I. Performance and Asset Allocation VI. Absolute Return Asset Allocation: Current and Target Allocations (page 4) • Asset Class Overview (page 37) • Performance by Asset Class (page 5) • Portfolio Management Structure (page 38) • Allocation (page 39) • II. Public Equities Asset Class Overview (page 7) Performance (page 40) • • Portfolio Management Structure (page 8) • Allocation (page 9-10) • VII. Private Equity Performance (page 11-12) • Asset Class Overview (pages 42) • Portfolio Management Structure (page 43) III. Fixed Income • Core Fixed Income • Allocation (page 44-45) • Asset Class Overview (page 14) • Performance (page 46) • Portfolio Management Structure (page 15) • Allocation (page 16) • VIII. Compliance Performance (page 17) • Non-Core Fixed Income • Compliance Overview (page 48) • Asset Class Overview (page 18) • Pacing Plan Update (page 49) • Portfolio Management Structure (page 19) • Allocation (page 20) • IX. Risk Management Committed Allocation (page 21) • Overview (page 51) Performance (page 22) • • Total Fund Risk (page 52) • IV. Real Estate Implementation Risk Ranges (page 53) • Asset Class Overview (page 24) • Total Fund & Asset Class Regional Exposures (page 54) • Portfolio Management Structure (page 25) • Total Fund tracking Error (page 55) • Allocation (page 26) • Performance (page 27-29) • Evolution of Risk Over Time (page 56) • Updates (page 57) • V. Real Return Asset Class Overview (page 31) • Portfolio Management Structure (page 32-33) • Allocation (page 34) • Performance (page 35) • 2
I. Performance and Asset Allocation 3
TMRS Investment Portfolio Asset Allocation as of 3/31/2017 25.0% 20.0% 15.0% Percent Allocated Current Allocation 10.0% Allocation Recognizing Unfunded Commitments Target Allocation 5.0% 0.0% Core Fixed US Equities Non-US Real Return Real Estate Private Absolute Non-Core Cash Income Equities Equity Return Fixed Income Equivalents 4
TMRS INVESTMENT PORTFOLIO Net Performance By Asset Class March 2017 1 Year Performance 5 Year Performance 20.0% 20.0% 18.3% 18.1% TMRS TMRS Benchmark Benchmark 15.0% 15.0% 13.2% 13.0% 13.0% 12.3% 12.0% 12.2% 11.8% 10.5% 10.8% 9.8% 9.4% 10.0% 9.2% 10.0% 8.8% 6.2% 5.9% 5.7% 5.1% 4.7% 4.4% 5.0% 5.0% 3.5% 3.4% 3.2% 2.5% 2.3% 1.8% 1.5% 0.8% 0.4% 0.8% 0.6% 0.0% 0.0% *Real Estate return as of prior quarter end (real estate returns are available on a quarterly basis only) ^Non-Core Fixed Income and Absolute Return performance are the annualized return since inception, given their performance history are less than 5 years Source: State Street Investment Analytics 5
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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. 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 3/31/2017* Total Equity Portfolio PASSIVE % of Total Market Value Portfolio Managers Portfolio 50.0% 40.4% Current Allocation 35.0% 40.0% Target Allocation US CORE EQUITY: 3,770,394,303 14.5% Difference NTAM Russell 3000 30.0% 20.0% NON-US CORE EQUITY: 2,631,503,576 10.1% NTAM ACW ex. US IMI 5.4% 10.0% TOTAL: 6,401,897,879 24.6% 0.0% ACTIVE % of Total Current Allocation Target Allocation Difference Market Value Portfolio Managers Portfolio 30.0% 24.6% 17.5% 17.5% 20.0% US RULES-BASED EQUITY: 703,309,341 2.7% 15.8% 7.1% 10.0% US ACTIVE EQUITY: 1,547,134,058 6.0% 0.0% -1.7% NON-US RULES-BASED EQUITY: 525,392,821 2.0% -10.0% PASSIVE Portfolio ACTIVE Portfolio NON-US ACTIVE EQUITY: 1,318,720,861 5.1% Current Active Current RB Target Allocation 4,094,557,081 15.8% TOTAL: 10% 8.75% 8.75% 8% 2.7% 6% 2.0% NOTE: Percentages may not be exact due to rounding 4% *Prelim market values per State Street Analytics 6.0% 5.1% 2% 0% US ACTIVE non-US Portfolio ACTIVE Non-US Active U/W, -1.65% Portfolio US Active U/W, -0.05% 9
Current Allocation By Asset Category Current Allocation by Manager vs. Total Portfolio vs. Total Equity Portfolio Russell 3000 ACWI ex. US IMI Russell 3000 ACW ex. US IMI SSgA Global ex. US Non-US US Passive non-US Passive UBS World ex. US MV US Passive Passive 22.4% 42.4% 14.5% 10.1% Wellington Intl Horizons Lazard Intl Equity Plus Acadian EM William Blair EM Wasatch Intl SC Wellington Intl SC Epoch 2.4% US RB Active Non-US RB Sasco 2.6% 2.7% Active 2.0% 3.4% The Boston Co. MC 2.1% 3.3% Champlain 1.9% 2.7% The Boston Co. SC 2.7% 2.0% 1.9% 2.4% Wellington US SC 2.1% US Active Non-US 2.2% 2.3% 2.5% 2.2% 6.0% Active 5.1% SSgA US Fund UBS US MV As of 3/31/2017 Preliminary market values 10
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