I. Performance and Asset Allocation V. Real Return • Asset Allocation: Current and Target Allocations (page 4) • Asset Class Overview (page 32) • Performance by Asset Class (page 5) • Portfolio Management Structure (pages 33-34) • Allocation (page 35) II. Public Equities • Performance (pages 36-37) • Asset Class Overview (page 7) • Portfolio Management Structure (page 8) VI. Absolute Return • Allocation (pages 9-10) • Asset Class Overview (page 39) Portfolio Management Structure (page 40) • Performance (pages 11-12) • • Allocation (page 41) • Performance (page 42) III. Fixed Income

• Core Fixed Income VII. Private Equity • Asset Class Overview (page 14) • Asset Class Overview (pages 44) • Portfolio Management Structure (page 15) • Portfolio Management Structure (page 45) • Allocation (page 16) • Allocation (page 46) • Performance (page 17) • Performance (page 47) • Non-Core Fixed Income • Asset Class Overview (page 18) VIII. Compliance • Portfolio Management Structure (page 19) • Compliance Overview (page 49) • Allocation (page 20) • Investment Guideline Compliance (page 50) • Committed Allocation (page 21) • Compliance Update (page 51) • New and Amended Investment Management Guidelines (page 52) • Performance (pages 22-23)

IX. Risk Management IV. Real Estate • Overview (page 54) • Asset Class Overview (page 25) • Evolution of Risk Over Time (page 55) • Portfolio Management Structure (page 26) • Total Fund Risk by Asset Class (page 56) • Allocation (page 27) • IPS Guideline Implied Risk Ranges (page 57) • Performance (pages 28-30) • Active Risk Due to Allocation Decisions (page 58) • Active Risk Due to Selection Decisions (page 59) • Total Fund & Asset Class Regional Exposures (page 60) 2 I. Performance and Asset Allocation

3 TMRS Investment Portfolio Asset Allocation as of 6/30/2018 25.0%

20.0%

15.0%

Percent Allocated 10.0%

5.0%

0.0% Core Fixed Non-Core US Equities Non-US Real Return Real Estate Absolute Private Cash Income Fixed Income Equities Return Equity Equivalents

Current Allocation Target Allocation

Source: State Street Investment Analytics-Final 4 1 Year Performance 5 Year Performance 40.0% 40.0% TMRS 35.0% 35.0% TMRS 35.0% Benchmark 35.0% Benchmark 30.0% 30.0% 25.0% 25.0% 20.0% 20.0% 14.5% 14.8% 15.0% 17.0% 17.0% 10.9% 13.0% 9.0% 15.0% 13.3% 12.6% 7.8% 8.1% 10.0% 7.5% 7.1% 6.9% 11.4% 4.4% 4.6% 5.2% 5.3% 3.5% 10.0% 7.0% 5.0% 7.0% 6.7% 6.4% 3.0% 4.7% 4.7% 5.0% 2.4% 3.6% 3.8% 0.0% 2.3% 2.4% -0.1% -0.4% -5.0% 0.0%

*Real Estate and Private Equity return as of prior quarter end (returns are available on a quarterly basis only)

+Absolute Returns are as of prior month end.

^Non-Core Fixed Income, Absolute Return and Private Equity performance are the annualized return since inception, given their performance history are less than 5 years 5 Source: State Street Investment Analytics-Final 6 US Equity  Objective  Intended to provide capital appreciation and is structured using a Core-Satellite Approach with the overall objective of exceeding its benchmark performance net of fees over rolling five year periods.  Satellite strategies (Active and Rules-Based strategies with an active component) are expected to add excess return within established tracking error limits and will meet quality, diversification, and liquidity guidelines as specified in the Managers’ contracts or otherwise agreed to in writing between TMRS and the Investment Manager.

International Equity  Objective  Intended to provide capital appreciation and diversification, and is structured using a Core- Satellite Approach with the overall objective of exceeding its benchmark performance net of fees over rolling five year periods.  Satellite strategies (Active and Rules-Based strategies with an active component) are expected to add excess return within established tracking error limits and will meet quality, diversification, and liquidity guidelines as specified in the Managers’ contracts or otherwise agreed to in writing between TMRS and the Investment Manager.

7 Asset Class Manager Strategy Portfolio Benchmark Domestic Equities Northern Trust Asset Management Passive Broad Market Index Russell 3000 Index US Core/Passive US Rules-Based State Street Global Advisors Passive Fundamental Index Russell RAFI US Index

US Rules-Based UBS Global Asset Management Passive Minimum Volatility MSCI US Min Vol Index

US Satellite/Active Epoch Investment Partners, Inc. US Traditional All Cap Russell 3000 Index US Satellite/Active Sasco Capital, Inc. US Opportunistic All Cap Russell Mid Cap Value Index US Satellite/Active The Boston Company US Mid Cap Opportunistic Russell Mid Cap Index US Satellite/Active Champlain Investment Partners US Mid Cap Core Russell Mid Cap Index US Satellite/Active The Boston Company US Small Cap Opportunistic Russell 2000 Index US Satellite/Active Wellington Management US Small Cap Opportunities Russell 2000 Index International Equities All Country World (ACW) Northern Trust Asset Management Passive Broad Market Index Non-US Core/Passive ex US Investable Market Index (IMI)

Non-US Rules-Based State Street Global Advisors Passive Fundamental Index Russell RAFI Global ex US Index

Non-US Rules-Based UBS Global Asset Management Passive Minimum Volatility MSCI World ex US Min Vol Index Non-US Opportunistic Relative Non-US Satellite/Active Wellington Management MSCI ACWI ex US Index Value Non-US Satellite/Active Lazard Asset Management Non-US Opportunistic Core MSCI ACWI ex US Index

Non-US Satellite/Active Acadian Asset Management Non-US Emerging Markets MSCI Emerging Markets (EM) Index

Non-US Satellite/Active William Blair & Company Non-US Emerging Markets MSCI Emerging Markets (EM) Index

Non-US Satellite/Active Wellington Management Non-US Small Cap Opportunities MSCI EAFE Small Cap Index

Non-US Satellite/Active Wasatch Advisors Non-US Small Cap Growth MSCI AC World ex. US Small Cap Index 8 % of Total Fund as of 6/30/2018

% of Total % of Total PASSIVE Portfolio Mgrs Market Value ACTIVE Portfolio Mgrs Market Value Portfolio Portfolio US PASSIVE EQUITY: US RULES-BASED EQUITY: $ 803,557,305 2.8% $ 3,262,196,373 11.4% NTAM Russell 3000 US ACTIVE EQUITY: $ 1,822,725,774 6.4% NON-US PASSIVE EQUITY: NON-US RULES-BASED EQ: $ 592,041,649 2.1% NTAM ACW ex. US IMI $ 2,757,913,742 9.6% NON-US ACTIVE EQUITY: $ 1,581,808,252 5.5% TOTAL: $ 6,020,110,115 21.0% TOTAL: $ 4,800,132,981 16.8%

Total Equity Portfolio Current Allocation Target Allocation 30.0% 21.0% 20.0% 17.5% 16.8% 17.5% 40.0% 37.8% 10.0% 35.0% 3.5% 35.0% 0.0% -0.7% 30.0% -10.0% PASSIVE Portfolio ACTIVE Portfolio 25.0% Current Allocation Current Active Current RB Target Allocation Difference 20.0% Target Allocation Difference 10% 0.4% 15.0% 8% 2.8% 8.75% 8.75% 6% 2.1% 10.0% 4% 6.4% 5.5% 2% 5.0% 2.8% 0% -2% -1.2% 0.0% US non-US ACTIVE ACTIVE Portfolio Portfolio 9 NOTE: Percentages may not be exact due to rounding Current Allocation By Asset Category Current Allocation by Manager vs. Total Portfolio vs. Total Equity Portfolio Russell 3000 US Passive Non-US ACWI ex. US IMI 11.4% Passive 9.6% SSgA Global ex. US UBS World ex. US MV Wellington Intl Horizons Lazard Intl Equity Plus Russell 3000 ACW ex. US IMI Acadian EM US Passive non-US Passive William Blair EM 30.8% 25.9% 2.6% Wasatch Intl SC Wellington Intl SC 2.9% Epoch US RB Active Non-US RB 2.3% Sasco 2.8% Active 2.1% 3.8% 2.1% The Boston Co. MC Champlain 3.6% 2.3% 3.2% 2.2% The Boston Co. SC US Active Non-US Active 3.2% 2.9% Wellington US SC 6.4% 5.5% 2.9% 2.1% 2.3% SSgA US Fund 2.3% 2.8% UBS US MV

10 Incept MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Date NGR0A02 - TMRS - TOTAL EQUITY 10,820,254,088.74 37.8 -0.63 0.63 0.39 11.93 9.22 10.42 9.01 6.61 5.45 01-01-08 EQUITY ACTIVE WEIGHTED INDEX (DAILY) -0.57 0.84 -0.01 11.45 9.08 10.32 8.90 6.52 5.34 01-01-08 Excess -0.06 -0.21 0.40 0.48 0.14 0.10 0.11 0.09 0.11 NGR0A06 - TMRS - TOTAL DOMESTIC EQUITY 5,888,488,478.74 20.6 0.58 3.94 3.18 14.52 11.21 12.95 12.75 10.04 8.77 01-01-08 TMRS - RUSSELL 3000 DAILY 0.65 3.89 3.22 14.78 11.58 13.29 13.01 10.23 8.94 01-01-08 Excess -0.07 0.05 -0.04 -0.26 -0.37 -0.35 -0.26 -0.19 -0.17 NGR6 - TMRS - RUSSELL 3000 INDEX FUND (NL) 3,262,196,373.12 11.4 0.65 3.88 3.20 14.73 11.57 13.27 12.99 15.02 12-01-08 RUSSELL 3000 (DAILY) 0.65 3.89 3.22 14.78 11.58 13.29 13.01 15.04 12-01-08 Excess -0.01 -0.01 -0.02 -0.04 -0.01 -0.03 -0.03 -0.02 NGTM - SSGA RUSSELL RAFI US 392,974,830.61 1.4 0.49 3.66 1.23 13.14 10.40 11.89 12.78 02-01-13 Russell RAFI U.S. Index 0.52 3.75 1.29 13.23 10.56 12.03 12.94 02-01-13 Excess -0.03 -0.09 -0.06 -0.09 -0.15 -0.14 -0.16 NGTN - UBS US EQUITY MIN VOL FUND NL 410,582,474.59 1.4 1.66 2.86 1.73 10.77 11.98 12.69 14.04 01-01-13 MSCI USA Minimum Volatility Index-Net 1.61 2.70 1.44 10.16 11.33 12.04 13.37 01-01-13 Excess 0.05 0.15 0.29 0.61 0.65 0.65 0.67 NGTY - EPOCH U.S. CHOICE 300,923,385.45 1.1 -0.70 1.07 -1.46 10.17 7.75 8.82 01-01-14 RUSSELL 3000 (DAILY) 0.65 3.89 3.22 14.78 11.58 10.93 01-01-14 Excess -1.35 -2.82 -4.68 -4.60 -3.83 -2.11 NGTZ - SASCO U.S. CONTRARIAN VALUE 250,354,782.60 0.9 1.65 3.26 -1.51 9.28 5.32 4.38 01-01-14 Russell Midcap Value Total Return Index 0.81 2.41 -0.16 7.60 8.80 9.17 01-01-14 Excess 0.84 0.86 -1.35 1.68 -3.48 -4.80 NGUG - THE BOSTON COMPANY OPP VALUE 254,149,471.96 0.9 0.48 3.17 1.68 12.75 6.49 6.45 12-01-14 RUSSELL MIDCAP (DAILY) 0.69 2.82 2.35 12.33 9.58 8.73 12-01-14 Excess -0.21 0.35 -0.66 0.43 -3.09 -2.28 NGUF - CHAMPLAIN MID-CAP CORE 317,142,421.60 1.1 0.24 3.81 8.56 17.69 14.11 13.37 12-01-14 RUSSELL MIDCAP (DAILY) 0.69 2.82 2.35 12.33 9.58 8.73 12-01-14 Excess -0.45 1.00 6.22 5.36 4.53 4.64 NGUR - BOSTON CO US SM CAP OPPORTUNISTIC VALUE 349,708,021.01 1.2 0.26 7.20 5.41 19.94 15.07 09-01-15 RUSSELL 2000 (DAILY) 0.72 7.75 7.66 17.57 14.73 09-01-15 Excess -0.46 -0.56 -2.26 2.38 0.34 NGUN - WELLINGTON US SMALL CAP OPP 350,447,691.84 1.2 -0.16 6.98 9.73 20.04 16.48 12-01-15 RUSSELL 2000 (DAILY) 0.72 7.75 7.66 17.57 14.63 12-01-15 Excess -0.88 -0.77 2.06 2.47 1.85

Source: State Street Investment Analytics - Final

11 Incept MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Date NGR0A07 - TMRS - TOTAL INTERNATIONAL EQUITY 4,931,763,643.38 17.2 -2.04 -3.08 -2.76 9.03 6.17 7.03 4.62 2.70 1.67 01-01-08 INTL EQ ACTIVE WEIGHTED INDEX(DAILY) -2.00 -2.61 -3.65 7.75 5.46 6.39 4.09 2.28 1.24 01-01-08 Excess -0.03 -0.47 0.89 1.28 0.71 0.64 0.53 0.42 0.43 NGTA - NTGI ACWI ex. US IMI (NL) 2,757,913,741.85 9.6 -1.85 -2.88 -3.26 7.96 5.68 6.62 4.30 6.61 09-01-10 TMRS MSCI ACWI ex-US IMI NET (DAILY) -2.00 -2.61 -3.65 7.75 5.46 6.39 4.08 6.40 09-01-10 Excess 0.16 -0.27 0.39 0.21 0.22 0.23 0.22 0.21 NGTP - SSGA RUSSELL RAFI GLOBAL EX-US 278,706,521.96 1.0 -2.09 -2.88 -3.70 8.26 6.49 7.15 6.02 02-01-13 Russell RAFI Global ex-U.S. Index NET -2.07 -2.80 -3.70 8.40 6.74 7.35 6.18 02-01-13 Excess -0.02 -0.08 0.00 -0.14 -0.25 -0.20 -0.16 NGTQ - UBS WORLD EX US MIN VOL FD NL 313,335,127.26 1.1 -0.65 -0.37 -0.75 6.50 6.87 8.21 8.43 01-01-13 MSCI world ex USA Minimum Volatility-Net -0.66 -0.49 -0.89 6.24 6.62 8.02 8.29 01-01-13 Excess 0.01 0.12 0.14 0.27 0.25 0.19 0.14 NGT9 - LAZARD INT'L EQUITY PLUS 226,216,473.85 0.8 -1.87 -4.13 -4.07 6.65 3.68 2.79 09-01-14 MSCI AC WORLD ex US (NET) -1.88 -2.61 -3.77 7.28 5.07 2.61 09-01-14 Excess 0.01 -1.51 -0.30 -0.63 -1.39 0.18 NGT8 - WELLINGTON INT'L HORIZONS 245,096,460.30 0.9 -2.57 -3.04 -3.71 5.75 5.77 4.97 09-01-14 MSCI AC WORLD ex US (NET) -1.88 -2.61 -3.77 7.28 5.07 2.61 09-01-14 Excess -0.69 -0.42 0.06 -1.53 0.70 2.36 NGUP - WILLIAM BLAIR EMERGING MARKETS 235,832,092.11 0.8 -2.79 -6.28 -5.51 11.72 12.78 09-01-15 MSCI EMERGING MARKETS -4.15 -7.96 -6.66 8.20 12.38 09-01-15 Excess 1.36 1.68 1.15 3.52 0.41 NGUQ - ACADIAN EMERGING MARKETS 246,210,513.49 0.9 -6.20 -9.74 -6.28 9.18 14.24 09-01-15 MSCI EMERGING MARKETS IMI INDEX (NET) -4.44 -8.02 -6.86 7.90 12.00 09-01-15 Excess -1.76 -1.73 0.58 1.28 2.24 NGUX - WASATCH INT'L SMALL CAP GROWTH 314,917,622.44 1.1 0.49 2.04 6.66 20.22 12.14 01-01-16 MSCI ACWI Ex US Small Cap (DAILY) -2.73 -2.60 -2.94 10.57 12.03 01-01-16 Excess 3.22 4.63 9.60 9.66 0.11 NGUY - WELLINGTON INT'L SMALL CAP OPP 313,535,090.12 1.1 -3.20 -3.68 -1.33 15.64 12.11 01-01-16 MSCI EAFE SMALL CAP NET -1.95 -1.57 -1.33 12.45 12.48 01-01-16 Excess -1.26 -2.12 -0.01 3.20 -0.37

Source: State Street Investment Analytics - Final 12 III. Fixed Income

13  US Core Fixed Income  Objective  Purpose is to diversify the risk of the overall investment portfolio with a secondary goal of capital preservation.  Performance objective is to exceed the Barclay’s US Aggregate Bond Index net of fees over rolling five-year periods and within tracking errors as specified in the Manager contracts, determined according to the specific strategies employed.

 Investment Philosophy- BlackRock  Top down determination of investment themes are based on bottom-up inputs. Investment themes establish parameters for sector, sub-sector and security selection. Macro overlays for duration and volatility are viewed as a separate sector and used opportunistically.

 Investment Philosophy- PIMCO  PIMCO’s investment philosophy is driven by diversifying strategies and focuses on longer term secular (3-5 year) trends.  Seek to add value through top down strategies including interest rate exposures, duration, volatility, yield curve positioning and sector rotation.  Employ “bottom-up” strategies through in depth credit analysis and specific security selection.

14 Manager Strategy Portfolio Benchmark

BlackRock US Core (enhanced index) Bloomberg Barclays US Aggregate Bond Index

PIMCO Active Core Plus Bloomberg Barclays US Aggregate Bond Index

15 As of June 30, 2018

Core Weighting vs. Target

17.0% 14.9% 15.0% Mandate Market Value % of Total Fund 13.0% CORE FIXED INCOME 11.0% 10.0% BlackRock $3,021,577,767 10.56% 9.0% PIMCO $1,254,426,363 4.38% 7.0% TOTAL $4,276,004,129 14.94% 4.9% 5.0%

3.0%

1.0%

-1.0% Actual Target Difference

NOTE: Percentages may not be exact due to rounding 16 Based on State Street Final data Incept MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Date NGR0A03 - TMRS - TOTAL CORE FIXED INCOME 4,276,004,129.30 14.9 -0.03 -0.02 -1.46 -0.07 1.89 2.40 2.75 3.76 7.49 01-01-89 TMRS - Total Fixed Income Index (Daily) -0.12 -0.16 -1.62 -0.40 1.72 2.27 2.57 3.65 6.95 01-01-89 Excess 0.09 0.14 0.16 0.33 0.17 0.13 0.18 0.11 0.54 NGR4 - TMRS - BLACKROCK CORE FIXED INCOME 3,021,577,766.74 10.6 -0.06 -0.06 -1.52 -0.17 1.94 2.45 2.76 3.26 10-01-09 TMRS-Custom Core Fixed Income Index (Daily) -0.12 -0.16 -1.62 -0.40 1.72 2.27 2.57 3.13 10-01-09 Excess 0.07 0.10 0.10 0.22 0.22 0.18 0.19 0.13 NGR9 - TMRS PIMCO CORE PLUS FIXED INC 1,254,426,362.56 4.4 0.03 0.08 -1.33 0.15 1.74 2.19 2.74 3.31 02-01-10 BBG BARC Agg (Dly) -0.12 -0.16 -1.62 -0.40 1.72 2.27 2.57 3.05 02-01-10 Excess 0.15 0.24 0.29 0.54 0.02 -0.08 0.17 0.26

Source: State Street Investment Analytics - Final 17  Objective  The purpose is to enhance total return through income and capital appreciation and provide diversification to the total investment portfolio. This allocation may be managed actively and/or passively through multiple managers in consideration of manager concentration risk. The overall objective is to exceed its benchmark performance net of fees over rolling five year periods.

 The Performance Objective is to achieve a rate of return that exceeds the Asset Class Goal which is 50% Bank of America Merrill Lynch US High Yield Constrained Index and 50% Credit Suisse Leveraged Loan Index, net of all investment management fees.

 For periods less than five years, or a full market cycle, the allocation should achieve an annual rate of return that exceeds the weighted average return of the underlying Manager benchmarks, over a complete market cycle, net of all investment management fees.

18 Manager Strategy Allocated/Committed Portfolio Benchmark

Octagon Credit Bank Loan/CLO Debt $431,561,984 Credit Suisse Leveraged Loan Index GSO Capital Bank Loan/CLO Debt $454,302,098 Credit Suisse Leveraged Loan Index AG Direct Lending Fund III Bank Loan/CLO Debt $250,000,000 Credit Suisse Leveraged Loan Index (Unlevered), L.P.** Golub* Direct Lending $300,000,000 Credit Suisse Leveraged Loan Index TCW* Direct Lending $300,000,000 Credit Suisse Leveraged Loan Index Adams Street* Direct Lending $200,000,000 Credit Suisse Leveraged Loan Index White Oak* Direct Lending $200,000,000 Credit Suisse Leveraged Loan Index H.I.G. Whitehorse* Direct Lending $300,000,000 Credit Suisse Leveraged Loan Index Alliance Bernstein EMD $365,000,000 20% JP Morgan EMBI, 40% JP Morgan CEMBI and 40% JP Morgan GBI Bluebay EMD $365,000,000 20% JP Morgan EMBI, 40% JP Morgan CEMBI and 40% JP Morgan GBI Columbia High Yield $300,000,000 BofA Merrill Lynch US High Yield Constrained Index Neuberger Berman High Yield $300,000,000 BofA Merrill Lynch US High Yield Constrained Index Benchmark equals Actual /50% CS Leveraged Loan Index and 50% BofA/ML US HY BlackRock GCO* Opportunistic Credit $300,000,000 Constrained Index (Asset Class Goal) for periods equal or longer to 5 years Beach Point Opportunistic Credit $200,000,000 BofA Merrill Lynch US High Yield Constrained Index GoldenTree Opportunistic Credit $200,000,000 BofA Merrill Lynch US High Yield Constrained Index Benchmark equals Actual /50% CS Leveraged Loan Index and 50% BofA/ML US HY PIMCO COF II* Opportunistic Credit $200,000,000 Constrained Index (Asset Class Goal) for periods equal or longer to 5 years Varde Private Debt Benchmark equals Actual /50% CS Leveraged Loan Index and 50% BofA/ML US HY Opportunistic Credit $200,000,000 Opportunities Fund, L.P.** Constrained Index (Asset Class Goal) for periods equal or longer to 5 years Benchmark equals Actual /50% CS Leveraged Loan Index and 50% BofA/ML US HY Waterfall Opportunistic Credit $200,000,000 Constrained Index (Asset Class Goal) for periods equal or longer to 5 years Benchmark equals Actual /50% CS Leveraged Loan Index and 50% BofA/ML US HY Marathon SPS* Opportunistic Credit $150,000,000 Constrained Index (Asset Class Goal) for periods equal or longer to 5 years Bain Opportunistic Credit $100,000,000 BofA Merrill Lynch US High Yield Constrained Index Benchmark equals Actual /50% CS Leveraged Loan Index and 50% BofA/ML US HY Marathon ECO* Opportunistic Credit $100,000,000 Constrained Index (Asset Class Goal) for periods equal or longer to 5 years Benchmark equals Actual /50% CS Leveraged Loan Index and 50% BofA/ML US HY Marathon CLO* Opportunistic Credit $50,000,000 Constrained Index (Asset Class Goal) for periods equal or longer to 5 years Ellington RMBS/CMBS $375,000,000 3 Month Libor + 300 basis points Benchmark equals Actual /50% CS Leveraged Loan Index and 50% BofA/ML US HY Voya RMBS/CMBS $375,000,000 Constrained Index (Asset Class Goal) for periods equal or longer to 5 years Note: * Partially funded ** Approved. Funding pending. 19 As of June 30, 2018

Mandate Market Value % of Total Fund Non-Core Weighting vs. Target NON-CORE FIXED INCOME GSO Capital $454,302,223 1.59% Ellington $446,903,395 1.56% Voya $441,740,564 1.54% 25.0% Octagon Credit $431,561,807 1.51% 20.0% Alliance Bernstein $366,130,191 1.28% 20.0% 16.7% Bluebay $371,012,611 1.30% Columbia $311,866,304 1.09% 15.0% Neuberger Berman $306,300,000 1.07% Beach Point $221,828,000 0.78% 10.0% TCW $210,119,885 0.73% Waterfall $218,312,400 0.76% 5.0% GoldenTree $207,780,400 0.73% -3.3% White Oak $182,317,482 0.64% 0.0% Marathon SPS $129,730,500 0.45% Blanco $100,991,800 0.35% -5.0% H.I.G. $111,354,241 0.39% Actual Target Difference Golub $47,502,992 0.17% PIMCO COF II $72,924,205 0.25% Marathon ECO $60,326,463 0.21% Marathon RR $20,152,452 0.07% BlackRock GCO $70,111,349 0.24% Adams Street $970,980 0.00% NOTE: Percentages may not be exact due to rounding TOTAL $4,784,240,243 16.72% Based on State Street Final data

20 As of June 30, 2018

Committed/ Non-Core Weighting vs. Target Committed Mandate % of Total Fund Market Value NON-CORE FIXED INCOME GSO Capital $454,302,223 1.59% Ellington $446,903,395 1.56% Voya $441,740,564 1.54% Octagon Credit $431,561,807 1.51% Bluebay $371,012,611 1.30% 25.0% Alliance Bernstein $366,130,191 1.28% 21.2% 20.0% Columbia $311,866,304 1.09% 20.0% Neuberger Berman $306,300,000 1.07% BlackRock GCO* $300,000,000 1.05% GoldenTree $300,000,000 1.05% 15.0% Golub* $300,000,000 1.05% TCW* $300,000,000 1.05% 10.0% Beach Point $221,828,000 0.78% Waterfall $218,312,400 0.76% 5.0% Adams Street* $200,000,000 0.70% 1.2% PIMCO COF II* $200,000,000 0.70% White Oak* $200,000,000 0.70% 0.0% H.I.G. Whitehorse* $300,000,000 1.05% Committed Target Difference Marathon SPS* $150,000,000 0.52% Blanco $100,991,800 0.35% Marathon ECO* $100,000,000 0.35% Marathon CLO* $50,000,000 0.17% TOTAL $6,070,949,294 21.21%

NOTE: Percentages may not be exact due to rounding * Partially funded

Based on State Street Final data 21 Non-Core Fixed Income Performance Period ending June 30th, 2018 (Net All)

% of Incept MKT VAL plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Date NGR0A11 - TOTAL NON-CORE FIXED INCOME 4,784,240,243.48 16.7 -0.07 0.00 1.39 4.37 4.87 4.65 10-01-14 TOTAL NON-CORE FI WEIGHTED INDEX -0.09 0.05 1.18 3.49 3.64 3.62 10-01-14 Excess 0.02 -0.05 0.21 0.88 1.23 1.03 NGUB - VOYA NON CORE FIXED INCOME 441,740,564.35 1.5 0.64 1.54 2.48 5.32 5.16 4.91 01-01-15 Voya Non Core FI Index 0.64 1.54 2.48 5.32 5.16 4.91 01-01-15 Excess 0.00 0.00 0.00 0.00 0.00 0.00 NGUD - ELLINGTON NON CORE FIXED INC 446,903,394.56 1.6 1.09 1.66 2.95 7.52 5.51 5.27 01-01-15 Ellington Non Core FI Index -0.37 -1.88 -0.77 2.03 1.06 1.31 01-01-15 Excess 1.46 3.54 3.71 5.49 4.45 3.96 NGXR - WATERFALL EDEN FUND, LP 218,312,400.00 0.8 0.68 1.62 4.82 8.24 7.71 03-01-17 Waterfall Eden Fd Index 0.68 1.62 4.82 8.24 7.71 03-01-17 Excess 0.00 0.00 0.00 0.00 0.00 NGT5 - GSO CAPITAL ADVISORS 454,302,222.55 1.6 06-01-18 CS Leveraged Loan Index (Month-lag) 06-01-18 Excess NGT6 - OCTAGON CREDIT ADVISORS 431,561,806.74 1.5 06-01-18 CS Leveraged Loan Index (Month-lag) 06-01-18 Excess NGRU - WHITE OAK SUMMIT FUND, L.P 182,317,482.10 0.6 2.14 2.14 4.42 7.69 8.77 05-01-16 CS Leveraged Loan Index (Quarter-lag) 1.58 1.58 2.77 3.79 5.64 05-01-16 Excess 0.56 0.56 1.65 3.90 3.13 NGRV - GOLUB CAPITAL PEARLS DLP LP 47,502,991.86 0.2 -0.09 0.53 2.45 5.22 6.06 07-01-16 CS Leveraged Loan Index (Month-lag) 0.19 1.00 2.67 4.57 6.02 07-01-16 Excess -0.28 -0.47 -0.22 0.65 0.04 NGXF - H.I.G. WHITEHORSE CAPITAL, LLC 111,354,240.80 0.4 2.18 2.18 3.22 7.15 6.39 12-01-16 CS Leveraged Loan Index (Quarter-lag) 1.58 1.58 2.77 3.79 4.40 12-01-16 Excess 0.60 0.60 0.45 3.36 1.99 NGXE - TCW ASSET MANAGEMENT LLC 210,119,885.43 0.7 1.92 1.92 3.25 6.06 5.62 01-01-17 CS Leveraged Loan Index (Quarter-lag) 1.58 1.58 2.77 3.79 3.86 01-01-17 Excess 0.34 0.34 0.48 2.27 1.76 NGXM - ADAMS STREET PRIVATE CREDIT FUND-A LP 970,980.20 0.0 18.18 18.18 29.56 29.56 01-01-18 CS Leveraged Loan Index (Quarter-lag) 1.58 1.58 2.77 2.77 01-01-18 Excess 16.60 16.60 26.79 26.79 Source: State Street Investment Analytics-Final 22 Non-Core Fixed Income Performance Period ending June 30th, 2018 (Net All)

Incept MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Date NGXN - COLUMBIA MANAGEMENT INVESTMENT ADVISORS 311,866,304.45 1.1 0.53 0.54 -1.24 0.82 2.68 04-01-17 BofAML HYM CONSTRAINED (DAILY) 0.35 1.00 0.08 2.54 3.77 04-01-17 Excess 0.19 -0.46 -1.32 -1.71 -1.09 NGXL - NEUBERGER BERMAN HIGH INCOME TRUST 306,300,000.01 1.1 0.20 0.20 0.00 1.59 1.28 06-01-17 BOFAML HYM CONSTRAINED (DAILY) Custom (1-Month lag) -0.01 0.03 0.02 2.18 2.12 06-01-17 Excess 0.21 0.17 -0.02 -0.59 -0.83 NGUV - BLUEBAY ASSET MANAGEMENT EMD 371,012,611.13 1.3 -3.96 -5.94 -3.36 0.92 3.02 03-01-17 EMD NON-CORE FIXED INC IDX (1-MONTH LAG) -2.46 -3.78 -2.18 0.32 3.12 03-01-17 Excess -1.50 -2.17 -1.18 0.60 -0.10 NGUS - ALLIANCE BERNSTEIN EMD 366,130,190.62 1.3 -4.24 -6.44 -3.93 -1.43 0.85 04-01-17 EMD NON-CORE FIXED INC IDX (1-MONTH LAG) -2.46 -3.78 -2.18 0.32 2.41 04-01-17 Excess -1.78 -2.66 -1.75 -1.75 -1.56 NGXA - MARATHON SPS FUND, L.P. 129,730,500.00 0.5 0.89 3.68 5.66 10.96 9.77 08-01-16 MARATHON SPS FUND Index (Month-lag) 0.89 3.68 5.66 10.96 9.77 08-01-16 Excess 0.00 0.00 0.00 0.00 0.00 NGXB - PIMCO CORP OP FD II ONSHORE LP 72,924,205.17 0.3 0.36 0.36 2.51 10.20 12.99 10-01-16 PIMCO Corp Fd II Onshore Index 0.36 0.36 2.51 10.20 12.99 10-01-16 Excess 0.00 0.00 0.00 0.00 0.00 NGSW - MARATHON ECO FUND III, LP 60,326,463.01 0.2 0.41 0.74 4.42 9.27 5.57 10-01-16 Marathon Eco Fd III Index 0.41 0.74 4.42 9.27 5.57 10-01-16 Excess 0.00 0.00 0.00 0.00 0.00 NGXD - BEACH POINT TOTAL RET FD II LP 221,828,000.00 0.8 0.33 0.53 2.42 4.72 5.82 10-01-16 BOFAML HYM CONSTRAINED (DAILY) Custom (1-Month lag) -0.01 0.03 0.02 2.18 5.17 10-01-16 Excess 0.34 0.50 2.40 2.54 0.65 NGSV - MARATHON CLO EQUITY FD, L.P. 20,152,451.62 0.1 0.35 5.72 9.09 12.58 9.86 11-01-16 Marathon CLO Equity Fd Index 0.35 5.72 9.09 12.58 9.86 11-01-16 Excess 0.00 0.00 0.00 0.00 0.00 NGXV - Goldentree Guadalupe Fund LP 207,780,400.01 0.7 0.27 0.94 2.59 4.20 4.20 07-01-17 BOFAML HYM CONSTRAINED (DAILY) Custom (1-Month lag) -0.01 0.03 0.02 2.18 2.18 07-01-17 Excess 0.28 0.91 2.57 2.02 2.02 NGXW - BLANCO CAPITAL OPP FUND 100,991,800.01 0.4 -0.16 -0.42 -0.10 0.99 10-01-17 BOFAML HYM CONSTRAINED (DAILY) Custom (1-Month lag) -0.01 0.03 0.02 1.04 10-01-17 Excess -0.15 -0.45 -0.12 -0.05 NGY2 - BlackRock Global Credit Opportunities LP 70,111,348.86 0.2 0.00 0.00 0.00 04-01-18 BlackRock Global Credit Opportunities Index 0.00 0.00 0.00 04-01-18 Excess 0.00 0.00 0.00 23 Source: State Street Investment Analytics- Final IV. Real Estate

24  Objective  To enhance total return and provide diversification to the overall investment portfolio.  Due to the illiquid and cyclical nature of the real estate asset class, Staff and the Real Estate Investment Consultant recommend that the target allocation be invested over a multi-year period in order to avoid considerable vintage year risks.

 Performance Objective  Long term performance objective is a real rate of return (adjusted for inflation) of five percent (5%) net of investment management fees.  The real estate portfolio is expected to generate returns net of all fees and expenses, in excess of their respective indices, over rolling five year investment time horizons.

25 Manager Strategy Allocated/Committed Portfolio Benchmark

Blackstone Property Partners Core $300,000,000 USAA Eagle Fund Core $250,000,000 Smart Markets Fund Core $200,000,000 Harrison Street Core Property Fund Core $150,000,000 Invesco US Core Income Fund Core $150,000,000 H/2 CP Core $125,000,000 Abacus Core Income Fund I Core $75,000,000 H/2 Core RE Debt Core $75,000,000 Walton Street Debt Fund Core Debt $100,000,000 Tristan EPISO 4 Opportunistic EUR 30,000,000 Moorfield Real Estate Fund III Opportunistic £50,000,000 Kildare EP II Opportunistic $100,000,000 Lubert-Adler Fund VII Opportunistic $100,000,000 TPG Real Estate Partners II Opportunistic $100,000,000 TPG Real Estate Partners III, LP Opportunistic $100,000,000 Walton Street Opportunistic $75,000,000 NCREIF-ODCE Greenfield Acquisition Partners VII Value Add $100,000,000 Madison Realty Capital Debt Fund IV, LP Value Add $100,000,000 Abacus Multi-Family Fund III Value Add $75,000,000 Abacus Multi-family Partners IV, LP Value Add $75,000,000 DivcoWest V Value Add $75,000,000 Greenfield Acquisition Partners VI Value Add $75,000,000 Miller Global Value Add $75,000,000 Rubenstein Properties II Value Add $75,000,000 Rubenstein Properties III Value Add $75,000,000 Stockbridge Value Fund I Value Add $75,000,000 Stockbridge Value Fund II Value Add $75,000,000 Torchlight Debt Fund V Value Add $75,000,000 Abacus Multi-Family Fund II Value Add $50,000,000 Alcion Value Add $50,000,000 IC Berkeley IV Value Add $50,000,000 Stockbridge Value Fund III Value Add $50,000,000

26 Source: TMRS Accounting Property Type Diversification Based on Market Value Geographic Diversification Based on Market Value

Land, 1% Healthcare, Storage, 1% Mixed Use, US Not Allocated, 1% Europe, 4% 1% 2% Midwest, Leisure, 0.1% Other, 2% 10% Global Not Allocated, 0.4% Hotel, 6% Resid'l, 33% Industrial, West, 32% 14%

South, 24%

Retail, 13%

Office, 28% East, 29% Sector Diversification Based on Market Value

Opp, 11%

Value, 22%

Core, 67%

Source: Courtland Q1 2018 Report 27 Incept MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Date NGR0A09 - TMRS - TOTAL REAL ESTATE 2,551,160,683.57 8.9 2.24 2.36 5.01 10.87 12.40 12.59 11.14 11-01-11 TOTAL REAL ESTATE INDEX 2.19 2.19 4.31 8.08 9.95 11.42 11.66 11-01-11 Excess 0.05 0.17 0.70 2.79 2.45 1.17 -0.52 NGR0A10 - PRIVATE REAL ESTATE EX LIQUID FUNDS 2,465,007,199.50 8.6 1.44 1.45 3.83 9.99 11.93 12.93 11.45 11-01-11 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 11.43 11.66 11-01-11 Excess -0.76 -0.75 -0.48 1.93 1.93 1.51 -0.22 NGTD - SMART MARKETS FUND LP 343,513,620.23 1.2 1.76 1.76 3.74 7.80 9.68 10.63 10.45 01-01-12 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 11.43 11.39 01-01-12 Excess -0.43 -0.43 -0.57 -0.26 -0.32 -0.79 -0.93 NGTE - HARRISON ST REAL ESTATE - CORE OPEN END 256,060,308.48 0.9 1.92 1.92 4.30 11.20 10.31 10.30 9.61 01-01-12 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 11.43 11.39 01-01-12 Excess -0.28 -0.28 -0.01 3.13 0.32 -1.13 -1.78 NGTF - GREENFIELD ACQUISITION PTRS VI 14,356,758.49 0.1 2.91 2.91 -9.72 -6.00 2.64 7.47 8.19 07-01-12 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 11.43 11.32 07-01-12 Excess 0.71 0.71 -14.04 -14.07 -7.36 -3.96 -3.13 NGTG - STOCKBRIDGE VALUE FUND 10,285,310.41 0.0 1.46 1.46 7.48 17.43 19.84 19.39 21.04 10-01-12 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 11.43 11.35 10-01-12 Excess -0.74 -0.74 3.17 9.36 9.84 7.97 9.69 NGTH - WALTON ST REAL ESTATE FUND VII 42,884,757.07 0.2 1.61 1.61 3.80 9.49 12.22 15.25 15.25 07-01-13 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 11.43 11.43 07-01-13 Excess -0.59 -0.59 -0.51 1.43 2.22 3.82 3.82 NGTI - ABACUS MULTI-FAMILY PTRS II 1,228,659.17 0.0 -1.81 -1.81 -24.82 -27.57 -3.99 8.71 8.31 08-01-12 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 11.43 11.49 08-01-12 Excess -4.01 -4.01 -29.13 -35.63 -13.98 -2.72 -3.18 NGTJ - RUBENSTEIN PROPERTIES FUND II 60,780,426.94 0.2 3.35 3.35 6.67 15.30 8.30 14.69 13.95 04-01-13 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 11.43 11.42 04-01-13 Excess 1.15 1.15 2.35 7.24 -1.69 3.27 2.53 NGTL - MILLER GLOBAL FUND VII 7,961,979.82 0.0 0.58 0.58 -7.48 6.98 9.51 15.73 11.41 10-01-12 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 11.43 11.35 10-01-12 Excess -1.62 -1.62 -11.79 -1.08 -0.49 4.30 0.06

Source: State Street Investment Analytics-Final 28 Incept MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Date NGTV - LUBERT-ADLER FUND VII 90,350,133.89 0.3 2.94 2.94 4.39 10.71 6.77 4.37 01-01-14 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 10.97 01-01-14 Excess 0.74 0.74 0.08 2.65 -3.23 -6.60 NGTX - ABACUS CORE INCOME FUND I LP 74,027,315.00 0.3 1.58 1.58 4.29 7.13 10.29 8.98 01-01-14 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 10.97 01-01-14 Excess -0.62 -0.62 -0.02 -0.93 0.29 -1.99 NGTW - INVESCO ADVISERS, INC. 218,175,872.00 0.8 3.00 3.00 5.59 10.00 12.86 11.54 01-01-14 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 10.97 01-01-14 Excess 0.80 0.80 1.28 1.93 2.86 0.56 NGT3 - GREENFIELD ACQ PART VII LP 108,038,723.66 0.4 0.72 0.72 7.24 17.91 15.62 14.45 01-01-15 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 10.57 01-01-15 Excess -1.48 -1.48 2.92 9.85 5.63 3.88 NGT4 - STOCKBRIDGE VALUE FD II LP 63,508,382.61 0.2 4.66 4.66 8.14 19.43 16.23 14.14 02-01-15 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 10.85 02-01-15 Excess 2.46 2.46 3.83 11.37 6.23 3.30 NGUJ - ABACUS MULTI-FAMILY III 68,873,208.05 0.2 7.29 7.29 18.57 32.36 19.22 16.73 02-01-15 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 10.85 02-01-15 Excess 5.10 5.10 14.26 24.29 9.23 5.88 NGUL - MOORFIELD REAL ESTATE III 58,590,141.43 0.2 4.73 4.73 9.69 41.19 24.21 21.01 02-01-15 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.99 10.85 02-01-15 Excess 2.53 2.53 5.38 33.12 14.21 10.16 NGUH - WALTON STREET REAL ESTATE DEBT FUND 47,524,816.04 0.2 0.97 0.97 3.23 8.90 7.46 12-01-15 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 10.10 12-01-15 Excess -1.23 -1.23 -1.08 0.84 -2.64 NGAS - TORCHLIGHT DEBT OPP FUND V,LP 50,831,235.00 0.2 4.27 4.27 7.75 15.89 13.85 12-01-15 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 10.10 12-01-15 Excess 2.07 2.07 3.44 7.83 3.75 NGAR - TPG REAL ESTATE PART II, LP 55,462,154.78 0.2 3.93 3.93 4.68 20.29 34.52 12-01-15 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 10.10 12-01-15 Excess 1.73 1.73 0.37 12.23 24.42

Source: State Street Investment Analytics-Final 29 Incept MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Date NGAP - ALCION RE PART FD III-B,LP 33,916,964.93 0.1 7.78 7.78 14.12 12.83 5.20 11-01-15 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.78 11-01-15 Excess 5.59 5.59 9.81 4.76 -4.57 NGAM - EUROPEAN PROPERTY INV SPECIAL 17,436,207.42 0.1 4.38 4.38 12.37 22.67 5.96 12-01-15 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 10.10 12-01-15 Excess 2.18 2.18 8.06 14.60 -4.14 NGAQ - USAA EAGLE REAL ESTATE FD 263,839,635.14 0.9 1.26 1.26 2.52 6.52 7.71 12-01-15 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 10.10 12-01-15 Excess -0.94 -0.94 -1.79 -1.55 -2.39 NGAV - H/2 CP CORE RE DEBT FUND,LP 80,352,975.00 0.3 1.26 1.26 2.70 5.82 6.80 04-01-16 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 8.29 04-01-16 Excess -0.94 -0.94 -1.62 -2.25 -1.50 NGRY - DIVCOWEST FUND V 27,333,096.66 0.1 -0.13 -0.13 0.40 3.52 0.64 01-01-17 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 8.07 01-01-17 Excess -2.32 -2.32 -3.91 -4.55 -7.43 NGRZ - BLACKSTONE PROPERTY PARTNERS 337,699,742.64 1.2 2.19 2.19 4.07 8.51 7.78 12-01-16 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.02 12-01-16 Excess -0.01 -0.01 -0.24 0.45 -1.24 NGAN - RUBENSTEIN PROP FD III LP 32,447,365.88 0.1 4.00 4.00 4.97 16.49 3.23 10-01-16 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 8.12 10-01-16 Excess 1.80 1.80 0.66 8.42 -4.89 NGXP - STOCKBRIDGE VALUE FUND III, LP 9,989,206.75 -1.14 -1.14 05-01-18 NCREIF ODCE 1 QTR LAG 2.20 2.20 05-01-18 Excess -3.34 -3.34 NGXQ - IC BERKELEY PARTNERS IV, L.P. 15,061,928.01 0.1 9.88 9.88 10.85 -16.43 -15.22 06-01-17 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 8.07 9.19 06-01-17 Excess 7.68 7.68 6.53 -24.49 -24.41 NGYX - MADISON DEBT FUND IV 74,476,273.97 0.3 3.12 3.69 3.69 02-01-18 NCREIF ODCE 1 QTR LAG 2.20 2.20 4.31 02-01-18 Excess 0.92 1.49 -0.63 NGAU - H/2 CP, LP 86,153,484.06 0.3 -0.43 2.68 2.64 3.63 7.15 11-01-15 NCREIF OPEN FUND INDEX (DAILY) 2.03 2.03 4.27 8.42 9.11 11-01-15 Excess -2.46 0.65 -1.63 -4.78 -1.97

Source: State Street Investment Analytics- Final 30 V. Real Return

31  Objective  Purpose is to enhance total return and provide diversification and hedge against inflation risks to the overall investment portfolio.  Due to the varied nature of the Real Return space, the portfolio will include strategies across a variety of real asset types, as well as a number of investment vehicle types in order to maintain a diversified approach.

 Performance Objective  Long term performance objective over a period 5 and greater years or a full market cycle is a rate of return of CPI + 400 basis points, net of all investment management fees.  On a short term basis, the real return portfolio should achieve an annual rate of return that exceeds the weighted average return of the underlying Manager benchmarks over a complete market cycle, net of all investment management fees.

32 Manager Strategy Portfolio Benchmark Colchester Active Global Linkers Barclays World Govt Infl-Linked Bond Index

28% S&P Global Infrastructure Index, 21% FTSE EPRA/NAREIT Developed Index, 18% Nuveen Real Asset Income – Public Securities Wells Fargo Hybrid and Preferred Securities REIT Index, 15% Barclays Global Capital Securities Index, 18% Barclays U.S. Corporate High Yield Index

27.5% Bloomberg Commodity Index, 27.5% FTSE NAREIT Developed Real Estate Index (Net), 15% Dow Jones Brookfield Global Cohen & Steers Real Asset Multi-Strategy Infrastructure Index, 15% S&P Global Natural Resources Index—Net), 10% BAML US Corporate Index, 1–3 Years and 5% Gold Index Chickasaw MLPs Alerian MLP index

33 Manager Strategy Allocated Portfolio Benchmark Blue Sky Agriculture AUD$66,000,000 Amerra Agriculture Finance $100,000,000 MTP Energy Opportunities Fund III LLC* Energy Finance $125,000,000 MTP Energy Opportunities Fund II (Magnetar) Energy Finance $100,000,000 Benchmark equals Actual, Brookfield Infrastructure $150,000,000 Barclays World Govt Infl-Linked ISquared Infrastructure $150,000,000 Bond Index (Asset Class Goal) Stonepeak Infrastructure Fund III LP Infrastructure $150,000,000 for periods equal or longer to 5 years Orion ($100mm) + Orion Co-Invest ($25mm) Mining Finance $125,000,000 Orion Mineral Royalty Fund, LP* Mining Finance $75,000,000 Sprott Mining Finance $70,000,000 Actis Power $75,000,000

*Approved, not funded

Source: TMRS Accounting 34 Mining Energy Private Real Return 2.64% 2.14% Infrastructure 0.16% 3.01% Agriculture 4.02%

Inflation Linked Debt 22.71%

Diversified Liquid 65.30%

35 Incept MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Date NGR0A08 - TMRS - TOTAL REAL RETURN 2,944,971,962.48 10.3 0.29 1.58 -0.30 4.55 3.33 2.98 2.84 3.42 02-01-11 TOTAL REAL RETURN INDEX 0.48 1.73 -0.07 5.16 4.42 3.76 2.94 3.72 02-01-11 Excess -0.20 -0.15 -0.23 -0.61 -1.09 -0.78 -0.10 -0.30 NGR0A020 - REAL RETURN PUBLIC MARKETS 2,589,122,560.42 9.1 0.24 1.75 -0.43 4.54 3.35 2.99 2.84 3.43 02-01-11 REAL RETURN PUBLIC MARKETS INDEX 0.47 1.92 -0.18 5.23 4.30 3.68 2.89 3.67 02-01-11 Excess -0.23 -0.17 -0.25 -0.68 -0.95 -0.70 -0.04 -0.24 NGTB - COLCHEST GLBL INFLTN-LINK BNDS 686,552,212.96 2.4 -0.20 -2.52 -1.34 2.74 1.35 1.79 1.99 2.62 02-01-11 BBG BARC Wld Inf-Lk Bd TR -0.07 -3.09 -1.67 3.32 2.29 2.48 2.03 2.86 02-01-11 Excess -0.13 0.57 0.32 -0.58 -0.94 -0.69 -0.04 -0.24 NGRQ - NUVEEN REAL ASSET INCOME 821,570,025.07 2.9 0.91 1.42 -1.58 2.53 7.18 04-01-16 Nuveen Custom Benchmark 1.01 1.66 -1.77 2.87 6.93 04-01-16 Excess -0.10 -0.24 0.18 -0.34 0.25 NGRS - COHEN & STEERS REAL ASSET 818,829,611.65 2.9 0.64 2.78 2.50 7.25 5.84 06-01-16 Cohen & Steers Custom (Month-lag) 1.03 3.72 2.87 8.25 6.52 06-01-16 Excess -0.40 -0.94 -0.38 -1.00 -0.68 NGY0 - CHICKASAW CAPITAL MANAGEMENT 262,170,710.74 0.9 -1.88 12.25 -3.15 3.84 12-01-17 Alerian MLP Daily -1.54 11.80 -0.63 4.08 12-01-17 Excess -0.34 0.45 -2.51 -0.24 NGR0A019 - REAL RETURN PRIVATE MARKETS 355,849,402.06 1.2 0.60 0.18 0.82 3.96 3.63 02-01-16 REAL RETURN PRIVATE MARKETS INDEX 0.60 0.18 0.82 3.96 3.63 02-01-16 Excess 0.00 0.00 0.00 0.00 0.00 NGRP - MTP ENERGY OPPORTUNITIES FD II 53,995,926.15 0.2 -2.64 -3.35 0.14 -0.93 8.90 02-01-16 MTP ENERGY OPPORTUNITIES FD II Index -2.64 -3.35 0.14 -0.93 8.90 02-01-16 Excess 0.00 0.00 0.00 0.00 0.00 NGSH - ORION MINE FINANCE FD II 49,519,991.28 0.2 -1.44 -1.44 -2.35 4.79 3.64 06-01-16 ORION MINE FINANCE FD II Index -1.44 -1.44 -2.35 4.79 3.64 06-01-16 Excess 0.00 0.00 0.00 0.00 0.00 NGSR - BROOKFIELD INFRA PRTNR FD III 59,176,280.02 0.2 4.33 4.33 10.98 16.89 14.38 08-01-16 Brookfield Infra Prtnr Fd Index 4.33 4.33 10.98 16.89 14.38 08-01-16 Excess 0.00 0.00 0.00 0.00 0.00

Source: State Street Investment Analytics- Final 36 Incept MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Date NGRW - AMERRA AGRI FUND III 64,716,590.42 0.2 -0.34 -0.85 -4.44 -3.58 -4.24 08-01-16 Amerra Agri Fund III Index -0.34 -0.85 -4.44 -3.58 -4.24 08-01-16 Excess 0.00 0.00 0.00 0.00 0.00 NGXI - SPROTT PRIVATE RESOURCE LENDING FUND 33,625,774.82 0.1 2.79 2.42 3.56 8.59 7.32 05-01-17 Sprott Private Resource Lending Fd Index 2.79 2.42 3.56 8.59 7.32 05-01-17 Excess 0.00 0.00 0.00 0.00 0.00 NGXJ - ACTIVE ENERGY IV 21,307,009.93 0.1 16.08 16.08 26.25 -11.64 -10.06 05-01-17 Active Energy IV Index 16.08 16.08 26.25 -11.64 -10.06 05-01-17 Excess 0.00 0.00 0.00 0.00 0.00 NGX0 - STONEPEAK INFRASTRUCTURE FUND II LP 12,029,305.83 -24.78 -23.44 -23.44 03-01-18 STONEPEAK INFRASTRUCTURE FD II INDEX -24.78 -23.44 -23.44 03-01-18 Excess 0.00 0.00 0.00 NGXY - BLUE SKY STRATEGIC AUS AGRICULTURE FUND 41,955,698.06 0.2 3.31 1.73 7.10 2.84 08-01-17 Blue Sky Strat AUS Agri Fd Index 3.31 1.73 7.10 2.84 08-01-17 Excess 0.00 0.00 0.00 0.00 NGXZ - ISQ GLB INFRASTRUCTURE FUND II 9,932,312.01 0.0 0.00 0.00 06-01-18 ISQ Glbl Infrastructure Fd II Index 0.00 0.00 06-01-18 Excess 0.00 0.00 NGZB - Abacus IV 7,994,768.78 06-01-18 Abacus IV -4.15 06-01-18 Excess NGX7 - ORION CO-INVEST 1,595,744.70 0.0 -0.36 0.00 0.00 03-01-18 Orion Mine Finance Fund II LP Index -0.36 0.00 0.00 03-01-18 Excess 0.00 0.00 0.00

Source: State Street Investment Analytics- Final 37 VI. Absolute Return

38  Objective  Purpose is to diversify equity and credit market risk by targeting hedge fund return streams that are independent of the directionality of the broad stock and bond markets. The ARS portfolio will be invested in a wide variety of hedge fund strategies, with specific constraints on overall portfolio risk and individual manager exposure.  Performance objective is to exceed the benchmark, defined as the HFRI Fund of Funds Diversified Index, net of all investment management fees, and to achieve in excess of the appropriate long-term benchmark (3-month LIBOR + 500 basis points) on an ongoing rolling 5-year period.  Investment Philosophy  Predicated on manager skill in:  Rotating (long/short trading) market factors based on valuation  Navigating less liquid, non public and opaque markets  Navigating special situations  Predicting and capturing market trends  Accordingly, ARS is not an “asset class” (or market sector)

39 Manager Strategy Committed Capital Portfolio Benchmark Blackstone Customized Fund of One $587,645,503 Alyeska Fund Direct Manager $115,000,000 Graticule Asia Macro Fund Direct Manager $125,000,000 Varde Investment Partners Direct Manager $115,000,000 Myriad Opportunities Fund Direct Manager $100,000,000 Roystone Capital Fund Direct Manager $60,000,000 Southpoint Fund Direct Manager $90,000,000 Man AHL Hydrogen LLC Direct Manager $150,000,000 PDT Mosaic Fund Direct Manager $150,000,000 DSAM Long/Short Equity Fund Direct Manager $110,000,000 East Lodge Capital Credit Opportunities Fund Direct Manager $120,000,000 HFRI Fund of Funds Diversified Index River Birch Partners Direct Manager $120,000,000 Field Street Partners Direct Manager $100,000,000 Pharo Gaia Fund Direct Manager $100,000,000 D.E. Shaw Valence Fund, L.L.C. Direct Manager $73,000,000 Redmile Capital Fund, LP Direct Manager $80,000,000 BG Umbrella Fund Plc – BG Fund Direct Manager $100,000,000 H2O Alpha 10 Feeder Fund (U.S.) L.P. Direct Manager $90,000,000 Red Cliff Asia Fund Direct Manager $90,000,000 BAAM Stone Oak Fund, L.P. Direct Manager $200,000,000 BAAM Stone Oak Select Direct Manager $100,000,000 Varde Asia Credit Fund, L.P. Direct Manager $50,000,000

40 Source: BAAM; State Street 41 Incept MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Date NGR0A012 - TMRS - TOTAL ABSOLUTE RETURN 2,786,955,100.73 9.7 0.26 0.97 2.39 6.86 4.56 4.68 08-01-14 HFRI FOF DIVERSIFIED INDEX (1-Month Lag) 0.70 0.44 1.90 5.27 1.48 2.41 08-01-14 Excess -0.44 0.53 0.49 1.60 3.08 2.27 NGUA - TMRS - BLACKSTONE 620,597,683.09 2.2 0.52 1.70 2.59 5.97 3.64 3.97 08-01-14 HFRI FOF DIVERSIFIED INDEX (1-Month Lag) 0.70 0.44 1.90 5.27 1.48 2.41 08-01-14 Excess -0.18 1.26 0.69 0.70 2.16 1.57 NGR0A013 - TMRS - ABSOLUTE RETURN DIRECT 2,166,357,417.63 7.6 0.18 0.76 2.33 7.12 5.98 01-01-16 HFRI FOF DIVERSIFIED INDEX (1-Month Lag) 0.70 0.44 1.90 5.27 3.01 01-01-16 Excess -0.52 0.32 0.43 1.86 2.97

Source: State Street Investment Analytics - Final Fund and Benchmark returns are 1-month lagged for all periods. 42 VII. Private Equity

43  Objective  The primary objective is to enhance the total return of the overall investment portfolio, and secondarily to provide diversification. Private Equity investments are commingled funds structured as limited partnerships with capital commitments that are drawn down over time based on manager discretion. Potential distributions are made as a fund matures and investments are typically realized over an 8-12 year horizon.  The long term policy objective is to exceed the Russell 3000 + 3.00% for periods of five years or greater, net of all investment management fees.

 Investment Philosophy  Manager selection is critical, and managers add value through:  Reducing agency conflicts and aligning equity holder/executive incentives  Investment structuring and balance sheet management  Deep sector experience and creating operating efficiencies  Navigating non-public information and capturing illiquidity premia  Note: Due to the illiquid nature of the Private Equity asset class, the target allocation will be invested over a multi-year period in order to avoid considerable vintage year risks.

44 Manager Strategy Commitment Portfolio Benchmark H.I.G. SPF Buy-out $300,000,000 Marlin Buy-out $71,250,000 Altaris Buy-out $62,500,000 Capital Partners Buy-out $58,000,000 Providence Buy-out $55,000,000 CapVest Buy-out $46,000,000 Dunes Point Buy-out $50,000,000 GTCR Buy-out $50,000,000 Tritium Buy-out $50,000,000 Searchlight Buy-out $47,000,000 One Rock Buy-out $45,000,000 Benchmark equals Actual / Russell 3000 + 3% Incline Buy-out $40,000,000 (Asset Class Goal) for periods equal or longer to Kainos Buy-out $35,000,000 5 years Harvest Buy-out $20,000,000 PSG Venture / Growth $130,000,000 Foundry Venture / Growth $75,000,000 Updata Venture / Growth $50,000,000 FTV Venture / Growth $46,000,000 Mercato Venture / Growth $40,000,000 TSSP Special Situations $150,000,000 Blackstone/GSO Special Situations $93,750,000 Carlyle Special Situations $65,000,000 H.I.G. Special Situations $60,000,000 LightBay Special Situations $40,000,000

45 Private Equity Strategy Diversification by Private Equity Manager Diversification by Commitment Commitment BO 1 BO 2 BO 3 BO 4 BO 5 BO 6 24.3% Buy-out (40% to BO 7 BO 8 75%) BO 9 BO 10 BO 11 BO 12 Growth/Venture BO 13 BO 14 (10% to 40%) 20.3% GE 1 GE 2 55.4% Special Situations GE 3 GE 4 (5% to 35%) GE 5 SS 1 SS 2 SS 3 SS 4 SS 5

Policy Strategy Range Policy Guidelines Control/Buy-out 40.0% to 75.0% No more than 35% with any one investment manager Venture/Growth/Minority 5.0% to 25.0% No more than 25% with any one investment vehicle Special Situations/Opportunistic 10.0% to 35.0%

NOTE: Percentages may not be exact due to rounding 46 Incept MKT VAL % of plan 1 Month 3 Months YTD 1 Yr. 3 Yrs. 5 Yrs. 7 Yrs. 10 Yrs. ITD Date NGR0A014 - TMRS TOTAL PRIVATE EQUITY 404,064,523.23 1.4 9.63 10.33 23.31 35.00 17.04 12-01-15 NGR0A016 - BUY-OUT TOTAL 145,767,422.52 0.5 6.92 6.92 21.51 25.61 20.34 12-01-15 NGRNBO2 - SEARCHLIGHT CAPITAL II 25,359,143.48 0.1 -4.22 -4.22 9.64 47.47 29.38 02-01-16 NGRNBO10 - HARVEST PARTNERS VII 11,127,339.47 0.0 13.44 13.44 23.89 113.68 4.97 10-01-16 NGRNBO12 - KAINOS CAPITAL PARTNERS II LP 12,512,449.24 0.0 4.85 4.85 2.59 75.51 -21.51 01-01-17 NGX4 - CPTL PRTNRS PE INC FUND III 5,375,857.90 0.0 0.00 0.00 06-01-18 NGX5 - GTCR FUND XII 799,163.89 0.00 0.00 06-01-18 NGYB - MARLIN EQUITY V 10,420,020.78 -7.21 -7.21 -7.21 03-01-18 NGYF - ONE ROCK CAPITAL PARTNERS II LP 12,971,152.72 0.1 -2.80 -2.80 -6.02 -6.02 11-01-17 NGX2 - ALTARIS HEALTH PTNRS IV 10,518,566.01 0.0 0.00 0.00 06-01-18 NGX3 - ALTARIS CONSTELL PRTNS IV LP 3,851,071.01 0.0 0.00 0.00 06-01-18 NGYD - MARLIN HERITAGE II 3,757,105.27 0.0 -3.22 -3.22 -14.94 -14.94 11-01-17 NGYE - INCLINE EQUITY PARTNERS IV 3,086,034.91 0.0 213.22 213.22 192.22 -54.94 09-01-17 NGRNBO1 - TRITIUM I, L.P. 45,989,517.81 0.2 24.47 24.47 49.66 36.23 27.11 12-01-15 NGR0A021 - VENTURE-GROWTH TOTAL 154,868,961.36 0.5 14.92 16.83 30.15 57.42 22.24 07-01-16 NGRNBO8 - FOUNDRY GROUP NEXT FUND LP 20,562,729.02 0.1 10.29 26.53 25.29 41.24 17.02 08-01-16 NGY4 - FOUNDRY 2018 1,462,500.02 0.00 0.00 06-01-18 NGRNBO6 - MERCATO PARTNERS GROWTH III LP 20,447,548.40 0.1 -2.45 -2.45 32.19 28.68 -4.31 07-01-16 NGRNBO7 - UPDATE PARTNERS V LP 42,256,202.63 0.2 8.24 8.24 24.92 37.38 18.13 07-01-16 NGRNBO11 - PROVIDENCE STRATEGIC GROWTH II LP 54,297,951.57 0.2 20.26 20.26 33.34 68.30 55.26 01-01-17 NGRNBO13 - FTV V, L.P. 15,842,029.70 0.1 29.47 29.47 3.07 -5.92 -5.09 05-01-17 NGR0A018 - SPECIAL SITUATIONS SUB TOTAL 103,428,139.21 0.4 2.68 2.52 9.80 12.13 9.42 03-01-16 NGRNBO3 - H.I.G. BAYSIDE FUND IV 15,245,253.23 0.1 2.72 2.72 16.01 9.11 12.79 03-01-16 NGRNBO4 - CARLYLE ENERGY MEZZANINE FUND II 22,665,119.41 0.1 5.36 5.36 10.38 18.00 -3.65 03-01-16 NGRNBO5 - TSSP ADJACENT OPPORTUNITIES FUND III 44,438,732.90 0.2 3.04 3.04 9.25 12.80 10.99 03-01-16 NGRNBO9 - GSO Capital Opportunities Fund III LP 19,385,542.94 0.1 3.02 2.20 6.51 17.05 13.35 10-01-16 NGYA - GSO COF CO-INVEST FUND 1,693,490.69 0.0 4.10 4.10 13.92 14.06 09-01-17

Benchmark equals actual for all periods. Source: State Street Investment Analytics- Final 47 VIII. Compliance

48 • IPS Objectives • The primary objective of Compliance is to implement a detailed compliance program which uses a combination of daily, weekly and monthly testing of all testable parameters of the Investment Policy Statement and all Manager guidelines at the Manager, asset class and total fund level, as appropriate. • Testing may be completed either through systematic resources (automated custodial compliance) or manually if necessary. • Compliance personnel shall create and present a quarterly report to the Board with the results of the testing performed during each period.

49 Policy Core Fixed Non-Core Domestic Global Real Return Guidelines Income Fixed Income Equities Equities

Credit Quality

Liquidity/Cash Management

Permissible/Prohibited Investments

Concentration Risk

Country/Region & Currency

Issue/Issuer

Sector & Asset Type

Interest Rate Risk N/A N/A

Spread Risk N/A N/A

 SSB weekly automated GX Compliance tests completed through quarter-end. SSB monthly automated GX Compliance tests completed through quarter-end.  TMRS monthly manual guideline compliance tests conducted on all separately managed account portfolios and the total fund portfolio through quarter-end.  There were no material violations of TMRS investment management guidelines.

50 Topic Update State Street Bank’s Non-Core Fixed Income: Highland Bandera Strategic Credit Partners I, LP and GX Compliance - Guggenheim Bandera Strategic Credit Partners II, LP replaced by GSO Updates Capital Partners, LP and Octagon Credit Investors, LLC.

Real Return: Colchester Global Inflation Linked Bonds’ investment management guidelines updated and amended in May 2018.

Compliance worked with State Street Bank to revise GX Compliance’s weekly and monthly automated guideline tests accordingly.

Compliance updated TMRS’s monthly manual guideline compliance tests accordingly. TMRS Compliance – Continue TMRS Compliance Monitoring Program as designed. Next Steps • State Street Bank’s weekly and monthly automated GX Compliance • TMRS’s monthly manual guideline compliance

51 TMRS Compliance is to conduct manual guideline compliance monitoring for all new and amended separately managed account guidelines for a period of six consecutive months prior to transitioning to a bi-monthly manual guideline compliance testing schedule.

• Current Monthly Tests • Acadian Emerging Markets – Sept. 2018 • The Boston Company Small Cap Opp Value – Aug. 2018 • Champlain Mid-Cap Core - Jul. 2018 • Colchester Global Inflation Linked Bond – Oct. 2018 • GSO Capital Partners, LP – Nov. 2018 • Octagon Credit Investors, LLC – Nov. 2018 • Wasatch International Small Cap Growth – Aug. 2018 • Wellington US Small Cap Opp – Aug. 2018 • Wellington International Small Cap Opp – Aug. 2018 • William Blair Emerging Markets – Aug. 2018 • Completed Monthly Tests • Chickasaw Capital Management, LLC – Apr. 2018 • Ellington RMBS/CMBS – Mar. 2018 • Voya RMBS/CMBS – Feb. 2018 To date, there are no issues to report regarding the testing of any new or amended investment guidelines.

52 IX. Risk Management

53 Risk Management Objective: • Managing the risk of not achieving TMRS investment objectives Risk Management Responsibilities: • Ensuring that investment risk management policy is defined and documented • Analytical tools for investment risk management Risk Report Highlights: • Reporting on investment risk to the Board  No significant changes on Implementation Risk chart Activity Update  Market volatility in the Risk Model: Investment Data Warehouse is in  Increased due to the volatility in the markets production mode. Work on the Data Warehouse continues to expand during the first quarter. Portfolio volatility is Data breadth of account related data and 6.5% and the Benchmark volatility is 6.9%, both incorporate output from our analytical up 0.4% from Q1 systems.  Current volatility continues to be significantly Monitoring industry advances in lower than the Long Term Volatility Assumption investment risk analysis and of 11.5% (for the Policy Benchmark) Research quantitative investment strategies for opportunities to improve TMRS risk  Forward looking Tracking Error remains very low at adjusted returns 0.9% with very little change from last quarter’s 1.0% Performance attribution analysis (Separately Managed Accounts) is in production mode. Current plan is to run analysis quarterly. Analysis and Reporting Developing a total fund cash flow model, including Private Fund Capital Calls and Distributions, to support cash flow stress testing and management 54 Evolution of Risk Over Time March 2018

55 Comparing Recent Volatility to Long-Term Assumptions Total Fund Risk by Asset Class March 2018

Holdings-Based Risk Model: Short-term outlook based on 1 Strategy Implementation Risk: Long- recent volatility of actual holdings RVK Long- term outlook based on TMRS Staff term outlook Portfolio Policy Benchmark expectations Minimum Current Maximum Weight Contribution Weight Contribution Benchmark Risk Risk Risk Implied Portfolio Risk Implied (%) to Total Risk (%) to Total Risk Risk by IPS Risk by IPS Total 100.0% 6.5 100.0% 100.0% 6.9 100.0% 8.7 9.9 12.2 11.5 Cash Assets 0.1% 0.0 0.0% 0.0% 0.0 0.0% -- 0.0 -- 3.0 Equity - US 20.3% 11.2 31.7% 17.5% 11.3 26.2% 17.7 17.7 18.1 17.8 Equity - Non US 17.9% 12.6 32.2% 17.5% 13.0 30.3% 16.7 19.0 21.1 20.7 Core Fixed Income 15.8% 4.0 0.8% 10.0% 3.8 -0.1% 3.5 3.5 4.6 6.0 Non-Core Fixed Income 16.2% 4.9 10.1% 20.0% 5.8 12.9% 5.4 7.1 11.6 12.5 Real Estate 8.6% 10.3 9.2% 10.0% 10.3 9.1% 12.5 12.9 16.6 14.0 Real Return 10.1% 7.0 9.8% 10.0% 7.0 8.9% 9.6 11.0 20.0 9.0 Absolute Return 9.7% 3.0 4.2% 10.0% 3.2 3.7% 4.7 5.4 8.6 9.5 Private Equity 1.2% 15.7 1.9% 5.0% 16.9 9.0% 16.6 20.0 25.6 25.5

Note which asset classes Portfolio risk should Note risk ranges relative to assumptions used in contribute more/less to be similar to Asset Allocation; more details on the next page risk than their weight in benchmark risk the portfolio (e.g. Equity) Note where current strategic positioning falls within the range, which is indicative of where we see the best risk/return trade off

1. Short-term risk numbers are based on the recent past and 56 can be significantly different than long-term averages Implementation Risk Ranges Implied by IPS Asset Class Guidelines March 2018

30.0% Based on current as- invested strategy allocations and Investment Department 25.0% long-term assumptions regarding each strategy

20.0%

15.0% Risk

Maximum risk implied by IPS

10.0% Series1 Minimum risk implied by IPS Current TMRS Risk Estimate RVK Long-Term Assumption 5.0% RiskSeries2 range implied by IPS Rebalancing Policy

0.0% Core Fixed Absolute Non-Core Real Real Non-US US Equity Private Total Plan Income Return Fixed Return 1 Estate Equity Equity Income

1. Real Return range includes 0-30% limit on Inflation Linked Bonds to align with the IPS's Asset Class Goal of CPI+4% 57 Active Risk Due to: Allocation Decisions March 2018

Note that a large part of our active risk Note that a very small part of our Active risk (i.e. risk of being is due to not yet fully implementing risk is due to active allocation different from the benchmark) our Strategic Target Allocation decisions to deviate from our can be divided into Allocation Strategic Target Allocation and Selection decisions

Active Risk from Allocation Total Active Decisions: Strategic Risk = 0.92 Portfolio Allocation Pending Target Contribution of Contribution of Allocation Difference Policy Policy Allocation Pending Policy Investment Asset Class (%) (%) Allocations Active Risk from Benchmark (%) Allocation Allocation 1 2 Allocation Decisions Decisions Cash Assets 30 Day T- Bill 0.00% 0.11% 0.11% 0.00 0.00 Active Risk from Equity - US Russell 3000 17.50% 20.32% 2.82% -4.00% -0.07 0.02 MSCI ACWI ex Equity - Non US 17.50% 17.95% 0.45% 0.00 0.00 Selection USA IMI Core Fixed Barclays U.S. 10.00% 15.80% 5.80% -6.00% 0.30 -0.01 Income Agg 50% High Yield, Non-Core Fixed 50% Levered 20.00% 16.22% -3.78% 4.00% 0.00 0.00 0.36 Income Loan

0.56 Real Estate NCREIF ODCE 10.00% 8.63% -1.37% 2.00% 0.01 -0.01 Manager Real Return Benchmark 10.00% 10.06% 0.06% 0.00 0.00 Rollup HFRI FOF Absolute Return 10.00% 9.74% -0.26% 0.00 0.00 Diversified Index Custom risk Private Equity 5.00% 1.16% -3.84% 4.00% 0.33 -0.01 proxy Total Active 100.00% 100.00% 0.00% 0.56 0.00 Allocation Risk

58 Active Risk Due to: Selection Decisions March 2018

For alternatives the best available benchmarks do not Note how much of our active risk is Note how much of our active risk is due satisfy all of TMRS’s benchmarking criteria, so active due to choosing manager benchmarks to managers holding portfolios different risk measurements are less precise different from policy benchmarks from their benchmarks

Total Active Active Risk from Selection Decisions Risk = 0.92 Portfolio Allocation (%) Contribution of Strategy Contribution of Active Asset Class Policy Benchmark Active Risk from Benchmark Decisions Manager Decisions Allocation Public/Traditional Investments Cash Assets 30 Day T- Bill 0.11% 0.00 0.00 Active Risk from Equity - US Russell 3000 20.32% 0.02 0.03 Selection Equity - Non US MSCI ACWI ex USA IMI 17.95% 0.02 0.04 Core Fixed Income Barclays U.S. Agg 15.80% 0.00 0.00

Public Non-Core Fixed 50% High Yield, 50% Levered 10.88% 0.09 0.01 Income 0.36 Loan 0.56 Public Real Return Manager Benchmark Rollup 8.97% 0.00 0.00 Private/Alternative Investments

Private Non-Core 50% High Yield, 50% Levered 5.34% 0.00 0.04 Fixed Income Loan Private Real Return Manager Benchmark Rollup 1.10% 0.00 -0.01 Real Estate NCREIF ODCE 8.63% 0.00 0.03 Absolute Return HFRI FOF Diversified Index 9.74% 0.00 0.08 Private Equity Custom risk proxy 1.16% 0.00 0.03 Total Active Selection Risk 100.00% 0.12 0.24 59 Total Fund & Asset Class Regional Exposures March 2018

Note which asset classes are exposed to Note which asset classes are non-US developed Note which asset classes are currently concentrated in the US markets exposed to emerging markets

Emerging Developed Developed Developed Asia Emerging Emerging Middle East Asia & Pacific Americas Europe & Pacific Rim Americas Europe & Africa Rim Cash Assets 100% 0% 0% 0% 0% 0% 0% Equity - US 100% 0% 0% 0% 0% 0% 0% Equity - Non US 7% 39% 23% 3% 2% 23% 3% Core Fixed Income 89% 7% 1% 1% 0% 1% 1% Non-Core Fixed Income 75% 8% 1% 6% 3% 4% 3% Real Estate 95% 5% 0% 0% 0% 0% 0% Real Return 66% 18% 9% 3% 1% 3% 0% Absolute Return 52% 25% 6% 2% 6% 9% 0% Private Equity 89% 7% 0% 1% 0% 3% 0% Total Fund 69% 14% 6% 2% 2% 6% 1%

Are there any surprises in the total fund regional exposures?

NOTES: 1. Developed Americas consists almost entirely of the USA. Canada is a very small allocation. 2. The Absolute Return regional breakdown is based on manager and ARS consultant estimates.

60 61