Eastern Michigan University Board of Regents · Real Estate ‐0.08% Consumer Staples ‐0.14% Q3 Equity Market Summary Source: MSCI, Russell, S&P, Bloomberg Source: MSCI, Bloomberg

Eastern Michigan UniversityBoard of RegentsQuarter Ending September 30, 2017Investment Performance Analysis

November 7, 2017

Gary A. Wyniemko, CFA, Senior ConsultantJames E. Reichert, CFA, PartnerChristopher Chow, CFA, Analyst

Page

NEPC Update 3

Market Outlook 6

Q3 Executive Summary 27

Total Fund Summary 35

Appendix 54 - Goals and Objectives- ESG Summary- Market Overview

Table of Contents

September 30, 2017

Eastern Michigan University - Board of Regents

2

NEPC Update

3

NEPC INSIGHTS• A Tale of Two Countries: What’s Next for Investors? (July 2017)

• Is the Buy-Write Strategy Right For You? (July 2017)

• 2017 2nd Quarter Market Thoughts (July 2017)

• The Top Three Stressors for Pension Plans (July 2017)

• 2017 Q2 Endowment & Foundation Survey Results & Infographic (August 2017)

• NEPC Healthcare Operating Fund Universe Results and Infographic (August 2017)

• Monitoring the Economic Impact of Harvey (August 2017)

• Market Chatter: Should the Underperformance of CTAs Give Investors Pause (September 2017)

• Defined Contribution Plan & Fee Survey: Healthcare Findings Infographic (September 2017)

HIGHLIGHTS OF THIRD QUARTER HAPPENINGS AT NEPCSeptember 30, 2017

WEBINAR REPLAYS• NEPC’s 12th Annual Defined Contribution Plan & Fee Survey (September 2017)

RECENT UPDATES• Our team continues to grow: Please join us in welcoming our Partner, Sam Austin; and Senior Consultants, Kiersten

Christensen, Andrew Coupe and Rick Ciccione!

• NEPC was featured in over 45 pieces of news coverage including Bloomberg, Pensions & Investments and FundFireto name a few.

• SAVE THE DATE! We will be hosting our 23rd Annual Investment Conference on May 14-15, 2018.

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

September 30, 2017

4

HIGHLIGHTS OF THIRD QUARTER HAPPENINGS AT NEPCSeptember 30, 2017

September 30, 2017

NEPC GIVES BACKThis quarter NEPC participated in three charity organization events: Sox for Socks, Habitat for Humanity and the American Red Cross.

• The Sox for Socks Drive supports Boston’s Health Care for the Homeless. Theorganization provides medical care to Boston’s homeless. This year, over 100 pairsof socks were collected and donated.

• Habitat for Humanity Greater Boston is a Massachusetts charitable organizationdedicated to building homes in partnership with low-income families in need ofdecent and affordable housing. Twenty NEPC employees dedicated time and muscleto bring a home closer to occupancy in Dorchester, MA.

• We are thinking of those affected by Hurricane Harvey. In a show of support,employees donated to the American Red Cross with NEPC matching all donations.

CLIENT AWARDSWe’d like to congratulate the following clients for their recent wins at Chief Investment Officer’s 2017 Power 100 Awards:

• David Villa, State of Wisconsin Investment Board

• Bob Jacksha, New Mexico Educational Retirement Board

• Tim Barrett, Texas Tech University System

• Don Pierce, San Bernardino County Employees’ Retirement Association

• Carrie Thome, Wisconsin Alumni Research Foundation

5

Market Outlook

6

Macro Equity Credit Real Assets

USDollar VIX US

10-YrS&P500

MSCIEAFE

MSCIEM

USAgg.

High Yield

DollarEMD Oil Gold REITS

-2.7% -1.7 3 bps 4.5% 5.4% 7.9% 0.8% 2.0% 2.4% 12.2% 3.1% 1.3%

• Equities continued to push higher with supportive macroeconomicdata, robust earnings, and accommodative central banks– Emerging markets continued their outperformance led by strong returns in China

• Bond yields were little changed over the quarter – reflecting minimalvolatility seen in US economic growth and inflation rates

• Reflecting the pro-risk environment, the US dollar declined relative toboth the euro and yuan while volatility remained near historic lows

Performance Overview

Q3 Market Summary

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

September 30, 2017


7

Extended US Economic Cycle

Macro Performance Overview

• US, Europe, Japan, and Chinacontinue to grow modestly in asynchronized economic expansion

• Long-term US interest rates werelargely unchanged and reflect thelow volatility of inflation

• The US Treasury curve flattenedslightly as the 2 year rate rose

Yield6/30/17

Yield9/30/17 |∆|

US 10‐Yr 2.30% 2.33% +.03%

US 30‐Yr 2.84% 2.86% +.02%

US Real 10‐Yr 0.58% 0.49% ‐.09%

German 10‐Yr 0.47% 0.46% ‐.01%

Japan 10‐Yr 0.08% 0.06% ‐.02%

China 10‐Yr 3.56% 3.62% +.06%

EM Local Debt 6.15% 5.99% ‐.16%

‐6% ‐4% ‐2% 0% 2% 4% 6%

South African RandIndian RupeeSwiss Franc

Mexican PesoJapanese YenRussian Ruble

MSCI EM Currency IndexAustralian Dollar

Chinese YuanBritish Pound

EuroBrazilian Real

Currency Performance vs. USD

Q3 Macro Market Summary

Source: Bloomberg

Source: Bloomberg

CentralBanks

CurrentRate

CPIYOY Notes from the Quarter

FederalReserve

1.00% ‐1.25% 1.9%

Program to reduce Fed balance sheet is set to beginin October. As of quarter‐end, market’s probability of a Dec ’17 rate hike is 70%

EuropeanCentralBank

0.0% 1.5%

An accommodative monetary policy likely remains necessary in a persistent low inflation environment

Bank of

Japan‐0.10% 0.7%

The BoJ will continue its QE program as part of their yield curve control policy to keep long‐term interest rates near

zero

September 30, 2017


8


Equity Performance Overview

• US small caps rallied as theoutlook for US tax reformimproved during the quarter

• Corporate earnings growth hasaccelerated over the last 12months led by small-caps inEurope/Japan and the technologysector for the US and EM

0% 2% 4% 6% 8% 10%

MSCI EAFE HedgedS&P 500

Russell 3000MSCI ACWIMSCI EAFE

MSCI EM Small CapRussell 2000

MSCI ACWI ex‐USMSCI EAFE Small Cap

MSCI EM

QTD Equity Index Returns

0.0%

0.1%

0.2%

0.3%

0.4%

0.5%

0.6%

0.7%

0.8%

0.9%

1.0%

China Japan France UK Canada

ACWI Ex‐US Index Return Contribution

Russell 3000 QTD Sector Return Contribution

Information Technology 1.8%

Industrials 0.9%

Financials 0.7%

Health Care 0.5%

Energy 0.4%

Consumer Discretionary 0.22%

Materials 0.19%

Utilities 0.13%

Telecommunication 0.05%

Real Estate ‐0.08%

Consumer Staples ‐0.14%

Q3 Equity Market Summary

Source: MSCI, Russell, S&P, Bloomberg

Source: MSCI, Bloomberg. QTD top country contributors to index returnSource: Russell, Bloomberg

September 30, 2017


9


Credit Performance Overview

• Credit spreads continue to grindlower across all areas of the creditmarkets

• High yield and dollar EMD creditspread declines support a broadreduction in exposure

• Long credit continues to benefitfrom strong demand as spreadsremain near long-term averages

Q3 Credit Market Summary

Source: Barclays, JPM, S&P, Bloomberg

Source: Barclays, JPM, S&P, Bloomberg. As of 01/31/2000Source: Barclays, Merrill Lynch, JPM, Bloomberg, NEPC

Credit Spread(Basis Points) 06/30/17 9/30/17 |∆|

BC IG Credit 103 96 ‐7

BC Long Credit 157 149 ‐8

BC Securitized 35 26 ‐9

BC High Yield 364 347 ‐17

Muni HY 386 309 ‐77

JPM EMBI 328 308 ‐20

Bank Loans ‐ Libor 346 349 +3

0200400600800100012001400160018002000

IG BBB LongCredit

Securitized HighYield

EMBI

Option Ad

justed

Spread (bps)

Median Spread Current Spread

0.0% 1.0% 2.0% 3.0%

Core Bonds

BC Securitized

Bank Loans

BC Munis

BC IG

BC Muni HY

BC Long Credit

JPM EMBI

QTD Credit Index Returns

September 30, 2017


10


Credit Performance Overview

• Oil prices rebounded over thequarter and appear range boundbetween $50 to $60 a barrel

• Gold prices improved and likelybenefited from a weaker dollarand geopolitical concerns

• Commodity index roll yield ismore negative than the previousquarter, though oil futures areslightly positive

‐5% 0% 5% 10% 15%

MLPs

US REITS

Global REITS

Commodities

Gold

Global Infrastructure Eq.

Natural Resource Eq.

Oil

QTD Real Assets Index ReturnsQ3 Real Assets Market Summary

Source: S&P, NAREIT, Alerian, Bloomberg

Source: NCREIF, Alerian, NAREIT, S&P, Bloomberg Source: Bloomberg, NEPC Calculated as of 10/23/2017

Real Asset Yields 6/30/17 9/30/17

MLPs 7.3% 7.8%

Core Real Estate 4.7% 4.7%

US REITs 4.1% 4.0%

Global REITs 3.7% 3.4%

Global Infrastructure Equities 3.9% 3.9%

Natural Resource Equities 3.5% 3.3%

US 10‐Yr Breakeven Inflation 1.7% 1.9%

Commodity Index Roll Yield ‐0.4% ‐1.5%‐1.2%

‐1.0%

‐0.8%

‐0.6%

‐0.4%

‐0.2%

0.0%

Energy Agriculture Precious Metals Industrial

3‐Month Commodity Future Roll Yields

September 30, 2017


11

Trim US Equity Gains

Overweight Non-US Developed Market Equities

Maintain a Market Overweight to Emerging Market Equities

Allocate to TIPS from Core Bonds

Reduce High Yield Bond Exposure

Fund Emerging Local Debt from Risk Assets

Add Macro Hedge Funds

New Opportunity – Add Long Volatility Exposure


Federal Reserve Gradualism

China Transitions

Globalization Backlash

Key Market Themes

Current Opportunities

Updated 3rd Quarter Key Market Themes and Current Opportunities

September 30, 2017


12

• The US economy is experiencing an extended economic growth cycle– US consumers and a tightening labor market are driving the US economy– Growth recovery in Europe and the emerging markets reinforces US economic conditions– Stable economic growth is a positive backdrop but expected risk asset returns are subdued

• Federal Reserve monetary policy remains on a gradual normalization path– Markets continue to price in a slow pace for Fed rate hikes over the next 36 months– The Fed will begin to shrink a $4.5T balance sheet, longer-term impact is untested– Chair Yellen’s uncertain tenure may stoke market unease has her term expires in Feb. 2018

• China is modestly tightening financial conditions to slow credit growth and manage an orderly transition to a consumer led economy– Markets have responded positively to the PBOC’s management of a more stable yuan– While capital outflow pressure has reversed, currency devaluation remains a tail risk– Continued credit expansion and real estate development risk inflating asset price bubbles

• Globalization backlash is disrupting the political and economic orthodoxy– Conditions driving anti-establishment political sentiment have not subsided and risks

stemming from globalization backlash likely lead to higher levels of currency volatility– Changes to US trade policy under the current administration remain uncertain and an

aggressive protectionist policy would represent a material risk to global markets

Q3 2017 Key Market Themes

September 30, 2017


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• Trim US equity gains as US equity markets continue to rally– Expanding valuations have driven recent gains and profit margins sit near all-time highs

• Maintain overweight exposure to non-US developed market equities– We believe a multi-year earnings recovery offers the potential for an elevated return

• Emerging Market Equities continue to warrant a market overweight– Fundamentals support an overweight relative to index weights (e.g. 15% to 20%)

• Allocate to TIPS as inflation expectations are priced attractively– Preserve US duration exposure with a bias to TIPS over core bonds

• Reduce high yield bonds with credit spreads below long-term medians– Credit spreads for high yield debt do not adequately compensate investors for its risk

• For tactical investors, look to fund emerging local debt from risk assets– Valuations for many emerging market currencies remain attractive despite the recent rally

• Add macro hedge fund strategies for portfolio diversification benefits– Systematic strategies tend to exhibit low correlation to equity markets

• For opportunistic investors, look to add long volatility exposure– Strategy implementation is very selective and requires a skilled portfolio management team


September 30, 2017


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US recession concerns are mutedThe US economy appears on a path ofslow but steady growth as excesscapacity is gradually absorbed by theeconomy

The labor market recovery has beenstrong but slack remains as many haveyet to return to the workforce

US household balance sheets haveroom to expand and support furtherconsumer spending gains

Improvement of economic conditions inEurope and emerging markets reinforceUS economic gains as global growthfactors synchronize

US corporate profitability is near all timehighs and may be a challenge forcompanies to sustain

Key Market Themes

Source: FRED

Source: Congressional Budget Office, Bloomberg


September 30, 2017


15

The Federal Reserve is expected toslowly increase interest rates

Expected path of Fed policy through2020 matters more than timing of thenext hike as the disconnect betweenmarket expectations and Fed signalinghas grown

A relatively accommodative Fed is likelyto continue, unless there is a dramaticacceleration in inflation

The Fed will begin to reduce itsbalance sheet in October of 2017

The balance sheet will gradually shrinkover time by tapering the reinvestmentof maturing securities

The reinvestment of maturing securitieswill follow a specific schedule that isbased on both time and dollar value

Key Market Themes

Source: Fed, Bloomberg

Source: Fed, Bloomberg, NEPCForecast based on the June Fed Minutes: MBS assumes $4B per month for 3-month intervals over 12 months with a $20B cap; Treasuries

assume $6B per month for 3-month intervals over 12 months with a $30B cap; Other Securities are assumed to stay constant

Federal Reserve Gradualism

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

2016 2017 2018 2019 2020

Fed Funds Expectations

12/31/201512/30/20166/30/20179/30/2017

September 30, 2017


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China is the global growth enginebut faces fundamental transitions

China’s economic transition is pivotingfrom a production to a service andconsumption based economy

Fixed investment is required to sustainthe production based economy andsupport labor force migration

Any disruption to these transitions willhave global repercussions due toChina’s role in the global economy

China’s government is negotiatinga balance between deleveragingand near term economic growth

Unrestrained growth in credit and realestate markets pose a systematic risk

Concerns of capital outflows have forcedgreater intervention from the centralbank to limit currency movements

Key Market Themes

Source: China Foreign Exchange Trade System, Bloomberg

Source: Bank for International Settlements

China Transitions

75%85%95%105%115%125%135%145%155%165%175%

0%5%

10%15%20%25%30%35%40%45%50%

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

China Credit (as % of GDP)

Household Credit (LHS)Non‐Financial Credit (RHS)

September 30, 2017


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Uneven economic growth andwage gains have fueled politicaldiscontent in the developed world

Election results in France and the UKhave assuaged fears of political gridlockin Europe – but political conventionshave been meaningfully challenged

Despite election outcomes structuralissues that stoked unease in Europeremain unresolved

Major shifts in US trade policy havenot materialized in 2017

However, a US move to an aggressiveprotectionist policy would represent amaterial risk to global markets

Markets have taken to interpreting theadministrations rhetoric with a grain ofsalt but ongoing NAFTA negotiations area concern

Key Market Themes

Source: IMF, Bloomberg

Globalization Backlash

Source: Eurostat, Bloomberg

35%

38%

40%

43%

45%

48%

50%

1995 1998 2001 2004 2007 2010 2013 2016

Wages as % of GDPEuropeUKUS

September 30, 2017


18

US equities have posted strongreturns over the last 5 years,largely due to valuation expansion

While earnings growth has improvedrecently, US stocks are “priced forperfection” with valuations and profitmargins hovering near secular highs

However, a prolonged US economicexpansion can continue to support arally in US equities, specifically small-cap stocks

Look to reduce large-cap US equityexposure to fund global equitystrategies

Opportunity for alpha generation andtotal return is greater outside the US

US equities are also a viable fundingsource for private market commitments

Should US equity markets declinematerially, look to rebalance to exploitmarket volatility


Source: FRED, Bloomberg

Source: S&P, NEPC, Bloomberg

Trim US Equity Gains

September 30, 2017


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A multi-year earnings recovery inEAFE markets offers the potentialfor an elevated return

Catalysts for outperformance arepresent with improving economicconditions in Europe and shareholderfriendly actions in Japan

Earnings recovery appears to be takinghold in Europe where an uncertainpolitical outlook has gained clarity

Non-US small cap and global equityare preferred for implementation

These strategies offer the bestopportunity to exploit valuationdiscrepancies among stocks acrosscountries and sectors

Hedging a portion of non-US developedcurrency exposure remains a long-termstrategic target


Source: MSCI, Bloomberg


Overweight Non-US DevelopedMarket Equities

September 30, 2017


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Emerging equities offer the highesttotal return potential for investors

Valuation levels and fundamentalssuggest an overweight relative to globalmarket cap weights (e.g. 15% to 20%)

Growth premium relative to thedeveloped world persists as economicconditions in EM improve off fiscal andcurrency adjustments of recent years

Focus implementation on hightracking error strategies ratherthan benchmark focused mandates

Opportunity set for excess returnappears more abundant in EM versusdeveloped markets

Strategies that invest down the marketcap spectrum can offer investors morepure local growth exposure


Source: World Bank, Bloomberg


Maintain a Market Overweight toEmerging Market Equities

0%

20%

40%

60%

80%

100%

120%

140%

160% Market Capitalization as % of GDP

BRIC AverageWorldUnited States

September 30, 2017


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Duration exposure remains a keyasset allocation building block for adiversified portfolio

TIPS offer safe haven exposure with anexplicit hedge for realized inflation andcan be implemented with a low costpassive strategy

Current core bond yields offer limitedcushion before taking on losses in arising interest rate environment

Increase in inflation expectationsfavor TIPS over nominal bonds

TIPS yields are priced off real rates andsensitive to Fed tightening but agradual path of normalization shouldmitigate the risk of a sharp rise in realinterest rates

An allocation to TIPS diversifies corebond exposure and improves riskbalance across economic environments


Source: Bureau of Labor Statistics, Bloomberg, NEPC

Source: Barclays, Bloomberg, NEPC

Allocate to TIPS from Core Bonds

September 30, 2017


22

Over the last 18 months, high yieldbonds have provided strong gains

Attractive credit spreads seen in early2016 have now fallen below historicmedians and do not appear to fullycompensate investors for the risk

Reallocation of gains from liquid creditmarkets to other areas of the portfolio(e.g. equity, private markets) isappropriate in the absence of highconviction credit opportunities

Valuations of other credit sectorsappear stretched with dollar basedEMD looking expensive

Recommend investors eliminate orreduce dollar-denominated emergingmarket debt as both sovereign andcorporate spreads have tightened

We encourage reallocating the proceedsof dollar based EMD to a smallermandate in EMD local or moving toother areas of the portfolio (e.g. equity,idiosyncratic credit opportunities)


Source: JPM, Barclays, NEPC

Source: Barclays, S&P, Bloomberg

Reduce High Yield Bond Exposure

September 30, 2017


23

EM local debt offers an attractivetotal return opportunity

Above average index yield relative tothe developed world provides a cushionto offset potentially high currencyvolatility

Valuations for many emerging marketcurrencies remain attractive despiterecent rally in select markets

Shift a portion of risk assets tofund emerging local debt exposure

The volatility of EM local debt is equity-like due to the volatility of emergingcurrencies. Preferred implementationapproach is a EM local debt strategy

For investors with a dollar denominatedEMD allocation, we encourage shiftingthe exposure to local currency debt butreduce the exposure size to account forthe higher volatility of emerging localcurrency debt


*Earnings Yield measured as inverse of trailing 12M P/ESource: NEPC, Bloomberg

Source: JP Morgan

Fund Emerging Local Debtfrom Risk Assets

September 30, 2017


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Macro hedge fund strategies offerbroad benefits to a total portfolio

Allocations of size (e.g. 5%) help tomitigate the left-tail of a portfolioreturn distribution

Investors should be targeted in theirapproach to portfolio construction asmanager selection is paramount

Fund systematic global macro frombroad based GAA and hedge fundof fund strategies

Systematic strategies tend to exhibitlow correlation to equity markets andare strong diversifiers within a totalportfolio

Many systematic macro strategiesexhibit “crisis alpha” or excessperformance in risk-off periods


*Not intended to be an all inclusive Macro sub-strategy list

Source: eVestment, HFRI

Add Macro Hedge Fund Strategies

September 30, 2017


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Volatility levels for global marketsare near historic lows

Long volatility exposure positivelybenefits from rising asset class volatilityand an allocation of 1% to 2% canprovide a significant return contributionshould volatility normalize

Exposure is not without risk. Strategylosses would be material if marketvolatility continues to decline. But withvolatility near historic lows, do youbelieve volatility will rise over 3 years?

Long volatility strategies are bestsuited for opportunistic investorsand ideally funded from traditionalGAA strategies

Purchasing S&P VIX provides longvolatility exposure but is costly due tothe negative roll yield of the VIX curve

Implementation is best sourced from astrategy that can mitigate the negativecarry costs associated with longvolatility exposure

Current Opportunities – New For The 3rd Quarter

Source: Bloomberg

Source: Bloomberg

Add Long Volatility Exposure

September 30, 2017


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Q3 Executive Summary

27

Market Value 3 Mo Rank YTD Rank 1 Yr Rank 3 Yrs Rank 5 Yrs Rank_

Long Term Investment Pool $19,827,629 3.4% 45 10.8% 57 10.1% 73 5.0% 60 5.6% 82Long Term Allocation Index 3.5% 41 11.5% 42 9.7% 78 5.7% 43 -- --Long Term Balanced Index 3.5% 44 11.2% 48 9.8% 77 5.6% 46 5.8% 80

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Year to Date

AnlzdRet Rank Anlzd

Std Dev Rank SharpeRatio Rank

SortinoRatioRF

Rank

_

Total Composite 7.36% 24 1.69% 77 3.99 37 -- -- Allocation Index 7.82% 19 1.58% 75 4.55 22 -- --

Eastern Michigan University - Board of RegentsTotal Fund Performance Summary

September 30, 2017

Market Value 3 Mo Rank YTD Rank 1 Yr Rank 3 Yrs Rank 5 Yrs Rank_

Total Composite $19,979,882 3.2% 3 7.4% 24 7.3% 11 3.5% 55 3.8% 52Allocation Index 3.2% 3 7.8% 19 5.8% 24 3.5% 56 -- --

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Composite Performance - The Total Composite returned 3.2% for the third quarter of 2017 and 7.4% year-to-date - The Total Composite ranked in the 3rd percentile of the peer group in the third quarter Allocation Index -The overweight to Equities had a meaningful impact for the quarter Active Management - Ashmore outperformed their assigned benchmark by 130 basis points for the quarter. Top contributors to the relative outperformance included overweight positions in Brazil, Ecuador and Venezuela - PIMCO outperformed their assigned benchmark by 180 basis points for the quarter. Major contributors were exposure to Developed ex-US equities, commodities and credit strategies - Hexavest underperformed their assigned benchmark by 230 basis points for the quarter. An overweight to utilities and underweight to financials and information technology were significant detractors to performance

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The Total Composite is ranked in the Investorforce Trust funds > 60% Fixed Income Net Universe

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The Long Term Investment Pool is ranked in the Investorforce Endowments and Foundations < 50 Million Net Universe

Market Value($)

3 Mo(%) Rank YTD

(%) Rank 1 Yr(%) Rank 3 Yrs

(%) Rank 5 Yrs(%) Rank

_

Total Composite 19,979,882 3.2 3 7.4 24 7.3 11 3.5 55 3.8 52Allocation Index 3.2 3 7.8 19 5.8 24 3.5 56 -- --

InvestorForce Trust Funds >60% Fixed Income Net Median 1.5 5.1 3.9 3.7 3.9 Short Term Investment Pool 152,253 0.0 -- 0.1 -- 0.1 -- 0.1 -- 0.1 --

91 Day T-Bills 0.3 -- 0.6 -- 0.7 -- 0.3 -- 0.2 --Long Term Investment Pool 19,827,629 3.4 45 10.8 57 10.1 73 5.0 60 5.6 82

Long Term Allocation Index 3.5 41 11.5 42 9.7 78 5.7 43 -- --Long Term Balanced Index 3.5 44 11.2 48 9.8 77 5.6 46 5.8 80

InvestorForce All E&F < $50mm Net Median 3.3 11.1 11.7 5.4 7.2 Total Equity 8,600,363 4.9 52 19.0 35 16.3 60 9.3 29 -- --

MSCI ACWI 5.2 48 17.3 49 18.6 45 7.4 56 10.2 59eA All Global Equity Net Median 5.0 17.0 17.9 7.8 10.7

Total Fixed 5,567,921 1.7 55 5.3 78 6.3 29 3.2 37 -- --BBgBarc US Aggregate TR 0.8 95 3.1 95 0.1 76 2.7 48 2.1 54

eA Global Fixed Inc Unhedged Net Median 1.8 6.7 4.1 2.4 2.4 GAA/ Risk Parity 3,003,453 3.0 49 4.9 87 4.8 82 -- -- -- --

60% MSCI World (Net) / 40% CITI WGBI 3.6 35 12.1 35 9.4 39 5.1 30 6.4 30eA Global TAA Net Median 2.9 8.7 8.5 3.7 4.6

Real Assets 1,616,584 3.2 48 10.5 6 10.1 8 -- -- -- --PIMCO All Asset Index 1.4 75 4.6 23 2.9 42 3.8 16 3.3 24Bloomberg Commodity Index 2.5 61 -2.9 70 -0.3 62 -10.4 70 -10.5 90

InvestorForce All E&F Real Assets/Commodities Net Median 3.1 1.0 1.2 -5.1 -2.0 Hedge Funds 1,039,309 2.0 57 4.7 61 5.8 60 -- -- -- --

HFRI Fund of Funds Composite Index 2.3 49 5.6 53 6.5 55 2.2 62 3.9 78eV Alt Fund of Funds - Multi-Strategy Median 2.2 5.9 7.4 2.9 5.5

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Eastern Michigan University - Board of RegentsTotal Fund Performance Summary

Intermediate Term Balanced Index comprised of 50.0% Barclays Intermediate U.S. GV/CR Index and 50.0% BofA ML 1-3 Year Treasury Index.Allocation Index: Used to measure the value add from active management. Calculated as the asset weight from the prior month end mulitiplied by the

specified market index.

September 30, 2017

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Asset Allocation vs. Target

Current Policy Current Net AssetAllocation

_

Domestic Equity $2,362,186 10.0% 11.9% 22.1%International Equity $1,053,419 5.0% 5.3% 15.6%Emerging Markets Equity $1,452,537 5.0% 7.3% 9.9%Global Equity $3,732,221 15.0% 18.8% --Core Fixed Income $1,176,378 5.0% 5.9% 15.5%High Yield -- -- -- 1.2%Multi-sector Fixed Income $1,158,429 5.0% 5.8% --Non-US Developed Bonds -- -- -- 4.3%Emerging Market Debt $825,015 5.0% 4.2% 13.8%GAA/Risk Parity $3,003,453 20.0% 15.1% --Hedge Funds $1,039,309 10.0% 5.2% 5.6%Absolute Return $2,408,099 10.0% 12.1% --Real Assets $1,616,584 10.0% 8.2% 3.2%Cash -- -- -- 8.8%Total $19,827,629 100.0% 100.0% 100.0%

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Eastern Michigan University - Board of RegentsLong Term Investment Pool Asset Allocation vs. Policy Targets

September 30, 2017

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Net Asset Allocation breaks multi-asset investments like GAA and Global Equity into their underlying asset classes providing a look through to your actual asset allocation

Diligence Monitor

September 30, 2017


Manager Changes/ NEPC DueInvestment Options Announcements Diligence Committee

(Recent Quarter) Recommendations

Northern Trust Asset ManagementOther: Changes to Asset Management

Leadership Team No ActionNorthern Institutional US Government Select

William Blair Investment Management, LLC

Loss of Personnel: William Blair Update -Michelle Seitz Departure No ActionMacro Allocation

Hexavest Inc. Other: Hexavest New Hires No ActionHexavest Global Equity

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Diligence Monitor

September 30, 2017


Investment Option Commentary NEPC Rating

Northern Trust Asset Management Northern Trust has announced that Stephen Potter, President of Northern Trust

Asset Management, has been appointed Vice Chairman effective October 1, 2017. Mr. Potter’s new responsibilities include strategic initiatives oversight and client development. Shundrawn Thomas, current Head of Funds and Managed Accounts Group, will take over as Asset Management President. Mr. Thomas currently oversees the development, management, and distribution of funds. Both Mr. Potter and Mr. Thomas will report to Mike O’Grady, President of Northern Trust. We are comfortable with this change, and do not recommend any client action.

Neutral

Northern Institutional US Government Select

32

Diligence Monitor

September 30, 2017



William Blair Investment Management, LLC

William Blair announced that after 22 years with the firm, Michelle Seitz, Head of Investment Management, will be leaving to pursue other opportunities. As Head of Investment Management, Ms. Seitz was not part of the investment process and has not managed money for over ten years. Her roles included day-to-day management of the investment teams, looking at teams that were interested in moving over to William Blair, and making recommendations to the Executive Committee regarding the allocation of partner shares.

William Blair has announced that Stephanie Braming has been appointed the new Head of William Blair Investment Management. Ms. Braming has been with William Blair for 13 years, the last ten as a partner. Most recently she has been a portfolio manager on International Growth and International Small Cap. Concurrent with this appointment, Ms. Braming will transfer her portfolio manager responsibilities on the International Growth and International Small Cap Growth strategies. Ken McAtamney will join Simon Fennell and Jeff Urbina as portfolio managers on the International Growth strategy. Simon Fennell will join Andy Flynn on the International Small Cap Growth strategy. NEPC is not concerned with Ms. Braming leaving her position of portfolio manager on International Growth and International Small Cap, as those have been team based approaches.

Preferred

Macro Allocation

33

Diligence Monitor

September 30, 2017



Hexavest Inc. Hexavest Inc. has added three new investment professionals to the team: Jean-Christophe Lermusiaux, Matheiu Roy, and Emmanuel Matte. All of these positions were added based on growth to help enhance the team. Mr. Matte was hired as a Managing Director in Client Services and Business Development. Mr. Lermusiaux will work in collaboration with Jean-Pierre Couture and Jean-Benoit Leblanc in the portfolio management of the firm’s emerging markets equity mandates. Before joining Hexavest, he worked as a senior portfolio manager at PSP Investments, where he covered global emerging market equities. Mr. Roy will work in collaboration with Jean-René Adam and Kevin LeBlanc in the portfolio management of Canadian equity mandates. Before joining Hexavest, he was a Portfolio Manager at Canadian National Railway. With these additions, the portfolios are now managed by a team of 12 individuals. We are comfortable with these decisions as the team utilizes proprietary multi-factor models and a Barra optimizer alongside their fundamental analysis. Regions are being co-covered, with Vital Proulx continuing to make the final decisions. We do not recommend any action as a result of this announcement.

Preferred

Hexavest Global Equity

34

Total Fund Summary

35

Market Value($)

% ofPortfolio

3 Mo(%) Rank YTD


(%) Rank 5 Yrs(%) Rank 10 Yrs

(%) Rank Return(%) Since

_

Total Composite 19,979,882 100.0 3.2 3 7.4 24 7.3 11 3.5 55 3.8 52 -- -- 5.5 Apr-09Allocation Index 3.2 3 7.8 19 5.8 24 3.5 56 -- -- -- -- -- Apr-09

InvestorForce Trust Funds >60% Fixed Income Net Median 1.5 5.1 3.9 3.7 3.9 4.1 5.8 Apr-09Short Term Investment Pool 152,253 0.8 0.0 -- 0.1 -- 0.1 -- 0.1 -- 0.1 -- -- -- 0.1 Apr-09

91 Day T-Bills 0.3 -- 0.6 -- 0.7 -- 0.3 -- 0.2 -- 0.4 -- 0.2 Apr-09Northern Inst Govt Select MMKT 9,914 0.0 0.0 99 0.1 99 0.1 99 0.0 99 0.0 99 -- -- 0.0 Nov-09

91 Day T-Bills 0.3 81 0.6 84 0.7 85 0.3 87 0.2 89 0.4 99 0.2 Nov-09Bank of Ann Arbor Trust Cash 142,339 0.7 0.0 99 0.0 99 0.0 99 0.0 99 0.0 99 -- -- 0.0 Nov-09

91 Day T-Bills 0.3 81 0.6 84 0.7 85 0.3 87 0.2 89 0.4 99 0.2 Nov-09eA US Cash Management Net Median 0.3 0.8 0.9 0.5 0.4 0.7 0.3 Nov-09

Long Term Investment Pool 19,827,629 99.2 3.4 45 10.8 57 10.1 73 5.0 60 5.6 82 -- -- 5.9 Apr-09Long Term Allocation Index 3.5 41 11.5 42 9.7 78 5.7 43 -- -- -- -- -- Apr-09Long Term Balanced Index 3.5 44 11.2 48 9.8 77 5.6 46 5.8 80 -- -- 5.7 Apr-09

InvestorForce All E&F < $50mm Net Median 3.3 11.1 11.7 5.4 7.2 4.8 10.1 Apr-09Total Equity 8,600,363 43.0 4.9 52 19.0 35 16.3 60 9.3 29 -- -- -- -- 8.6 Jan-14

MSCI ACWI 5.2 48 17.3 49 18.6 45 7.4 56 10.2 59 3.9 63 6.9 Jan-14eA All Global Equity Net Median 5.0 17.0 17.9 7.8 10.7 4.5 7.2 Jan-14

SEG Baxter 1,053,419 5.3 5.3 -- -- -- -- -- -- -- -- -- -- -- 5.3 Jul-17MSCI ACWI ex USA 6.2 -- 21.1 -- 19.6 -- 4.7 -- 7.0 -- 1.3 -- 6.2 Jul-17

Acadian Emerging Markets Equity 1,452,537 7.3 7.4 56 29.3 43 26.7 17 5.8 42 -- -- -- -- 5.8 Oct-14MSCI Emerging Markets 7.9 46 27.8 56 22.5 46 4.9 60 4.0 77 1.3 79 4.9 Oct-14

eA Emg Mkts Equity Net Median 7.7 28.5 22.0 5.4 5.3 2.3 5.4 Oct-14Artisan Global Opportunities 1,935,931 9.7 5.3 45 25.9 9 18.5 46 -- -- -- -- -- -- 12.6 Dec-14

MSCI ACWI 5.2 48 17.3 49 18.6 45 7.4 56 10.2 59 3.9 63 7.0 Dec-14eA All Global Equity Net Median 5.0 17.0 17.9 7.8 10.7 4.5 7.2 Dec-14

Hexavest GE 1,796,291 9.0 2.9 85 10.1 87 11.9 81 -- -- -- -- -- -- 6.8 Dec-14MSCI ACWI 5.2 48 17.3 49 18.6 45 7.4 56 10.2 59 3.9 63 7.0 Dec-14

eA All Global Equity Net Median 5.0 17.0 17.9 7.8 10.7 4.5 7.2 Dec-14Vanguard Total Stock Market VIPERs 2,362,186 11.8 4.5 49 13.8 41 -- -- -- -- -- -- -- -- 16.1 Nov-16

Russell 3000 4.6 48 13.9 40 18.7 48 10.7 38 14.2 38 7.6 52 16.1 Nov-16eA All US Equity Net Median 4.5 12.4 18.5 9.9 13.6 7.6 14.4 Nov-16

September 30, 2017

Intermediate Term Balanced Index: 50.0% Barclays Intermediate U.S. GV/CR Index and 50.0% BofA ML 1-3 Year Treasury Index.

Allocation Index: Used to measure the value add from active management. Calculated as the asset weight from the prior month end mulitiplied by the specified market index.

Long-Term Balanced Index: (10% - Russell 3000)(5% - MSCI EAFE Small Cap)(5% - MSCI Emerging Markets)(15% - MSCI ACWI)(15% - Barclays Aggregate)(5% - 50%JPM EMBI GD/ 25% JPM ELMI+/ 25% JPM GBI EM GD)(5% - Barclays Multi-verse)(20% - 60% MSCI World (Net)/ 40% CITI WGBI)(10% - HFRI Fund of Funds Composite)(10% - PIMCO All Asset Index).

Eastern Michigan University - Board of RegentsTotal Fund Performance Detail

36

Market Value($)

% ofPortfolio

3 Mo(%) Rank YTD




_

Total Fixed 5,567,921 27.9 1.7 55 5.3 78 6.3 29 3.2 37 -- -- -- -- 3.5 Jan-14BBgBarc US Aggregate TR 0.8 95 3.1 95 0.1 76 2.7 48 2.1 54 4.3 41 3.3 Jan-14

eA Global Fixed Inc Unhedged Net Median 1.8 6.7 4.1 2.4 2.4 3.8 2.8 Jan-14Franklin Templeton- Global Multi-Sector Plus 1,158,429 5.8 1.3 63 4.9 71 13.5 1 2.2 40 -- -- -- -- 2.2 Oct-14

BBgBarc Multiverse 1.9 31 6.6 51 -0.6 65 1.6 53 0.8 64 3.5 72 1.6 Oct-14eA Global Agg Fixed Inc Net Median 1.6 6.6 0.0 1.6 1.2 3.8 1.6 Oct-14

BlackRock- SIO 2,408,099 12.1 1.5 7 4.0 63 5.1 3 2.6 82 -- -- -- -- 2.6 Oct-14BBgBarc US Aggregate TR 0.8 91 3.1 94 0.1 99 2.7 79 2.1 95 4.3 93 2.7 Oct-14

eA US Core Plus Fixed Inc Net Median 1.1 4.2 1.8 3.2 2.9 5.2 3.2 Oct-14Baird - Core Bond 1,086,890 5.4 1.0 20 3.7 21 0.9 31 -- -- -- -- -- -- 2.8 Dec-14

BBgBarc US Aggregate TR 0.8 53 3.1 65 0.1 74 2.7 62 2.1 67 4.3 77 2.3 Dec-14eA US Core Fixed Inc Net Median 0.9 3.3 0.4 2.9 2.3 4.6 2.5 Dec-14

Ashmore EM Blended Debt Strategy 825,015 4.1 4.0 11 12.9 31 9.2 16 -- -- -- -- -- -- 6.1 Nov-1450% JPM EMBI GD/ 25% JPM ELMI+/ 25% JPM GBI EM GD 2.7 81 10.4 57 5.5 77 3.2 58 2.1 57 5.1 70 3.3 Nov-14

eA All Emg Mkts Fixed Inc Net Median 3.3 11.6 7.3 4.6 3.1 6.5 4.4 Nov-14Treasury Strips 89,488 0.4 0.5 99 2.6 99 -2.0 93 3.4 98 1.7 99 -- -- 4.9 Apr-09

BBgBarc US Treasury Long TR 0.6 98 6.0 92 -6.4 98 4.9 86 2.8 95 6.9 91 5.4 Apr-09eA US Long Duration Fixed Inc Net Median 1.7 8.1 0.7 5.6 4.5 8.3 9.5 Apr-09

GAA/ Risk Parity 3,003,453 15.0 3.0 49 4.9 87 4.8 82 -- -- -- -- -- -- 1.3 Dec-1460% MSCI World (Net) / 40% CITI WGBI 3.6 35 12.1 35 9.4 39 5.1 30 6.4 30 4.0 53 4.9 Dec-14

eA Global TAA Net Median 2.9 8.7 8.5 3.7 4.6 4.2 3.0 Dec-14AQR GRP EL 1,453,300 7.3 4.2 32 6.5 68 4.0 83 -- -- -- -- -- -- 1.3 Dec-14

60% MSCI World (Gross) / 40% CITI WGBI 3.7 35 12.4 33 9.8 37 5.4 23 6.8 28 4.4 48 5.3 Dec-14eA Global TAA Net Median 2.9 8.7 8.5 3.7 4.6 4.2 3.0 Dec-14

William Blair Macro Allocation 1,550,152 7.8 -- -- -- -- -- -- -- -- -- -- -- -- 1.6 Aug-1760% MSCI World (Gross) / 40% CITI WGBI 3.7 35 12.4 33 9.8 37 5.4 23 6.8 28 4.4 48 1.5 Aug-17

eA Global TAA Net Median 2.9 8.7 8.5 3.7 4.6 4.2 1.4 Aug-17


September 30, 2017

37

September 30, 2017


Market Value($)

% ofPortfolio

3 Mo(%) Rank YTD




_

Real Assets 1,616,584 8.1 3.2 48 10.5 6 10.1 8 -- -- -- -- -- -- 3.7 Dec-14PIMCO All Asset Index 1.4 75 4.6 23 2.9 42 3.8 16 3.3 24 5.1 6 3.5 Dec-14Bloomberg Commodity Index 2.5 61 -2.9 70 -0.3 62 -10.4 70 -10.5 90 -6.8 97 -9.4 Dec-14

InvestorForce All E&F Real Assets/Commodities Net Median 3.1 1.0 1.2 -5.1 -2.0 -1.0 -2.5 Dec-14PIMCO All Asset 1,616,584 8.1 3.2 38 10.5 42 10.1 37 -- -- -- -- -- -- 3.7 Dec-14

PIMCO All Asset Index 1.4 86 4.6 88 2.9 91 3.8 46 3.3 70 5.1 16 3.5 Dec-14Bloomberg Commodity Index 2.5 56 -2.9 99 -0.3 99 -10.4 99 -10.5 99 -6.8 99 -9.4 Dec-14

eA Global TAA Net Median 2.9 8.7 8.5 3.7 4.6 4.2 3.0 Dec-14Hedge Funds 1,039,309 5.2 2.0 57 4.7 61 5.8 60 -- -- -- -- -- -- 0.7 Dec-14

HFRI Fund of Funds Composite Index 2.3 49 5.6 53 6.5 55 2.2 62 3.9 78 1.1 92 2.2 Dec-14eV Alt Fund of Funds - Multi-Strategy Median 2.2 5.9 7.4 2.9 5.5 3.2 2.9 Dec-14

Prisma Spectrum Fund Ltd 1,039,309 5.2 2.0 57 4.7 61 5.8 60 -- -- -- -- -- -- 1.4 Dec-14HFRI Fund of Funds Composite Index 2.3 49 5.6 53 6.5 55 2.2 62 3.9 78 1.1 92 2.2 Dec-14

eV Alt Fund of Funds - Multi-Strategy Median 2.2 5.9 7.4 2.9 5.5 3.2 2.9 Dec-14XXXXX

38

September 30, 2017

Eastern Michigan University - Board of RegentsTotal Fund Asset Growth Summary by Manager

Quarter Ending September 30, 2017

BeginningMarket Value Contributions Withdrawals Net Cash Flow Net Investment

ChangeEnding

Market Value_

Acadian Emerging Markets Equity $1,351,177 $892 $0 $892 $100,468 $1,452,537AQR GRP EL $2,122,566 $0 -$750,000 -$750,000 $80,734 $1,453,300Artisan Global Opportunities $1,838,088 $0 $0 $0 $97,842 $1,935,931Ashmore EM Blended Debt Strategy $793,377 $3,966 -$3,966 $0 $31,638 $825,015Baird - Core Bond $1,076,218 $0 $0 $0 $10,671 $1,086,890Bank of Ann Arbor Trust Cash $126,238 $4,547,183 -$4,531,082 $16,101 $0 $142,339BlackRock- SIO $2,372,571 $7,173 -$7,173 $0 $35,527 $2,408,099Franklin Templeton- Global Multi-Sector Plus $1,143,108 $0 $0 $0 $15,321 $1,158,429Hexavest GE $1,745,400 $0 $0 $0 $50,890 $1,796,291Northern Inst Govt Select MMKT $2,161,758 $0 -$2,151,551 -$2,151,551 -$294 $9,914PIMCO All Asset $2,298,935 $0 -$750,000 -$750,000 $67,648 $1,616,584Prisma Spectrum Fund Ltd $1,019,110 $0 $0 $0 $20,199 $1,039,309SEG Baxter $1,000,000 $0 $0 $0 $53,419 $1,053,419Treasury Strips $89,077 $0 $0 $0 $411 $89,488Vanguard Total Stock Market VIPERs $2,269,719 $0 -$10,086 -$10,086 $102,552 $2,362,186William Blair Macro Allocation $0 $2,280,000 -$750,000 $1,530,000 $20,152 $1,550,152Z TERMINATED - Standard Life GARS $2,283,730 $0 -$2,283,730 -$2,283,730 $0 --Total $23,691,074 $6,839,213 -$11,237,587 -$4,398,374 $687,182 $19,979,882

XXXXX

39

September 30, 2017

Eastern Michigan University - Board of RegentsLong Term Investment Pool

Attribution Summary3 Months Ending September 30, 2017Wtd.

ActualReturn

Wtd. IndexReturn

ExcessReturn

SelectionEffect

AllocationEffect

InteractionEffects

TotalEffects

Total Equity 4.9% 5.7% -0.8% -0.3% 0.1% -0.1% -0.2%Total Fixed 1.7% 1.4% 0.3% 0.1% 0.0% 0.0% 0.1%GAA/ Risk Parity 3.0% 3.6% -0.6% -0.1% 0.0% 0.0% -0.1%Real Assets 3.2% 1.4% 1.8% 0.2% 0.0% 0.0% 0.2%Hedge Funds 2.0% 2.3% -0.4% 0.0% 0.1% 0.0% 0.0%Total 3.4% 3.5% 0.0% -0.2% 0.1% 0.0% 0.0%

40

cchow

Text Box

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

cchow

Oval

cchow

Text Box

Real Assets exposure contributed positively to performance for the quarter. This was driven by PIMCO All Asset's relative outperformance

cchow

Line

September 30, 2017

Attribution Summary1 Year Ending September 30, 2017

Wtd.ActualReturn

Wtd. IndexReturn

ExcessReturn

SelectionEffect

AllocationEffect

InteractionEffects

TotalEffects

Total Equity 16.3% 19.8% -3.5% -1.1% 0.2% -0.1% -1.0%Total Fixed 6.3% 1.0% 5.2% 1.4% -0.2% 0.1% 1.3%GAA/ Risk Parity 4.8% 9.4% -4.6% -0.9% 0.0% 0.0% -1.0%Real Assets 10.1% 2.9% 7.2% 0.7% -0.1% 0.0% 0.7%Hedge Funds 5.8% 6.5% -0.7% -0.1% 0.2% 0.0% 0.2%Total 10.0% 9.8% 0.2% 0.0% 0.2% 0.1% 0.2%

Eastern Michigan University - Board of RegentsLong Term Investment Pool

41

cchow

Oval

cchow

Text Box

Fixed Income exposure contributed positively to performance for the trailing year. This was driven by Franklin Templeton's relative outperformance

cchow

Line

cchow

Oval

cchow

Line

cchow

Text Box

Note: This page details attribution for the trailing year

Eastern Michigan University - Board of RegentsTotal Fund Asset Allocation History

September 30, 2017

42

Last ThreeMonths Year-To-Date One Year Three Years

_

Beginning Market Value $23,691,074 $44,441,487 $12,867,323 $50,741,294Contributions $6,839,213 $23,916,224 $85,776,179 $192,053,491Withdrawals -$11,273,273 -$50,594,421 -$80,843,116 -$226,549,070Net Cash Flow -$4,434,060 -$26,678,198 $4,933,063 -$34,495,579Net Investment Change $722,867 $2,216,593 $2,179,496 $3,734,166Ending Market Value $19,979,882 $19,979,882 $19,979,882 $19,979,882

_

Eastern Michigan University - Board of RegentsTotal Fund Asset Growth Summary

September 30, 2017

43

September 30, 2017

5 Years Ending September 30, 2017

Anlzd Ret Rank Anlzd StdDev Rank Sharpe

Ratio Rank_

Long Term Investment Pool 5.62% 82 5.14% 18 1.05 64Long Term Allocation Index -- -- -- -- -- --Long Term Balanced Index 5.79% 80 5.06% 18 1.10 56

Eastern Michigan University - Board of RegentsLong Term Investment Pool Risk/Return


Anlzd Ret Rank Anlzd StdDev Rank Sharpe

Ratio Rank_

Long Term Investment Pool 5.01% 60 5.56% 23 0.84 45Long Term Allocation Index 5.74% 43 5.89% 31 0.92 28Long Term Balanced Index 5.64% 46 5.86% 30 0.91 30

44

September 30, 2017

Eastern Michigan University - Board of RegentsTotal Fund Risk/Return


Anlzd Ret Rank Anlzd StdDev Rank

_

Total Composite 3.50% 55 3.36% 55 Allocation Index 3.46% 56 3.53% 56

XXXXX


Anlzd Ret Rank Anlzd StdDev Rank

_

Total Composite 3.85% 52 3.37% 52 Allocation Index -- -- -- --

XXXXX

45

Eastern Michigan University - Board of RegentsLong Term Investment Pool Return Summary vs. Peer Universe

September 30, 201746

September 30, 2017

Eastern Michigan University - Board of RegentsLong Term Investment Pool Return Summary vs. Peer Universe

47

September 30, 2017

Eastern Michigan University - Board of RegentsLong Term Investment Pool Risk Statistics vs. Peer Universe

Long Term Investment Pool vs. InvestorForce All E&F < $50mm Net3 Years

48

September 30, 2017

Eastern Michigan University - Board of RegentsLong Term Investment Pool Risk Statistics vs. Peer Universe

Long Term Investment Pool vs. InvestorForce All E&F < $50mm Net5 Years

49

Eastern Michigan University - Board of RegentsTotal Fund Return Summary vs. Peer Universe

September 30, 2017

50

September 30, 2017

Eastern Michigan University - Board of RegentsTotal Fund Return Summary vs. Peer Universe

51

September 30, 2017

Total Composite vs. InvestorForce Trust Funds >60% Fixed Income Net 3 Years

Eastern Michigan University - Board of RegentsTotal Fund Risk Statistics vs. Peer Universe

52

September 30, 2017

Total Composite vs. InvestorForce Trust Funds >60% Fixed Income Net 5 Years

Eastern Michigan University - Board of RegentsTotal Fund Risk Statistics vs. Peer Universe

53

Appendix

54

Goals and Objectives

55

Eastern Michigan University’s investment objective shall be to preserve investment principal while deriving a reasonable return consistent with the prevailing market and economic conditions. Investment decisions shall be based on specific guidelines which incorporate quality, safety, diversity and liquidity of funds.

Investment Policy

Goals and Objectives

September 30, 2017


Asset Class Target RangeEquity 35% 20%‐50%

Domestic All Cap 10% 5%‐20%International Equities 5% 0%‐10%Emerging International Equities 5% 0%‐8%Global Equity 15% 10%‐20%

Fixed Income 25% 20%‐50%Core Fixed 5% 0%‐10%Absolute Return Fixed Income 10% 5%‐15%Emerging Market Debt 5% 0%‐8%Global Multi‐Sector Fixed Income 5% 0%‐10%

Global Asset Allocation/Risk Parity 20% 10%‐30%Alternatives 20% 5%‐25%

Hedge Funds 10% 0%‐20%Real Assets 10% 5%‐15%

Expected Return (5‐7 years)Standard Deviation

6.0%11.1%

56

Goals and Objectives – Long Term Investment Pool

September 30, 2017


‐30%

‐20%

‐10%

0%

10%

20%

30%

40%

50%

60%

70%

Apr‐14 Jul‐14 Oct‐14 Jan‐15 Apr‐15 Jul‐15 Oct‐15 Jan‐16 Apr‐16 Jul‐16 Oct‐16 Jan‐17 Apr‐17 Jul‐17 Oct‐17

Cumulative Re

turns

Long Term Investment Pool (Net)

Actual Expected +1 Std Dev +2 Std Dev ‐1 Std Dev ‐2 Std Dev

57

ESG Summary

58

Long Term Investment Pool – ESG products

Firm/ProductStrategy is Managed with

ESG Considerations(Y/N)

Acadian Emerging Markets Equity Yes

AQR GRP EL No

Aritisan Global Opportunities No

Ashmore EM Blended Debt Strategy No

Baird Core Bond No

BlackRock SIO No

Comerica Treasury Strips No

Franklin Templeton Yes

Hexavest Global Equity Yes

PIMCO All Asset No

Prisma Spectrum Fund No

Select Baxter Street Fund No

Vanguard No

William Blair No


September 30, 2017

59

Market Overview

60

Index Performance Summary as of 09/30/2017

Source: Bloomberg, Barclays, Alerian, Nareit, MSCI, JP Morgan, Credit Suisse

2009 2010 2011 2012 2013 2014 2015 2016 Q1 Q2 Q3 Sept YTDMSCI EM 78.5% 18.9% -18.4% 18.2% -2.6% -2.2% -14.9% 11.2% 11.4% 6.3% 7.9% -0.4% 27.8%

MSCI EAFE 31.8% 7.8% -12.1% 17.3% 22.8% -4.9% -0.8% 1.0% 7.2% 6.1% 5.4% 2.5% 20.0%

MSCI ACWI 34.6% 12.7% -7.3% 16.1% 22.8% 4.2% -2.4% 7.9% 6.9% 4.3% 5.2% 1.9% 17.3%

JPM GBI-EM Global Div 22.0% 15.7% -1.8% 16.8% -9.0% -5.7% -14.9% 9.9% 6.5% 3.6% 3.6% -0.3% 14.3%

S&P 500 26.5% 15.1% 2.1% 16.0% 32.4% 13.7% 1.4% 12.0% 6.1% 3.1% 4.5% 2.1% 14.2%

Russell 1000 28.4% 16.1% 1.5% 16.4% 33.1% 13.2% 0.9% 12.1% 6.0% 3.1% 4.5% 2.1% 14.2%

Russell 2500 34.4% 26.7% -2.5% 17.9% 36.8% 7.1% -2.9% 17.6% 3.8% 2.1% 4.7% 4.5% 11.0%

Russell 2000 27.2% 26.9% -4.2% 16.3% 38.8% 4.9% -4.4% 21.3% 2.5% 2.5% 5.7% 6.2% 10.9%

JPM EMBI Glob Div 29.8% 12.2% 7.3% 17.4% -5.3% 7.4% 1.2% 10.2% 3.9% 2.2% 2.6% 0.0% 9.0%

BC US Long Credit 16.8% 10.7% 17.1% 12.7% -6.6% 16.4% -4.6% 10.2% 1.7% 4.7% 2.2% -0.2% 8.7%

BC US STRIPS 20+ Yr -36.0% 10.9% 58.5% 3.0% -21.0% 46.4% -3.7% 1.4% 1.8% 6.1% 0.7% -2.8% 8.7%

BC US Govt/Cred Long 1.9% 10.2% 22.5% 8.8% -8.8% 19.3% -3.3% 6.7% 1.6% 4.4% 1.5% -1.0% 7.7%

BC US Corporate HY 58.2% 15.1% 5.0% 15.8% 7.4% 2.5% -4.5% 17.1% 2.7% 2.2% 2.0% 0.9% 7.0%

BC Global Agg -6.5% -5.3% -5.3% -4.1% 2.7% -0.6% 3.3% 2.1% 1.8% 2.6% 1.8% -0.9% 6.3%

CS Hedge Fund 18.6% 10.9% -2.5% 7.7% 9.7% 4.1% -0.7% 1.2% 2.1% 0.8% 0.6% - 4.9%

BC Municipal 12.9% 2.4% 10.7% 6.8% -2.6% 9.1% 3.3% 0.2% 1.6% 2.0% 1.1% -0.5% 4.7%

FTSE NAREIT Eqy REITs 28.0% 28.0% 8.3% 18.1% 2.5% 30.1% 3.2% 8.5% 1.2% 1.5% 0.9% 0.0% 3.7%

BC US Agg Bond 5.9% 6.5% 7.8% 4.2% -2.0% 6.0% 0.5% 2.6% 0.8% 1.4% 0.8% -0.5% 3.1%

CS Leveraged Loan 44.9% 10.0% 1.8% 9.4% 6.2% 2.1% -0.4% 9.9% 1.2% 0.8% 1.1% 0.4% 3.0%

BC US Agg Interm 6.5% 6.1% 6.0% 3.6% -1.0% 4.1% 1.2% 2.0% 0.7% 0.9% 0.7% -0.4% 2.3%

BC TIPS 11.4% 6.3% 13.6% 7.0% -8.6% 3.6% -1.4% 4.7% 1.3% -0.4% 0.9% -0.6% 1.7%

BC US Govt/Cred 1-3 Yr 3.8% 2.8% 1.6% 1.3% 0.6% 0.8% 0.7% 1.3% 0.4% 0.3% 0.3% -0.1% 1.1%

BBG Commodity 18.9% 16.8% -13.3% -1.1% -9.5% -17.0% -24.7% 11.8% -2.3% -3.2% 2.5% -0.1% -2.9%

Alerian MLP 76.4% 35.9% 13.9% 4.8% 27.6% 4.8% -32.6% 18.3% 3.9% -6.4% -3.0% 0.7% -5.6%

September 30, 2017


61

Near Term Broad Market Performance Summary as of 09/30/20172015

Source: Bloomberg, Standard and Poors, Russell, MSCI, Barclays, JP Morgan *1 Yr Range: Represents range of cumulative high/low daily index returns for an investment made one year ago

‐20%

‐15%

‐10%

‐5%

0%

5%

10%

15%

20%

25%

30%

S&P 500 Russell 2500 MSCI EAFE MSCI EM Barclays Agg BarclaysLong

Treasury

BarclaysHigh Yield

BarclaysGlobal Agg

GBI‐EM GlobDiv

BloombergCommodity

1 Yr Range1 Year Return3 Month Return

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Long Term Broad Market Performance Summary as of 09/30/2017

Source: Bloomberg, Standard and Poors, Russell, MSCI, Barclays, JP Morgan

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Information Disclaimer

• Past performance is no guarantee of future results.

• The goal of this report is to provide a basis for substantiating asset allocation recommendations. The opinions presented herein represent the good faith views of NEPC as of the date of this report and are subject to change at any time.

• Information on market indices was provided by sources external to NEPC. While NEPC has exercised reasonable professional care in preparing this report, we cannot guarantee the accuracy of all source information contained within.

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

• This report is provided as a management aid for the client’s internal use only. This report may contain confidential or proprietary information and may not be copied or redistributed to any party not legally entitled to receive it.

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It is important that investors understand the following characteristics of non-traditional investment strategies including hedge funds and private equity:

1. Performance can be volatile and investors could lose all or a substantial portion of their investment

2. Leverage and other speculative practices may increase the risk of loss3. Past performance may be revised due to the revaluation of investments 4. These investments can be illiquid, and investors may be subject to lock-ups

or lengthy redemption terms5. A secondary market may not be available for all funds, and any sales that

occur may take place at a discount to value6. These funds are not subject to the same regulatory requirements as

registered investment vehicles7. Managers may not be required to provide periodic pricing or valuation

information to investors8. These funds may have complex tax structures and delays in distributing

important tax information9. These funds often charge high fees10.Investment agreements often give the manager authority to trade in

securities, markets or currencies that are not within the manager’s realm of expertise or contemplated investment strategy

Alternative Investment Disclosures

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Documents

Eastern Michigan University Board of Regents · Real Estate ‐0.08% Consumer Staples ‐0.14% Q3 Equity Market Summary Source: MSCI, Russell, S&P, Bloomberg Source: MSCI, Bloomberg