Equity (Revised) 0.98 0.83 0.53 0.86 1.00 Core Fixed Income 0.28 0.09 0.19 0.31 0.31 1.00 Cash -0.05 -0.08 -0.10 0.00 -0.04 0.19 1.00 Real Estate 0.54 0.47 0.63 0.51 0.56 0.19 -0.05 1.00 Opportunistic 0.43 0.54 0.62 0.42 0.46 0.07 0.07 0.32 1.00 Real Return 0.43 0.48 0.60 0.43 0.46 0.24 0.01 0.69 0.50 1.00

* Illiquid Assets are comprised of 20% of High Yield / Specialty Credit, Private Equity, Real Estate, Opportunistic and 25% of Real Return. ** Private Equity is assumed to be 80% U.S. Equity and 20% of Private Equity (standard assumption).

94 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

BACKGROUND & OVERVIEW

95 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates BACKGROUND & OVERVIEW

• The asset allocation decision is the most important decision an investor can make – The asset allocation decision drives 90% of return variability among portfolios • Wilshire recommends revisiting the asset allocation decision every three to five years, or sooner, as market conditions warrant – Wilshire/KRS last reviewed the asset allocation in June 2018 – Wilshire made recommendations across two different strategic asset allocations » KERS (NH) & SPRS » Other Plans – KRS adopted the Wilshire recommendations • Given recent economic events, as well as pending governance changes within KRS, Wilshire & Staff thought an updated asset liability study was warranted

96 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates CONSIDERATIONS

• Board has allowed the asset allocation decision to be long-term focused – Current long-term capital market assumptions, specifically low yields within fixed income, present challenges to meet discount rate without plans assuming additional risks – Changes to asset allocation have been modest • Focus of the 2020 asset allocation review – Continue to remain focused on long-term performance vs. stated discount rates – Review assumptions used within Private Equity for KERS (NH) and SPRS » Mature private markets composite with no new allocations » Temper return expectations – Provide Staff with an Opportunistic bucket within Asset Allocation » Take advantage of potential market dislocations » Additive to Total Plan return above discount rate

97 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

ASSET ALLOCATION APPROACH

98 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates FOCUS ON DECISIONS THAT MATTER

99 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates RISK ASSESSMENT FRAMEWORK

Wilshire’s multi-dimensional view of risk integrates organizational and investment considerations into a comprehensive framework for evaluating strategic decisions.

• Shortfall: Support distributions and long-term growth DRAWDOWN INFLATION • Behavioral: Instill strong governance • Drawdown: Limit portfolio losses LIQUIDITY • Inflation: Preserve long-term Risk Lenses purchasing power for Plan Governance • Liquidity: Balance near-term needs, long-term opportunities BEHAVIORAL

• Active: Ensure unique exposures SHORTFALL ACTIVE • Emerging & Long-Term: Environmental, Social & Governance risks, such as externalities, intangibles and reputation may be linked to various risk lenses

100 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates ASSET ALLOCATION PROCESS

Investment Wilshire Capital Plans’ Benefit Policy Market Stream Objectives & Expectations (Cash Flows) Constraints

Wilshire Asset/Liability Model

Optimized Portfolios “Probability of Success” A B C D E

Contribution Fund Status Expected Volatility Volatility Risk/Return

101 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

ASSET ALLOCATION INPUTS

102 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PLAN STATUS – PENSION – AS OF JUNE 30, 2020

KERS KERS CERS CERS SPRS Non-Hazardous Hazardous Non-Hazardous Hazardous

Asset and Liability Data ($ - Millions)

1. Market Value of Assets $2,316 $694 $7,046 $2,377 $287

2. Actuarial Accrued Liability 16,493 1,255 14,726 5,407 1,050

3. MVA Funded Ratio (1. / 2.) 14.04% 55.28% 47.85% 43.96% 27.30%

4. Actuarial Value of Assets $2,483 $701 $7,435 $2,547 $299

5. AVA Funded Ratio (4. / 2.) 15.06% 55.88% 50.49% 47.11% 28.50%

Economic Assumptions

Discount Rate 5.25% 6.25% 6.25% 6.25% 5.25%

• KERS Non-Hazardous and SPRS plans are severely underfunded and require significant near term contributions. • KERS Hazardous, CERS Non-Hazardous and CERS Hazardous plans are better funded. • Wilshire Consulting’s 2020 Report on U.S. State Retirement Systems estimates the aggregate funded ratio of over 100 U.S. state-sponsored defined benefit plans to be 71.8% at fiscal year-end 2019. 16 ©2020 Wilshire Associates.

103 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PLAN STATUS – INSURANCE – AS OF JUNE 30, 2020

KERS KERS CERS CERS SPRS Non-Hazardous Hazardous Non-Hazardous Hazardous

Asset and Liability Data ($ - Millions)

1. Market Value of Assets $990 $514 $2,482 $1,300 $199

2. Actuarial Accrued Liability 2,808 440 3,728 1,795 284

3. MVA Funded Ratio (1. / 2.) 35.26% 116.79% 66.57% 72.43% 70.08%

4. Actuarial Value of Assets $1,078 $534 $2,662 $1,371 $205

5. AVA Funded Ratio (4. / 2.) 38.38% 121.31% 71.41% 76.38% 72.16%

Economic Assumptions

Discount Rate 6.25% 6.25% 6.25% 6.25% 6.25%

• KERS Non-Hazardous plan is severely underfunded and requires significant near term contributions. • CERS Non-Hazardous, CERS Hazardous and SPRS are better funded. • KERS Hazardous plans is overfunded.

104 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PROJECTED CASH IN AND OUTFLOWS - PENSION

KERS Non-Hazardous SPRS $1,400.0 49.0% $80.0 24.0% Benefit Payments Contributions BP/MVA Benefit Payments Contributions BP/MVA

$70.0 21.0% $1,200.0 42.0%

$60.0 18.0% $1,000.0 35.0%

$50.0 15.0%

$800.0 28.0%

$40.0 12.0% ($Millions) ($Millions) $600.0 21.0%

$30.0 9.0%

$400.0 14.0% $20.0 6.0%

$200.0 7.0% $10.0 3.0%

$0.0 0.0% $0.0 0.0% 2020 2022 2024 2026 2028 2030 2032 2034 2036 2038 2040 2042 2044 2046 2020 2022 2024 2026 2028 2030 2032 2034 2036 2038 2040 2042 2044 2046 Data provided by KRS actuary

• In addition to being severely underfunded, both the KERS Non-Hazardous and SPRS have significant expected near-term contributions.

105 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PROJECTED CASH IN AND OUTFLOWS - PENSION

KERS Hazardous CERS Hazardous $140.0 14.0% $600.0 12.0% Benefit Payments Contributions BP/MVA Benefit Payments Contributions BP/MVA

$120.0 12.0% $500.0 10.0%

$100.0 10.0%

$400.0 8.0%

$80.0 8.0%

$300.0 6.0% ($Millions) ($Millions) $60.0 6.0%

$200.0 4.0% $40.0 4.0%

$20.0 2.0% $100.0 2.0%

$0.0 0.0% $0.0 0.0% 2020 2022 2024 2026 2028 2030 2032 2034 2036 2038 2040 2042 2044 2046 2020 2022 2024 2026 2028 2030 2032 2034 2036 2038 2040 2042 2044 2046

CERS Non-Hazardous Data provided by KRS actuary $1,600.0 12.0% Benefit Payments Contributions BP/MVA

$1,400.0 10.5%

$1,200.0 9.0%

$1,000.0 7.5%

$800.0 6.0% ($Millions)

$600.0 4.5%

$400.0 3.0%

$200.0 1.5%

$0.0 0.0% 2020 2022 2024 2026 2028 2030 2032 2034 2036 2038 2040 2042 2044 2046

106 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PROJECTED CASH IN AND OUTFLOWS - INSURANCE

KERS Non-HAzardous SPRS $300.0 13.2% $30.0 12.0% Benefit Payments Contributions BP/MVA Benefit Payments Contributions BP/MVA

$250.0 11.0% $25.0 10.0%

$200.0 8.8% $20.0 8.0%

$150.0 6.6% $15.0 6.0% ($Millions) ($Millions)

$100.0 4.4% $10.0 4.0%

$50.0 2.2% $5.0 2.0%

$0.0 0.0% $0.0 0.0% 2020 2022 2024 2026 2028 2030 2032 2034 2036 2038 2040 2042 2044 2046 2020 2022 2024 2026 2028 2030 2032 2034 2036 2038 2040 2042 2044 2046

Data provided by KRS actuary

• KERS Non-Hazardous has minimal near-term liquidity needs given significant projected contributions. • SPRS has growing liquidity needs given low projected contributions.

107 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PROJECTED CASH IN AND OUTFLOWS - INSURANCE

KERS Hazardous Benefit Payments Contributions BP/MVA CERS Non-Hazardous $40.0 5.6% $450.0 8.1% Benefit Payments Contributions BP/MVA

7.2% $35.0 4.9% $400.0

$350.0 6.3% $30.0 4.2%

$300.0 5.4% $25.0 3.5%

$250.0 4.5%

$20.0 2.8% ($Millions) ($Millions) $200.0 3.6%

$15.0 2.1% $150.0 2.7%

$10.0 1.4% $100.0 1.8%

$5.0 0.7% $50.0 0.9%

$0.0 0.0% $0.0 0.0% 2020 2022 2024 2026 2028 2030 2032 2034 2036 2038 2040 2042 2044 2046 2020 2022 2024 2026 2028 2030 2032 2034 2036 2038 2040 2042 2044 2046

Data provided by KRS actuary CERS Hazardous $160.0 9.6% Benefit Payments Contributions BP/MVA

$140.0 8.4%

$120.0 7.2%

$100.0 6.0%

$80.0 4.8% ($Millions)

$60.0 3.6%

$40.0 2.4%

$20.0 1.2%

$0.0 0.0% 2020 2022 2024 2026 2028 2030 2032 2034 2036 2038 2040 2042 2044 2046

108 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates CAPITAL MARKET ASSUMPTIONS (as of June 30, 2020)

• Wilshire’s asset class return, risk and correlation assumptions are developed on multi-year forward looking expected rates of return and historical risk and correlation, adjusted to incorporate recent trends • Public market return expectations represent a passive investment in the asset class (beta). They do not reflect value added from active management (alpha).

Expected Return Expected Return Factor Exposure Factor Exposure Liquidity Market Liquidity Stressed Asset Classes Risk Cash Yield 10 Years 30 Years Growth Inflation Level Metric

U.S. Equity 6.00 7.05 17.00 2.00 8.00 0.00 1.00 0.15

Non-U.S. Equity 6.75 7.55 18.95 2.85 8.60 5.45 0.90 0.05

High Yield / Specialty Credit 5.40 6.60 7.30 6.55 3.50 1.50 0.00 0.00

Private Equity 8.15 9.55 28.00 0.00 14.00 1.00 0.00 0.00

Private Equity (Revised) 6.65 7.80 18.15 1.60 9.20 0.20 0.00 0.00

Core Fixed Income 1.25 3.30 5.15 1.85 -0.90 -2.50 1.00 0.85

Cash 0.75 2.05 1.25 0.75 0.00 0.00 1.00 1.00

Real Estate 6.80 7.40 14.00 2.60 5.50 0.00 0.00 0.00

Opportunistic 3.75 5.10 4.60 0.00 1.25 1.85 0.30 0.00

Real Return 5.45 6.60 8.75 2.25 1.90 4.40 0.00 0.00

High Yield/Specialty Credit is a mix of 50% High Yield and 50% Bank Loans plus 1% alpha Private Equity (Revised) is a mix of 80% US Equity and 20% Private Equity. Opportunistic is a mix of 25% Equity Market Neutral, 12.5% Global Macro & 62.5% Relative Value Hedge Funds. Real Return is a mix of 25% US TIPS, 7.5% Global REITS, 15% Private Real Estate, 10% Commodity, 17.5% Timber, 15% Oil & Gas & 7.5% MLPs.

109 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates ASSET ONLY EFFICIENT FRONTIERS

KERS NH & SPRS Efficient Frontier KERS & CERS Haz (Ret/Ins), CERS NH (Ret/Ins), KERS NH Ins & SPRS Ins Efficient Frontier

7.00%

6.50%

Current Policy KERS & CERS Haz (Ret/Ins), 6.00% CERS NH (Ret/Ins), KERS NH Ins & SPRS Ins

5.50% Current Policy KERS NH & SPRS

5.00%

4.50%

4.00% Expected (Compound Annual) Return Annual) (Compound Expected 3.50%

3.00%

2.50%

2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00% Annual Standard Deviation of Return

• The Current policies lie very close to the efficient frontiers.

110 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MODELED POLICIES

Current Policy Current Policy Similar Return 5.25% Return Similar Return 6.25% Return Asset Class Similar Risk Policy KERS & CERS Haz, CERS Similar Risk Policy KERS NH & SPRS Optimization Policy Policy Optimization Policy Policy NH & KERS NH Ins. Constraints Constraints

U.S. Equity 15.75% 10% - 100% 1 15.75% 16.00% 16.25% 18.75% 10% - 100% 1 18.25% 18.75% 21.75% Non-U.S. Equity 15.75% 10% - 100% 1 15.75% 16.00% 16.25% 18.75% 10% - 100% 1 18.25% 18.75% 21.75% High Yield / Specialty Credit 15.00% 0% - 15% 15.00% 15.00% 15.00% 15.00% 0% - 15% 15.00% 15.00% 15.00% Private Equity 0.00% 0.0% 0.00% 0.00% 0.00% 10.00% 0% - 10% 10.00% 10.00% 10.00% Private Equity (Revised) 7.00% 0% - 7% 3 6.00% 6.75% 7.00% 0.00% 0.0% 0.00% 0.00% 0.00% Total Growth Assets 53.50% 20% - 70% 52.50% 53.75% 54.50% 62.50% 20% - 70% 61.50% 62.50% 68.50%

Core Fixed Income 20.50% 15% - 100% 22.50% 21.25% 20.50% 13.50% 10% - 100% 15.50% 14.50% 10.00% Cash 3.00% 3% - 5% 5.00% 5.00% 5.00% 1.00% 1% - 3% 3.00% 3.00% 1.50% Total Fixed Income 23.50% 27.50% 26.25% 25.50% 14.50% 18.50% 17.50% 11.50%

Real Estate 5.00% 5% - 10% 10.00% 10.00% 10.00% 5.00% 5% - 10% 10.00% 10.00% 10.00% Opportunistic 3.00% 0.0% 0.00% 0.00% 0.00% 3.00% 0.0% 0.00% 0.00% 0.00% Real Return 15.00% 5% - 10% 10.00% 10.00% 10.00% 15.00% 5% - 10% 10.00% 10.00% 10.00% Total Diversifying 23.00% 10% - 20% 20.00% 20.00% 20.00% 23.00% 10% - 20% 20.00% 20.00% 20.00% Total Assets 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

Total Illiquid Assets 2 21.75% 21.50% 22.25% 22.50% 24.75% 25.50% 25.50% 25.50% Expected Return - 10 Years (%) 5.19 5.13 5.20 5.24 5.96 5.90 5.95 6.26 Expected Return - 30 Years (%) 6.44 6.37 6.43 6.46 7.16 7.09 7.13 7.38 Standard Deviation of Return (%) 8.92 8.91 9.09 9.20 10.83 10.82 10.96 11.88

(bps) (6) 1 5 (6) (1) 30 (bps) (7) (1) 2 (7) (3) 22 +/(-) in SD of Return (bps) (1) 17 28 (1) 13 105 Value At Risk (Year 1, 95th%) * -9.48 -9.52 -9.75 -9.90 -11.85 -11.89 -12.08 -13.28 Sharpe Ratio 0.50 0.49 0.49 0.49 0.48 0.48 0.47 0.46

111 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MODELED POLICIES

Current Policy Current Policy Similar Return 5.25% Return Similar Return 6.25% Return Asset Class Similar Risk Policy KERS & CERS Haz, CERS Similar Risk Policy KERS NH & SPRS Policy Policy Policy Policy NH & KERS NH Ins.

Total Growth Assets 53.50% 52.50% 53.75% 54.50% 62.50% 61.50% 62.50% 68.50% Total Fixed Income 23.50% 27.50% 26.25% 25.50% 14.50% 18.50% 17.50% 11.50% Total Diversifying 23.00% 20.00% 20.00% 20.00% 23.00% 20.00% 20.00% 20.00%

Total Assets 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% Expected Return - 10 Years (%) 5.19 5.13 5.20 5.24 5.96 5.90 5.95 6.26 Expected Return - 30 Years (%) 6.44 6.37 6.43 6.46 7.16 7.09 7.13 7.38 Standard Deviation of Return (%) 8.92 8.91 9.09 9.20 10.83 10.82 10.96 11.88

(bps) (6) 1 5 (6) (1) 30 (bps) (7) (1) 2 (7) (3) 22 +/(-) in SD of Return (bps) (1) 17 28 (1) 13 105 Contribution to Asset Volatility (%): Growth 79.7 77.6 78.5 79.0 85.1 83.4 83.8 86.0 Fixed Income 4.2 4.7 4.2 4.0 2.0 2.4 2.2 1.3 Diversifying 16.1 17.7 17.3 17.0 12.9 14.2 14.0 12.7 Cash Yield 2.7 2.8 2.8 2.8 2.6 2.7 2.7 2.7 Growth Factor 4.2 4.2 4.4 4.4 5.5 5.6 5.6 6.2 Inflation Factor 1.3 1.0 1.0 1.1 1.7 1.4 1.4 1.7 Liquidity (%) Market 54.3 57.4 56.7 56.4 51.0 53.2 53.1 52.8 Stressed 23.6 27.3 26.3 25.7 16.2 19.8 19.1 14.4 Probability of Reaching Actuarial Return of 5.25% Year 10 49.2 48.3 49.3 49.9 58.3 57.7 58.1 60.7 Year 30 77.1 75.7 76.3 76.7 83.7 82.8 83.0 84.1 Actuarial Return of 6.25% Year 10 35.4 34.6 35.7 36.4 46.6 46.0 46.6 50.1 Year 30 54.8 53.0 54.3 55.0 67.9 66.7 67.2 70.1

112 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates ASSET ONLY EFFICIENT FRONTIERS

KERS NH & SPRS Efficient Frontier KERS & CERS Haz (Ret/Ins), CERS NH (Ret/Ins), KERS NH Ins & SPRS Ins Efficient Frontier

7.00%

6.50%

Current Policy 6.25% Return Policy KERS & CERS Haz (Ret/Ins), 6.00% CERS NH (Ret/Ins), KERS NH Ins & Similar Return Policy SPRS Ins

Similar Risk Policy 5.50% Current Policy KERS NH & SPRS 5.25% Return Policy

5.00% Similar Return Policy

Similar Risk Policy 4.50%

4.00% Expected (Compound Annual) Return Annual) (Compound Expected 3.50%

3.00%

2.50%

2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00% Annual Standard Deviation of Return

• The Current policies lie very close to the efficient frontiers.

113 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates ECONOMIC FACTOR EXPOSURES Concentrated factor tilts can represent portfolio vulnerability To the extent possible, portfolios with factor neutrality are desirable

Bubble Size: Expected Return 7 Non-U.S. Equity 6

5 Real Return

4 Current Policy 3 KERS & CERS Haz (Ret/Ins), High Yield / CERS NH (Ret/Ins) & KERS Opportunistic Specialty Credit NH Ins & SPRS Ins 2 Private Equity

1 Current Policy Cash KERS NH & SPRS 0

Inflation Exposure Private Equity (Revised) (1) Real Estate U.S. Equity

(2) Core Fixed Income (3)

114 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

ASSET–LIABILITY PROJECTIONS

115 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

PENSION – KERS Non-Hazardous

116 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 5.25% Return Policy Initial Funded Ratio Median 60.0% Shortfall Risk: The potential for the alternatives to

50.0% have a lower median funded ratio than the current policy.

40.0%

Drawdown Risk:

30.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded have a lower “very pessimistic” funded 20.0% ratio than the current policy.

10.0% Initial Funded Ratio = 14.04%

0.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 5.25% Similar 5.25% Similar 5.25% Similar 5.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 18.24 18.20 18.27 18.32 24.79 24.75 24.89 25.01 31.41 31.28 31.51 31.72 50.44 50.28 50.87 51.36 Optimistic 16.92 16.91 16.93 16.95 21.79 21.76 21.84 21.91 26.83 26.76 26.90 27.00 41.34 41.23 41.54 41.74 Median (Expected) 16.04 16.03 16.04 16.05 20.00 19.97 20.01 20.03 24.18 24.13 24.22 24.28 36.40 36.29 36.45 36.57 Pessimistic 15.16 15.15 15.15 15.14 18.23 18.19 18.20 18.20 21.68 21.63 21.65 21.66 31.82 31.70 31.76 31.80 Very Pessimistic 13.95 13.94 13.91 13.88 16.02 16.01 15.96 15.92 18.44 18.44 18.38 18.32 26.22 26.12 26.07 26.03

117 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA FUNDED RATIO Current Policy Similar Risk Policy Similar Return Policy 5.25% Return Policy Initial Funded Ratio Median 60.0% Shortfall Risk: The potential for the alternatives to

50.0% have a lower median funded ratio than the current policy.

40.0%

Drawdown Risk:

30.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded have a lower “very pessimistic” 20.0% funded ratio than the current policy.

10.0% Initial Funded Ratio = 15.06%

0.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 5.25% Similar 5.25% Similar 5.25% Similar 5.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 17.32 17.31 17.33 17.34 22.32 22.31 22.36 22.42 28.54 28.49 28.64 28.77 46.45 46.25 46.71 46.99 Optimistic 17.06 17.06 17.06 17.06 21.10 21.07 21.11 21.14 25.87 25.82 25.90 25.96 40.00 39.90 40.14 40.30 Median (Expected) 16.88 16.88 16.88 16.88 20.35 20.34 20.36 20.37 24.28 24.22 24.27 24.29 36.29 36.19 36.33 36.42 Pessimistic 16.71 16.70 16.70 16.70 19.61 19.59 19.60 19.60 22.74 22.69 22.70 22.71 32.96 32.88 32.92 32.96 Very Pessimistic 16.46 16.46 16.46 16.45 18.60 18.58 18.56 18.55 20.75 20.71 20.68 20.65 28.84 28.73 28.71 28.67

118 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PLAN YEAR CONTRIBUTIONS Current Policy Similar Risk Policy Similar Return Policy 5.25% Return Policy Median $1,400.0 Shortfall Risk: The potential for the alternatives to $1,300.0 have higher median contributions than the current policy.

$1,200.0

Drawdown Risk: $1,100.0

($ Millions) ($ The potential for the alternatives to have higher “very pessimistic” $1,000.0 contributions than the current policy. $900.0

$800.0 2020 2022 2024 2029

2020 2022 2024 2029 ($ Millions) Similar 5.25% Similar 5.25% Similar 5.25% Similar 5.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 1,138.9 1,138.9 1,138.9 1,138.9 1,154.9 1,155.1 1,155.2 1,155.4 1,183.4 1,183.9 1,184.3 1,184.5 1,250.1 1,251.6 1,251.8 1,251.6 Pessimistic 1,138.9 1,138.9 1,138.9 1,138.9 1,147.5 1,147.5 1,147.6 1,147.6 1,164.1 1,164.5 1,164.5 1,164.4 1,190.8 1,192.5 1,192.0 1,191.5 Median (Expected) 1,138.9 1,138.9 1,138.9 1,138.9 1,141.9 1,141.9 1,141.8 1,141.7 1,149.0 1,149.3 1,148.8 1,148.5 1,145.1 1,146.4 1,144.5 1,143.1 Optimistic 1,138.9 1,138.9 1,138.9 1,138.9 1,136.4 1,136.5 1,136.3 1,136.1 1,133.2 1,133.7 1,132.9 1,132.4 1,089.1 1,091.3 1,088.1 1,085.7 Very Optimistic 1,138.9 1,138.9 1,138.9 1,138.9 1,127.9 1,127.9 1,127.5 1,127.2 1,108.7 1,109.0 1,107.6 1,106.3 1,003.6 1,005.5 1,000.0 996.2

119 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PRESENT VALUE OF CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 5.25% Return Policy Median $10,000.0 Shortfall Risk: The potential for the alternatives to have $9,000.0 a higher median present value of contributions than the current policy.

$8,000.0

Drawdown Risk: $7,000.0

($ Millions) ($ The potential for the alternatives to have a higher “very pessimistic” present value $6,000.0 of contributions than the current policy.

$5,000.0 EROA = 5.25%

$4,000.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 ($ Millions) Similar 5.25% Similar 5.25% Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 5,101.6 5,102.0 5,102.7 5,103.1 9,242.2 9,246.4 9,248.4 9,249.6 Pessimistic 5,066.0 5,066.8 5,066.8 5,066.7 9,078.5 9,083.5 9,082.0 9,081.6 Median (Expected) 5,039.9 5,040.4 5,039.8 5,039.4 8,951.7 8,956.0 8,951.4 8,948.2 Optimistic 5,013.8 5,014.7 5,013.8 5,013.0 8,813.3 8,815.5 8,807.3 8,801.2 Very Optimistic 4,971.7 4,972.7 4,970.4 4,968.7 8,591.2 8,594.0 8,580.6 8,569.9

120 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 5.25% Return Policy Median $18,000.0 Shortfall Risk: The potential for the alternatives to have $17,000.0 a higher median economic cost than the current policy.

$16,000.0

Drawdown Risk: $15,000.0

($ Millions) ($ The potential for the alternatives to have a higher “very pessimistic” economic cost $14,000.0 than the current policy.

$13,000.0 EROA = 5.25%

$12,000.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 5.25% Similar 5.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 15,396.5 15,404.7 15,413.8 15,421.4 16,104.3 16,106.3 16,111.6 16,118.1 Pessimistic 14,967.4 14,977.4 14,974.2 14,972.7 15,468.0 15,481.2 15,472.7 15,467.9 contributions necessary to Median (Expected) 14,632.6 14,639.0 14,628.8 14,621.5 14,949.2 14,962.0 14,939.6 14,926.2 fully fund the plan at the Optimistic 14,276.1 14,290.1 14,270.8 14,254.2 14,386.3 14,407.7 14,371.8 14,344.6 Very Optimistic 13,679.3 13,685.2 13,653.7 13,629.7 13,384.0 13,391.9 13,332.3 13,274.4 end of the projection period.

121 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA ECONOMIC COST

$16,000.0

Drawdown Risk: $15,000.0

($ Millions) ($ The potential for the alternatives to have a higher “very pessimistic” economic cost $14,000.0 than the current policy.

$13,000.0 EROA = 5.25%

$12,000.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 5.25% Similar 5.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 15,124.2 15,130.4 15,135.0 15,138.6 15,898.7 15,912.7 15,916.7 15,923.3 Pessimistic 14,840.2 14,844.2 14,843.4 14,842.5 15,384.5 15,401.8 15,392.9 15,388.0 contributions necessary to Median (Expected) 14,623.6 14,628.1 14,623.4 14,619.4 14,959.2 14,966.6 14,950.9 14,938.5 fully fund the plan at the Optimistic 14,394.2 14,402.2 14,390.6 14,380.7 14,479.7 14,489.8 14,457.4 14,434.5 Very Optimistic 14,015.5 14,025.7 14,005.4 13,987.2 13,693.6 13,708.5 13,657.3 13,614.5 end of the projection period.

122 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

PENSION – KERS Hazardous

123 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Initial Funded Ratio Median 120.0% Shortfall Risk: The potential for the alternatives to 110.0% have a lower median funded ratio than

100.0% the current policy.

90.0% Drawdown Risk:

80.0% The potential for the alternatives to Funded Ratio Ratio (%) Funded 70.0% have a lower “very pessimistic” funded ratio than the current policy.

60.0%

50.0% Initial Funded Ratio = 55.28%

40.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 67.23 66.98 67.10 68.19 80.23 79.71 80.14 82.69 89.76 88.91 89.50 93.75 111.18 109.95 111.06 118.71 Optimistic 61.07 60.97 61.05 61.53 67.27 67.04 67.24 68.65 72.71 72.34 72.56 74.67 84.36 83.65 84.32 87.74 Median (Expected) 57.10 57.07 57.10 57.29 60.12 59.97 60.07 60.66 62.96 62.77 62.92 63.91 70.15 69.93 70.18 71.78 Pessimistic 53.11 53.13 53.12 52.98 52.92 52.93 52.93 52.92 53.75 53.77 53.77 54.00 57.78 57.73 57.77 58.39 Very Pessimistic 47.46 47.62 47.52 47.00 44.26 44.44 44.37 43.71 42.55 42.79 42.66 41.94 44.07 44.40 44.25 43.51

124 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA FUNDED RATIO

100.0% the current policy.

90.0% Drawdown Risk:

80.0% The potential for the alternatives to Funded Ratio Ratio (%) Funded 70.0% have a lower “very pessimistic” funded ratio than the current policy.

60.0%

50.0% Initial Funded Ratio = 55.88%

40.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 59.96 59.91 59.94 60.15 69.25 68.98 69.15 70.25 80.40 79.97 80.30 82.61 102.35 101.33 102.08 107.46 Optimistic 58.73 58.71 58.73 58.82 63.95 63.82 63.92 64.47 69.96 69.64 69.88 71.11 82.31 81.81 82.23 84.93 Median (Expected) 57.94 57.93 57.94 57.98 60.67 60.61 60.65 60.92 63.40 63.27 63.36 64.05 70.48 70.19 70.46 71.81 Pessimistic 57.14 57.14 57.14 57.11 57.45 57.44 57.45 57.48 57.27 57.29 57.31 57.37 60.81 60.73 60.83 61.32 Very Pessimistic 56.01 56.04 56.02 55.92 53.19 53.29 53.23 52.82 49.68 49.86 49.74 49.15 49.59 49.78 49.72 49.13

125 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PLAN YEAR CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $100.0 Shortfall Risk:

$90.0 The potential for the alternatives to have higher median contributions $80.0 than the current policy. $70.0

$60.0 Drawdown Risk: $50.0

($ Millions) ($ The potential for the alternatives to $40.0 have higher “very pessimistic” $30.0 contributions than the current

$20.0 policy.

$10.0

$0.0 2020 2022 2024 2029

2020 2022 2024 2029 ($ Millions) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 57.3 57.3 57.3 57.3 62.2 62.2 62.2 62.5 70.9 70.8 70.9 71.4 90.1 89.7 89.9 90.8 Pessimistic 57.3 57.3 57.3 57.3 59.3 59.3 59.4 59.4 63.9 63.9 63.9 63.9 73.3 73.4 73.3 72.7 Median (Expected) 57.3 57.3 57.3 57.3 57.2 57.3 57.2 57.1 58.3 58.4 58.3 57.8 59.3 59.7 59.3 57.4 Optimistic 57.3 57.3 57.3 57.3 55.1 55.2 55.1 54.8 52.5 52.8 52.6 51.6 41.9 42.7 42.1 38.4 Very Optimistic 57.3 57.3 57.3 57.3 51.9 52.0 52.0 51.3 43.0 43.5 43.2 41.2 14.5 16.2 15.0 0.0

126 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PRESENT VALUE OF CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $600.0 Shortfall Risk:

$550.0 The potential for the alternatives to have a higher median present value $500.0 of contributions than the current policy. $450.0

$400.0

($ Millions) ($ Drawdown Risk: $350.0 The potential for the alternatives to

$300.0 have a higher “very pessimistic” present value of contributions than $250.0 the current policy.

$200.0 EROA = 6.25% Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 ($ Millions) Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 270.0 269.8 269.9 270.9 527.9 526.8 527.3 530.2 Pessimistic 257.5 257.6 257.5 257.5 475.6 475.7 475.5 474.2 Median (Expected) 247.9 248.1 247.9 247.1 435.6 436.7 436.0 431.1 Optimistic 238.3 238.6 238.3 236.7 389.2 391.3 389.8 380.0 Very Optimistic 222.9 223.5 223.0 219.9 313.5 318.1 314.7 298.0

127 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $1,000.0 Shortfall Risk: $900.0 The potential for the alternatives $800.0 to have a higher median economic cost than the current policy. $700.0

$600.0

$500.0 Drawdown Risk: ($ Millions) ($ $400.0 The potential for the alternatives to have a higher “very pessimistic” $300.0 economic cost than the current $200.0 policy. $100.0 EROA = 6.25%

$0.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 6.25% Similar 6.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 848.0 846.1 847.2 855.8 952.6 951.0 951.8 957.5 Pessimistic 723.8 724.5 723.5 722.0 804.7 805.6 804.4 798.8 contributions necessary to Median (Expected) 625.7 627.9 625.3 614.5 673.7 676.9 673.8 654.3 fully fund the plan at the Optimistic 518.2 522.9 519.4 497.1 518.3 525.4 519.1 482.7 Very Optimistic 334.2 343.4 336.7 290.0 256.1 272.0 260.6 177.8 end of the projection period.

128 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $1,000.0 Shortfall Risk:

$900.0 The potential for the alternatives to have a higher median economic $800.0 cost than the current policy. $700.0

$600.0 Drawdown Risk: $500.0

($ Millions) ($ The potential for the alternatives to $400.0 have a higher “very pessimistic” $300.0 economic cost than the current

$200.0 policy.

$100.0 EROA = 6.25%

$0.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 6.25% Similar 6.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 779.2 777.8 778.6 786.0 920.6 919.1 919.2 924.8 contributions necessary to Pessimistic 690.3 690.4 690.7 689.5 786.5 786.5 785.8 780.7 Median (Expected) 619.3 620.8 619.6 611.7 672.3 674.0 672.3 656.2 fully fund the plan at the Optimistic 544.9 548.0 545.8 531.5 532.6 539.9 534.5 503.3 Very Optimistic 421.1 428.0 423.0 395.3 314.6 327.2 316.7 255.1 end of the projection period.

129 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

PENSION – CERS Non-Hazardous

130 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Initial Funded Ratio Median 120.0% Shortfall Risk:

110.0% The potential for the alternatives to have a lower median funded ratio than 100.0% the current policy.

90.0%

80.0% Drawdown Risk:

70.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded 60.0% have a lower “very pessimistic” funded ratio than the current policy. 50.0%

40.0% Initial Funded Ratio = 47.85% 30.0%

20.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 58.77 58.54 58.65 59.59 71.30 70.80 71.15 73.47 80.90 80.18 80.71 84.48 103.31 101.77 102.93 109.85 Optimistic 53.41 53.33 53.40 53.81 59.98 59.71 59.92 61.06 65.88 65.46 65.79 67.63 78.83 78.31 78.76 81.80 Median (Expected) 49.96 49.94 49.97 50.13 53.64 53.54 53.63 54.11 57.23 57.09 57.17 58.05 65.84 65.70 65.93 67.40 Pessimistic 46.50 46.51 46.50 46.39 47.33 47.36 47.35 47.33 49.08 49.09 49.12 49.28 54.57 54.49 54.59 55.10 Very Pessimistic 41.58 41.72 41.64 41.18 39.79 39.91 39.83 39.22 39.09 39.22 39.13 38.53 42.07 42.28 42.14 41.43

131 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Initial Funded Ratio Median 110.0% Shortfall Risk: The potential for the alternatives to 100.0% have a lower median funded ratio than the current policy. 90.0%

80.0% Drawdown Risk: The potential for the alternatives to 70.0%

Funded Ratio Ratio (%) Funded have a lower “very pessimistic” funded ratio than the current policy. 60.0%

50.0% Initial Funded Ratio = 50.49%

40.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 54.07 54.03 54.05 54.24 62.09 61.88 62.02 62.97 72.36 72.07 72.28 74.34 95.07 94.12 94.93 99.46 Optimistic 53.00 52.98 53.00 53.08 57.49 57.38 57.47 57.95 63.33 63.10 63.27 64.36 76.84 76.36 76.73 79.12 Median (Expected) 52.31 52.31 52.31 52.34 54.65 54.60 54.64 54.87 57.64 57.52 57.61 58.18 66.21 66.01 66.22 67.39 Pessimistic 51.62 51.62 51.62 51.59 51.85 51.83 51.84 51.88 52.28 52.29 52.29 52.37 57.46 57.37 57.47 57.92 Very Pessimistic 50.63 50.66 50.65 50.55 48.16 48.23 48.17 47.82 45.69 45.83 45.74 45.20 47.27 47.45 47.39 46.97

132 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PLAN YEAR CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $1,200.0 Shortfall Risk:

$1,100.0 The potential for the alternatives to have higher median $1,000.0 contributions than the current $900.0 policy.

$800.0

$700.0 Drawdown Risk: ($ Millions) ($ $600.0 The potential for the alternatives $500.0 to have higher “very pessimistic”

$400.0 contributions than the current policy. $300.0

$200.0 2020 2022 2024 2029

2020 2022 2024 2029 ($ Millions) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 734.9 734.9 734.9 734.9 803.6 803.0 803.3 806.2 913.4 912.3 913.3 918.5 1,141.7 1,138.7 1,140.8 1,149.5 Pessimistic 734.9 734.9 734.9 734.9 774.0 773.9 774.0 774.3 841.1 841.3 841.0 841.0 962.5 963.3 962.9 957.5 Median (Expected) 734.9 734.9 734.9 734.9 752.4 752.7 752.4 750.9 783.2 784.3 783.7 777.9 815.2 818.0 814.8 794.7 Optimistic 734.9 734.9 734.9 734.9 730.6 731.4 730.9 727.3 724.3 726.6 725.0 714.1 629.4 637.6 631.6 590.2 Very Optimistic 734.9 734.9 734.9 734.9 697.5 699.1 698.1 691.2 626.0 631.1 627.7 606.2 337.7 353.5 341.6 265.0

133 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PRESENT VALUE OF CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $7,000.0 Shortfall Risk: $6,500.0 The potential for the alternatives to

$6,000.0 have a higher median present value of contributions than the current policy. $5,500.0

$5,000.0

$4,500.0 Drawdown Risk: ($ Millions) ($ $4,000.0 The potential for the alternatives to have a higher “very pessimistic” $3,500.0 present value of contributions than $3,000.0 the current policy. $2,500.0 EROA = 6.25%

$2,000.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 ($ Millions) Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 3,478.5 3,477.2 3,478.3 3,488.9 6,757.9 6,749.5 6,751.3 6,788.5 Pessimistic 3,350.5 3,350.9 3,350.7 3,350.8 6,212.7 6,215.8 6,212.7 6,198.1 Median (Expected) 3,251.9 3,253.9 3,252.5 3,243.5 5,798.2 5,808.6 5,799.4 5,747.7 Optimistic 3,153.1 3,156.6 3,154.0 3,136.7 5,311.3 5,335.0 5,316.9 5,212.1 Very Optimistic 2,994.2 3,001.6 2,997.1 2,963.7 4,533.5 4,580.9 4,544.5 4,352.0

134 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $14,000.0 Shortfall Risk: The potential for the alternatives to $12,000.0 have a higher median economic cost than the current policy.

$10,000.0

Drawdown Risk: $8,000.0

($ Millions) ($ The potential for the alternatives to have a higher “very pessimistic” $6,000.0 economic cost than the current policy.

$4,000.0 EROA = 6.25%

$2,000.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 6.25% Similar 6.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 10,762.9 10,734.5 10,750.3 10,836.0 12,035.2 12,010.8 12,022.0 12,091.3 contributions necessary to Pessimistic 9,455.3 9,460.8 9,454.9 9,433.7 10,448.9 10,446.9 10,441.8 10,382.4 Median (Expected) 8,425.9 8,444.2 8,422.8 8,311.4 9,032.2 9,061.3 9,038.7 8,821.4 fully fund the plan at the Optimistic 7,298.3 7,354.3 7,314.3 7,072.0 7,391.4 7,470.2 7,401.6 7,005.9 Very Optimistic 5,377.6 5,490.0 5,409.1 4,929.9 4,570.2 4,715.1 4,580.0 3,745.4 end of the projection period.

135 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $14,000.0 Shortfall Risk: The potential for the alternatives to

$12,000.0 have a higher median economic cost than the current policy.

$10,000.0

Drawdown Risk: $8,000.0

($ Millions) ($ The potential for the alternatives to have a higher “very pessimistic” $6,000.0 economic cost than the current policy.

$4,000.0 EROA = 6.25%

$2,000.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 6.25% Similar 6.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 10,023.2 10,009.5 10,017.2 10,084.6 11,667.8 11,635.7 11,643.5 11,712.6 contributions necessary to Pessimistic 9,096.9 9,098.4 9,098.9 9,088.6 10,239.0 10,245.1 10,240.0 10,172.5 Median (Expected) 8,357.3 8,379.4 8,364.8 8,285.6 9,031.0 9,047.6 9,023.6 8,853.7 fully fund the plan at the Optimistic 7,586.0 7,621.7 7,595.9 7,454.1 7,546.1 7,614.6 7,563.2 7,239.6 Very Optimistic 6,307.9 6,376.3 6,327.6 6,052.2 5,225.9 5,358.0 5,248.5 4,610.9 end of the projection period.

136 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

PENSION – CERS Hazardous

137 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Initial Funded Ratio Median 120.0% Shortfall Risk:

110.0% The potential for the alternatives to have a lower median funded ratio than 100.0% the current policy.

90.0%

80.0% Drawdown Risk:

70.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded 60.0% have a lower “very pessimistic” funded ratio than the current policy. 50.0%

40.0% Initial Funded Ratio = 43.96% 30.0%

20.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 54.61 54.40 54.50 55.37 67.25 66.78 67.14 69.34 77.34 76.66 77.15 80.70 100.96 99.60 100.58 107.25 Optimistic 49.67 49.60 49.66 50.04 56.79 56.59 56.77 57.83 63.31 62.88 63.14 64.97 77.75 77.20 77.60 80.55 Median (Expected) 46.49 46.46 46.49 46.64 50.90 50.80 50.87 51.37 55.18 55.00 55.15 55.91 65.44 65.28 65.49 66.95 Pessimistic 43.29 43.30 43.29 43.19 45.06 45.05 45.04 45.04 47.55 47.52 47.56 47.66 54.60 54.60 54.68 55.16 Very Pessimistic 38.75 38.88 38.80 38.38 37.99 38.12 38.04 37.54 38.12 38.29 38.19 37.60 42.50 42.70 42.59 41.87

138 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Initial Funded Ratio Median 110.0% Shortfall Risk:

100.0% The potential for the alternatives to have a lower median funded ratio than 90.0% the current policy.

80.0%

70.0% Drawdown Risk:

60.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded have a lower “very pessimistic” funded 50.0% ratio than the current policy.

40.0%

30.0% Initial Funded Ratio = 47.11%

20.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 50.77 50.73 50.75 50.93 58.88 58.65 58.79 59.66 69.21 68.75 69.13 70.95 92.46 91.69 92.39 96.92 Optimistic 49.78 49.77 49.78 49.86 54.62 54.52 54.59 55.05 60.80 60.57 60.75 61.76 75.72 75.32 75.64 77.90 Median (Expected) 49.15 49.14 49.15 49.18 52.00 51.94 51.99 52.17 55.56 55.44 55.50 56.03 65.66 65.49 65.69 66.88 Pessimistic 48.51 48.51 48.51 48.49 49.41 49.39 49.39 49.43 50.59 50.57 50.59 50.68 57.39 57.33 57.41 57.78 Very Pessimistic 47.60 47.63 47.61 47.53 45.98 46.06 46.00 45.70 44.52 44.61 44.55 44.08 47.73 47.94 47.86 47.41

139 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PLAN YEAR CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $450.0 Shortfall Risk: The potential for the alternatives to $400.0 have higher median contributions than the current policy. $350.0

$300.0 Drawdown Risk:

($ Millions) ($ $250.0 The potential for the alternatives to have higher “very pessimistic”

$200.0 contributions than the current policy.

$150.0

$100.0 2020 2022 2024 2029

2020 2022 2024 2029 ($ Millions) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 293.1 293.1 293.1 293.1 317.8 317.5 317.7 318.6 355.2 354.9 355.1 356.9 433.6 432.1 433.0 436.2 Pessimistic 293.1 293.1 293.1 293.1 307.6 307.6 307.6 307.8 330.4 330.5 330.5 330.1 369.0 369.3 368.9 367.3 Median (Expected) 293.1 293.1 293.1 293.1 300.2 300.4 300.3 299.8 310.5 310.8 310.6 308.6 316.9 317.9 316.6 309.3 Optimistic 293.1 293.1 293.1 293.1 292.8 293.1 292.9 291.7 290.2 291.0 290.5 286.7 250.8 254.0 251.6 236.5 Very Optimistic 293.1 293.1 293.1 293.1 281.6 282.1 281.8 279.5 256.5 258.3 257.1 249.6 147.8 153.2 149.2 121.7

140 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PRESENT VALUE OF CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $3,000.0 Shortfall Risk:

$2,800.0 The potential for the alternatives to have a higher median present value $2,600.0 of contributions than the current $2,400.0 policy.

$2,200.0

$2,000.0 Drawdown Risk: ($ Millions) ($ $1,800.0 The potential for the alternatives to $1,600.0 have a higher “very pessimistic”

$1,400.0 present value of contributions than the current policy. $1,200.0 EROA = 6.25% $1,000.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 ($ Millions) Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 1,372.7 1,372.3 1,372.5 1,376.0 2,629.7 2,625.9 2,627.4 2,639.0 Pessimistic 1,328.9 1,329.0 1,328.8 1,328.8 2,437.6 2,438.4 2,438.0 2,433.3 Median (Expected) 1,295.1 1,295.8 1,295.3 1,292.1 2,292.1 2,296.2 2,293.5 2,276.3 Optimistic 1,261.3 1,262.6 1,261.7 1,255.6 2,122.8 2,131.6 2,125.4 2,089.1 Very Optimistic 1,206.8 1,209.7 1,207.8 1,196.1 1,851.4 1,867.0 1,856.4 1,788.8

141 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $5,000.0 Shortfall Risk: The potential for the alternatives to $4,500.0 have a higher median economic cost

$4,000.0 than the current policy.

$3,500.0 Drawdown Risk: $3,000.0

($ Millions) ($ The potential for the alternatives to $2,500.0 have a higher “very pessimistic” economic cost than the current $2,000.0 policy.

$1,500.0 EROA = 6.25%

$1,000.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 6.25% Similar 6.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 4,134.6 4,123.0 4,128.6 4,160.6 4,623.1 4,615.5 4,621.7 4,645.1 contributions necessary to Pessimistic 3,677.2 3,678.8 3,677.9 3,669.4 4,047.9 4,050.0 4,045.2 4,021.6 Median (Expected) 3,315.6 3,320.8 3,315.1 3,277.9 3,537.6 3,548.0 3,535.8 3,465.4 fully fund the plan at the Optimistic 2,924.1 2,943.4 2,928.2 2,844.1 2,957.4 2,985.3 2,962.0 2,822.9 Very Optimistic 2,251.6 2,289.6 2,261.2 2,093.5 1,949.0 2,004.1 1,954.7 1,652.1 end of the projection period.

142 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $5,000.0 Shortfall Risk: The potential for the alternatives to $4,500.0 have a higher median economic cost

$4,000.0 than the current policy.

$3,500.0 Drawdown Risk: $3,000.0

($ Millions) ($ The potential for the alternatives to $2,500.0 have a higher “very pessimistic” economic cost than the current $2,000.0 policy.

$1,500.0 EROA = 6.25%

$1,000.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 ($ Millions) Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Economic Cost is defined as Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 3,870.1 3,863.5 3,868.2 3,889.9 4,471.8 4,467.4 4,470.1 4,493.6 the present value of Pessimistic 3,548.6 3,549.6 3,549.9 3,545.9 3,966.7 3,970.6 3,966.9 3,944.6 contributions plus Median (Expected) 3,294.3 3,301.1 3,296.3 3,269.5 3,541.3 3,549.9 3,541.4 3,480.3 Optimistic 3,025.9 3,036.5 3,028.7 2,980.0 3,020.3 3,042.2 3,023.9 2,910.2 contributions necessary to Very Optimistic 2,589.8 2,608.5 2,591.8 2,500.8 2,183.2 2,230.3 2,195.3 1,960.9 fully fund the plan at the end of the projection period. 56 ©2020 Wilshire Associates.

143 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

PENSION – SPRS

144 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 5.25% Return Policy Initial Funded Ratio Median 70.0% Shortfall Risk:

65.0% The potential for the alternatives to have a lower median funded ratio than 60.0% the current policy.

55.0%

50.0% Drawdown Risk:

45.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded 40.0% have a lower “very pessimistic” funded ratio than the current policy. 35.0%

30.0% Initial Funded Ratio = 27.30% 25.0%

20.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 5.25% Similar 5.25% Similar 5.25% Similar 5.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 33.24 33.18 33.31 33.40 41.00 40.94 41.22 41.45 48.21 48.09 48.48 48.78 67.50 67.39 68.08 68.84 Optimistic 30.76 30.74 30.78 30.82 35.77 35.68 35.81 35.92 40.66 40.54 40.75 40.91 54.27 54.11 54.55 54.88 Median (Expected) 29.12 29.09 29.11 29.13 32.59 32.51 32.58 32.63 36.29 36.19 36.31 36.40 47.05 46.89 47.12 47.32 Pessimistic 27.47 27.45 27.44 27.42 29.49 29.42 29.43 29.44 32.15 32.01 32.04 32.07 40.61 40.49 40.55 40.63 Very Pessimistic 25.19 25.18 25.12 25.07 25.66 25.57 25.52 25.44 26.87 26.79 26.74 26.64 32.86 32.74 32.72 32.62

145 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 5.25% Return Policy Initial Funded Ratio Median 70.0% Shortfall Risk:

65.0% The potential for the alternatives to have a lower median funded ratio than 60.0% the current policy.

55.0%

50.0% Drawdown Risk:

45.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded 40.0% have a lower “very pessimistic” funded ratio than the current policy. 35.0%

30.0% Initial Funded Ratio = 28.50% 25.0%

20.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 5.25% Similar 5.25% Similar 5.25% Similar 5.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 31.02 31.01 31.03 31.05 36.71 36.67 36.79 36.88 43.95 43.84 44.13 44.31 62.63 62.43 63.05 63.64 Optimistic 30.52 30.52 30.53 30.54 34.47 34.43 34.49 34.54 39.27 39.20 39.34 39.45 52.78 52.59 52.95 53.22 Median (Expected) 30.19 30.19 30.19 30.20 33.12 33.11 33.13 33.15 36.45 36.38 36.46 36.51 47.06 46.94 47.10 47.25 Pessimistic 29.86 29.86 29.86 29.85 31.78 31.73 31.74 31.73 33.79 33.74 33.76 33.77 42.05 41.94 41.99 42.03 Very Pessimistic 29.41 29.41 29.40 29.38 29.93 29.90 29.86 29.83 30.33 30.27 30.24 30.17 36.11 35.97 35.93 35.88

146 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PLAN YEAR CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 5.25% Return Policy Median $80.0 Shortfall Risk: The potential for the alternatives to $75.0 have higher median contributions

$70.0 than the current policy.

$65.0 Drawdown Risk: $60.0

($ Millions) ($ The potential for the alternatives to $55.0 have higher “very pessimistic” contributions than the current $50.0 policy.

$45.0

$40.0 2020 2022 2024 2029

2020 2022 2024 2029 ($ Millions) Similar 5.25% Similar 5.25% Similar 5.25% Similar 5.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 64.3 64.3 64.3 64.3 65.7 65.8 65.8 65.8 68.5 68.5 68.6 68.6 74.2 74.3 74.4 74.4 Pessimistic 64.3 64.3 64.3 64.3 64.9 64.9 64.9 64.9 66.3 66.3 66.3 66.3 68.5 68.6 68.6 68.5 Median (Expected) 64.3 64.3 64.3 64.3 64.2 64.2 64.2 64.2 64.5 64.6 64.5 64.5 63.9 64.0 63.8 63.7 Optimistic 64.3 64.3 64.3 64.3 63.5 63.6 63.5 63.5 62.8 62.8 62.7 62.7 58.3 58.4 58.1 57.9 Very Optimistic 64.3 64.3 64.3 64.3 62.5 62.5 62.5 62.4 59.9 60.0 59.8 59.7 49.5 49.7 49.2 48.8

147 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PRESENT VALUE OF CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 5.25% Return Policy Median $550.0 Shortfall Risk: The potential for the alternatives to $500.0 have a higher median present value of contributions than the current

$450.0 policy.

$400.0 Drawdown Risk: ($ Millions) ($ The potential for the alternatives to $350.0 have a higher “very pessimistic” present value of contributions than $300.0 the current policy. EROA = 5.25% $250.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 ($ Millions) Similar 5.25% Similar 5.25% Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 290.8 290.8 290.9 290.9 534.0 534.2 534.5 534.6 Pessimistic 286.6 286.7 286.7 286.7 516.1 516.5 516.3 516.2 Median (Expected) 283.5 283.6 283.5 283.5 502.5 502.7 502.2 501.9 Optimistic 280.5 280.6 280.5 280.4 487.1 487.6 486.7 486.1 Very Optimistic 275.6 275.7 275.4 275.2 462.3 463.0 461.5 460.3

148 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 5.25% Return Policy Median $1,000.0 Shortfall Risk: The potential for the alternatives to $950.0 have a higher median economic cost

$900.0 than the current policy.

$850.0 Drawdown Risk: $800.0

($ Millions) ($ The potential for the alternatives to $750.0 have a higher “very pessimistic” economic cost than the current policy. $700.0 EROA = 5.25%

$650.0

$600.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 5.25% Similar 5.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 882.5 882.4 883.3 884.3 936.5 937.3 937.7 938.8 contributions necessary to Pessimistic 837.0 837.9 837.6 837.5 876.5 877.8 877.4 876.9 Median (Expected) 800.9 801.9 801.0 800.2 825.9 827.8 825.6 824.2 fully fund the plan at the Optimistic 763.1 764.2 762.2 760.8 770.2 772.4 768.9 766.0 Very Optimistic 698.7 700.0 696.4 693.3 673.8 673.8 667.3 662.9 end of the projection period.

149 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 5.25% Return Policy Median $1,000.0 Shortfall Risk: The potential for the alternatives to $950.0 have a higher median economic cost

$900.0 than the current policy.

$850.0 Drawdown Risk: $800.0

($ Millions) ($ The potential for the alternatives to $750.0 have a higher “very pessimistic” economic cost than the current $700.0 policy.

$650.0 EROA = 5.25%

$600.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 5.25% Similar 5.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 856.1 856.9 857.1 857.5 920.7 922.0 922.4 922.8 contributions necessary to Pessimistic 824.1 824.5 824.3 824.3 869.3 870.4 869.8 869.4 Median (Expected) 799.9 800.3 799.6 799.0 826.9 827.5 825.9 824.6 fully fund the plan at the Optimistic 773.5 774.4 773.3 772.2 777.7 778.1 775.4 773.2 Very Optimistic 731.8 732.2 729.9 727.8 697.5 699.1 694.1 689.9 end of the projection period.

150 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

INSURANCE – KERS Non-Hazardous

151 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Initial Funded Ratio Median 100.0% Shortfall Risk: The potential for the alternatives to 90.0% have a lower median funded ratio

80.0% than the current policy.

70.0% Drawdown Risk:

60.0% The potential for the alternatives to Funded Ratio Ratio (%) Funded 50.0% have a lower “very pessimistic” funded ratio than the current policy.

40.0%

30.0% Initial Funded Ratio = 35.26%

20.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 44.75 44.59 44.67 45.37 56.87 56.45 56.70 58.56 66.98 66.45 66.89 69.74 90.64 89.29 90.22 96.45 Optimistic 40.75 40.69 40.74 41.05 48.25 48.03 48.17 49.09 55.02 54.71 54.91 56.44 69.55 69.04 69.49 72.09 Median (Expected) 38.16 38.14 38.16 38.29 43.29 43.20 43.28 43.73 48.06 47.90 48.02 48.72 58.45 58.21 58.44 59.76 Pessimistic 35.56 35.57 35.57 35.48 38.46 38.43 38.45 38.45 41.61 41.61 41.64 41.69 48.60 48.64 48.72 49.12 Very Pessimistic 31.87 31.98 31.92 31.57 32.53 32.64 32.56 32.15 33.61 33.78 33.68 32.98 37.55 37.79 37.70 37.02

152 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA FUNDED RATIO

80.0% the current policy.

70.0% Drawdown Risk:

60.0% The potential for the alternatives to Funded Ratio Ratio (%) Funded 50.0% have a lower “very pessimistic” funded ratio than the current policy.

40.0%

30.0% Initial Funded Ratio = 38.38%

20.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 41.96 41.93 41.95 42.09 49.91 49.73 49.86 50.57 59.82 59.52 59.73 61.33 82.76 82.13 82.75 86.74 Optimistic 41.16 41.15 41.16 41.22 46.42 46.34 46.40 46.76 52.80 52.62 52.75 53.60 67.79 67.37 67.71 69.74 Median (Expected) 40.65 40.64 40.65 40.67 44.25 44.21 44.24 44.41 48.39 48.31 48.37 48.80 58.65 58.51 58.65 59.74 Pessimistic 40.13 40.13 40.13 40.11 42.11 42.11 42.13 42.13 44.23 44.22 44.24 44.28 51.13 51.10 51.16 51.45 Very Pessimistic 39.39 39.41 39.40 39.33 39.32 39.36 39.33 39.09 39.14 39.22 39.18 38.80 42.35 42.46 42.39 42.05

153 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PLAN YEAR CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $250.0 Shortfall Risk:

$230.0 The potential for the alternatives to have higher median contributions $210.0 than the current policy. $190.0

$170.0 Drawdown Risk: $150.0

($ Millions) ($ The potential for the alternatives to $130.0 have higher “very pessimistic” $110.0 contributions than the current

$90.0 policy.

$70.0

$50.0 2020 2022 2024 2029

2020 2022 2024 2029 ($ Millions) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 171.5 171.5 171.5 171.5 179.6 179.6 179.6 180.0 193.2 193.1 193.1 193.8 220.6 220.0 220.1 221.9 Pessimistic 171.5 171.5 171.5 171.5 175.4 175.4 175.4 175.4 182.5 182.6 182.5 182.4 192.0 192.0 191.8 191.2 Median (Expected) 171.5 171.5 171.5 171.5 172.3 172.3 172.3 172.0 174.0 174.2 174.1 173.3 168.8 169.3 168.8 165.5 Optimistic 171.5 171.5 171.5 171.5 169.1 169.2 169.1 168.6 165.4 165.7 165.5 163.8 140.0 141.2 140.1 133.8 Very Optimistic 171.5 171.5 171.5 171.5 164.4 164.6 164.4 163.5 150.9 151.7 151.2 148.2 94.5 97.2 95.4 83.2

154 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PRESENT VALUE OF CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $1,600.0 Shortfall Risk:

$1,500.0 The potential for the alternatives to have a higher median present value $1,400.0 of contributions than the current $1,300.0 policy.

$1,200.0

$1,100.0 Drawdown Risk: ($ Millions) ($ $1,000.0 The potential for the alternatives to $900.0 have a higher “very pessimistic”

$800.0 present value of contributions than the current policy. $700.0 EROA = 6.25% $600.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 ($ Millions) Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 775.7 775.4 775.6 777.0 1,432.3 1,431.2 1,431.9 1,435.8 Pessimistic 757.0 757.0 757.0 756.9 1,349.3 1,349.7 1,349.3 1,347.1 Median (Expected) 742.7 743.0 742.8 741.4 1,286.1 1,288.1 1,286.6 1,278.7 Optimistic 728.3 728.8 728.4 725.9 1,212.8 1,216.2 1,213.8 1,198.3 Very Optimistic 705.4 706.5 705.7 700.9 1,096.1 1,102.3 1,097.9 1,068.9

155 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $2,600.0 Shortfall Risk: The potential for the alternatives to $2,400.0 have a higher median economic cost

$2,200.0 than the current policy.

$2,000.0 Drawdown Risk: $1,800.0

($ Millions) ($ The potential for the alternatives to $1,600.0 have a higher “very pessimistic” economic cost than the current $1,400.0 policy.

$1,200.0 EROA = 6.25%

$1,000.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 6.25% Similar 6.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 2,298.1 2,293.8 2,295.9 2,310.7 2,496.0 2,493.2 2,494.1 2,507.1 contributions necessary to Pessimistic 2,099.6 2,100.3 2,099.1 2,096.0 2,241.3 2,241.8 2,239.6 2,230.6 Median (Expected) 1,940.6 1,943.3 1,940.2 1,924.0 2,018.7 2,024.0 2,019.0 1,985.6 fully fund the plan at the Optimistic 1,771.6 1,778.4 1,773.1 1,738.0 1,763.9 1,776.3 1,766.4 1,704.5 Very Optimistic 1,479.6 1,496.4 1,483.4 1,411.4 1,321.8 1,345.1 1,325.4 1,192.7 end of the projection period.

156 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $2,600.0 Shortfall Risk: The potential for the alternatives $2,400.0 to have a higher median economic

$2,200.0 cost than the current policy.

$2,000.0 Drawdown Risk: $1,800.0

($ Millions) ($ The potential for the alternatives $1,600.0 to have a higher “very pessimistic” economic cost than the current $1,400.0 policy.

$1,200.0 EROA = 6.25%

$1,000.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 6.25% Similar 6.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 2,178.8 2,175.5 2,177.7 2,187.6 2,427.7 2,424.4 2,426.6 2,436.2 contributions necessary to Pessimistic 2,042.2 2,041.7 2,041.6 2,040.6 2,206.1 2,206.7 2,206.2 2,196.3 Median (Expected) 1,932.9 1,935.7 1,933.4 1,921.8 2,019.3 2,023.5 2,019.5 1,992.4 fully fund the plan at the Optimistic 1,816.9 1,822.2 1,817.6 1,796.8 1,790.9 1,800.4 1,793.1 1,742.4 Very Optimistic 1,632.3 1,640.0 1,633.0 1,594.1 1,423.7 1,445.7 1,429.0 1,330.3 end of the projection period.

157 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

INSURANCE – KERS Hazardous

158 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Initial Funded Ratio Median 250.0% Shortfall Risk:

230.0% The potential for the alternatives to have a lower median funded ratio 210.0% than the current policy.

190.0%

170.0% Drawdown Risk:

150.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded 130.0% have a lower “very pessimistic” funded ratio than the current policy. 110.0%

90.0% Initial Funded Ratio = 116.79% 70.0%

50.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 137.43 136.90 137.15 139.40 156.27 155.03 155.84 161.51 170.51 168.82 170.18 178.98 211.35 207.44 210.89 229.42 Optimistic 124.67 124.48 124.64 125.63 129.79 129.17 129.53 132.28 133.96 133.11 133.67 138.01 146.94 145.36 146.62 155.87 Median (Expected) 116.47 116.41 116.47 116.86 114.94 114.68 114.87 116.10 113.12 112.75 113.06 115.42 110.56 109.63 110.53 114.36 Pessimistic 108.23 108.25 108.24 107.96 100.33 100.34 100.39 100.34 94.51 94.59 94.63 94.83 83.77 83.75 83.90 85.03 Very Pessimistic 96.55 96.87 96.68 95.59 82.62 82.98 82.72 81.10 71.91 72.28 71.99 70.57 58.46 58.85 58.60 57.58

159 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Initial Funded Ratio Median 230.0% Shortfall Risk:

210.0% The potential for the alternatives to have a lower median funded ratio than 190.0% the current policy.

170.0%

150.0% Drawdown Risk:

130.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded have a lower “very pessimistic” funded 110.0% ratio than the current policy.

90.0%

70.0% Initial Funded Ratio = 121.31%

50.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 124.96 124.85 124.90 125.35 135.76 135.15 135.53 137.79 154.05 152.96 153.81 159.35 199.80 196.83 199.39 215.12 Optimistic 122.41 122.37 122.40 122.60 124.11 123.86 124.06 125.28 129.29 128.70 129.15 131.93 144.50 143.01 144.18 151.59 Median (Expected) 120.77 120.75 120.77 120.85 117.07 116.99 117.07 117.64 114.56 114.22 114.48 116.02 110.63 109.96 110.65 114.38 Pessimistic 119.12 119.12 119.12 119.07 110.07 110.07 110.07 110.03 100.49 100.42 100.41 100.75 87.27 87.20 87.38 88.44 Very Pessimistic 116.78 116.85 116.81 116.59 100.77 100.95 100.84 99.94 84.17 84.37 84.24 82.77 65.27 65.57 65.46 64.32

160 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PLAN YEAR CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $20.0 Shortfall Risk:

$18.0 The potential for the alternatives to have higher median contributions $16.0 than the current policy. $14.0

$12.0 Drawdown Risk: $10.0

($ Millions) ($ The potential for the alternatives to $8.0 have higher “very pessimistic” $6.0 contributions than the current

$4.0 policy.

$2.0

$0.0 2020 2022 2024 2029

2020 2022 2024 2029 ($ Millions) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 4.6 4.5 4.6 5.0 18.4 18.2 18.3 18.8 Pessimistic 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 6.6 6.6 6.5 6.1 Median (Expected) 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Optimistic 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Very Optimistic 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

161 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PRESENT VALUE OF CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $50.0 Shortfall Risk:

$45.0 The potential for the alternatives to have a higher median present value $40.0 of contributions than the current $35.0 policy.

$30.0

$25.0 Drawdown Risk: ($ Millions) ($ $20.0 The potential for the alternatives to $15.0 have a higher “very pessimistic”

$10.0 present value of contributions than the current policy. $5.0 EROA = 6.25% $0.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 ($ Millions) Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 3.7 3.6 3.7 4.4 44.0 43.5 43.9 45.5 Pessimistic 0.0 0.0 0.0 0.0 11.9 11.9 11.9 11.4 Median (Expected) 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Optimistic 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Very Optimistic 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0

162 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $160.0 Shortfall Risk: The potential for the alternatives to $140.0 have a higher median economic cost

$120.0 than the current policy.

$100.0 Drawdown Risk: $80.0

($ Millions) ($ The potential for the alternatives to $60.0 have a higher “very pessimistic” economic cost than the current $40.0 policy.

$20.0 EROA = 6.25%

$0.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 6.25% Similar 6.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 104.5 103.1 104.1 109.0 148.1 147.1 147.4 150.5 contributions necessary to Pessimistic 20.1 19.9 19.7 19.0 57.9 58.3 58.0 54.4 Median (Expected) 0.0 0.0 0.0 0.0 0.4 0.7 0.0 0.0 fully fund the plan at the Optimistic 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Very Optimistic 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 end of the projection period.

163 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $160.0 Shortfall Risk: The potential for the alternatives to $140.0 have a higher median economic

$120.0 cost than the current policy.

$100.0 Drawdown Risk: $80.0

($ Millions) ($ The potential for the alternatives to $60.0 have a higher “very pessimistic” economic cost than the current $40.0 policy.

$20.0 EROA = 6.25%

$0.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 6.25% Similar 6.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 60.7 59.2 59.8 66.0 135.1 133.7 134.3 139.3 contributions necessary to Pessimistic 0.0 0.0 0.0 0.0 47.5 47.7 47.5 44.9 Median (Expected) 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 fully fund the plan at the Optimistic 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 Very Optimistic 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 end of the projection period.

164 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

INSURANCE – CERS Non-Hazardous

165 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Initial Funded Ratio Median 140.0% Shortfall Risk:

130.0% The potential for the alternatives to have a lower median funded ratio than 120.0% the current policy.

110.0%

100.0% Drawdown Risk:

90.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded 80.0% have a lower “very pessimistic” funded ratio than the current policy. 70.0%

60.0% Initial Funded Ratio = 66.57% 50.0%

40.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 80.52 80.22 80.36 81.65 94.94 94.26 94.77 97.80 104.95 104.04 104.73 109.49 125.86 123.99 125.44 134.33 Optimistic 73.20 73.09 73.18 73.75 79.89 79.53 79.81 81.31 85.45 84.94 85.35 87.73 95.74 95.16 95.66 99.49 Median (Expected) 68.48 68.44 68.48 68.71 71.47 71.34 71.45 72.10 74.30 74.10 74.21 75.34 80.03 79.83 80.10 81.93 Pessimistic 63.74 63.75 63.74 63.58 63.08 63.11 63.09 63.07 63.75 63.73 63.76 63.96 66.17 66.10 66.22 66.86 Very Pessimistic 57.01 57.20 57.09 56.46 53.07 53.21 53.14 52.33 50.77 50.92 50.81 50.01 50.82 51.07 50.93 50.04

166 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Initial Funded Ratio Median 130.0% Shortfall Risk:

120.0% The potential for the alternatives to have a lower median funded ratio 110.0% than the current policy.

100.0%

90.0% Drawdown Risk:

80.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded have a lower “very pessimistic” 70.0% funded ratio than the current policy.

60.0%

50.0% Initial Funded Ratio = 71.41%

40.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 74.91 74.85 74.88 75.13 82.94 82.65 82.84 84.09 93.83 93.41 93.73 96.37 115.65 114.16 115.37 121.81 Optimistic 73.44 73.42 73.44 73.55 76.83 76.69 76.81 77.44 82.15 81.86 82.06 83.49 93.55 93.00 93.49 96.29 Median (Expected) 72.50 72.49 72.50 72.54 73.07 73.00 73.06 73.35 74.80 74.63 74.77 75.48 80.54 80.32 80.57 82.01 Pessimistic 71.55 71.55 71.55 71.52 69.35 69.33 69.33 69.40 67.85 67.85 67.87 67.97 69.73 69.61 69.75 70.29 Very Pessimistic 70.21 70.24 70.22 70.10 64.44 64.54 64.47 64.01 59.31 59.53 59.40 58.72 57.19 57.40 57.28 56.73

167 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PLAN YEAR CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $300.0 Shortfall Risk: The potential for the alternatives to $250.0 have higher median contributions than the current policy.

$200.0

Drawdown Risk: $150.0

($ Millions) ($ The potential for the alternatives to have higher “very pessimistic” $100.0 contributions than the current policy. $50.0

$0.0 2020 2022 2024 2029

2020 2022 2024 2029 ($ Millions) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 157.0 157.0 157.0 157.0 179.4 179.2 179.3 180.3 214.9 214.5 214.8 216.7 283.5 282.4 283.1 286.3 Pessimistic 157.0 157.0 157.0 157.0 168.9 168.9 168.9 169.0 189.3 189.5 189.3 189.3 220.0 220.3 220.0 218.3 Median (Expected) 157.0 157.0 157.0 157.0 161.3 161.4 161.3 160.8 168.9 169.3 169.1 167.0 167.8 168.7 167.7 160.6 Optimistic 157.0 157.0 157.0 157.0 153.6 153.9 153.7 152.5 148.1 148.9 148.3 144.5 102.3 105.0 103.0 88.9 Very Optimistic 157.0 157.0 157.0 157.0 142.0 142.5 142.1 139.7 113.4 115.3 113.9 106.3 0.0 0.0 0.0 0.0

168 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PRESENT VALUE OF CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $1,700.0 Shortfall Risk: The potential for the alternatives to $1,500.0 have a higher median present value of contributions than the current

$1,300.0 policy.

$1,100.0 Drawdown Risk: ($ Millions) ($ The potential for the alternatives to $900.0 have a higher “very pessimistic” present value of contributions than $700.0 the current policy. EROA = 6.25% $500.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 ($ Millions) Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 776.9 776.4 776.7 780.6 1,571.3 1,567.8 1,568.7 1,581.5 Pessimistic 731.7 731.8 731.7 731.8 1,377.6 1,378.8 1,377.7 1,372.9 Median (Expected) 696.8 697.5 697.1 693.9 1,231.2 1,234.6 1,231.4 1,213.2 Optimistic 662.0 663.3 662.3 656.2 1,056.3 1,065.5 1,059.0 1,020.0 Very Optimistic 605.8 608.5 606.9 595.0 757.5 771.8 763.2 700.0

169 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $3,000.0 Shortfall Risk: The potential for the alternatives to have a higher median economic $2,500.0 cost than the current policy.

$2,000.0 Drawdown Risk:

($ Millions) ($ The potential for the alternatives to $1,500.0 have a higher “very pessimistic” economic cost than the current

$1,000.0 policy. EROA = 6.25%

$500.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 6.25% Similar 6.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 2,378.0 2,367.3 2,373.1 2,404.0 2,826.6 2,820.2 2,822.9 2,846.0 contributions necessary to Pessimistic 1,915.0 1,917.5 1,914.7 1,906.9 2,267.9 2,267.5 2,264.8 2,242.2 Median (Expected) 1,549.9 1,557.4 1,549.8 1,509.8 1,765.4 1,777.7 1,768.5 1,689.6 fully fund the plan at the Optimistic 1,151.0 1,171.3 1,156.6 1,071.4 1,229.5 1,245.1 1,230.2 1,152.3 Very Optimistic 629.8 636.4 632.4 614.2 807.6 819.6 811.7 740.9 end of the projection period.

170 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA ECONOMIC COST

$2,000.0 Drawdown Risk:

($ Millions) ($ The potential for the alternatives to $1,500.0 have a higher “very pessimistic” economic cost than the current

$1,000.0 policy. EROA = 6.25%

$500.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 6.25% Similar 6.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 2,115.8 2,110.5 2,113.6 2,137.0 2,697.3 2,686.7 2,689.9 2,716.2 contributions necessary to Pessimistic 1,788.3 1,788.4 1,788.3 1,784.5 2,193.9 2,195.4 2,193.7 2,169.5 Median (Expected) 1,526.4 1,534.4 1,529.3 1,501.1 1,765.3 1,771.3 1,762.4 1,704.2 fully fund the plan at the Optimistic 1,252.9 1,265.8 1,256.7 1,206.8 1,244.5 1,266.2 1,250.0 1,156.5 Very Optimistic 801.9 825.8 809.4 710.8 782.8 798.3 787.9 722.7 end of the projection period.

171 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

INSURANCE – CERS Hazardous

172 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Initial Funded Ratio Median 160.0% Shortfall Risk: The potential for the alternatives to

140.0% have a lower median funded ratio than the current policy.

120.0%

Drawdown Risk:

100.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded have a lower “very pessimistic” 80.0% funded ratio than the current policy.

60.0% Initial Funded Ratio = 72.43%

40.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 87.06 86.73 86.89 88.29 101.68 100.97 101.48 104.75 111.73 110.50 111.46 116.79 134.03 131.90 133.30 144.51 Optimistic 79.07 78.95 79.05 79.67 85.08 84.72 85.00 86.77 90.05 89.53 89.89 92.60 99.30 98.39 99.13 103.35 Median (Expected) 73.93 73.89 73.93 74.18 75.93 75.75 75.85 76.62 77.62 77.38 77.60 78.80 81.24 80.86 81.18 83.36 Pessimistic 68.76 68.78 68.77 68.60 66.76 66.72 66.75 66.73 66.05 66.03 66.06 66.27 65.91 65.89 65.99 66.73 Very Pessimistic 61.44 61.64 61.52 60.84 55.69 55.90 55.77 54.91 51.90 52.09 51.93 51.01 48.99 49.32 49.17 48.18

173 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Initial Funded Ratio Median 140.0% Shortfall Risk:

130.0% The potential for the alternatives to have a lower median funded ratio 120.0% than the current policy.

110.0%

100.0% Drawdown Risk:

90.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded 80.0% have a lower “very pessimistic” funded ratio than the current policy. 70.0%

60.0% Initial Funded Ratio = 76.38% 50.0%

40.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 80.06 79.99 80.02 80.30 88.43 88.09 88.32 89.69 100.06 99.54 100.03 102.84 124.38 122.31 123.60 132.04 Optimistic 78.46 78.43 78.45 78.58 81.64 81.47 81.60 82.32 86.64 86.29 86.58 88.09 96.93 96.24 96.79 100.13 Median (Expected) 77.43 77.42 77.43 77.48 77.44 77.36 77.41 77.76 78.25 78.08 78.20 79.06 81.87 81.54 81.82 83.51 Pessimistic 76.40 76.40 76.40 76.36 73.31 73.31 73.32 73.35 70.40 70.40 70.42 70.51 69.44 69.36 69.43 69.95 Very Pessimistic 74.93 74.97 74.95 74.81 67.85 67.98 67.91 67.39 60.63 60.86 60.73 60.01 55.10 55.40 55.19 54.53

174 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PLAN YEAR CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $140.0 Shortfall Risk: The potential for the alternatives to $120.0 have higher median contributions than the current policy. $100.0

$80.0 Drawdown Risk:

($ Millions) ($ $60.0 The potential for the alternatives to have higher “very pessimistic”

$40.0 contributions than the current policy.

$20.0

$0.0 2020 2022 2024 2029

2020 2022 2024 2029 ($ Millions) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 63.5 63.5 63.5 63.5 72.8 72.7 72.7 73.2 90.3 90.1 90.3 91.3 120.4 120.0 120.1 121.4 Pessimistic 63.5 63.5 63.5 63.5 67.4 67.4 67.4 67.4 77.3 77.4 77.3 77.3 89.9 90.1 89.9 88.8 Median (Expected) 63.5 63.5 63.5 63.5 63.4 63.5 63.4 63.2 66.8 67.0 66.9 65.9 64.5 64.9 64.4 61.1 Optimistic 63.5 63.5 63.5 63.5 59.5 59.6 59.5 58.9 56.1 56.5 56.2 54.3 33.1 34.5 33.4 27.0 Very Optimistic 63.5 63.5 63.5 63.5 53.4 53.7 53.5 52.3 38.3 39.3 38.6 34.9 0.0 0.0 0.0 0.0

175 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PRESENT VALUE OF CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $700.0 Shortfall Risk:

$650.0 The potential for the alternatives to have a higher median present value $600.0 of contributions than the current $550.0 policy.

$500.0

$450.0 Drawdown Risk: ($ Millions) ($ $400.0 The potential for the alternatives to $350.0 have a higher “very pessimistic”

$300.0 present value of contributions than the current policy. $250.0 EROA = 6.25% $200.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 ($ Millions) Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 318.7 318.4 318.5 320.5 654.9 653.3 653.9 659.4 Pessimistic 295.4 295.5 295.4 295.4 558.8 558.8 558.5 555.8 Median (Expected) 277.5 277.9 277.6 275.9 484.6 486.5 485.4 476.3 Optimistic 259.4 260.1 259.6 256.5 396.5 400.6 397.5 378.5 Very Optimistic 230.5 231.7 230.9 225.3 259.4 264.4 260.6 238.9

176 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $1,200.0 Shortfall Risk:

$1,100.0 The potential for the alternatives to have a higher median economic $1,000.0 cost than the current policy. $900.0

$800.0 Drawdown Risk: $700.0

($ Millions) ($ The potential for the alternatives to $600.0 have a higher “very pessimistic” $500.0 economic cost than the current

$400.0 policy.

$300.0 EROA = 6.25%

$200.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 ($ Millions) Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 1,019.3 1,015.5 1,017.6 1,033.8 1,185.0 1,181.6 1,183.0 1,192.5 Economic Cost is defined as Pessimistic 790.5 791.2 790.5 787.5 924.7 925.4 924.4 911.2 the present value of Median (Expected) 610.1 613.9 609.7 589.4 688.3 694.0 688.2 655.6 Optimistic 410.7 419.8 413.2 373.3 453.3 460.2 454.9 422.6 contributions plus Very Optimistic 237.4 239.3 237.6 229.9 275.5 279.8 275.7 252.2 contributions necessary to fully fund the plan at the end of the projection period. 90 ©2020 Wilshire Associates.

177 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $1,200.0 Shortfall Risk:

$1,100.0 The potential for the alternatives to have a higher median economic $1,000.0 cost than the current policy. $900.0

$800.0 Drawdown Risk: $700.0

($ Millions) ($ The potential for the alternatives to $600.0 have a higher “very pessimistic” $500.0 economic cost than the current

$400.0 policy.

$300.0 EROA = 6.25%

$200.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 6.25% Similar 6.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 894.4 892.3 894.1 908.3 1,136.1 1,132.8 1,134.3 1,147.5 contributions necessary to Pessimistic 730.2 730.5 730.5 728.6 891.6 893.1 890.9 882.1 Median (Expected) 598.2 601.6 598.8 583.3 685.3 689.7 685.7 656.9 fully fund the plan at the Optimistic 459.9 465.8 461.3 434.2 446.6 456.3 448.0 414.8 Very Optimistic 240.7 244.1 241.6 229.0 266.9 271.5 268.8 245.8 end of the projection period.

178 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

INSURANCE – SPRS

179 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Initial Funded Ratio Median 160.0% Shortfall Risk: The potential for the alternatives to

140.0% have a lower median funded ratio than the current policy.

120.0%

Drawdown Risk:

100.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded have a lower “very pessimistic” 80.0% funded ratio than the current policy.

60.0% Initial Funded Ratio = 70.08%

40.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 84.35 84.02 84.18 85.55 98.67 98.02 98.52 101.74 108.70 107.48 108.40 113.80 131.54 129.54 131.35 142.23 Optimistic 76.59 76.47 76.57 77.17 82.53 82.17 82.41 84.15 87.35 86.82 87.24 89.88 96.49 95.76 96.45 100.82 Median (Expected) 71.59 71.56 71.60 71.83 73.54 73.40 73.50 74.23 75.07 74.84 75.05 76.24 78.35 77.92 78.35 80.47 Pessimistic 66.58 66.59 66.58 66.41 64.59 64.54 64.55 64.53 63.68 63.72 63.74 63.94 63.16 63.10 63.20 63.83 Very Pessimistic 59.46 59.66 59.54 58.88 53.78 53.98 53.82 52.98 49.77 50.00 49.88 48.89 46.23 46.54 46.44 45.44

180 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA FUNDED RATIO

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Initial Funded Ratio Median 140.0% Shortfall Risk:

130.0% The potential for the alternatives to have a lower median funded ratio than 120.0% the current policy.

110.0%

100.0% Drawdown Risk:

90.0% The potential for the alternatives to

Funded Ratio Ratio (%) Funded 80.0% have a lower “very pessimistic” funded ratio than the current policy. 70.0%

60.0% Initial Funded Ratio = 72.16% 50.0%

40.0% 2021 2023 2025 2030

2021 2023 2025 2030 (%) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Optimistic 76.25 76.19 76.22 76.49 85.41 85.08 85.31 86.66 97.46 96.88 97.32 100.21 122.03 120.12 121.62 130.06 Optimistic 74.70 74.68 74.70 74.82 78.74 78.58 78.71 79.40 84.02 83.70 83.96 85.42 94.39 93.83 94.26 97.70 Median (Expected) 73.70 73.70 73.70 73.75 74.62 74.55 74.59 74.94 75.75 75.54 75.67 76.51 78.89 78.62 78.91 80.62 Pessimistic 72.70 72.70 72.70 72.67 70.58 70.56 70.57 70.60 67.96 67.94 67.96 68.09 66.42 66.38 66.45 67.01 Very Pessimistic 71.28 71.32 71.29 71.16 65.21 65.34 65.27 64.75 58.21 58.45 58.32 57.63 52.05 52.15 52.07 51.38

181 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates PLAN YEAR CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $20.0 Shortfall Risk:

$18.0 The potential for the alternatives to have higher median contributions $16.0 than the current policy. $14.0

$12.0 Drawdown Risk: $10.0

($ Millions) ($ The potential for the alternatives to $8.0 have higher “very pessimistic” $6.0 contributions than the current

$4.0 policy.

$2.0

$0.0 2020 2022 2024 2029

2020 2022 2024 2029 ($ Millions) Similar 6.25% Similar 6.25% Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 10.3 10.3 10.3 10.3 11.5 11.5 11.5 11.5 13.8 13.7 13.8 13.9 18.1 18.1 18.1 18.3 Pessimistic 10.3 10.3 10.3 10.3 10.6 10.6 10.7 10.7 11.8 11.8 11.8 11.8 13.6 13.6 13.6 13.4 Median (Expected) 10.3 10.3 10.3 10.3 10.0 10.1 10.0 10.0 10.2 10.2 10.2 10.1 9.8 9.9 9.8 9.3 Optimistic 10.3 10.3 10.3 10.3 9.4 9.5 9.4 9.4 8.6 8.6 8.6 8.3 5.1 5.3 5.1 4.1 Very Optimistic 10.3 10.3 10.3 10.3 8.5 8.6 8.5 8.3 5.9 6.0 5.9 5.3 0.0 0.0 0.0 0.0

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Wilshire Associates PRESENT VALUE OF CONTRIBUTIONS

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $110.0 Shortfall Risk: The potential for the alternatives to $100.0 have a higher median present value

$90.0 of contributions than the current policy. $80.0

$70.0 Drawdown Risk: ($ Millions) ($ $60.0 The potential for the alternatives to have a higher “very pessimistic” $50.0 present value of contributions than

$40.0 the current policy. EROA = 6.25% $30.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 ($ Millions) Similar 6.25% Similar 6.25% Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy Very Pessimistic 50.0 50.0 50.0 50.3 101.0 100.8 101.0 101.7 Pessimistic 46.5 46.5 46.5 46.5 86.6 86.6 86.6 86.1 Median (Expected) 43.7 43.8 43.8 43.5 75.4 75.7 75.5 74.1 Optimistic 41.0 41.1 41.0 40.6 62.3 62.8 62.4 59.6 Very Optimistic 36.6 36.8 36.7 35.8 42.1 42.7 42.3 39.2

183 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates MVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $200.0 Shortfall Risk:

$180.0 The potential for the alternatives to have a higher median economic cost $160.0 than the current policy. $140.0

$120.0 Drawdown Risk: $100.0

($ Millions) ($ The potential for the alternatives to $80.0 have a higher “very pessimistic” $60.0 economic cost than the current

$40.0 policy.

$20.0 EROA = 6.25%

$0.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 6.25% Similar 6.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 162.0 161.4 161.7 163.9 183.9 183.3 183.6 184.8 contributions necessary to Pessimistic 127.5 127.7 127.5 127.2 145.3 145.4 145.2 143.7 Median (Expected) 100.5 101.0 100.5 97.3 109.9 111.1 110.1 105.4 fully fund the plan at the Optimistic 70.4 71.8 70.8 64.4 72.6 73.9 72.8 67.7 Very Optimistic 38.0 38.1 38.0 36.9 44.7 45.5 44.9 41.3 end of the projection period.

184 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates AVA ECONOMIC COST

Current Policy Similar Risk Policy Similar Return Policy 6.25% Return Policy Median $200.0 Shortfall Risk:

$180.0 The potential for the alternatives to have a higher median economic $160.0 cost than the current policy. $140.0

$120.0 Drawdown Risk: $100.0

($ Millions) ($ The potential for the alternatives to $80.0 have a higher “very pessimistic” $60.0 economic cost than the current

$40.0 policy.

$20.0 EROA = 6.25%

$0.0 Years 1 - 5 Years 1 - 10

Years 1 - 5 Years 1 - 10 Economic Cost is defined as ($ Millions) Similar 6.25% Similar 6.25% the present value of Current Similar Return Return Current Similar Return Return Policy Risk Policy Policy Policy Policy Risk Policy Policy Policy contributions plus Very Pessimistic 143.4 143.2 143.3 145.6 177.3 176.6 177.1 179.2 contributions necessary to Pessimistic 118.6 118.6 118.7 118.3 140.5 140.8 140.6 139.3 Median (Expected) 98.6 99.0 98.6 96.3 109.7 110.4 109.8 105.4 fully fund the plan at the Optimistic 77.6 78.5 77.8 73.7 72.6 74.2 73.0 66.7 Very Optimistic 42.3 44.1 42.9 37.3 43.5 44.4 43.7 40.4 end of the projection period.

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APPENDIX – CORRELATION MATRIX

186 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates ASSET CLASS ASSUMPTIONS • Wilshire’s asset class return, risk and correlation assumptions are developed on multi-year forward looking expected rates of return and historical risk and correlation, adjusted to incorporate recent trends.

• Public market return expectations represent a passive investment in the asset class (beta). They do not reflect value added from active management (alpha). U.S. Equity U.S. Non-U.S. Equity Credit / Specialty Yield High Private Equity Private Equity (Revised) Core Fixed Income Cash Real Estate Opportunistic Real Return Return - 10-Year (%) 6.00 6.75 5.40 8.15 6.65 1.25 0.75 6.80 3.75 5.45 Return - 30-Year (%) 7.05 7.55 6.60 9.55 7.80 3.30 2.05 7.40 5.10 6.60 Risk (%) 17.00 18.95 7.30 28.00 18.15 5.15 1.25 14.00 4.60 8.75

Correlations

U.S. Equity 1.00 Non-U.S. Equity 0.83 1.00 High Yield / Specialty Credit 0.58 0.50 1.00 Private Equity 0.74 0.67 0.32 1.00 Private Equity (Revised) 0.98 0.83 0.53 0.86 1.00 Core Fixed Income 0.28 0.09 0.19 0.31 0.31 1.00 Cash -0.05 -0.08 -0.10 0.00 -0.04 0.19 1.00 Real Estate 0.54 0.47 0.63 0.51 0.56 0.19 -0.05 1.00 Opportunistic 0.43 0.54 0.62 0.42 0.46 0.07 0.07 0.32 1.00 Real Return 0.43 0.48 0.60 0.43 0.46 0.24 0.01 0.69 0.50 1.00 High Yield/Specialty Credit is a mix of 50% High Yield and 50% Bank Loans plus 1% alpha Private Equity (Revised) is a mix of 80% US Equity and 20% Private Equity. Opportunistic is a mix of 25% Equity Market Neutral, 12.5% Global Macro & 62.5% Relative Value Hedge Funds. Real Return is a mix of 25% US TIPS, 7.5% Global REITS, 15% Private Real Estate, 10% Commodity, 17.5% Timber, 15% Oil & Gas & 7.5% MLPs. 100 ©2020 Wilshire Associates.

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APPENDIX – EFFICIENT FRONTIER

188 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates KERS NH & SPRS EFFICIENT FRONTIER PORTFOLIOS

Current Policy Minimum Maximum Asset Class Portfolio 2 Portfolio 3 Portfolio 4 Portfolio 5 Portfolio 6 Portfolio 7 Portfolio 8 Portfolio 9 KERS NH & SPRS Risk Risk Optimization Constraints

U.S. Equity 15.75% 10% - 100% 1 10.00% 10.43% 13.61% 15.05% 15.89% 18.43% 21.33% 24.46% 27.58% 31.50% Non-U.S. Equity 15.75% 10% - 100% 1 10.00% 10.43% 13.61% 15.05% 15.89% 18.43% 21.33% 24.46% 27.58% 31.50% High Yield / Specialty Credit 15.00% 0% - 15% 0.00% 15.00% 15.00% 15.00% 15.00% 15.00% 12.34% 6.09% 0.00% 0.00% Private Equity 0.00% 0.0% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Private Equity (Revised) 7.00% 0% - 7% 3 0.00% 0.00% 0.00% 2.81% 6.79% 7.00% 7.00% 7.00% 7.00% 7.00% Total Growth Assets 53.50% 20% - 70% 20.00% 35.86% 42.22% 47.92% 53.57% 58.86% 62.00% 62.00% 62.17% 70.00%

Core Fixed Income 20.50% 15% - 100% 65.00% 39.14% 32.78% 27.08% 21.43% 16.14% 15.00% 15.00% 15.00% 15.00% Cash 3.00% 3% - 5% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 3.00% 3.00% 3.00% 3.00% Total Fixed Income 23.50% 70.00% 44.14% 37.78% 32.08% 26.43% 21.14% 18.00% 18.00% 18.00% 18.00%

Real Estate 5.00% 5% - 10% 5.00% 10.00% 10.00% 10.00% 10.00% 10.00% 10.00% 10.00% 10.00% 7.00% Opportunistic 3.00% 0.0% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Real Return 15.00% 5% - 10% 5.00% 10.00% 10.00% 10.00% 10.00% 10.00% 10.00% 10.00% 9.83% 5.00% Total Diversifying 23.00% 10% - 20% 10.00% 20.00% 20.00% 20.00% 20.00% 20.00% 20.00% 20.00% 19.83% 12.00% Total Assets 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

Total Illiquid Assets 2 21.75% 6.25% 15.50% 15.50% 18.31% 22.29% 22.50% 21.97% 20.72% 19.46% 15.25% Expected Return - 10 Years (%) 5.19 3.02 4.20 4.56 4.88 5.19 5.47 5.66 5.73 5.78 5.79 Standard Deviation of Return (%) 8.92 5.84 6.62 7.43 8.23 9.07 9.84 10.66 11.40 12.17 13.00 +/(-) in Expected Return - 10 Years (bps) (217) (99) (63) (31) 0 28 47 54 59 60 +/(-) in SD of Return (bps) (308) (230) (149) (69) 15 92 174 248 325 408 Sharpe Ratio 0.50 0.39 0.52 0.51 0.50 0.49 0.48 0.46 0.44 0.41 0.39

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Wilshire Associates HAZ & CERS NH PENSION AND ALL INSURANCE EFFICIENT FRONTIER PORTFOLIOS

Current Policy KERS & CERS Haz (Ret/Ins), Minimum Maximum Asset Class Portfolio 2 Portfolio 3 Portfolio 4 Portfolio 5 Portfolio 6 Portfolio 7 Portfolio 8 Portfolio 9 CERS NH (Ret/Ins) & KERS Risk Risk Optimization NH Ins & SPRS Ins Constraints

U.S. Equity 18.75% 10% - 100% 1 10.00% 10.00% 10.00% 12.06% 13.87% 16.78% 19.67% 22.41% 26.19% 30.00% Non-U.S. Equity 18.75% 10% - 100% 1 10.00% 10.00% 10.00% 12.06% 13.87% 16.78% 19.67% 22.41% 26.19% 30.00% High Yield / Specialty Credit 15.00% 0% - 15% 0.00% 15.00% 15.00% 15.00% 15.00% 15.00% 15.00% 14.19% 6.63% 0.00% Private Equity 10.00% 0% - 10% 0.00% 1.47% 5.97% 7.43% 9.62% 10.00% 10.00% 10.00% 10.00% 10.00% Private Equity (Revised) 0.00% 0.0% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Total Growth Assets 62.50% 20% - 70% 20.00% 36.47% 40.97% 46.56% 52.37% 58.57% 64.34% 69.00% 69.00% 70.00%

Core Fixed Income 13.50% 10% - 100% 67.00% 40.53% 36.03% 30.44% 24.63% 18.43% 12.66% 10.00% 10.00% 10.00% Cash 1.00% 1% - 3% 3.00% 3.00% 3.00% 3.00% 3.00% 3.00% 3.00% 1.00% 1.00% 1.00% Total Fixed Income 14.50% 70.00% 43.53% 39.03% 33.44% 27.63% 21.43% 15.66% 11.00% 11.00% 11.00%

Real Estate 5.00% 5% - 10% 5.00% 10.00% 10.00% 10.00% 10.00% 10.00% 10.00% 10.00% 10.00% 10.00% Opportunistic 3.00% 0.0% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Real Return 15.00% 5% - 10% 5.00% 10.00% 10.00% 10.00% 10.00% 10.00% 10.00% 10.00% 10.00% 9.00% Total Diversifying 23.00% 10% - 20% 10.00% 20.00% 20.00% 20.00% 20.00% 20.00% 20.00% 20.00% 20.00% 19.00% Total Assets 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

Total Illiquid Assets 2 24.75% 6.25% 16.97% 21.47% 22.93% 25.12% 25.50% 25.50% 25.34% 23.83% 22.25% Expected Return - 10 Years (%) 5.96 3.02 4.30 4.69 5.05 5.42 5.76 6.05 6.29 6.35 6.41 Standard Deviation of Return (%) 10.83 5.91 6.82 7.68 8.52 9.49 10.39 11.23 12.06 12.97 13.90 +/(-) in Expected Return - 10 Years (bps) (294) (166) (127) (91) (54) (20) 9 33 39 45 +/(-) in SD of Return (bps) (492) (401) (315) (231) (134) (44) 40 123 214 307 Sharpe Ratio 0.48 0.38 0.52 0.51 0.50 0.49 0.48 0.47 0.46 0.43 0.41

190 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

APPENDIX – REGIMES

191 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates STRESS TESTING: REGIME SWITCHING MODEL

Managing drawdown risk − the “uncertainty around the uncertainty” expansionary base slow growthrecessionarysevere recession expansionary 18.0% 62.0% 15.0% 4.5% 0.5% • Most simulation models base 15.0% 60.5% 15.0% 7.5% 2.0% assume returns are log- slow growth 13.0% 60.0% 15.0% 10.0% 2.0% recessionary 13.0% 55.0% 16.0% 12.0% 4.0% normally distributed severe recession 12.0% 47.0% 16.0% 17.5% 7.5% • Though reasonable in most years, left-tail events occur Expansionary more frequently than

predicted Base • A regime switching model Slow Growth can help us pre-experience

uncomfortable return paths Recessionary that fall outside a normal

distribution’s field of view Severe Recession

- 10.0% 20.0% 30.0% 40.0% 50.0% 60.0% 70.0% 80.0% 90.0% 100.0%

Expansionary Base Slow Growth Recessionary Severe Recession

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Wilshire Associates STRESS TESTING: REGIME ASSUMPTIONS US EquityUS Equity xUS Dev EM Equity Private Equity Cash Core Bonds Long Core Bonds TIPSUS HY Real EstateUS Private RE Commodities Portfolio KERS NH & SPRS Portfolio KERS & CERS Haz (Ret/Ins), CERS NH (Ret/Ins), KERS NH Ins & SPRS Ins

Expansionary/Above Trend Growth Return (%) 11.00 11.50 11.50 15.65 1.00 0.75 1.60 (0.20) 6.00 10.10 11.80 5.25 7.97 9.38 Risk (%) 12.00 13.00 21.00 20.50 1.25 5.65 10.85 6.50 8.00 13.00 11.00 15.00 6.70 8.06 Baseline/Trend Growth Return (%) 6.00 6.50 6.50 8.15 0.75 1.25 2.10 0.30 4.00 5.10 6.80 2.25 5.19 5.96 Risk (%) 17.00 18.00 26.00 28.00 1.25 5.15 9.85 6.00 10.00 17.00 14.00 15.00 8.92 10.83 Slow Growth/Below Trend Return (%) 4.00 4.50 4.50 5.15 0.50 2.25 3.60 0.80 3.00 3.10 4.80 1.25 4.36 4.83 Risk (%) 22.00 23.00 31.00 35.50 1.25 6.15 11.85 7.00 12.00 21.00 17.00 17.00 11.48 14.05 Recessionary/Negative Growth Return (%) (4.00) (3.50) (3.50) (6.85) 0.25 3.25 5.10 1.80 0.00 (4.90) (3.20) (1.75) 0.09 (0.52) Risk (%) 27.00 28.00 36.00 43.00 1.25 7.15 13.85 8.00 15.00 25.00 20.00 20.00 14.16 17.36 Severe Recession/Deflation Return (%) (44.00) (43.50) (43.50) (41.85) (0.25) 13.75 22.10 10.30 (16.00) (44.90) (43.20) (4.75) (19.02) (23.66) Risk (%) 42.00 43.00 51.00 53.00 1.25 15.15 19.85 16.00 20.00 42.00 34.00 25.00 21.57 25.43

• In below trend and worse environments, the portfolios’ return expectations is materially lower and the volatility is materially higher

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APPENDIX – LIQUIDITY

194 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates LIQUIDITY RISK: WHAT ARE THE CONSEQUENCES?

• Default/Insolvency is the most severe outcome from having insufficient liquidity, but… • There are many other, more likely, disruptive impacts that a lack of liquidity can impose on an investment portfolio

• Liquidity breaches can rob an investor of their biggest advantage: a long- term investment horizon • The timing and price of such sales dictated by liquidity needs rather than by explicit investment rationale • Can destroy portfolio value and effectively strip a portfolio from its ability to recover from market sell-offs

195 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates WILSHIRE LIQUIDITY METRIC

Wilshire’s Liquidity Metric framework has two levels 1. Market Level of Liquidity 2. Stressed Level of Liquidity Metric

Market Level of liquidity • Quantified on scale from 0% (low liquidity) to 100% (high liquidity) • Designed to capture general notion of marketable versus private/off-market transactions – Marketable asset classes typically reflect a 90% or 100% – Private asset classes reflect 0% • Goal is to reflect the tradability of assets, which is helpful in connecting these values back to our definitional framework (i.e., to quantify the differences between Convertible Liquidity and Delayed Liquidity)

196 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates WILSHIRE LIQUIDITY METRIC

Stressed Level of Liquidity Metric Includes a penalty process to reflect the loss in practical liquidity due to asset class volatility and sensitivity to particular economic environments Penalty components: 1. Growth Penalty: • Impacts asset classes with vulnerability to slowing growth • Recognizes the hit to liquidity that can occur during growth related bear markets 2. Inflation Penalty: • Impacts asset classes with vulnerability to rising inflation • Recognizes the hit to liquidity that can occur during inflation driven bear markets 3. Volatility Penalty: • Impacts higher volatility asset classes • Recognizes the hit to liquidity that can occur from any form of volatility

197 CERS Special Called Investment Committee Meeting - Wilshire Investment Performance Review

Wilshire Associates WILSHIRE STRESSED LIQUIDITY METRIC

Stressed Level of Liquidity Metric Market Liquidity Penalty Components Applied Stressed Asset Class Liquidity Growth Inflation Volatility Penalty Liquidity US Equity 100 50 24 50 13 Dev ex-US Equity 100 50 26 50 13 EM Equity 90 50 40 50 3 Private Equity 0 50 40 0 0 Cash Equivalents 100 0 100 Core Bonds 100 8 8 86 High Yield Bonds 80 40 10 40 10 US Real Estate Securities 90 50 24 50 3 Private Real Estate 0 50 18 0 0 Commodities 90 20 20 55 Applied Penalty = Min(Max(Growth + Inflation, Volatility), Market Liquidity) Stressed Liquidity Metric = Market Liquidity - (1.75 x Applied Penalty)

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IMPORTANT INFORMATION

Wilshire Consulting is a division of Wilshire Associates Incorporated (Wilshire). Wilshire is a global financial services firm providing diverse services to various types of investors and intermediaries. As such, Wilshire’s products, services, investment approach and advice may differ between clients and all of Wilshire’s products and services may not be available to all clients. For more information regarding Wilshire’s services, please see Wilshire’s ADV Part 2 available at www.wilshire.com/ADV.

This material contains confidential and proprietary information of Wilshire, and is intended for the exclusive use of the person to whom it is provided. It may not be disclosed, reproduced or redistributed, in whole or in part, to any other person or entity without prior written permission from Wilshire. Information and opinions are as of the date indicated, and are subject to change without notice.

Past performance is not indicative of future results.

This material may include estimates, projections, assumptions and other "forward-looking statements." Forward-looking statements represent Wilshire's current beliefs and opinions in respect of potential future events. These statements are not guarantees of future performance and undue reliance should not be placed on them. Such forward-looking statements necessarily involve known and unknown risks and uncertainties, which may cause actual events, performance and financial results to differ materially from any projections. Forward-looking statements speak only as of the date on which they are made and are subject to change without notice. Wilshire undertakes no obligation to update or revise any forward- looking statements.

Wilshire® is a registered service mark of Wilshire Associates Incorporated, Santa Monica, California. All other trade names, trademarks, and/or service marks are the property of their respective holders.

199 CERS Special Called Investment Committee Meeting - Investment Policies Drafts

KENTUCKY COUNTY EMPLOYEES RETIREMENT SYSTEMS INVESTMENT PROCUREMENT POLICY [Adopted: September 14, 2017XXXXX, 2021]

INTRODUCTION

Kentucky law mandates that the Kentucky County Employees Retirement Systems (KRS) of the State of Kentucky, through the Board of Trustees, develop and adopt an investment procurement policy (KRS 61.65078.790(6)). The policy must be designed, in consultation with the Secretary of the Finance and Administration Cabinet, to follow best practices for investment procurement. This policy functions in concert with other statutes, administrative regulations and guidelines detailing fiduciary and ethical requirements and parameters for investing trust funds. The law shall control if any inconsistency exists between it and this policy.

The procurement procedures in this policy will be implemented consistent with the board's fiduciary duty established by law to procure the managers, goods and services needed to support the investment or management of KRSCERS assets. The CERS bBoard has delegated investment authority to its Investment Committee, consistent with investment policies adopted by the Bboard.

The Bboard also has designated a portion of KRSCERS's funds to be managed externally, including by investment managers specializing in mandates such as equities, bonds, other publicly traded securities, alternative investments, real estate, timberland and/or any other asset type authorized by Kentucky law. Additionally, the Bboard is responsible for the procurement of investment analytical, professional, research and technical services to carry out the investment or management of KRSCERS assets.

Investment procurements will promote the highest level of competition and best value, giving due consideration to factors including, but not limited to, timing (including emergencies), execution, quality, service and price. Whenever KRSCERS is considering an investment procurement, KPPA staff - rather than members of the KRSCERS Bboard and Investment Committee - will communicate directly with the principals of the potential vendor to ensure transparency, accountability and compliance with laws and board policies, including those banning payment of fees or commissions to placement agents.

1. Definitions.

KPPA: Kentucky Public Pensions Authority Alternative investments (alternatives): investments with general partners or managers in assets such as timberland, private equity and infrastructure that are long-term and illiquid in nature.

Best and final price: request to submit their last and most competitive pricing to secure a contract.

Co-investment opportunities: an opportunity to invest in a company or property outside of an existing limited partnership. Co-investment opportunities arise when the general partner wants to make an investment for the partnership, but the total value of that investment is larger than the

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partnership can hold. Co-investments generally have much more favorable economics than the investment in the partnership, and are usually only offered to limited partners who have expressed a desire to be shown these opportunities.

Evaluation factors/screening criteria: evaluation criteria that represent the key areas of importance in making a final determination, which shall always include cost/price, as well as other considerations weighted by importance. External investment manager: a vendor selected by an authorized competitive selection process and that is approved by the CERS Investment Committee, subject to ratification by the board, to invest KRSCERS funds in a manner specified by contract.

Final candidate pool: that subset of vendor(s) from which the final vendor is chosen to provide services to Kentucky County Employees Retirement Systems under this Investment Procurement Policy.

Highest level of competition and best value: seeking vendors that provide the best performance at the lowest cost (economic efficiency) giving due consideration to factors including, but not limited to, performance improvements (faster, more suitable), timing (including emergencies), execution, quality, trust, reputation, service and price.

Independent: not having conflicts of interest.

CERSInvestment consultant: an external firm or individual retained to advise the CERS Bboard and the CERS Investment Committee and assist investment staff in a variety of ways, including as outlined in this policy.

Minimum qualifications: establishes the lowest threshold metric for determining whether a vendor is qualified to reasonably perform the necessary work.

Specialty investment consultant: an external firm or individual retained to advise the board and Investment Committee and assist investment staff in a variety of ways, including recommending general partners or managers for alternative investments.

Investment procurement: all contracts for the investment or management of assets of KRSCERS undertaken subject to fiduciary duty and other legal and ethical standards in accordance with KRS 61.650(6).

Performance attribution: quantifies the relationship between a portfolio's returns and the active decisions of the portfolio manager.

Placement agents: a third party or firm banned by KRS 61.645(21) and board policies from receiving fees or commissions incident to an investment by KRSCERS.

Qualitative analysis: a review of a potential vendor that uses unquantifiable information, such as the impact of vendor management expertise, processes and ownership structure on an investment.

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Quantitative analysis: economic, business or financial reviews that aim to understand or predict behavior or events through the use of mathematical measurements and calculations, statistical modeling and research.

Quiet Period: a specified timeframe when board members and staff are restricted in communications with potential vendors in designated procurements.

Request For Information (RFI): a document sent to vendors to request specific information or clarification on a service or product.

Request For Proposals (RFP): a document soliciting proposals for a procurement based on the terms listed in the offering document.

Request For Quotations {RFQ): an invitation to suppliers to bid on providing specific products or services.

2. External Manager Selection.

External investment managers are to be chosen through a competitive selection process coordinated by KRSKPPA investment staff and based upon established criteria. The selection process, which typically involves the assistance of KRSCERS's independent investment consultant, results in a recommendation of a manager. The recommendation will be made to the KRSCERS Investment Committee for its review and approval, with ratification by the board no later than at its next quarterly meeting.

KRSCERS normally will use an open search process when conducting a manager search. KRSCERS will identify a list of suitable candidates that are appropriate for the mandate. The list of suitable candidates will be developed by KRSKPPA staff and/or the independent investment consultant using a broad-based list of potential managers that meet the screening criteria provided by KRSCERS.

KRSCERS also may use a request process such as an RFP, RFI or RFQ when conducting a manager search. The request may be sent directly to known vendors, will be listed on the KRSKPPA website and may be advertised through other means such as financial media. Any advertisement will state clearly the mandate for which KRSCERS is seeking a manager. The advertisement also will state certain minimum requirements that a manager must meet.

A written report documenting the particulars of the search process will be given to the CERS Investment Committee with the recommendation of a manager. The report will include matters such as the screening criteria, the number of managers considered, the number of managers interviewed, the number of firms in the final candidate pool, the names of the firms in the final candidate pool, any prior KRSCERS (or Kentucky Retirement System) history with the manager, references checked and summaries of other qualitative and quantitative analyses.

A. Determination of Screening Criteria

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Screening criteria may include, but are not limited to: investment processes; investment fee schedule; investment products; dollar value and composition of assets under management; historical performance; years of experience; growth of firm; a manager's history with KRSCERS (or Kentucky Retirement Systems); other client relationships (including experience with large public funds); ownership; the number and depth of investment professionals; research capabilities; structure of the proposed investment (separate account, commingled account, limited partnership, etc.); compliance with standard contractual provisions; compliance with the Chartered Financial Analyst (CFA) Institute Code of Ethics; compliance with Global Investment Performance Standards as administered by the CFA Institute; and reporting consistent with the Institutional Limited Partners Association standards. Other criteria may be added for any search.

B. Preliminary Screening 1) KRSKPPA staff and/or the CERS investment consultant identify a preliminary list of firms that meet the initial set of screening criteria. 2) KRSKPPA staff and/or the CERS investment consultant contact each firm on the preliminary list to determine if they are accepting new business and to obtain the most current information and any additional information, as required. Follow-up telephone calls, interviews or on- site visits are made as necessary. 3) Based upon the established criteria, KPPA staff and/or the CERS investment consultant narrows the preliminary list to a candidate pool.

C. Candidate Pool 1) KRSKPPA staff and/or the CERS investment consultant conduct a more in-depth interview with each candidate. The interviews may be in person or telephonic which allows for the interaction with and evaluation of the person or persons who will be investing on behalf of KRSCERS. Interview topics may include: a) Investment process; b) Any action or investigation concerning a candidate by a regulatory or civil or criminal enforcement agency; c) Any SEC forms, other similar agency reports or prospectuses; d) Qualifications of the firm's representatives, including the portfolio management team; e) A list of institutional references; f) Communication with the firm; g) Employee compensation and ownership structure; h) Availability of the contact person and portfolio manager to meet with KRSKPPA staff and responsiveness to board and staff concerns; i) Validation of performance and the continued management by key individuals who will be responsible for fulfilling assignment; j) Accommodation of KRSCERS's priorities; k) Experience with large public funds;

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l) Fee discussions; m) Conflicts of interest, including the appearance of conflicts of interest. Potential or actual conflicts of interest must be evaluated during due diligence and after engagement under the board's Conflict of Interest and Confidentiality Policy and applicable statutes and regulations. The KPPA investment staff will employ reasonable efforts to identify conflicts of interest affecting KRSCERS trustees, employees and managers with respect to all investments. n) Placement agents. KPPA Staff will employ reasonable due diligence to ensure that no fees or commissions are paid to a third party or firm banned, either by KRS 61.645(2178.782(20) or board policies, from receiving fees or commissions incident to an investment by KRSCERS.

2) Quantitative analyses also are conducted in addition to the qualitative analyses above. This analysis will include performance attribution and risk management.

3) Additional due diligence factors may be necessary in selecting general partners or managers for alternatives (such as timberland, private equity and infrastructure) because of the long-term and illiquid nature of these types of investments. The additional factors include particular considerations such as risk management; diversification; and legal and business matters. a) KRSCERS may engage independent specialized consultants to assist in the selection of these managers. b) KRSKPPA staff and/or consultants will narrow potential funds to seek best-in-class managers. c) Any new fund offering by an existing manager (also known as a reup) will be evaluated consistent with the process described above (understanding that some of the materials and knowledge for conducting due diligence already may have been obtained based on the prior investment with the manager).

4) KRSKPPA staff and - if involved in the process - the CERS investment consultant (or, in the case of alternative investments, any CERS-engaged specialty investment consultant), will reach a consensus regarding a manager for the final written recommendation to the CERS Investment Committee. Any approval by the CERS Investment Committee is subject to the review by and ratification of the CERS Bboard, the completion of due diligence and the negotiation and execution of a contract. a) It is critical that the terms of the contract accurately reflect the terms and conditions of the authorization. The process may involve highly specialized contract provisions, including investment guidelines, and result in protracted negotiations. CERS Staff may retain outside counsel to assist in the contract process. b) The investment manager must certify that no fees or commissions are paid to a third party or firm banned, either by KRS 61.64578.782(20(21) or board policies, from receiving fees or commissions incident to an investment by KRSCERS.

D. An approval of a manager by the CERS Investment Committee is reported to the CERS Bboard no later than at its next quarterly meeting for review and ratification.

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3. Co-Investment Opportunities.

Co-Investment opportunities occurring from general partners, funds, or other investment managers already contained in the KRSCERS portfolio and previously approved by the KRSCERS Investment Committee and CERS Board may be authorized by Kentucky Retirement SystemsKPPA Executive Director Office of Investments in amounts up to 1% of the plan assets, Commented [KRS1]: 1% of the Total CERS plan assets or considering the following: 1% of this partnership agreement. Does CERS need any additional notice from KPPA CIO? Approval?? 1) The co-investments may be made alongside an existing KRSCERS General Partner, provided that the strategy and objective of the partnership investing in the transaction are consistent with those of the partnership in which KRsCERS has an existing commitment. 2) Co-investments shall be made on the same (or better) terms and conditions as provided to the partnership;

4. External Investment Consultant Selection.

External investment consultants are to be chosen through a competitive selection process coordinated by KRSKPPA investment staff and based upon established criteria. The selection process results in a recommendation of a consultant to the KRSCERS Investment Committee for its review and approval, with ratification by the board no later than at its next quarterly meeting. KRSCERS normally will use an open search process when conducting a consultant search. A list of suitable candidates will be developed by KRSKPPA staff using a broad-based list of potential consultants that meet the screening criteria provided by KRSCERS. KRSCERS also may use a request process such as a request for proposal (RFP), request for information (RFI) or request for quotation (RFQ) when conducting a consultant search. The request may be sent directly to known vendors, will be listed on the KRS KPPA website and may be advertised through other means such as financial media. Any advertisement will state clearly the mandate for which KRSCERS is seeking a consultant. The advertisement also will state certain minimum requirements that a consultant must meet. A written report documenting the particulars of the search process will be given to the CERS Investment Committee with the recommendation of a consultant. The report will include matters such as the firm name, screening criteria, the number of consultants considered, the number of consultants interviewed, the number of firms in the final candidate pool and their names, any prior KRSCERS (or Kentucky Retirement System) history with the consultant, references checked and summaries of other qualitative and quantitative analyses. A. Determination of Screening Criteria. Screening criteria for an External Investment Consultant may include, but are not limited to: depth, breadth and experience in consulting similar plans, organizational strength, firm stability, key personnel, financial condition, industry reputation, client list, soundness and compatibility of investment philosophy and approach, breadth and capability of technological resources, research platform, risk reporting, fee proposal, size of public institutional, tax-exempt client AUM; size of pension fund client assets; consultant's history with KRSCERS; other client relationships (including experience with large public funds); ownership; the number and depth of investment professionals; research capabilities; compliance with standard contractual provisions; compliance with the Chartered Financial Analyst (CFA) Institute Code of Ethics; compliance with Global Investment Performance

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Standards as administered by the CFA Institute; and reporting consistent with the Institutional Limited Partners Association standards. Other criteria may be added for any search. B. Preliminary Screening. 1) KRSKPPA staff will identify a preliminary list of firms that meet the initial set of screening criteria. 2) KRSKPPA staff will contact each firm on the preliminary list to determine if they are accepting new business, would be interested in being a candidate, and to obtain the most current information and any additional information, as required. Follow-up telephone calls, interviews, or on-site visits are made as necessary. 3) Based upon the established criteria, KRSKPPA staff narrows the preliminary list to a candidate pool. C. Analysis. 1) KRSKPPA staff will conduct a qualitative and quantitative analysis utilizing criteria developed by KRSKPPA staff identified to meet the External Investment Consultant needs of the Agency. 2) KRSKPPA staff will utilize, as necessary, additional diligence factors for consideration in selecting an External Investment Consultant. KRSKPPA staff may conduct interviews, in- person or telephonic, which allows for the interaction with and evaluation of the person or persons who will be providing consulting services. References will be checked. 3) It is critical that the terms of the contract accurately reflect the terms and conditions of the authorization. The process may involve highly specialized contract provisions, including investment guidelines, and result in protracted negotiations. Staff may retain outside counsel to assist in the contract process. 4) KRSKPPA staff will reach a consensus regarding an External Investment Consultant to be provided as a final written recommendation to the Investment Committee. Any approval by the Investment Committee is subject to the review and ratification of the board, the completion of due diligence and the negotiation and execution of a contract. An approval of an External Investment Consultant by the Investment Committee is reported to the CERS Bboard no later than at its next quarterly meeting for review and ratification.

5. Procurement of investment analytical, professional, research and technical services.

KRSCERS will procure investment-related goods and services through one of the methods below. Nothing in this section shall apply to the procurement of ordinary goods and services that are common to other KRSKPPA administrative functions. A. Procurement of goods and services costing less than $5,000 during a fiscal year will be determined by KRSKPPA staff based upon best value comparing known vendors. In comparing vendors, staff will promote the highest level of competition. B. Procurement of goods and services costing from $5,000 to $24,999 during a fiscal year will be determined by any one of the Executive Director of Kentucky Retirement Systems, Executive Director Office of Operations, Executive Director Office of Investments, or any KRSCERS employee designated to act in their stead, based upon best value comparing

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at least three (3) known vendors, whose price quotations may be obtained by telephone, catalog, or internet. C. Procurement of goods and services equal to or greater than $25,000 in cost during a fiscal year will be determined solely by the Executive Director of Kentucky Retirement Systems, or any KRSCERS employee designated to act in his/her stead, based upon best value comparing at least three (3) known vendors, whose price quotations must be obtained in written form on the vendor's letterhead. The price quotations received and comments by KRSCERS concerning the basis for placing the order shall be recorded in writing and shall be placed in a file to be maintained by KRSCERS. These records are retained by KRSCERS for record, audit, and review. D. KRSCERS may utilize a price contract established by the Commonwealth of Kentucky, the U.S. General Services Administration or U.S. Communities (a national government purchasing cooperative) so long as the vendor sells to KRSCERS at or below the contract price and under the same terms and conditions. E. KRSCERS may publish a request for proposal (RFP), request for information (RFI) and/or request for quotation (RFQ) for goods or services. The request may be sent directly to known vendors; will be listed on the KRS KPPA website; and may be advertised through other means, such as financial media, as appropriate to promote the highest level of competition. The request will describe the goods or services required, the type of information and data required of each vendor, the relative importance of qualifications and the evaluation factors to be used. After determining the best value of proposals received, KRSCERS may negotiate a contract for goods or services with a vendor. If contract terms cannot be agreed upon with the highest-ranking vendor, negotiations may be conducted with other vendor(s) in the order of ranking as defined by the request. The evaluation of best value will be documented by KRSCERS. The documentation will include specifics of the process used in selecting the vendor. Those specifics may include: price, the number of vendors considered, the number of vendors interviewed, any prior KRSCERS (or Kentucky Retirement System) history with the vendor, references checked and summaries of other qualitative and quantitative analyses. F. Exceptions to using the methods of procurement above include, but are not limited to: goods and services available only from one or two uniquely qualified sources; advertisements and public notices; and copyrighted computer software. The reason for the exception will be documented by the executive secretary or a deputy executive secretary. 6. Contract Renewal. As applicable, contract renewals, whether they be annual or longer-term agreements, use criteria such as continued need of vendor and/or asset class; level of trust; continuity of ownership, leadership and process; long-term performance; and competitiveness of fees. KRSKPPA staff will submit a formal recommendation regarding the renewal of a contract to the Investment Committee for approval. The submission to the committee will include a description of the process used in making the recommendation to renew the contract. Any approval by the Investment Committee is subject to the review by and ratification of the board, the completion of due diligence and the negotiation and execution of a contract.

7. Emergency Procurement. The existence of an emergency may cause an immediate need for managers, goods and/or services that cannot be procured through KRSCERS's normal investment procurement

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procedures. The determination that an emergency exists is to be made by, and procurement actions approved by, any two of the Executive Director, the Deputy Executive Director, or the Chief Investment Officer. Thereafter, no later than at the next quarterly meetings of the board and Investment Committee, the emergency and procurement actions incident to the emergency will be reported.

8. Quiet Period. To ensure a competitive and fair procurement, KRSKPPA staff, the CERS Bboard and CERS Investment Ccommittee members will follow a quiet period with potential vendors during specified timeframes. A quiet period is a specified timeframe when staff, the board and committee members are restricted in communications with potential vendors in designated procurements. Staff assigned to the procurement are not covered by the quiet period and will notify the board, committee and other staff upon initiation of a quiet period and a description of the types of vendors to whom it applies. During quiet periods, covered staff, the board and committee members will not communicate with potential vendors or with an existing vendor on matters pertaining to the procurement, except during board or committee meetings. A quiet period will cease when the approval of a vendor has been ratified by the CERS bBoard, or if the search process or quiet period are otherwise ended.

9. Other Laws and Policies that Comprise KRSCERS Investment Procurement Policy. This policy is to be implemented in conjunction and accordance with the laws and other policies that, cumulatively, establish the comprehensive KRSCERS Investment Procurement Policy under which all KRSCERS investment procurements are made. These laws and other policies are as follows, but are not limited to: A. Executive Branch Code of Ethics (KRS Chapter 11A); B. Board as fiduciary (KRS 61.650, 78.790(1)(c), 16.642); C. Pension Fund investment requirements (KRS 61.65078.790); D. KRSCERS conflict of interest prohibitions (KRS 61.655); E. KRSCERS confidentiality requirement (KRS 61.66178.790(4)); F. Insurance Fund investment requirements (KRS 61.701 and 105 KAR 1:41O); and G. Kentucky County Employees Retirement Systems Board of Trustees Election Policy and Procedure, Statement of Bylaws and Committee Organization, Trustees Education Program, Conflict of Interest and Confidentiality Policy, Policy and Procedures Regarding Open Records Request, CFA Code of Ethics and Standards of Professional Conduct, CFA Asset Manager Code of Professional Conduct, and CFA Code of Conduct for Members of a Pension Scheme Governing Body.

* * * * *

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CERTIFICATION OF ADOPTION BY BOARD OF TRUSTEES This is to certify that this Kentucky Retirement Systems Investment Procurement Policy was approved and adopted by the Board of Trustees of the Kentucky Retirement Systems on the 14th day of September, 2017.

Date: Betty A. Pendergrass, Chair CERS Board of Trustees

Date:

CERS Chief Executive Officer

CERTIFICATION OF FINANCE AND ADMINISTRATION CABINET This certifies that the Investment Procurement Policy of the Kentucky Retirement Systems of the Commonwealth of Kentucky, attached hereto, meets best practices for investment management procurement as specified KRS 61.650(6).

______Date: Holly M. Johnson Secretary of the Finance and Administration Cabinet Commonwealth of Kentucky

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Kentucky County Employees Retirement Systems Statement of Investment Policy Adopted February 20thxxxxxxxxx, 20210

This Statement of Investment Policy is issued by the Board of Trustees of the KentuckyCounty Employees Retirement Systems (SystemsCERS Plans) in connection with investing the pension and insurance funds of the KentuckyEmployees Retirement Systems, the County Employees Retirement Systems and the State Police Retirement System. This document supersedes all prior documents entitled Statement of Investment Policy. ·

I. Introduction

A. Purpose

The purpose of this Investment Policy Statement ("Policy") is to define the framework for investing the assets ("Portfolio") of the KentuckyCounty Employees Retirement Systems ("SystemsCERS Plans" or "Plan"). This Policy is intended to provide general principles for establishing the goals of the Plans, the allocation of assets, employment of outside asset management, and monitoring the results of the Plans.

The retirement plans administered by the KentuckyCounty Employees Retirement Systems are a "Qualified Pension Plan" under Section 401(a) of the Internal Revenue Code. Additionally, KRS 61.701 establishes health insurance benefits to recipients of the Kentucky Employees Retirement Systems, County Employees Retirement Systems and State Police Retirement System. KRS 61.702 and KRS 78.790(1)(a) provides that all amounts necessary to provide for insurance benefits shall be paid to the iInsurance fFund. The Board shall administer the fund in the same manner as the retirement funds.

B. Philosophy

The Trustees of the KentuckyCounty Employees Retirement Systems recognize their fiduciary duty not only to invest the SystemsCERS Plans' funds in formal compliance with the Prudent Person Rule but also to manage those funds in continued recognition of the basic long term nature of those systemsCERS Plans. The Trustees interpret this to mean, in addition to the specific guidelines and restrictions set forth in this document, that the assets of the SystemsCERS Plans shall be proactively managed -- that is, investment decisions regarding the particular asset classes, strategies, and securities to be purchased or sold shall be the result of the conscious exercise of discretion.

The Trustees recognize that asset allocation is the primary driver of long-term investment performance, and will therefore review asset allocation and asset-liability studies on a regular basis as outlined in Section Ill of this document. The asset allocation policy represents a strategic decision, with the primary aim that the portfolios meet their performance objectives in the long- term but understanding that they may not necessarily every year.

The Trustees recognize that there is generally an inverse relationship between market efficiency, and the ability for active management to produce alpha. Therefore, investments in efficient markets, such as U.S. Large-Cap Equity arid Core Fixed Income, will be made using index or index-like investments with the goal of replicating index returns with low management fees. Active management will be

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pursued in less efficient markets, such as U.S. Small-Cap Equity and High Yield/Specialty Credit mandates, accepting higher tracking error and paying higher management fees with the expectation of producing excess returns over the long term. This focuses staff and consultant(s) efforts on identifying, selecting, and monitoring managers, as well as the overall management fees paid, in the areas of the market most likely to produce excess returns.

The Trustees recognize that, commensurate with their overall objective of maximizing long-range return while maintaining a high standard of portfolio quality and consistency of return, it is necessary that proper diversification of assets be maintained both across and within the classes of securities held to minimize/mitigate overall portfolio risk. Consistent with carrying out their Fiduciary Responsibilities and the concept of Modern Portfolio Theory, the Trustees will not systematically exclude any investments in companies, industries, countries, or geographic areas unless required to do so by statute. Within this context of proactive management and the necessity for adherence to proper diversification, the Trustees rely upon appropriate professional advice from multiple service providers.

II. Responsibilities

The Trustees and other fiduciaries shall discharge their duties with respect to the SystemsCERS Plans: (1) solely in the interest of the participants .and beneficiaries; (2) for the exclusive purpose of providing benefits to participants and beneficiaries; (3) with the care, skill and caution under the circumstances then prevailing which a prudent person acting in a like capacity and familiar with those matters would use in the conduct of an activity of like character and purpose; (4) impartially; (5) incurring and paying appropriate and reasonable expenses of administration which may not necessarily be the lowest and (6) in accordance with a good faith interpretation of the laws, regulations and other instruments governing the SystemsCERS Plans.

Additionally, the Trustees and other fiduciaries shall not engage in any transaction which results in a substantial diversion of the SystemsCERS Plans income or assets without adequate security and reasonable rate of return to a disqualified person or in any other prohibited transaction described in Internal Revenue Code Section 503(b).

A. Board of Trustees

The Investment Committee is created by the Board of Trustees ("Board") as set forth in the Board's Statement of Bylaws and Committee Organization. The Chair authorizes and directs the appointment of an Investment Committee with full power to act for the Board in the acquisition, sale and management of the securities and funds of the SystemsCERS Plans in accordance with the provisions of KRS 78.790 and any other applicable statutes, and policies of the Board. The Investment Committee has the power to act on behalf of the Board on all investment related matters, including the acquisition, sale, safeguarding, monitoring and management of the assets, securities and funds of the SystemsCERS Plans. The Board shall review and ratify the actions of the Investment Committee at the Board meeting following the Investment Committee meeting where such action was taken.

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B. Investment Committee

The Investment Committee consists of nine members of the Board of Trustees appointed by the Board Chair each Board Year. The members of the Investment Committee shall include the three six Board Trustees appointed by the Governor to the Board pursuant to KRS 61.64578.782(1)(ce)(5), and three two (32) Board Trustees chosen by the Board Chair. The committee acts on behalf of the Board on investment related matters.

The Investment Committee has the following oversight responsibilities: i. Assure compliance with this policy and all applicable laws and regulations. ii. Approve the selection and termination of service providers. If the need arises to terminate a manager between board meetings, the Chief Investment OfficerKPPA CIO will have discretion to do so after receiving approval from either the Board Chair or the Investment Committee Chair. The Investment Committee and the Board must be notified of the manager termination at the next scheduled Investment Committee and Board meetings. iii. Meet no less than quarterly to evaluate whether this policy, the investment activities and management controls and processes continue to be consistent with meeting the SystemsCERS Plans' goals. Mandate actions necessary to maintain the overall effectiveness of the program. iv. Review assessment of investment program management processes and procedures, and this policy relative to meeting stated goals.

C. Staff

The KPPA Executive Director, Office of Chief Investments Officer (KPPA CIO) is responsible for the administration of investment assets of the SystemsCERS Plans consistent with the policies, guidelines and limits established by the law, the Board, and the CERS Investment Committee. The Chief Investment OfficerKPPA CIO receives direction from and reports to the CERS Investment Committee on all investment matters, including but not limited to the following: i. Maintaining the diversification and risk exposure of the funds consistent with policies and guidelines. ii. Assess and report on the performance and risk exposure of the overall investment program relative to goals, objectives, policies and guidelines. iii. Monitoring and assessing service providers to assure that they meet expectations and conform to policies and guidelines. iv. Recommend changes to service providers, statutes, policies or guidelines as needed to maintain a productive relationship between the investment program and its goals; act as liaison on all investment related matters. v. Communicating with the mass media and other agencies, entities or institutions regarding investment related issues. vi. Identify issues for consideration by the CERS Investment Committee and prepare recommendations regarding such matters. vii. Preparing for each proposed investment a memo to the CERS Investment Committee covering the pertinent details including but not limited to: Amount of the investment, type of investment, purpose, opportunity/goal, risks, volatility assumptions, liquidity, structure, fees, background of investment firm with reason for selection, list of other firms considered, which plans will invest, and the reasons why specific plans may be excluded.

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The Chief Investment OfficerKPPA CIO or designee is authorized to execute trades on fixed income and equity securities (including ETF's) and to execute proxies for the Board consistent with this Policy.

To carry out this Policy and investment related decisions of the Board, the Executive Director, Chief Investment OfficerKPPA CIO or designee is authorized to execute agreements and other necessary or proper documents pertaining to investment managers, consultants, investment related transactions or other investment functions.

D. Investment Managers In instances where the CERS Investment Committee has determined it is desirable to employ the services of an external Investment Manager, the following shall be applicable: i. Investment Managers shall be qualified and agree to serve as a fiduciary to the SystemsCERS Plans and should be of institutional quality as deemed by staff in conjuncture with the investment consultant(s) ii. Investment Managers shall manage assets in accordance with this Policy and any additional guidelines established by contract, as may be modified in writing from time to time. iii. Total assets assigned to the selected manager shall not exceed 25% of that firm's total assets under management and shall not exceed 25% of a firm's total assets under management in a commingled product. Separate accounts or funds of one are not included in this 25% limitation for commingled products. iv. The assets managed by any one active or passive investment manager shall not exceed 15% of the assets in the pension and insurance funds. v. All investment management services will be contracted according to the SystemsCERS Plans' Investment Procurement Policy established by the Board.

E. Custody Bank The KPPABoard shall hire custodians and other agents who will be fiduciaries to the SystemsCERS Plans and who will assume responsibility for the safekeeping and accounting of all assets held on behalf of the SystemsCERS Plans and other duties as agreed to by contract.

F. Investment Consultants Qualified independent investment consultants may be retained by the SystemsCERS Plans for asset allocation studies, asset allocation recommendations, performance reviews, manager searches and other investment related consulting functions and duties as set forth by contract.

G. Selection Qualified investment managers, custody banks, investment .consultants and other investment related service providers shall be selected by the CERS Investment Committee in accordance with the SystemsCERS Plans' Investment Procurement Policy. The selection shall be based upon the demonstrated ability of the professional(s) to provide the required expertise or assistance described in the RFP/RFI (if utilized). In order to create an efficient and effective process, the CERS Investment Committee or Chief Investment OfficerKPPA CIO may, in their sole discretion, utilize RFI, RFP, third party proprietary software or database, review of existing service provider capabilities or any combination of these or other methods to select a service provider.

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III. Asset Allocation Guidelines

In establishing asset allocation guidelines the Board recognizes that each system has its own capacity to tolerate investment volatility, or risk. Therefore, each system has been studied and asset allocation guidelines have been established on a system by system basis. The CERS Board will cause the asset allocation guidelines of each system to be reviewed annually. The CERS Board will provide the CERS Investment Committee with the results of any asset liability study and guidance for determining the needs of the systemsCERS Plans.

Based on an asset liability valuation study, which analyzed the expected returns, risk and correlations of various asset classes, projected liabilities, liquidity, and the risks associated with alternative asset mix strategies, the trustees have established the following Asset Allocation Policy, effective July 1, 2018. The asset classes are "bucketed" or grouped together into macro- asset class buckets (i.e. growth, liquidity and diversifying) based on their expected correlations to one another to create a better understanding of risk and diversification, and based on asset class exposures to the economic factors of growth and inflation.

CERS Pension and Insurance Funds (excluding KERS and SPRS Pension Funds) - 6.25% Assumed Rate of Return Asset Target Minimum Maximum Class Growth 62.50% 60.00% 66.00% US Equity 18.75% 10.00% 25.00% Non US Equity 18.75% 10.00% 25.00% Private Equity 10.00% 7.00% 13.00% High Yield / Specialty Credit 15.00% 5.00% 20.00% Liquidity 14.50% 10.00% 18.00% Core Fixed Income 13.50% 7.00% 18.00% Cash 1.00% 0.00% 5.00% Diversifying 23.00% 15.00% 26.00% Real Estate 5.00% 0.00% 10.00% Opportunistic 3.00% 0.00% 10.00% Real Return 15.00% 5.00% 20.00%

KERS and SPRS Pension Funds - 5.25% Assumed Rate of Return Asset Target Minimum Maximum Class Growth 53.50% 50.00% 65.00% US Equity 15.75% 10.00% 25.00% Non US Equity 15.75% 10.00% 25.00% Private Equity 7.00% 5.00% 15.00% High Yield / Specialty Credit 15.00% 10.00% 25.00% Liquidity 23.50% 15.00% 26.00% Core Fixed Income 20.50% 15.00% 26.00% Cash 3.00% 0.00% 5.00%

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Diversifying 23.00% 15.00% 26.00% Real Estate 5.00% 0.00% 10.00% Opportunistic 3.00% 0.00% 10.00% Real Return 15.00% 5.00% 20.00%

The intent of the CERS Board in allocating funds to the investment managers is for the investment managers to fully invest the funds. However, the CERS Board is aware that from time to time the investment manager will require a portion of the allocated funds to be held in cash provided the cash holdings do not exceed five percent (5%) of the manager's allocation for any given quarter, unless such cash holdings are an integral part of a fixed income manager's investment strategy.

The individual plan level asset allocations of the each Pension and Insurance Fund constituent will be reviewed monthly by staff relative to its target asset class allocation, taking into account any tactical policy shift directed by the CERS Investment Committee.

Regarding individual investment manager initial allocations, staff will get approval at the CERS Investment Committee meeting for a specific dollar amount intended to be committed to a closed-end fund such as private equity or real estate funds and will get approval for a percent of the appropriate asset class target for open-end investments such as public equity, public fixed income, and Diversifying Strategies managers. For those open-end funds where assets can be added or subtracted, the Chief Investment OfficerKPPA CIO will have discretion to reduce or increase an investment manager's allocation between 50% and 150% of the approved target. The target will not be raised prior to the one- year anniversary of the amount approved by the CERS Investment Committee, and must be reported to the CERS Investment Committee at the next scheduled meeting. If the need arises to terminate a manager between board meetings, the Chief Investment OfficerKPPA CIO will have discretion to do so after receiving approval from either the CERS Board Chair or the CERS Investment Committee Chair. The CERS Investment Committee and the CERS Board must be notified of the manager termination at the next scheduled CERS Investment Committee and CERS Board meetings.

Short term market shifts may cause the asset mix to drift from the allocation targets. Should the target percentage fall out of the indicated range for a particular asset class, the staff shall direct rebalancing transactions to reallocate assets from the over-allocated asset class to the under- allocated asset class. Within the allowable ranges, staff should use regular cash flows to rebalance toward targets to avoid incurring additional trading costs to correct minor deviations from policy targets. Except when there is a perceived extraordinary downside risk in a particular asset class, movement outside the normal ranges should be avoided.

Investments in private assets are generally less liquid than investments in public markets securities and are typically implemented via periodic commitments to funds with limited partnership structures. As a result, actual allocations to these asset classes may deviate from their strategic targets for extended periods. Actual vs. target deviations for these asset classes shall not be considered in violation of the Asset Allocation Policy. Under/overweights to these asset classes shall be invested in public markets securities with the most similar risk/return characteristics as a short-term proxy for the private asset classes.

In keeping with its responsibility as Trustee and wherever consistent with its fiduciary responsibility, the CERS Board encourages the investment of the fund's assets in investments, funds, and securities of

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corporations which provide a positive contribution to the economy of the Commonwealth of Kentucky. However, where any security is not a prohibited investment under the governing laws and policies, discretion will be granted to the appointed investment managers in the selection of such securities and timing of transactions consistent with the following guidelines and restrictions.

A. Growth U.S. Equity Investment may be made in common stock, securities convertible into common stock, preferred stock of publicly traded companies on stock markets, asset class relevant ETF's or any other type of security contained in a manager's benchmark. Each individual domestic equity account shall have a comprehensive set of investment guidelines prepared, which contains a listing of permissible investments, portfolio restrictions and standards of performance for the account.

The internally managed equity index funds are intended, consistent with the governing plan documents, to gain exposure to a broad asset sector to replicate the characteristics of the asset class, to minimize administrative expenses and to help achieve overall portfolio objectives. These objectives can be achieved through several management techniques, including but not limited to, portfolio optimization, non-reinvestment of index dividends and other management techniques intended to help achieve the objectives of the entire pension fund.

Non US Equity Investments may be made in common stock, securities convertible into common stock, preferred stock of publicly traded companies on stock markets, asset class relevant ETF's or any other type of security contained in a manager's benchmark. Each individual international equity account shall have a comprehensive set of investment guidelines which shall contain a listing of permissible investments, portfolio restrictions and standards of performance for the account.

High Yield/Specialty Credit High yield/specialty credit investments will be similar in type to those securities found in the SystemsCERS Plans high yield benchmarks and the characteristics of the portfolio will be similar to the SystemsCERS Plans high yield fixed income benchmarks. The high yield fixed income accounts may include, but are not limited to the following fixed income securities: non-investment grade U.S. corporate credit including both bonds and bank loans, non-investment grade non U.S. corporate credit including bonds and bank loans, municipal bonds, non-U.S. sovereign debt, mortgages including residential mortgage backed securities, commercial mortgage backed securities, and whole loans, asset-backed securities, and emerging market debt including both sovereign EMO and corporate EMO and asset class relevant ETF's.

Each individual high yield/specialty credit account shall have a comprehensive set of investment guidelines which contains a listing of permissible investments, portfolio restrictions, risk parameters, and standards of performance for the account.

Private Equity Investments Subject to specific approval of the CERS Investment Committee, investments may be made for the purpose of creating a diversified portfolio of alternative investments. Private equity investments are expected to achieve attractive risk-adjusted returns and, by definition, possess a higher degree of risk with a higher return potential than traditional investments. Accordingly, total rates of return from

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private equity investments are expected to be greater than those that might be obtained from conventional public equity or debt investments. Examples of such investments include, but are not limited to, private investments into venture capital, leveraged buyouts, special situations, distressed debt, private debt, timberland, oil and gas partnerships, infrastructure, commodities and private placements. While it is expected that the majority of these assets will be invested within the United States, a portion has been allocated to non-US investments. These non-U.S. investments are not restricted by geography.

Guidelines for Private Equity The private equity market is highly sophisticated and specialized with respect to variety and types of investment structures. There exists major competition for deal flow on the part of both investor and general partners. To a great extent, market forces drive the bargaining of economic terms. Most investment vehicles are structured as commingled vehicles and often blind pool investment partnerships. The most common offering forms are equity private placements where the governing laws of the partnership impose a passive role of the limited partner investor. These contractual arrangements are long-term in nature and provide the general partner or sponsors a reasonable time horizon to wisely invest capital, add value through intensive operational management, then realize the proceeds of such an investment. Moreover, terms of the partnership are proposed by the general partner are critical to the economic incentives and ultimate net performance of the partnership.

Investment Strategy and Plan Guidelines

To strengthen the diversification of the investments, several guidelines will be utilized in Staff's formulation and recommended annual investment strategy and plan. These guidelines encompass annual commitment levels to the asset class, types of investment vehicles that can be utilized, controlling financing stage risks, industry, manager and geography concentration/diversification limits, acceptable contract negotiations, appropriate sizes for investments, and the preferred alignment of interests.

Investment Vehicles: The SystemsCERS Plans will gain exposure to private equity investments by hiring external investment managers either directly or through participation in secondary private equity markets. Typically, the Fund will subscribe as a Limited Partner to limited partnership vehicles sponsored by such specialty external investment managers. The Fund will also at times structure separately managed accounts with specific investment objectives to be implemented by external investment managers. The SystemsCERS Plans may also gain exposure by utilizing the following vehicles: limited liability companies and co-investments alongside the Fund's existing or potential limited partnerships.

Investment Timing Risks: Staff should limit the potential for any one investment to negatively impact the long-term results of the portfolio by investing across business cycles. Moreover, the portfolio must gain exposure to the array of financing stages by opportunistically exploiting the best investments at different stages of the business cycle. Staff may also consider purchasing secondary partnership interests to shorten the effective life of the partnership interest and therefore positively impacting the current and long term net return of the portfolio. In addition, mindful of vintage year diversification, the SystemsCERS Plans should seek to identify attractive commitments annually, further ensuring the portfolio invests across business cycles.

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General Partner Diversification: Staff will seek to work with a variety of general partners due to their specialized expertise in particular segments of the private equity market and source of their deal flow. No more than fifteen (15) percent of the SystemsCERS Plans' Pension or Insurance total allocation to private equity investments may be committed to any one partnership, without the approval of the Board.

B. Fixed Income/Liquidity

Core Fixed Income Core Fixed Income investments will be similar in type to those securities found in the SystemsCERS Plans' core fixed income benchmark(s) and the characteristics of the SystemsCERS Plans' core fixed income portfolio will be similar to the System' core fixed income benchmarks. The core fixed income accounts may include, but are not limited to the following fixed income securities: U.S. Government and Agency bonds, investment grade U.S. corporate credit, investment grade non-U.S. corporate credit, municipal bonds, non-U.S. sovereign debt, mortgages including residential mortgage backed securities, commercial mortgage backed securities, and whole loans, asset-backed securities, and asset class relevant ETF's.

Each individual core fixed income account shall have a comprehensive set of investment guidelines which contains a listing of permissible investments, portfolio restrictions, risk parameters, and standards of performance for the account.

Cash Equivalent Securities Selection of particular short-term instruments, whether viewed as liquidity reserves or as investment vehicles, should be determined primarily by the safety and liquidity of the investment and only secondarily by the available yield. The following short-term investment vehicles are considered acceptable: Publicly traded investment grade corporate bonds, variable rate demand notes, government and agency bopds, mortgages, municipal bonds, and collective STIFs, money market funds or instruments (including, but not limited to, certificates of deposit, bank notes, deposit notes, bankers' acceptances and commercial paper) and repurchase agreements relating to the above instruments. Instruments may be selected from among those having an investment grade rating at the time of purchase by at least one recognized bond rating service. In cases where the instrument has a split rating, the lower of the two ratings shall prevail. All instruments shall have a maturity at the time of purchase that does not exceed 397 days. Repurchase agreements shall be deemed to have a maturity equal to the period remaining until the date on which the repurchase of the underlying securities is scheduled to occur. Variable rate securities shall be deemed to have a maturity equal to the time left until the next interest rate reset occurs, but in no case will any security have a stated final maturity of more than three years.

The SystemsCERS Plans' fixed income managers that utilize cash equivalent securities as an integral part of their investment strategy are exempt from the permissible investments contained in the preceding paragraph. Permissible short-term investments for fixed income managers shall be included in the investment manager's investment guidelines.

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C. Diversifying Strategies Real Estate Subject to specific approval of the Investment Committee , investments may be made in equity and debt real estate for the purpose of achieving the highest total rate of return possible consistent with a prudent level of risk. Allowable real estate investments include open-end and closed-end commingled real estate funds, joint venture investments, public and private REITs (real estate investment trusts), public real estate operating companies, and real estate related debt. The SystemsCERS Plans has determined that the primary role of the real estate asset class is to provide for the following: • Attractive risk adjusted returns through active management and ability to access managers with the expertise and capabilities to exploit market inefficiencies in the asset class. The illiquid nature of real estate investments combined with the complexity of investments makes it difficult for casual investors to effectively access the asset class effectively. It is our belief that through active management and by investing in top tier managers with interests aligned through co- investment and incentive based compensation, the SystemsCERS Plans can maximize its risk adjusted returns. This active management approach will be pursued. • Diversification benefits through low correlations with other asset classes, primarily the U.S. equity markets. • Provide a hedge against unanticipated inflation, which real estate has historically provided due to lease structures and the increases in material and labor costs during inflationary periods. • Permit the SystemsCERS Plans to invest in unique opportunities that arise due to dislocations in markets that occur from time to time.

Real Return The purpose of the Real Return Portfolio is to identify strategies that provide both favorable stand- alone risk-adjusted returns as well as the benefit of hedging inflation for the broader plans. Real return strategies are not necessarily a separate asset class but may include real assets, such as infrastructure, real estate, commodities, and natural resources among others, as well as financial assets that have a positive correlation to inflation. This can include "real" bonds such as TIPs (and other inflation linkers) or "real" stocks such as REITs, MLPs, and oil & gas stocks. Additionally, real return managers may attempt to add value by tactically allocating to various asset classes according to how each asset class performs across an economic cycle and the manager's perception of where we are in the cycle. The goal is to invest in inflation sensitive assets during inflationary periods, and avoid those assets in deflationary periods, thus providing a positive real return across the cycle.

The real return opportunity set may include numerous vehicles to access a wide variety of investment styles and strategies. These investment vehicles may include mutual funds, ETFs, separately managed accounts as well as hedge funds (open-end limited partnerships) and private equity (close-end limited partnerships). The list of strategies that the SystemsCERS Plans' Real Return Portfolio may use includes, but is not limited to, the following: • GTAA (Global Tactical Asset Allocation)/ Global Macro: GTAA or macro strategies are those that make directional bets on major markets or asset classes instead of individual securities. GTAA and macro strategies typically invest in all major assets classes including equity markets, credit and debt instruments, currencies/interest rates, and commodities.

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These strategies tend to focus on economic factors that would suggest an opportune time to invest in a given asset class, and will change their allocations actively over time. Within a real return portfolio, these strategies may use inflation as the economic factor to gain exposure to and will target a real rate of return over time. • Inflation Linked Securities are securities that directly tie coupon payments or principal increases to an inflation index, such as CPI. These strategies could include not only US TIPs, but also global sovereign inflation linked bonds, corporate or infrastructure inflation linked bonds, and possibly short duration floating rate bonds. • Inflation Sensitive Equities include publicly traded equity and equity related securities in companies which have a high sensitivity to inflation in their profit margins via the nature of their operating assets, such as energy companies, basic materials and miners, natural resource stocks, and listed infrastructure. This category can also include REITs, MLPs as well as ETFs and index products on REITS, MLPs, natural resource stocks, etc. • Commodities: Commodities are the raw materials that are physical inputs into the production process. Managers that invest in liquid commodity strategies using exchange traded futures can span from simple indexing (matching a long-only commodities index), to enhanced indexing or active long (selecting positions that vary from the index but within fairly tight ranges), as well as unconstrained long-short managers. • Private Property: For the purposes of this policy, private property refers to the ownership of an idiosyncratic, physical asset that is predominately fixed and/or permanent or at least substantially long-lived. This includes real estate, such as land and any improvements to or on the land, as well as timberland and farmland. Timberland investing involves the institutional ownership of forest for the purpose of growing and harvesting the timber. The timber may be used for furniture, housing lumber, flooring, pulp for paper, woodchips, and charcoal, among other things. Farmland investing entails ownership of land used primarily if not exclusively for agricultural production both for crops, including row crops and permanent crops, as well as livestock. Private property can also include infrastructure investing, which refers to financing the manufacture or development of the underlying fundamental assets and basic systems that are necessary for an economy whereby such assets are largely fixed and long-lived. These tend to be high cost, capital intensive investments that are vital to a society's prosperity and facilitate the transfer, distribution, or production of basic goods and services. • Natural Resources: Natural resources can include investing in the financing, development, extraction, and production of minerals, basic materials, petroleum products, and water as well as renewable resources such as agricultural commodities and solar energy. As opposed to property, the returns generated in these investment strategies come more from the actual production of the resource itself. Further, these are depleting and/or consumable assets that are also portable and fungible and which in the aggregate comprise a majority of the inputs into most measurements of inflation. • Private Assets: Private assets can include tangible or intangible assets that are not easily sold in the regular course of a business's operations for cash, and which are held for their role in contributing directly to the business's ability to generate profit. As the useful life of the asset tends to extend across many years and the assets tend to be capital intensive as well, they have some similarity to private infrastructure. Further, given that the assets contribute directly to the production process as well as often retaining intrinsic value, there is a fundamental link to inflation somewhat similar to natural resources.

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• Other (Opportunistic Inflation Hedge): Other/opportunistic strategies include those that have a propensity to provide a positive real return or positive correlation with inflation over time. Liquid strategies such as inflation swaps, diversified inflation hedging mutual funds, or nominal bonds backed by inflation sensitive assets may be included in this allocation, while other illiquid strategies that may provide the same real profile can include private equity in inflation sensitive companies, hard asset-backed private credit, and structured inflation-linked products among others.

Portfolio Guidelines

No more than 50% of the total net assets of the Real Return portfolio may be invested in any one registered investment vehicle, mutual fund, or separately managed account.

No more than 20% of the total net assets of the Real Return portfolio may be invested in any single closed-end or open-end limited partnership or other unregistered investment vehicle.

The relative allocations to the liquid and illiquid portfolios will be determined according to each individual Plan's liquidity needs, funding status, and allocation targets on an investment by investment basis.

Opportunistic The purpose of the Opportunistic Portfolio is to identify strategies that provide both favorable stand- alone risk-adjusted returns as well as the benefit of diversification for the overall plan. Opportunistic strategies, by definition, are not necessarily a separate asset class, but broaden the opportunity set within existing asset classes such as stocks, bonds, currencies and commodities by going both long and short, employing derivatives and leverage, shortening and extending investment horizons, and moving across public and private markets, amongst others. By focusing on the idiosyncratic risks of security selection and often attempting to minimize systematic market risks through hedging activities, such managers can make investment decisions unconstrained by restrictive relative benchmarks such as the S&P 500 or Bloomberg

Barclay's Aggregate Bond Index, and add value to portfolios by achieving favorable risk- adjusted returns in most market environments while also reducing overall plan volatility. While there are exceptions, these investments generally exhibit low beta and low correlation to risk asset indices. More specifically, the SystemsCERS Plans will target strategies that demonstrate the following investment characteristics: • Expected returns that exceed the highest assumed rate of return of the plans invested • Expected Sharpe Ratio of 1.0 or greater. • Expected correlation to the S&P 500 Index less than 0.5. • Expected correlation to the Bloomberg Barclays Global Aggregate Bond Index less than 0.5.

The opportunity set is generally considered to include hedge funds and other strategies attempting to achieve positive returns without heavy reliance on the assumption of traditional systematic risk factors. Investment vehicles used to access this opportunity set can include limited partnerships, but also mutual funds, ETFs, and separately managed accounts, amongst others. Opportunistic strategies are extremely heterogeneous, as managers have both greater variability within a strategy and the flexibility to evolve across styles and asset classes. This is a key benefit of the investment universe; however, it also makes strategy classifications less meaningful and manager selection significantly more important.

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It also necessitates relatively broader allowable strategy ranges than in other more traditional asset classes.

The list of strategies that the SystemsCERS Plans' Opportunistic Portfolio may utilize includes, but is not limited to:

• Equity Strategies: Equity based hedge funds are those which primarily purchase listed stocks, long and short, using no to substantial leverage. These strategies may differ across multiple styles such as broad or sector based mandates, geographically focused or global, concentrated versus diversified, long biased or market neutral, or short term trading versus longer term fundamental positioning. Sub-strategies in this category would include fundamental long/short equity, short bias, tactical trading, and equity market neutral.

• Event Driven: Event driven strategies also invest in the securities of corporate issuers, including stocks and corporate bonds; however, these strategies will invest based upon specific corporate actions that will change the value of these securities, including mergers, spin-offs, tender and exchange offers and bankruptcy or restructuring. These strategies can be flexible across equity/credit, long/short as well as other style characteristics noted earlier. Another critical differentiator among event driven strategies is whether they pursue primarily hard versus soft catalysts. Examples of sub-strategies in this category include merger arbitrage, shareholder activism, multi-strategy event, special situations, and opportunistic value/soft catalyst.

• Credit Strategies: Credit strategies are those which focus on the debt side of the capital structure. They may have equity exposure, but the vast majority of the portfolio is invested in credit securities. Similarly, these strategies may be long biased or more hedged, may be more fundamentally based or more quantitative, focus on paying versus non-performing, and shorter term trading versus longer term focused, however, some funds may be focused on structured credit markets, including RMBS and CMBS, and others may move opportunistically across various credit segments. Sub-strategies may include long/short corporate credit, structured credit, and distressed securities.

• Relative Value: Relative value strategies are those that do not invest in the intrinsic value of any individual security, but rather research the historical and/or mechanical relationships between related securities and invest in the spread. For example, they may bet on one bond being overvalued relative to another bond from the same issuer. These strategies are almost always market neutral, but may vary from moderately to highly leveraged, concentrated versus diversified, or from HFT (high frequency trading) to a longer term investment horizon. Examples of sub-strategies in this category include fixed income arbitrage, convertible arbitrage, and statistical arbitrage.

• Multi-Strategy: Multi-Strategy funds are those which will actively employ several of the other major hedge fund categories. Typically, hedge funds may do more than one thing, but to be a true multi-strategy, a hedge fund must have meaningful allocations of capital to at least 3 of the other four major categories: equity, credit/event, relative value, and macro/CTA. A true multi- strategy hedge fund should not have 50% to 70% of NAV invested in one strategy or 50% to

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70% of the historical return attribution from one strategy. Finally, most multi-strategy hedge funds have their roots in one specific style and have evolved into multi-strategies over time.

• Global Macro: Macro strategies are those that make directional bets on major markets or asset classes instead of individual securities. Global macro funds are typically diversified across 3 of the 4 major liquid markets: equity indices, credit/debt, currencies/rates, and commodities. These strategies are often quantitative or discretionary, or shorter term/market timing versus longer term/macroeconomic focused. Finally, some traders may focus largely on certain markets, such as rates or currencies, trading on fundamental economic signals.

• CTA/Commodity/Currency: Managed Futures or CTAs will trade the same markets as global macro funds (i.e. equity indices, debt markets, currencies, and commodities) but will focus heavily on price or other technical signals, instead of fundamental or economic data. CTAs tend to be purely systematic (black-box) or discretionary, shorter to longer term and will employ either trend following/momentum strategies or counter-trend/ mean reversion. Similar to macro funds, some CTAs focus purely on certain markets, such as commodities or currencies.

• Other: Strategies in this category, sometimes referred to as alternatives to alternatives, tend to be the most highly uncorrelated strategies. These may not be true "alpha" generators, as they often are simply accessing extremely unique and non-competitive markets, looking to harvest systemic risk premia found in these markets. However, the "betas" they are accessing are truly idiosyncratic. These strategies are much smaller and tend to have a bit higher illiquidity than other hedge funds. Examples of sub-strategies that fall in this category would include intellectual property, litigation finance, insurance-linked strategies, and others.

D. Co-Investment Policy

The CIO has discretion to make direct co-investments in companies alongside of current general partners. Any co-investment opportunity must also be part of the main account or fund into which the SystemsCERS Plans has already invested before it can be considered. For purposes of this Policy, a direct co-investment is defined as a direct investment in a portfolio company alongside an existing SystemsCERS Plans partnership deemed in good standing.

The maximum investment in any co-investment vehicle shall not exceed 50 percent of the total capital committed by all partners at the time of the final closing. The maximum investment in any single direct co-investment shall not exceed 20 percent of the original partnership commitment. Total investment in direct co-investments shall not exceed 20 percent of the asset class portfolio on a cost basis at the time of investment.

IV. Monitoring

Performance Measurement The SystemsCERS Plans overall fund performance is measured relative to the SystemsCERS Plans' Pension or Insurance Total Fund Benchmark. The benchmark is calculated by means of a weighted average methodology. This method is consistent with the CFA Institute Global Investment Performance Standards (GIPS®), a set of standardized, industry-wide ethical principles that guide investment managers and asset owners on how to fairly calculate and present their investment results, with the

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goal of promoting performance transparency and comparability. It is the product of the various component weights (i.e., asset classes' percentages) by their respective performance (returns). Due to market fluctuations and acceptable divergence, the asset classes' weights (percentages) are often not equivalent to the benchmark's weights. Therefore, the performance may indicate that the Funds have outperformed (underperformed) relative to their respective benchmarks, even when the preponderance of lesser weighted categories have underperformed (outperformed) their indices.

The SystemsCERS Plans measures its asset classes, sub-asset classes, sectors, strategies, portfolios, and instruments (investment) performance with indexes that are recognized and published (e.g., S&P 500 & Barclays Aggregate Bond Index). These indices are determined to be appropriate measures of investments and composites of investments with identical or similar investments profiles, characteristics, and strategies. The benchmarks and indexes are intended to be objective, investable, replicable, representative and measurable of the investment mandate and, developed from publicly available information that is acceptable to the SystemsCERS Plans and the investment manager/advisor as the neutral position consistent with the underlying investor status. The SystemsCERS Plans' investment consultant and staff recommend the benchmarks and indexes. These measures shall be subject to the review and approval of the Investment Committee with ratification by the Board when asset allocation studies are performed, or when a change to existing benchmarks is recommended by staff and the investment consultant. The current asset class benchmarks, effective as of July 1, 2018 with the adoption of the asset allocation, are as follows:

Asset Class Benchmark Growth US Equity Russell 3000 Non US Equity MSCI ACWI ex US IMI Private Equity Russell 3000 + 300 bps (lagged) High Yield / Specialty Credit 50% Bloomberg Barclays US High Yield 50% S&P LSTA Leveraged Loan Liquidity Core Fixed Income · Bloomberg Barclays US Aggregate Cash Citi Grp 3-mos Treasury Bill Diversifying Real Estate NCREIF ODCE Opportunistic Highest Assumed Rate of Participating Plans Real Return US CPI+ 3%

The following descriptions represent general standards of measurement that will be used as guidelines for the various classes of investments and managers of the SystemsCERS Plans. They are to be computed and expressed on a time-weighted total return basis:

Total Public Asset Class Allocations Short-term - For periods less than five years or a full market cycle, the Asset Class Allocation should exceed the returns of the appropriate Index. Intermediate & Long-term

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- For periods greater than five years or one market cycle, the Asset Class Allocation should exceed the appropriate Index, compare favorably on a risk- adjusted basis, and generate returns that rank above the median return of a relevant peer group. Volatility, as measured by the standard deviation of monthly returns, should be comparable to the Index.

Individual Public Security Portfolios: Individual portfolios shall be assigned a market goal or benchmark that is representative of the style or market capitalization of the assignment. Individual accounts should be monitored using the following Standards: Short-term - For periods less than five years or a full market cycle, individual portfolios should exceed the returns of their market goal or benchmark. Intermediate & Long-term - . For periods greater than five years or one market cycle, individual portfolios should exceed the return of their market goal or benchmark, compare favorably on a risk-adjusted basis, and generate returns that rank above the median return of a relevant peer group. Volatility, as measured by the standard deviation of monthly returns, should be comparable to the benchmark.

Alternative Assets:

Private Equity The Private Equity portfolio should also seek to achieve the following: Short-term • Alternative investments should earn a Net IRR that place the investment above the median Net IRR of other similar funds, of the same vintage year, as reported by Venture Economics. Intermediate & Long-term • The private equity portfolio should earn a return that meets or exceeds the SystemsCERS Plans Private Equity Index. Individual private equity investments should earn a Net IRR above the median Net IRR of other similar funds, of the same vintage year, as reported by Venture Economics.

Real Estate Private real estate investments are unique and can be illiquid and long term in nature. Given that this may lead to large short term performance discrepancies versus public benchmarks, the SystemsCERS Plans more appropriately measures its real estate investments based on both relative return and absolute return methodologies:

Relative Return: The real estate portfolio is expected to generate returns, net of all fees and expenses, in excess of the National Council of Real Estate Investment Fiduciaries Open End Diversified Core Equity Index ("NCREIF ODCE") lagged 1 calendar quarter.

Absolute Return: The long term real return objective (returns adjusted for inflation) for the SystemsCERS Plans' real estate portfolio is five percent (5%) over the Barclays Capital U.S. 7-10 Year Treasury Bond Index, net of investment management fees. This return shall be calculated on a time-weighted basis using industry standard reporting methodologies.

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Real Return The total Real Return allocation shall seek to: (1) Short-term benchmark: For periods less than five (5) years or a full market cycle, the allocation should achieve an annual rate of return that exceeds the appropriate benchmark (the weighted average return of the underlying investment benchmarks) annually over a complete market cycle, net of all investment management fees. (2) Strategic objective: For periods greater than five (5) years or a full market cycle, the allocation should not only outperform the short-term benchmark, but also achieve a rate of return that exceeds (CPI + 300 basis points) as well. (3) Achieve a positive risk/reward trade-off when compared to similar style real return Investment Managers.

Opportunistic The total Opportunistic allocation shall seek to: (1) Short-term benchmark: For periods less than five (5) years or a full market cycle, the allocation should achieve an annual rate of return that exceeds the highest assumed rate of return of the participating plans. (2) Strategic benchmark: For periods greater than five (5) years or a full market cycle, the allocation should achieve an annual rate of return that exceeds the highest assumed rate of return of the participating plans.

Performance Review

On a timely basis, but not less than quarterly, the Investment Committee will review the performance of the portfolio for determination of compliance with this Statement of Investment Policy. On an annual basis, a comprehensive review of each asset class and underlying portfolios shall be conducted by the staff and presented to the Investment Committee. The review shall consist of an organizational, performance and compliance assessment.

The Compliance Officer shall perform tests at least monthly to assure compliance with the restrictions imposed by this policy. These tests shall be performed at the asset class and total fund level. Quarterly, the Compliance Officer shall prepare a report to the Investment Committee detailing the restrictions tested, exceptions, the cause of the exception and the subsequent resolution. The Investment Committee shall report the findings to the Board at the next regularly scheduled meeting.

The following restrictions shall be tested at least monthly: • The amount of stock in the domestic or international equity allocation in any single corporation shall not exceed 5% of the aggregate market value of the SystemsCERS Plans' assets. • The amount of stock held in the domestic or international equity allocation shall not exceed 3% of the outstanding shares of any single corporation. • Investment in "frontier" markets (those countries not included in the MSCI EM Index) shall not exceed 5% of the SystemsCERS Plans' international equity assets. • The duration of the core fixed income portfolios combined shall not vary from that of the SystemsCERS Plans' Fixed Income Index by more than+/- 25% duration as measured by effective duration, modified duration, or dollar duration except when the Investment Committee has determined a target duration to be used for an interim basis.

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• The amount invested in the debt of a single issuer shall not exceed 5% of the total market value of the SystemsCERS Plans' fixed income assets, with the exception of U.S. Government issued, guaranteed or agency obligations (or securities collateralized by same), and derivative securities used for exposure, cost efficiency, or risk management purposes in compliance with Section VII of this policy. • 50% of the core fixed income assets must have stated liquidity that is trade date plus three days or better.

The Chief Investment OfficerKPPA CIO shall develop a comprehensive set of investment guidelines for each externally managed account. These guidelines should ensure, at the total fund and asset class level, that the restrictions set forth above are preserved.

V. Additional Items

Derivatives Permitted Use: The SystemsCERS Plans permits external managers and Staff to invest in derivative securities, or strategies which make use of derivative investments, for exposure, cost efficiency and risk management purposes, if such investments do not cause the portfolio to be leveraged beyond a 100% invested position. Any derivative security shall be sufficiently liquid that it can be expected to be sold at, or near, its most recently quoted market price. Typical uses of derivatives in the portfolio are broadly defined below:

Exposure: Derivatives are an effective way for a portfolio manager to gain exposure to a security that the manager does not want to purchase in the cash market. Reasons for gaining exposure to a security through the use of derivatives may include cheaper transactions costs, liquidity/lack of supply in the underlying market, and the flexibility to implement investment views with minimum portfolio disruption. An example is a cash equitization program.

Cost Efficiency: Derivatives are often used due to the cost efficiency associated with the contract properties. Given the fact that derivatives can be used as a form of insurance, upfront trading costs must be sufficiently low for investors to purchase the contract and insure their portfolios efficiently. Furthermore, due to properties associated with derivatives and cash outlay characteristics (minimal cash outlay at inception of the contract) derivatives are generally a vehicle of gaining cost efficient exposure. An example is the cost (zero) to purchase a futures contract.

Risk Management: Derivatives can be used for mitigating risk in the portfolio. When used as a risk management tool, derivatives can significantly reduce an identified financial risk or involuntary risk from investment areas by providing changes in fair values or cash flows that substantially offset the changes in fair values or cash flows of the associated item being hedged. An example is the use of currency forwards to offset periods of dollar strength when international equity markets increase in value, thereby protecting foreign asset gains in the portfolio.

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Derivatives Restricted Use:

Settlement: Investments in futures contracts are to be cash settled unless physically settled and stored by external managers. At no time shall the SystemsCERS Plans agree to take physical delivery on a futures contract.

Position Limits: Futures and options positions entered into by the SystemsCERS Plans, or on its behalf, will comply with all position and aggregate limits established by the local governing authorities within each jurisdiction.

Over-the-Counter {OTC): Investments in securities not traded on public exchanges that are deemed Over-the- Counter (OTC) in nature are allowed provided that a counterparty risk monitoring component is delineated in the manager's guideline section of the manager's contract. All counterparties must have a short-term credit rating of at least BBB (Standard and Poor's or Fitch) or Baa2 (Moody's).

All OTC derivative transactions, including those managed through Agency Agreements, must be subject to established International Swaps and Derivatives Association, Inc. (ISDA) Master Agreements and have full documentation of all legal obligations of the SystemsCERS Plans under the transactions. All lSDA Master Agreements entered into by or on behalf of the SystemsCERS Plans by the Investment Division (Staff) and external manager pursuant to an Agency Agreement shall provide that Netting applies. (Netting allows the parties to an ISDA Master Agreement to aggregate the amounts owed by each of them under all of the transactions outstanding under that ISDA Master Agreement and replace them with a single net amount payable by one party to the other.) The Staff and external managers may also use collateral arrangements to mitigate counterparty credit or performance risk. If an external manager utilizes a collateral arrangement to mitigate counterparty credit or performance risk the arrangement shall be delineated in the manager's guideline section of the manager's contract.

Derivatives Applications Not Permitted: Speculation: Except for investments in alternative, Opportunistic Diversifying Strategies investments, and real return investments, derivatives may not be used for any activity for which the primary purpose is speculation or to profit while materially increasing risk to the SystemsCERS Plans. Derivatives are considered speculative if their uses have no material relation to objectives and strategies specified by the SystemsCERS Plans' IPS or applicable to the portfolio. Derivatives may not be used for circumventing any limitations or restrictions imposed by the SystemsCERS Plans' IPS or applicable regulatory requirements.

Leverage: Leverage is inherent in derivative contracts since only a small cash deposit is required to establish a much larger economic impact position. Thus, relative to the cash markets, where in most cases the cash outlay is equal to the asset acquired, derivative investments offer the possibility of establishing substantially larger market risk exposures with the same amount of cash as a traditional cash market portfolio. Therefore, risk management and control processes must focus on the total risk, i.e. the net notional value, assumed in a derivative investment.

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CERS Board of Trustees Statement of Investment Policy Adopted: xxxxxxxx, 2021 Page 20 of 20

The above is not intended to limit the SystemsCERS Plans from borrowing to cover short-term cash flow needs nor prohibit the SystemsCERS Plans from loaning securities in accordance with a securities lending agreement.

The Board recognizes that the voting of proxies is an important responsibility in assuring the overall performance of the Fund over a long time horizon. The Board has delegated the responsibility of voting all proxies to an outside Proxy Voting service provider or contracted external investment manager. The Board expects that the proxy voting service will execute all proxies in a timely fashion, and in accordance with the voting policy which has been formally adopted.

The Board has adopted the ISS U.S. Proxy Voting Guidelines as the SystemsCERS Plans' approved Proxy Voting Policy for all internally voted items. This policy is updated at least annually by ISS is and hereby incorporated by this reference. The policy can be found publically using the following link:

http://www.issgovernance.com/files/2012USSummaryGuidelines1312012.pdf

Additional Policies Incorporated by Reference:

A. Investment Procurement Policy Dated July 2017xxxxxx 2021 is hereby incorporated by reference. B. Investment Brokerage Policy dated May 2011 is hereby incorporated by reference. C. Transactions Procedures Policy dated November 2014 is hereby incorporated by reference. D. Securities Litigation Policy and Procedures dated May 2011 is hereby incorporated by reference. E. Investment Securities Lending Guidelines dated May 2011 is hereby incorporated by reference. F. Securities Trading Policy for Trustees and Employees dated February 2015 is hereby incorporated by reference. G. Manager and Placement Agent Statement of Disclosure Policy dated August 2012 is hereby incorporated by reference.

Signatories

As Adopted by the Investment Committee: As Adopted by the Board of Trustees:

Date: Date: Signature: Signature: Dr. Merl Hackbart, Chair Betty A. Pendergrass, Chair CERS Investment Committee CERS Board of Trustees

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