MEETING MATERIALS HOWARD COUNTY RETIREMENT PLANS April 29, 2021 Margaret Belmondo, CIMA®, Partner Will Forde, CFA, CAIA, Principal Francesca LoVerde, Senior Consulting Analyst BOSTON | ATLANTA | CHARLOTTE | CHICAGO | DETROIT | LAS VEGAS | PORTLAND | SAN FRANCISCO TABLE OF CONTENTS Page March Flash Report 3 Correlation & Stochastic Analysis 12 High Yield Search Book 19 2 MARCH FLASH REPORT NEPC, LLC 3 CALENDAR YEAR INDEX PERFORMANCE 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 Mar YTD S&P 500 2.1% 16.0% 32.4% 13.7% 1.4% 12.0% 21.8% -4.4% 31.5% 18.4% 4.4% 6.2% Russell 1000 1.5% 16.4% 33.1% 13.2% 0.9% 12.1% 21.7% -4.8% 31.4% 21.0% 3.8% 5.9% Russell 2000 -4.2% 16.3% 38.8% 4.9% -4.4% 21.3% 14.6% -11.0% 25.5% 20.0% 1.0% 12.7% Russell 2500 -2.5% 17.9% 36.8% 7.1% -2.9% 17.6% 16.8% -10.0% 27.8% 20.0% 1.6% 10.9% MSCI EAFE -12.1% 17.3% 22.8% -4.9% -0.8% 1.0% 25.0% -13.8% 22.0% 7.8% 2.3% 3.5% MSCI EM -18.4% 18.2% -2.6% -2.2% -14.9% 11.2% 37.3% -14.6% 18.4% 18.3% -1.5% 2.3% MSCI ACWI -7.3% 16.1% 22.8% 4.2% -2.4% 7.9% 24.0% -9.4% 26.6% 16.3% 2.7% 4.6% Private Equity 9.5% 12.6% 22.3% 14.6% 10.4% 10.3% 21.0% 13.1% 17.2% 13.0%* - - BC TIPS 13.6% 7.0% -8.6% 3.6% -1.4% 4.7% 3.0% -1.3% 8.4% 11.0% -0.2% -1.5% BC Municipal 10.7% 6.8% -2.6% 9.1% 3.3% 0.2% 5.4% 1.3% 7.5% 5.2% 0.6% -0.4% BC Muni High Yield 9.2% 18.1% -5.5% 13.8% 1.8% 3.0% 9.7% 4.8% 10.7% 4.9% 1.1% 2.1% BC US Corporate HY 5.0% 15.8% 7.4% 2.5% -4.5% 17.1% 7.5% -2.1% 14.3% 7.1% 0.1% 0.8% BC US Agg Bond 7.8% 4.2% -2.0% 6.0% 0.5% 2.6% 3.5% 0.0% 8.7% 7.5% -1.2% -3.4% BC Global Agg 5.6% 4.3% -2.6% 0.6% -3.2% 2.1% 7.4% -1.2% 6.8% 9.2% -1.9% -4.5% BC Long Treasuries 29.9% 3.6% -12.7% 25.1% -1.2% 1.3% 8.5% -1.8% 14.8% 17.7% -5.0% -13.5% BC US Long Credit 17.1% 12.7% -6.6% 16.4% -4.6% 10.2% 12.2% -6.8% 23.4% 13.3% -2.7% -8.4% BC US STRIPS 20+ Yr 58.5% 3.0% -21.0% 46.4% -3.7% 1.4% 13.7% -4.1% 20.9% 24.0% -6.9% -18.5% JPM GBI-EM Global Div -1.8% 16.8% -9.0% -5.7% -14.9% 9.9% 15.2% -6.2% 13.5% 2.7% -3.1% -6.7% JPM EMBI Glob Div 7.3% 17.4% -5.3% 7.4% 1.2% 10.2% 10.3% -4.3% 15.0% 5.3% -1.0% -4.5% CS Hedge Fund -2.5% 7.7% 9.7% 4.1% -0.7% 1.2% 7.1% -3.2% 9.3% 6.4% - 2.1% BBG Commodity -13.3% -1.1% -9.5% -17.0% -24.7% 11.8% 1.7% -11.2% 7.7% -3.1% -2.1% 6.9% Alerian MLP 13.9% 4.8% 27.6% 4.8% -32.6% 18.3% -6.5% -12.4% 6.6% -28.7% 6.9% 22.0% FTSE NAREIT Equity REITs 8.3% 18.1% 2.5% 30.1% 3.2% 8.5% 5.2% -4.6% 26.0% -8.0% 4.6% 8.9% Source: FactSet, Barclays, Thomson One *Private Equity return represents calendar year pooled IRR and is subject to a one quarter lag 4 TRAILING ANNUAL INDEX PERFORMANCE Equity Mar-21 Q1 YTD 1 YR 3 YR 5 YR 10 YR MSCI ACWI 2.7% 4.6% 4.6% 54.6% 12.1% 13.2% 9.1% S&P 500 4.4% 6.2% 6.2% 56.4% 16.8% 16.3% 13.9% Russell 1000 3.8% 5.9% 5.9% 60.6% 17.3% 16.7% 14.0% Russell 2000 1.0% 12.7% 12.7% 94.8% 14.8% 16.4% 11.7% Russell 2500 1.6% 10.9% 10.9% 89.4% 15.3% 15.9% 12.2% MSCI EAFE 2.3% 3.5% 3.5% 44.6% 6.0% 8.8% 5.5% MSCI EM -1.5% 2.3% 2.3% 58.4% 6.5% 12.1% 3.7% Credit Mar-21 Q1 YTD 1 YR 3 YR 5 YR 10 YR BC Global Agg -1.9% -4.5% -4.5% 4.7% 2.8% 2.7% 2.2% BC US Agg -1.2% -3.4% -3.4% 0.7% 4.7% 3.1% 3.4% BC Credit -1.6% -4.5% -4.5% 7.9% 5.9% 4.7% 4.8% BC US HY 0.1% 0.8% 0.8% 23.7% 6.8% 8.1% 6.5% BC Muni 0.6% -0.4% -0.4% 5.5% 4.9% 3.5% 4.5% BC Muni HY 1.1% 2.1% 2.1% 15.0% 7.3% 6.4% 7.1% BC TIPS -0.2% -1.5% -1.5% 7.5% 5.7% 3.9% 3.4% BC 20+ STRIPS -6.9% -18.5% -18.5% -22.2% 7.1% 3.9% 9.8% BC Long Treasuries -5.0% -13.5% -13.5% -15.8% 5.9% 3.1% 6.3% BC Long Credit -2.7% -8.4% -8.4% 8.9% 7.5% 6.7% 7.2% BC Govt/Credit 1-3 Yr 0.0% 0.0% 0.0% 1.6% 3.0% 2.0% 1.6% JPM EMBI Glob Div -1.0% -4.5% -4.5% 16.0% 4.0% 5.1% 5.6% JPM GBI-EM Glob Div -3.1% -6.7% -6.7% 13.0% -0.8% 3.1% 0.5% Real Assets Mar-21 Q1 YTD 1 YR 3 YR 5 YR 10 YR BBG Commodity -2.1% 6.9% 6.9% 35.0% -0.2% 2.3% -6.3% Alerian Midstream Index 7.8% 20.9% 20.9% 74.5% 4.2% 4.8% - FTSE NAREIT Equity REITs 4.6% 8.9% 8.9% 37.8% 9.5% 5.3% 8.6% Source: S&P, MSCI, Russell, Barclays, JPM, Alerian, FTSE, FactSet 5 Howard County Retirement Plans TOTAL FUND PERFORMANCE SUMMARY (GROSS) Ending March 31, 2021 Fiscal Market Value % of 1 Mo 3 Mo 1 Yr 3 Yrs 5 Yrs 10 Yrs Inception Inception Policy % YTD ($) Portfolio (%) (%) (%) (%) (%) (%) (%) Date (%) _ Total Fund Composite 1,321,944,102 100.0 100.0 0.9 1.8 17.5 27.9 9.5 10.3 8.1 7.7 Apr-97 Policy Index 0.7 1.6 15.7 25.8 8.6 9.1 7.5 7.6 Apr-97 Allocation Index 0.8 1.6 17.5 29.3 -- -- -- -- Apr-97 Total US Equity Composite 368,136,467 27.8 23.0 3.4 7.0 33.9 64.9 16.0 17.2 14.0 9.4 Jul-97 Russell 3000 3.6 6.3 33.2 62.5 17.1 16.6 13.8 8.8 Jul-97 US Equity Allocation Index 3.0 6.0 33.6 64.1 16.8 16.6 13.4 -- Jul-97 Total International Equity 229,322,030 17.3 17.0 1.4 3.5 32.1 57.8 9.1 11.8 5.9 5.5 Jul-97 MSCI ACWI ex USA 1.3 3.5 28.7 49.4 6.5 9.8 4.9 5.1 Jul-97 Total Fixed Income Composite 372,563,338 28.2 30.0 -1.1 -2.8 2.0 8.3 4.8 4.6 4.5 5.4 Jul-97 Fixed Income Policy Index -1.2 -3.4 -2.1 0.7 4.7 3.1 3.4 5.1 Jul-97 Total Real Assets Composite 44,638,613 3.4 7.0 0.0 0.0 6.0 -6.9 1.2 5.5 6.1 6.3 Jul-03 NCREIF Property Index 1 Qtr. Lag 0.02 0.0 0.9 1.6 4.9 5.9 9.0 8.3 Jul-03 Cash Composite 12,171,090 0.9 0.0 0.0 0.0 0.1 1.1 0.8 0.4 1.3 Dec-03 91 Day T-Bills 0.0 0.0 0.1 0.1 1.4 1.1 0.6 1.2 Dec-03 Hedge Fund Composite 135,793,418 10.3 8.0 0.5 2.3 10.9 17.1 5.9 5.6 5.2 5.2 Jan-11 HFRI FOF: Conservative Index 0.6 3.6 12.6 18.9 5.0 4.7 3.2 3.2 Jan-11 Private Equity Composite 156,819,146 11.9 10.0 0.0 0.0 18.0 11.5 16.2 16.1 14.3 13.2 Jul-08 C|A US All PE (1 Qtr Lag) 0.0 0.0 20.8 8.6 11.0 12.7 12.6 10.5 Jul-08 Private Debt 2,500,000 0.2 5.0 0.0 0.0 0.0 -- -- -- -- 0.0 Jun-20 S&P/LSTA Leveraged Loan TR 0.0 1.8 10.0 20.7 4.1 5.3 4.3 10.0 Jun-20 XXXXX Fiscal year end 6/30.