Investment Performance Analysis for the period ending ...Final)2016.pdf · EMSO 89,640,171 0.8 2.2 99 10.3 1 8.0 1 2.8 6 -- -- -- -- 4.0 Sep-11 JP Morgan GBI - EM Diversified 11.0

Investment Performance Analysisfor the period ending March 31, 2016

May 26, 2016

Allan Martin, PartnerDan LeBeau, ConsultantAlexandra Adam, CAIA, Senior Analyst

Page

Market Environment Update and Outlook 3

Third Party Placement Agent Disclosure 16

Total Fund Performance 19

Total Fund Performance 43

Appendix: Market Environment 58

ContentsNew Mexico Educational Retirement Board

March 31, 2016

2

Market Environment Update and Outlook

3

• First quarter GDP growth rate (advance estimate) printed at a meager 0.5%.– Retail sales ended February at +3.1% on a year-over-year growth rate basis. In the same period last year the YoY growth

rate was 1.2%.– The inventory-to-sales ratio ended February was flat at 1.4 and has remained relatively flat since early 2010.– Corporate profits (ended October) as a percent of GDP declined slightly to 9.3% from 9.9% and remain elevated relative to

historical levels.– The U.S. trade deficit widened 2.6% in February due to increased imports.

• The unemployment rate remained unchanged at 5.0% in Q1; U-6, a broader measure ofunemployment, fell to 9.8% during the first quarter.

• The Case-Shiller Home Price Index (ended January) increased slightly to 175.4 from 175.3 inSeptember and is at levels higher than that of pre-financial crisis levels of 150.9.

• Rolling 12-month seasonally adjusted CPI increased to 0.8% from 0.06% at the end ofDecember; Capacity Utilization decreased to 74.8% in March from 75.4% in December.

• Fed Funds rate was unchanged at 0.50%. The 10-year Treasury Yield (constant maturity)finished Q1 at 1.9% down from 2.2% ended December.

• The Fed balance sheet decreased slightly during Q1 2016, while the European Central Bankbalance sheet continues to increase.– ECB cut interest rates to -0.4% and expanded asset purchases from €60 billion to €80 billion per month.

• S&P valuations decreased in March remaining above the 10-year and long-term averages– Cyclically adjusted Shiller PE ratio (25.4x) is above the long-term average of 16.6x and above the 10-year average of 22.8x.

• Global currencies strengthened against the dollar amid commodity price stabilization andinvestor confidence.

Economic Environment

March 31, 2016

New Mexico Educational Retirement Board

4

Market Environment – Q1 2016 Overview

* As of 12/31/2015

March 31, 2016

Qtr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.

World Equity Benchmarks

MSCI ACWI World 0.2% -4.3% 5.5% 5.2% 4.1%

Qtr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.

Domestic Equity Benchmarks

S&P 500 Large Core 1.3% 1.8% 11.8% 11.6% 7.0%

Russell 1000 Large Core 1.2% 0.5% 11.5% 11.4% 7.1%

Russell 1000 Growth Large Growth 0.7% 2.5% 13.6% 12.4% 8.3%

Russell 1000 Value Large Value 1.6% -1.5% 9.4% 10.2% 5.7%

Russell 2000 Small Core -1.5% -9.8% 6.8% 7.2% 5.3%

Russell 2000 Growth Small Growth -4.7% -11.8% 7.9% 7.7% 6.0%

Russell 2000 Value Small Value 1.7% -7.7% 5.7% 6.7% 4.4%

Qtr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.

International Equity Benchmarks

MSCI ACWI Ex USA World ex-US -0.4% -9.2% 0.3% 0.3% 1.9%

MSCI EAFE Int'l Developed -3.0% -8.3% 2.2% 2.3% 1.8%

S&P EPAC Small Cap Small Cap Int'l -0.4% 2.8% 7.9% 5.9% 4.5%

MSCI EM Emerging Equity 5.7% -12.0% -4.5% -4.1% 3.0%

Qtr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.

Domestic Fixed Income Benchmarks

Barclays Aggregate Core Bonds 3.0% 2.0% 2.5% 3.8% 4.9%

Barclays US High Yield High Yield 3.4% -3.7% 1.8% 4.9% 7.0%

BofA ML US HY BB/B High Yield 3.1% -2.4% 2.5% 5.2% 6.5%

CSFB Levered Loans Bank Loans 1.3% -1.1% 2.2% 3.5% 4.0%

BofA ML US 3-Month T-Bill Cash 0.1% 0.1% 0.1% 0.1% 1.1%

Barclays US TIPS 1-10 Yr Inflation 3.6% 1.8% -0.7% 1.9% 4.0%

Qtr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.

Global Fixed Income Benchmarks

Citigroup WGBI World Gov. Bonds 7.1% 5.9% 0.5% 1.2% 4.2%

BC Global Credit Global Bonds 4.6% 2.1% 1.6% 3.3% 4.8%

JPM GBI-EM Glob. Diversified Em. Mkt. Bonds (Local) 11.0% -1.6% -6.7% -2.0% 5.0%

JPM EMBI+ Em. Mkt. Bonds 5.9% 5.9% 2.8% 6.1% 7.1%

Qtr. 1 Yr. 3 Yr. 5 Yr. 10 Yr.

Alternative Benchmarks

Bloomberg Commodity Index Commodity 0.4% -19.6% -16.9% -14.1% -6.2%

Credit Suisse Hedge Fund Index Hedge Fund -2.2% -5.2% 2.4% 2.7% 4.2%

HFRI FoF Conservative Fund of Funds -2.0% -3.5% 2.1% 1.7% 1.4%

Cambridge PE Lagged* Private Equity 0.4% 5.5% 12.5% 12.5% 11.4%

NCREIF ODCE Net Lagged* Real Estate 3.1% 14.0% 12.8% 12.6% 5.6%

Wilshire REIT Index REIT 5.2% 4.8% 11.1% 12.1% 6.3%

CPI + 2% Inflation/Real Assets 0.4% 2.9% 2.8% 3.3% 3.8%


5

Global Equity

• U.S. equities posted modest gains in the first quarter (+1.3%) rallying in March from a rocky beginning to 2016.

• Small cap stocks underperformed large cap stocks during the quarter, with the Russell 2000 Index returning -1.5% and the Russell 1000 Index returning 1.2%.

• International equities underperformed U.S. markets during the quarter, returning -0.4%, as measured by the MSCI ACWI ex-U.S. Index. Emerging markets returned 5.7% as measured by the MSCI Emerging Markets Index in U.S. dollar terms. – Developed international markets returned -3.0% as measured by the MSCI EAFE Index.

Private Equity

• Private equity fundraising totaled $130.5 billion in Q1 2016.

• Buyout and Special Situations fundraising totaled $48.1 billion in Q1 2016. – 55% of fundraising activity was in North America, 42% in Europe and 2.7% in Asia/Emerging Markets.

• Venture capital fundraising totaled $9.2 billion.– VC fundraising as a percent of total new PE funds is in line with historical post-dot com levels at approximately 14%.

• Fund of fund and multi-manager co-investment fundraising totaled $7.8 billion.

• Growth equity fundraising totaled $3.4 billion.

Market Environment

March 31, 2016


6

Fixed Income

• The yield curve shifted down for maturities greater than 6 months. Intermediate yields decreased 44-49 basis points and long duration yields decreased 40 basis points.

• The spread between two and 10-year rates decreased to 105 basis points from 121 basis points ending March. Treasury Inflation-Protected Securities, or TIPS, returned +3.6% during the quarter, as measured by the Barclays US TIPS 1-10 Yr Index.

• The Barclays Long Duration Credit Index gained +6.82% as the long end of the curve ended the quarter 40 basis points lower.

• Long Treasuries gained +8.49% and investment-grade corporate debt gained 3.03%.

• The Barclays 1-3 year Government/ Credit Index returned +0.97% and US high yield bonds gained +3.4%.

• Emerging markets debt gained broadly and were especially pronounced in local currency as relative dollar weakness spurred strong gains. – US dollar-denominated debt, as measured by the JP Morgan EMBI Index, gained 5.9%; local currency debt gained

+11.0%, according to the JP Morgan GBI-EM Index.

Market Environment

March 31, 2016


7

Real Assets/Inflation-Linked Assets

• Massive energy market dislocation.– Seek inflation sensitive asset classes that offer positive yield– Oil prices stabilizing and remain low. – Private equity and private debt opportunities may be relatively attractive.– Potential for public stressed/distressed credit, equity and commodity plays.

• OPEC, Saudi Arabia and oil producing countries continue to show a willingness to allow lower oil prices to persist in efforts to cement market share and reduce marginal supply.

• Select infrastructure opportunities showing signs of being attractive.– Target opportunistic strategies in niche sub-sectors to take advantage of market dislocations.– Secular opportunities may exist within the shipping industry as traditional financing sources (both debt and equity) are less

abundant

• Timber opportunities remain elusive.– Income yields (net) are low as assets are predominantly traded between like-minded institutions – Private strategies are illiquid and constrain quick entrance/exit (i.e. long-term lock-up)– Liquid strategies have limited pure timber exposure (and limited active-play options)

Market Environment

March 31, 2016


8

Commodities

• Commodities ended quarter with a meager +0.51% as measured by the Bloomberg Commodity Index.– Volatility continued in oil markets as price discovery continues into 2016 with oil reaching multi-year lows in February

preceding a rebound in March. – Precious metals were the best performing group appreciating nearly 9.5% on average.

Real Estate

• NEPC continues to be neutral on core real estate in the US and remains positive on non-core real estate, that is, value-add and opportunistic strategies.

• Within U.S. core real estate, strong fundamentals continue to be the story along with attractive income spreads relative to interest rates. – Real estate fundamentals and debt terms are attractive, however valuations are high and the possibility of rising interest

rates and the impact on cap rates causes concern.

• Overall, the non-core real estate investment environment in the U.S. is normalizing; however, select areas remain attractive.

• Europe is viewed as the best place for a marginal dollar of non-core real estate investment. – Europe is emerging from multi-year recession, but recovery is slow and uneven with global markets experiencing large

capital inflows.– Banks in EU are still overleveraged and have significant real estate exposure to jettison.

Market Environment

March 31, 2016


9

Year to Date Performance – Sharp Market Rally Masks Scale of Recent Sell-Off

Source: Morningstar Direct

‐4%

‐2%

0%

2%

4%

6%

8%

10%

12%

14%

S&P 500 Russell2000

MSCI EAFE MSCI EM BarclaysAgg

BarclaysTIPS

Barclays HY JPM GBI‐EM Glob

Div

Barclays20+ STRIPS

YTD Return

March 31, 2016


10

S&P 500 Intra-Year Drawdowns of Recent Magnitude Relatively Common

Source: Standard & Poors, Bloomberg

‐50%

‐40%

‐30%

‐20%

‐10%

0%

10%

20%

30%

40%

50%

1980

1981

1982

1983

1984

1985

1986

1987

1988

1989

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

Return

Std Dev

Max Drawdown

March 31, 2016


11

Fed Funds Curve and FOMC Appropriate Pace of Policy Firming Has Moderated

March 31, 2016


0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

Dec‐15 Apr‐16 Aug‐16 Dec‐16 Apr‐17 Aug‐17 Dec‐17 Apr‐18 Aug‐18 Dec‐18

Short Term Futures Markets

Fed Funds ‐ Nov 30Fed Funds ‐ March 31FOMC Median ‐ Oct 27‐28FOMC Median ‐ Mar 18‐19

Source: Federal Reserve, Bloomberg

12

Stabilizing Commodity Returns are Positive for EM

March 31, 2016


‐60%

‐50%

‐40%

‐30%

‐20%

‐10%

0%

10%

20%Cu

mulative Total R

eturn Since 12/31/2014

Energy

Agriculture

Industrial Metals

Precious Metals

Livestock

USD Spot (DXY)

Source: Bloomberg

13

• Prospects of low US core bond returns warrant a more positive tilt to US equity, especially following sell-offs– Macro policy remains supportive but corporate earnings quality is deteriorating– Lower returns expected but pockets of opportunity can be found in US equity and credit

• Overweight non-US developed market equities – Central bank support and dollar strength provide a positive economic backdrop– Small-cap equities offer purest opportunity to benefit from local earnings recovery– EAFE equity markets offer the potential for strong returns relative to US equities

• Overweight emerging market small-cap and consumer focused strategies relative to broad equity mandates– Valuations and long-term fundamentals suggest a strategic overweight– China uncertainty, dollar pressure and idiosyncratic country risks temper excitement

• Seek tactical fixed income strategies but preserve duration exposure– US duration continues to have a role in a diversified and risk-aware portfolio– TIPS offer an attractive duration profile with inflation expectations at secular lows– Credit selection is critical as credit cycle matures and spreads contract in recent rally

• Private market opportunities are the preferred access point as energy market distress continues to evolve– Return opportunities of private strategies are compelling but suggest patience

General Actions for Clients

March 31, 2016


14

NEPC Client RecognitionsWe are excited to announce that three of NEPC’s clients were nominated for the 2016 “Chief Investment Officer of the Year” Investor Intelligence Award. The winners will be announced at Institutional Investor’s annual Roundtable for Public Funds, taking place April 27-29, 2016 in Los Angeles, CA. We wish them luck!• Arn Andrews, CIO, City of San Jose Department of Retirement Services• Ryan Parham, CIO, Arizona Public Safety Personnel Retirement

Systems• Girard Miller, CIO, Orange County Employees Retirement System

NEPC Client Recognitions (continued)A number of NEPC clients were named on TrustedInsight’s list of Top 30 Pension Fund Chief Investment Officers. According to the January 2016 issue, “these 30 chief investment officers manage more than $1.3 trillion in assets for millions of retirees in the United States. These professionals are at the forefront of an industry that’s slow to evolve, under constant scrutiny and vital to the wellbeing of many average Americans. Nonetheless, they operate at the top of their field to prudently protect the benefits of their constituency.” NEPC clients that made the list include:• Scott Evans, CIO, New York Employees Retirement System -

$78.5B AUM• David Villa, CIO, State of Wisconsin Investment Board -

$102B AUM• Gary Dokes, CIO, Arizona State Retirement System - $31B

AUM• Michael Trotsky, Executive Director, CIO, Massachusetts

PRIM Board - $62B AUM • Robert Beale, CIO, Louisiana State Employees’ Retirement

System - $5.2B AUM• Richard Shafer, CIO, Ohio Public Employees’ Retirement

System - $91.5B AUM• James Perry, CIO, Dallas Police and Fire Pension System -

$3B AUM• William Coaker, CIO, San Francisco Employees Retirement

System - $20.3B AUM• Bob Jacksha, CIO, New Mexico Education Retirement Fund -

$11B AUM• Girard Miller, CIO, Orange County Employees Retirement

System - $12.1B AUM• Sam Masoudi, CFA, CAIA, CIO, Wyoming Retirement System

- $7.8B AUM

NEPC ResearchRecent White Papers 2016 First Quarter Market Thoughts Market Chatter: Is it really

All About China? (January 2016) Market Chatter: Monetary Policy

Divergence and Developed Currency(April 2016)

Highlights of First Quarter Happenings at NEPC

NEPC UpdatesMarch 31, 2016

Upcoming Events ‘Opportunities for Future Investments’ is

the theme for NEPC’s 21st Annual Investment Conference – May 10-11, 2016 at the Hynes Convention Center in Boston, MA. Keynote Speakers are: Michael Cembalest, Chairman of Market and Investment Strategy,

J.P. Morgan Asset Management

Dr. Dambisa Moyo, Global Economist and Author

Register at www.NEPC.com

March 31, 2016


15

Third Party Placement Agent Disclosure

16

The New Mexico Educational Retirement Board Policy Regarding Placement Agent Disclosures requires that quarterly performance reports to the Board include information regarding any third-party marketers that were used by recipients of investments including any fee, commission or retainer paid by the hired fund to the third-party marketer for services rendered. These fees are not paid by NMERB but are paid by the hired funds for marketing services to the third-party.

The following investments were approved by the NMERB Investment Committee during the quarter, with disclosures made under the policy:

Industry Ventures Secondary VIII- was approved for a $45 million commitment January 21, 2016 as part of the Fund’s Private Equity program.

Industry Ventures has provided documentation confirming no placement agent was used in connection with the NMERB’s investment.

Industry Ventures has completed the ERB Campaign Contribution Disclosure and reports no applicable campaign contributions.

Industry Ventures Partnership Holdings IV- was approved for a $30 million commitment on January 21, 2016 as part of the Fund’s Private Equity program.

Industry Ventures has provided documentation confirming no placement agent was used in connection with the NMERB’s investment.

Industry Ventures has completed the ERB Campaign Contribution Disclosure and reports no applicable campaign contributions.

Sigular Guff-was approved for a $50 million commitment on January 21, 2016 as part of the Fund’s Private Equity program.

Sigular Guff has provided documentation confirming no placement agent was used in connection with the NMERB’s investment.

Sigular Guff has completed the ERB Campaign Contribution Disclosure and reports no applicable campaign contributions.

Lone Star Real Estate Fund V - was approved for a $40 million commitment on February 25, 2016 as part of the Fund’s Real Estate program.

Lone Star has provided documentation confirming no placement agent was used in connection with the NMERB’s investment.

Lone Star has completed the ERB Campaign Contribution Disclosure and reports no applicable campaign contributions.

Ares Corporate Opportunities Fund V-was approved for a $40 million investment on February 25, 2016 as part of the Fund’s Private Equity program.

Ares has provided documentation confirming no placement agent was used in connection with the NMERB’s investment.

Ares has completed the ERB Campaign Contribution Disclosure and reports no applicable campaign contributions.

Third Party Placement Agent DisclosureNew Mexico Educational Retirement Board

March 31, 2016

17

Tenex Capital Partners Fund II- was approved for a $40 million commitment on February 25, 2016 as part of the Fund’s Private Equity program.

Tenex has provided documentation confirming no placement agent was used in connection with the NMERB’s investment.

Tenex has completed the ERB Campaign Contribution Disclosure and reports no applicable campaign contributions.

Kildare Fund II- was approved for a $40 million commitment on March 24, 2016 as part of the Fund’s Real Estate program.

Kildare has provided documentation confirming no placement agent was used in connection with the NMERB’s investment.

Kildare has completed the ERB Campaign Contribution Disclosure and reports no applicable campaign contributions.

Harvest Fund Advisors-was approved for a $50 million investment on March 24, 2016 as part of the Fund’s Real Assets Program.

Harvest Fund Advisors has provided documentation confirming no placement agent was used in connection with the NMERB’s investment.

Harvest Fund Advisors has completed the ERB Campaign Contribution Disclosure and reports no applicable campaign contributions.

Third Party Placement Agent DisclosureNew Mexico Educational Retirement Board

March 31, 2016

18

Total Fund Performance

19

Total Fund Performance Summary (Gross of Fees)

March 31, 2016


Over the past five years, the Fund returned 6.4% per annum, outperforming the policy index by 60 basis points and ranking in the 52nd percentile of the InvestorForce Public Funds > $1 Billion universe. The Fund’s volatility was 6.5%, which ranks in the 11th

percentile of its peers over this period. The Fund’s risk-adjusted performance, as measured by the Sharpe Ratio, ranks in the 23rd

percentile of its peers.

Over the past three years, the Fund returned 6.0% per annum, outperforming the policy index by 1.0% and ranking in the 57th

percentile of its peer group. Over the past three years, the Fund has reduced its volatility on both an absolute and relative basis, resulting in a three-year Sharpe Ratio of 1.1, which ranks in the 20th percentile.

For the year ending March 31, 2016, the Fund experienced a net investment gain of $44.8 million, which includes a net investment gain of $124.1 million during the quarter. Assets decreased from $11.4 billion twelve months ago to $11.1 billion on March 31, 2016, with $336.4 million in net distributions during the year. The Fund returned 0.4%, outperforming the policy index by 70 basis points and ranking in the 16th percentile of its peers.

All asset classes were within policy range as of March 31, 2016.

The InvestorForce Public Funds > $1 Billion Universe contains 106 observations for the period ending March 31, 2016, with total assets of $1.9 trillion.

20

March 31, 2016

New Mexico Educational Retirement BoardTotal Fund Asset Growth Summary

Sources of Portfolio Growth Last ThreeMonths Fiscal Year-To-Date One Year Three Years Five Years Since

10/1/05_

Beginning Market Value $11,110,179,629 $11,416,629,337 $11,437,383,160 $10,212,011,352 $9,466,216,562 $7,694,652,364Net Additions/Withdrawals -$88,585,286 -$277,279,029 -$336,427,940 -$959,938,916 -$1,545,545,569 -$2,704,231,458Investment Earnings $124,146,763 $6,390,798 $44,785,886 $1,893,668,670 $3,225,070,113 $6,155,320,201Ending Market Value $11,145,741,106 $11,145,741,106 $11,145,741,106 $11,145,741,106 $11,145,741,106 $11,145,741,106

_

21

1Long-Term Policy Target approved by the Board in June 2014.Note: Allocations shown here include cash held in separately managed portfolios.Totals may not add to 100% due to rounding. Total Plan included Legacy Assets portfolio totaling $58,486.

March 31, 2016

New Mexico Educational Retirement BoardTotal Fund Asset Allocation vs. Policy Targets

22

March 31, 2016

New Mexico Educational Retirement BoardTotal Fund Asset Allocation History

23

March 31, 2016

New Mexico Educational Retirement BoardTotal Fund Allocations vs. Peer Universe

24

Note: Ranks are based on gross returns.

March 31, 2016

New Mexico Educational Retirement BoardTotal Fund Risk/Return

25


March 31, 2016

New Mexico Educational Retirement BoardTotal Fund Risk/Return

26

Note: Returns are gross of fees. The graph on the right side shows composite level sharpe ratios.

March 31, 2016

New Mexico Educational Retirement Board3 Year Risk/Return Profile

27

Note: Returns are gross of fees. The graph on the right side shows composite level sharpe ratios.

March 31, 2016

New Mexico Educational Retirement Board5 Year Risk/Return Profile

28

Note: Ranks are based on gross returns. Universe contains 106 observations with total assets of $1.9 trillion.

March 31, 2016

Total Fund vs. IFx Public DB > $1B Gross (USD) (peer)1 Year

New Mexico Educational Retirement BoardTotal Fund Risk Statistics vs. Peer Universe

29


March 31, 2016

Total Fund vs. IFx Public DB > $1B Gross (USD) (peer)3 Years


30


March 31, 2016



31


March 31, 2016



32

Note: Returns are gross of fees.

March 31, 2016

New Mexico Educational Retirement BoardTotal Fund Rolling 5-Year Excess Returns

33

Note: Plan attribution calculations are net returns based and the results shown reflect the composites shown. As a result, the total returns shown may vary from the calculated return shown on the performance summary. May not add due to rounding.

March 31, 2016

New Mexico Educational Retirement BoardTotal Fund Attribution Analysis

Attribution Summary3 Months Ending March 31, 2016

Wtd. ActualReturn

Wtd. IndexReturn

ExcessReturn

SelectionEffect

AllocationEffect

TotalEffects

U.S. Large Cap EquityComposite 1.5% 1.3% 0.1% 0.0% 0.0% 0.0%

U.S. Small/Mid Cap EquityComposite -1.3% 0.4% -1.7% 0.0% 0.0% 0.0%

Non-U.S. Developed MktsEquity Composite -3.5% -3.0% -0.5% 0.0% 0.0% 0.0%

Non-U.S. Emerging MktsEquity Composite 2.7% 5.7% -3.0% -0.3% -0.1% -0.3%

Core Fixed IncomeComposite 3.2% 3.0% 0.2% 0.0% 0.0% 0.1%

Non-U.S. Emerging MarketDebt Composite 5.3% 8.3% -3.0% 0.0% 0.0% -0.1%

Opportunistic CreditComposite -1.1% 2.2% -3.3% -0.7% 0.0% -0.7%

Absolute Return Composite 1.4% 0.6% 0.8% 0.0% 0.0% 0.0%Global AssetAllocation/Risk ParityComposite

2.4% 0.2% 2.1% 0.2% 0.0% 0.2%

Public Real EstateComposite 4.0% 5.2% -1.2% 0.0% 0.0% -0.1%

Private Real EstateComposite 2.4% 2.2% 0.2% 0.0% 0.0% 0.0%

Private Equity Composite 0.8% 0.4% 0.4% 0.0% 0.0% 0.0%Real Assets Composite 1.2% 0.9% 0.3% 0.0% 0.0% 0.0%Cash 0.1% 0.1% 0.0% 0.0% 0.0% 0.0%Total 1.1% 2.0% -0.8% -0.8% 0.0% -0.8%

34


March 31, 2016

Attribution SummaryFYTD Ending March 31, 2016

Wtd. ActualReturn

Wtd. IndexReturn

ExcessReturn

SelectionEffect

AllocationEffect

TotalEffects


U.S. Small/Mid Cap EquityComposite -6.6% -7.0% 0.4% 0.0% 0.0% 0.0%

Non-U.S. Developed MktsEquity Composite -9.8% -8.8% -1.0% -0.1% 0.0% 0.0%

Non-U.S. Emerging MktsEquity Composite -10.6% -12.6% 2.0% 0.2% 0.0% 0.2%

Core Fixed IncomeComposite 3.5% 3.7% -0.2% 0.0% 0.1% 0.1%

Non-U.S. Emerging MarketDebt Composite 3.5% -3.1% 6.6% 0.1% 0.0% 0.1%

Opportunistic CreditComposite -0.1% -2.1% 2.0% 0.5% 0.0% 0.4%


-4.6% -1.8% -2.8% -0.3% 0.0% -0.3%

Public Real EstateComposite 10.4% 16.3% -5.9% -0.2% -0.1% -0.3%


Private Equity Composite 6.9% 2.8% 4.1% 0.4% -0.1% 0.3%Real Assets Composite 4.0% 3.0% 1.0% 0.0% -0.2% -0.1%Cash 0.2% 0.1% 0.1% 0.0% 0.1% 0.1%Total 0.1% -0.4% 0.5% 0.7% -0.2% 0.5%


35


March 31, 2016


Attribution Summary1 Year Ending March 31, 2016

Wtd. ActualReturn

Wtd. IndexReturn

ExcessReturn

SelectionEffect

AllocationEffect

TotalEffects


U.S. Small/Mid Cap EquityComposite -5.2% -7.3% 2.1% 0.1% 0.0% 0.0%

Non-U.S. Developed MktsEquity Composite -8.3% -8.3% -0.1% 0.0% 0.0% 0.0%


Core Fixed IncomeComposite 1.7% 2.0% -0.3% 0.0% 0.1% 0.0%

Non-U.S. Emerging MarketDebt Composite 1.7% -4.0% 5.7% 0.1% 0.0% 0.1%

Opportunistic CreditComposite 1.7% -1.7% 3.4% 0.7% 0.0% 0.7%


-7.1% -2.9% -4.3% -0.5% 0.0% -0.5%

Public Real EstateComposite -1.3% 4.8% -6.1% -0.2% -0.1% -0.3%


Private Equity Composite 11.4% 5.5% 6.0% 0.5% -0.1% 0.4%Real Assets Composite 6.3% 4.9% 1.5% 0.0% -0.3% -0.2%Cash 0.2% 0.1% 0.1% 0.0% 0.1% 0.1%Total 0.4% -0.3% 0.7% 1.0% -0.3% 0.7%

36


March 31, 2016

Attribution Summary3 Years Ending March 31, 2016

Wtd. ActualReturn

Wtd. IndexReturn

ExcessReturn

SelectionEffect

AllocationEffect

TotalEffects


U.S. Small/Mid Cap EquityComposite 9.2% 8.2% 1.0% 0.0% 0.0% 0.0%

Non-U.S. Developed MktsEquity Composite 2.5% 2.2% 0.2% 0.0% 0.0% 0.0%


Core Fixed IncomeComposite 2.7% 2.5% 0.2% 0.0% -0.1% 0.0%

Non-U.S. Emerging MarketDebt Composite -3.3% -7.5% 4.2% 0.1% 0.0% 0.1%

Opportunistic CreditComposite 6.1% 2.4% 3.7% 0.7% 0.0% 0.7%

Absolute Return Composite 4.1% 2.0% 2.1% 0.1% -0.1% 0.0%Global AssetAllocation/Risk ParityComposite

0.0% 2.4% -2.4% -0.2% 0.0% -0.1%

Public Real EstateComposite 9.0% 11.1% -2.1% -0.1% -0.1% -0.2%


Private Equity Composite 15.0% 12.5% 2.6% 0.2% 0.0% 0.2%Real Assets Composite 4.4% 4.8% -0.4% 0.0% 0.1% 0.1%Cash 0.5% 0.1% 0.4% 0.0% 0.0% 0.0%Total 5.9% 5.0% 0.8% 1.0% -0.2% 0.8%


37


March 31, 2016

Attribution Summary5 Years Ending March 31, 2016

Wtd. ActualReturn

Wtd. IndexReturn

ExcessReturn

SelectionEffect

AllocationEffect

TotalEffects


U.S. Small/Mid Cap EquityComposite 8.3% 8.3% 0.0% 0.0% 0.0% 0.0%

Non-U.S. Developed MktsEquity Composite 1.8% 2.3% -0.5% 0.0% 0.1% 0.1%

Non-U.S. Emerging MktsEquity Composite -5.4% -4.1% -1.3% -0.1% -0.1% -0.2%

Core Fixed IncomeComposite 4.3% 3.8% 0.6% 0.1% -0.2% -0.1%

Non-U.S. Emerging MarketDebt Composite -- -- -- 0.0% 0.0% 0.0%

Opportunistic CreditComposite 6.9% 4.8% 2.1% 0.5% 0.0% 0.5%

Absolute Return Composite 2.6% 2.1% 0.5% 0.0% 0.0% -0.1%Global AssetAllocation/Risk ParityComposite

4.8% 3.9% 0.9% 0.0% 0.0% 0.0%

Public Real EstateComposite 11.2% 12.1% -0.9% 0.0% 0.0% -0.1%


Private Equity Composite 14.1% 12.5% 1.6% 0.1% 0.1% 0.2%Real Assets Composite 2.5% 5.3% -2.9% 0.0% 0.0% 0.0%Cash 0.5% 0.1% 0.4% 0.0% 0.0% 0.0%Total 6.3% 5.8% 0.5% 0.5% -0.1% 0.4%


38

1 - Performance for Equity, Fixed Income, and Emerging Mkt Debt, Opportunistic Credit and GAA/Risk Parity composites are net of fees.Note: Percent of Total equals 98.7% because Absolute Return and Real Assets Composites are not included.

March 31, 2016

New Mexico Educational Retirement BoardTotal Fund Risk Statistics

3 Years Ending March 31, 2016

% of Tot Anlzd Ret Rank Anlzd StdDev Rank Anlzd AJ Rank Tracking

Error Rank Info Ratio Rank Beta Sharpe Ratio_

Opportunistic Credit Composite 21.4% 6.1% -- 2.5% -- 5.1% -- 3.0% -- 1.2 -- 0.4 2.4

50% Credit Suisse Leveraged LoanIndex / 50% BofA ML US HY BB-B RatedConstrained Index

-- 2.4% -- 3.8% -- 0.0% -- 0.0% -- -- -- 1.0 0.6

Global Asset Allocation/Risk ParityComposite 10.0% 0.0% 67 7.2% 22 -3.2% 61 4.9% 60 -0.9 34 0.7 0.0

GAA/Risk Parity Custom Index -- 4.2% 1 7.6% 27 0.0% 18 0.0% 1 -- -- 1.0 0.6XXXXX




U.S. Large Cap Equity Composite 18.0% 11.8% 3 11.3% 12 0.1% 10 0.2% 1 0.0 8 1.0 1.0

S&P 500 -- 11.8% 3 11.4% 19 0.0% 12 0.0% 1 -- -- 1.0 1.0

U.S. Small/Mid Cap Equity Composite 2.2% 9.2% 80 13.7% 97 1.2% 2 3.0% 87 0.4 6 1.0 0.7

NMERB Small/Mid Cap Equity BlendedIndex -- 8.2% 91 13.7% 98 0.0% 12 0.0% 1 -- -- 1.0 0.6

Non-U.S. Developed Mkts EquityComposite 4.5% 2.5% 34 13.2% 80 0.3% 37 1.3% 3 0.2 35 1.0 0.2

MSCI EAFE -- 2.2% 39 13.6% 89 0.0% 48 0.0% 1 -- -- 1.0 0.2

Non-U.S. Emerging Mkts Equity Composite 9.6% -4.4% 43 14.9% 41 -0.5% 51 3.5% 22 0.0 36 0.9 -0.3

MSCI Emerging Markets -- -4.5% 48 16.7% 96 0.0% 27 0.0% 1 -- -- 1.0 -0.3

Core Fixed Income Composite 9.0% 2.7% 33 3.1% 46 0.2% 57 0.5% 13 0.4 13 1.0 0.9

Barclays Aggregate -- 2.5% 39 3.0% 41 0.0% 60 0.0% 1 -- -- 1.0 0.8

Non-U.S. Emerging Market DebtComposite 1.7% -3.3% 30 7.0% 18 1.1% 6 5.0% 89 0.8 1 0.6 -0.5

Non-U.S. EMD Custom Benchmark -- -7.5% 72 11.3% 75 0.0% 25 0.0% 1 -- -- 1.0 -0.7

39


March 31, 2016





Real Estate Composite 7.5% 11.7% 65 8.4% 99 15.1% 7 10.3% 99 0.0 57 -0.3 1.4

NCREIF Property Index -- 11.9% 58 4.8% 41 0.0% 90 0.0% 1 -- -- 1.0 2.5

Private Equity Composite 10.8% 15.0% 23 4.3% 46 14.4% 21 7.8% 47 0.3 1 0.0 3.4

Cambridge Associates US All PE (1 QtrLag) -- 12.5% 43 6.8% 81 0.0% 99 0.0% 1 -- -- 1.0 1.8

Real Assets Composite 4.0% 4.4% 14 3.7% 2 5.6% 16 3.8% 16 -0.1 77 -0.3 1.2

CPI + 4% (Seasonally Adjusted) -- 4.8% 13 0.7% 1 0.0% 50 0.0% 1 -- -- 1.0 6.4XXXXX

40


March 31, 2016




Opportunistic Credit Composite 21.4% 6.9% -- 3.9% -- 4.4% -- 3.6% -- 0.7 -- 0.6 1.7

50% Credit Suisse Leveraged LoanIndex / 50% BofA ML US HY BB-B RatedConstrained Index

-- 4.3% -- 4.3% -- 0.0% -- 0.0% -- -- -- 1.0 1.0

Global Asset Allocation/Risk ParityComposite 10.0% 4.8% 34 6.8% 2 2.3% 23 6.8% 78 0.0 12 0.5 0.7

GAA/Risk Parity Custom Index -- 5.1% 30 7.9% 31 0.0% 45 0.0% 1 -- -- 1.0 0.6XXXXX





U.S. Large Cap Equity Composite 18.0% 11.6% 3 12.2% 7 0.0% 9 0.2% 1 -0.1 13 1.0 0.9

S&P 500 -- 11.6% 3 12.2% 7 0.0% 9 0.0% 1 -- -- 1.0 0.9

U.S. Small/Mid Cap Equity Composite 2.2% 8.3% 93 16.0% 98 0.0% 9 2.9% 84 0.0 12 1.0 0.5

NMERB Small/Mid Cap Equity BlendedIndex -- 8.3% 93 15.7% 98 0.0% 9 0.0% 1 -- -- 1.0 0.5

Non-U.S. Developed Mkts EquityComposite 4.5% 1.8% 61 15.5% 81 -0.5% 59 1.8% 17 -0.3 67 1.0 0.1

MSCI EAFE -- 2.3% 43 15.5% 81 0.0% 49 0.0% 1 -- -- 1.0 0.1

Non-U.S. Emerging Mkts Equity Composite 9.6% -5.4% 92 18.5% 79 -1.4% 84 3.0% 9 -0.4 92 1.0 -0.3

MSCI Emerging Markets -- -4.1% 36 18.8% 87 0.0% 30 0.0% 1 -- -- 1.0 -0.2

Core Fixed Income Composite 9.0% 4.3% 29 2.8% 37 0.6% 53 0.7% 17 0.8 5 1.0 1.5

Barclays Aggregate -- 3.8% 79 2.8% 36 0.0% 89 0.0% 1 -- -- 1.0 1.3

Non-U.S. Emerging Market DebtComposite 1.7% -- -- -- -- -- -- -- -- -- -- -- --

Non-U.S. EMD Custom Benchmark -- -- -- -- -- -- -- -- -- -- -- -- --XXXXX

41


March 31, 2016





Real Estate Composite 7.5% 12.5% 44 10.7% 99 17.1% 1 12.5% 99 0.0 50 -0.4 1.2

NCREIF Property Index -- 11.9% 62 4.8% 39 0.0% 86 0.0% 1 -- -- 1.0 2.5

Private Equity Composite 10.8% 14.1% 1 4.8% 42 12.9% 1 8.2% 39 0.2 8 0.1 2.9

Cambridge Associates US All PE (1 QtrLag) -- 12.5% 18 7.4% 91 0.0% 99 0.0% 1 -- -- 1.0 1.7

Real Assets Composite 4.0% 2.5% 50 4.9% 19 -1.8% 89 4.9% 45 -0.6 89 0.8 0.5

CPI + 4% (Seasonally Adjusted) -- 5.3% 9 0.8% 1 0.0% 66 0.0% 1 -- -- 1.0 6.7XXXXX

42

March 31, 2016

1 - U.S. Small/Mid Cap Equity Composite includes the performance history of the U.S. Small Cap Equity Composite through November 2011.2 - NMERB Small/Mid Cap Equity Blended Benchmark is the Russell 2000 Index through November 2011 and the Russell 2500 Index from December 2011 - forward.3 - Total Fund market value includes $58,486 from Legacy Assets.Note: Performance shown is net of fees. Fiscal year ends June 30.

New Mexico Educational Retirement BoardPerformance Detail - Total Fund and U.S. Equity

Market Value($)

% ofPortfolio

3 Mo(%) Rank

FiscalYTD(%)

Rank 1 Yr(%) Rank 3 Yrs

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

(%) Rank Return(%) Since

_

Total Fund 11,145,741,106 100.0 1.1 39 0.0 9 0.3 13 5.9 37 6.3 41 5.3 32 9.0 Jul-83Policy Index 2.0 3 -0.4 17 -0.3 25 5.0 59 5.8 54 4.8 69 -- Jul-83

Over/Under -0.9 0.4 0.6 0.9 0.5 0.5 Allocation Index 1.8 4 -0.7 20 -0.4 26 5.0 60 5.8 54 5.5 27 -- Jul-8360% MSCI ACWI (Gross)/40% CITI WGBI 3.1 1 0.6 4 0.3 14 4.0 81 4.1 95 4.8 63 -- Jul-83

InvestorForce Public DB > $1B Net Median 0.9 -2.1 -1.6 5.4 5.9 5.0 8.7 Jul-83U.S. Equity Composite 2,244,440,811 20.1 1.2 15 0.8 5 1.3 3 11.5 3 11.2 3 6.6 36 11.0 Jan-85

Russell 3000 1.0 31 -0.5 10 -0.3 10 11.1 11 11.0 12 6.9 13 10.9 Jan-85Over/Under 0.2 1.3 1.6 0.4 0.2 -0.3 0.1 InvestorForce Public DB > $1 Billion US Equity NetMedian 0.6 -2.2 -2.1 10.3 10.0 6.5 11.0 Jan-85

U.S. Large Cap Equity Composite 2,003,662,004 18.0 1.5 7 1.7 1 2.1 1 11.8 3 11.6 3 6.7 26 5.3 Aug-99S&P 500 1.3 9 1.5 1 1.8 1 11.8 3 11.6 3 7.0 10 4.6 Aug-99

Over/Under 0.2 0.2 0.3 0.0 0.0 -0.3 0.7 InvestorForce Public DB > $1 Billion US Equity NetMedian 0.6 -2.2 -2.1 10.3 10.0 6.5 5.4 Aug-99

S&P 500 Index Fund 2,003,662,004 18.0 1.5 27 1.7 20 2.1 19 11.8 26 11.6 28 6.7 59 4.0 Jan-00S&P 500 1.3 30 1.5 23 1.8 21 11.8 26 11.6 28 7.0 48 4.1 Jan-00

Over/Under 0.2 0.2 0.3 0.0 0.0 -0.3 -0.1 eA US Large Cap Core Equity Net Median 0.2 -1.7 -1.3 10.9 10.7 6.9 5.7 Jan-00

U.S. Small/Mid Cap Equity Composite 240,778,807 2.2 -1.3 93 -6.6 94 -5.2 91 9.2 80 8.3 93 5.4 99 6.6 Aug-99NMERB Small/Mid Cap Equity Blended Index 0.4 57 -7.0 95 -7.3 96 8.2 91 8.3 93 5.8 88 7.4 Aug-99

Over/Under -1.7 0.4 2.1 1.0 0.0 -0.4 -0.8 InvestorForce Public DB > $1 Billion US Equity NetMedian 0.6 -2.2 -2.1 10.3 10.0 6.5 5.4 Aug-99

Lord Abbett 123,253,018 1.1 3.0 40 -2.8 30 -2.9 26 9.5 22 8.2 48 -- -- 12.1 Aug-10Russell 2500 Value 3.3 35 -4.0 36 -5.2 42 7.2 62 8.3 47 5.8 71 12.0 Aug-10

Over/Under -0.3 1.2 2.3 2.3 -0.1 0.1 eA US Small-Mid Cap Value Equity Net Median 2.5 -6.1 -6.1 7.6 8.0 6.5 12.2 Aug-10

Pinnacle 117,525,789 1.1 -5.4 89 -10.3 51 -7.5 32 8.8 27 -- -- -- -- 13.7 Dec-11Russell 2500 Growth -2.7 49 -10.1 48 -9.6 47 9.2 19 8.8 27 7.0 39 12.7 Dec-11

Over/Under -2.7 -0.2 2.1 -0.4 1.0 eA US Small-Mid Cap Growth Equity Net Median -2.7 -10.2 -10.0 7.1 7.5 6.2 10.8 Dec-11

43

InvestorForce Public DB > $1B Dev Mkt ex-US Eq Net is unavailable, universe includes all public funds.Note: Performance shown is net of fees. Fiscal year ends June 30.

March 31, 2016

New Mexico Educational Retirement BoardPerformance Detail - Non-U.S. Equity

Market Value($)

% ofPortfolio

3 Mo(%) Rank

FiscalYTD(%)




_

Non-U.S. Equity Composite 1,573,107,722 14.1 0.6 34 -10.3 94 -9.7 93 -2.1 99 -3.0 99 0.8 92 6.0 Jul-95MSCI ACWI ex USA -0.4 58 -9.7 84 -9.2 90 0.3 89 0.3 97 1.9 74 -- Jul-95

Over/Under 1.0 -0.6 -0.5 -2.4 -3.3 -1.1 InvestorForce Public DB > $1 Billion Global ex-USEquity Net Median -0.1 -8.1 -7.1 1.6 1.6 2.1 5.2 Jul-95

Non-U.S. Developed Mkts Equity Composite 502,180,875 4.5 -3.5 80 -9.8 45 -8.3 45 2.5 34 1.8 61 1.1 79 5.7 Sep-95MSCI EAFE -3.0 73 -8.8 38 -8.3 44 2.2 39 2.3 43 1.8 73 4.4 Sep-95

Over/Under -0.5 -1.0 0.0 0.3 -0.5 -0.7 1.3 InvestorForce Public DB Dev Mkt ex-US Eq NetMedian -1.5 -10.2 -8.7 1.9 1.9 2.2 5.9 Sep-95

Pyramis 247,313,760 2.2 -4.0 87 -10.9 89 -8.7 79 2.3 70 2.8 68 2.2 64 7.2 Jun-03MSCI EAFE -3.0 65 -8.8 68 -8.3 73 2.2 71 2.3 74 1.8 79 6.8 Jun-03

Over/Under -1.0 -2.1 -0.4 0.1 0.5 0.4 0.4 eA All EAFE Equity Net Median -2.2 -7.4 -5.9 3.6 3.6 2.9 7.7 Jun-03

BlackRock MSCI EAFE 254,867,115 2.3 -2.9 64 -8.7 67 -8.0 71 -- -- -- -- -- -- 1.2 Aug-13MSCI EAFE -3.0 65 -8.8 68 -8.3 73 2.2 71 2.3 74 1.8 79 0.9 Aug-13

Over/Under 0.1 0.1 0.3 0.3 eA All EAFE Equity Net Median -2.2 -7.4 -5.9 3.6 3.6 2.9 2.1 Aug-13

44

1 – Parametric Emerging Markets Equity was funded in May, 2015 with $232.8 M.Note: Performance shown is net of fees. Fiscal year ends June 30.

March 31, 2016

New Mexico Educational Retirement BoardPerformance Detail - Non-U.S. Emerging Market Equity

Market Value($)

% ofPortfolio

3 Mo(%) Rank

FiscalYTD(%)




_

Non-U.S. Emerging Mkts Equity Composite 1,070,926,847 9.6 2.7 81 -10.6 47 -10.5 54 -4.4 43 -5.4 92 1.6 84 6.1 Sep-00MSCI Emerging Markets 5.7 25 -12.6 77 -12.0 78 -4.5 48 -4.1 36 3.0 17 7.0 Sep-00

Over/Under -3.0 2.0 1.5 0.1 -1.3 -1.4 -0.9 InvestorForce Public DB > $1 Billion Emg Mkt EqNet Median 4.9 -10.7 -9.9 -4.5 -4.3 2.5 6.3 Sep-00

Robeco 247,245,658 2.2 3.2 61 -13.5 69 -13.5 79 -4.9 77 -4.7 79 -- -- 7.1 Nov-08MSCI Emerging Markets 5.7 27 -12.6 65 -12.0 64 -4.5 67 -4.1 73 3.0 74 7.8 Nov-08

Over/Under -2.5 -0.9 -1.5 -0.4 -0.6 -0.7 eA Emg Mkts Equity Net Median 4.0 -11.6 -10.8 -3.7 -2.4 3.9 8.4 Nov-08

Neuberger Berman Emerging Markets 303,804,443 2.7 3.2 61 -9.4 25 -9.2 35 -- -- -- -- -- -- -1.8 Aug-13MSCI Emerging Markets 5.7 27 -12.6 65 -12.0 64 -4.5 67 -4.1 73 3.0 74 -2.4 Aug-13

Over/Under -2.5 3.2 2.8 0.6 eA Emg Mkts Equity Net Median 4.0 -11.6 -10.8 -3.7 -2.4 3.9 -2.0 Aug-13

Mondrian Emerging Markets Small Cap 309,849,488 2.8 -1.6 90 -11.0 19 -10.6 61 -- -- -- -- -- -- -0.5 Aug-13MSCI Emerging Markets Small Cap 1.0 63 -13.1 65 -9.2 57 -2.7 69 -2.6 99 5.1 99 -0.4 Aug-13

Over/Under -2.6 2.1 -1.4 -0.1 eA Emg Mkts Small Cap Equity Net Median 1.6 -11.7 -8.8 -1.8 0.5 9.0 0.5 Aug-13

Parametric Emerging Markets Equity 210,027,258 1.9 8.1 12 -9.3 25 -- -- -- -- -- -- -- -- -11.2 Jun-15MSCI Emerging Markets 5.7 27 -12.6 65 -12.0 64 -4.5 67 -4.1 73 3.0 74 -14.9 Jun-15

Over/Under 2.4 3.3 3.7 eA Emg Mkts Equity Net Median 4.0 -11.6 -10.8 -3.7 -2.4 3.9 -13.8 Jun-15

45

Note: Performance shown is net of fees. Fiscal year ends June 30.

March 31, 2016

New Mexico Educational Retirement BoardPerformance Detail - Total Fixed Income and Core Fixed Income

Market Value($)

% ofPortfolio

3 Mo(%) Rank

FiscalYTD(%)




_

Fixed Income Composite 3,578,625,912 32.1 0.5 94 1.2 49 1.7 28 4.3 4 5.9 1 6.6 9 2.8 Jan-85Barclays Aggregate 3.0 41 3.7 4 2.0 18 2.5 23 3.8 56 4.9 65 7.3 Jan-85

Over/Under -2.5 -2.5 -0.3 1.8 2.1 1.7 -4.5 InvestorForce Public DB > $1 Billion Fixed IncomeNet Median 2.9 1.0 0.5 1.6 3.9 5.3 7.9 Jan-85

Core Fixed Income Composite 1,003,635,515 9.0 3.2 25 3.5 20 1.7 32 2.7 33 4.3 29 5.4 50 5.7 Dec-99Barclays Aggregate 3.0 30 3.7 8 2.0 19 2.5 39 3.8 79 4.9 83 5.4 Dec-99

Over/Under 0.2 -0.2 -0.3 0.2 0.5 0.5 0.3 InvestorForce Public DB > $1 Billion US FixedIncome Net Median 2.7 1.7 0.7 2.2 4.1 5.4 5.8 Dec-99

Core Fixed Income 1,003,635,515 9.0 3.2 16 3.5 44 1.7 57 -- -- -- -- -- -- 1.7 Apr-15Barclays Aggregate 3.0 40 3.7 32 2.0 35 2.5 47 3.8 69 4.9 73 2.0 Apr-15

Over/Under 0.2 -0.2 -0.3 -0.3 eA US Core Fixed Inc Net Median 2.9 3.3 1.8 2.5 4.0 5.1 1.8 Apr-15

46

1 – Non-U.S. Emerging Market Debt Composite market value includes $22,480 in terminated manager account.2 - InvestorForce Public DB > $1B Emerging Mkt Fixed Income unavailable, universe includes all DB plans.Note: Performance shown is net of fees. Fiscal year ends June 30.

March 31, 2016

New Mexico Educational Retirement BoardPerformance Detail - Emerging Market Debt

Market Value($)

% ofPortfolio

3 Mo(%) Rank

FiscalYTD(%)




_

Non-U.S. Emerging Market Debt Composite 190,567,077 1.7 5.3 71 3.5 1 1.7 12 -3.3 30 -- -- -- -- -0.7 Sep-11Non-U.S. EMD Custom Benchmark 8.3 26 -3.1 75 -4.0 85 -7.5 72 -- -- -- -- -3.8 Sep-11

Over/Under -3.0 6.6 5.7 4.2 3.1 InvestorForce All DB Emg Mkt Fix Inc Net Median 6.9 -1.5 -1.4 -4.8 1.6 4.6 0.2 Sep-11

EMSO 89,640,171 0.8 2.2 99 10.3 1 8.0 1 2.8 6 -- -- -- -- 4.0 Sep-11JP Morgan GBI - EM Diversified 11.0 1 -0.7 68 -1.6 69 -6.7 82 -2.0 82 5.0 90 -3.3 Sep-11

Over/Under -8.8 11.0 9.6 9.5 7.3 eA All Emg Mkts Fixed Inc Net Median 5.4 0.7 0.8 -0.6 3.2 6.5 2.7 Sep-11

Prudential 100,904,427 0.9 -- -- -- -- -- -- -- -- -- -- -- -- 8.3 Feb-1650% JPM EMBI Global Diversified/ 50% JPM GBI-EM Global Diversified 8.0 -- 2.0 -- 1.3 -- -1.7 -- 2.1 -- 6.2 -- 7.9 Feb-16

Over/Under 0.4

47

Note: Performance shown is net of fees. Fiscal year ends June 30.

March 31, 2016

New Mexico Educational Retirement BoardPerformance Detail - Opportunistic Fixed Income

Market Value($)

% ofPortfolio

3 Mo(%) Rank

FiscalYTD(%)




_

Opportunistic Credit Composite 2,384,423,319 21.4 -1.1 -- -0.1 -- 1.7 -- 6.1 -- 6.9 -- -- -- 8.6 May-0850% Credit Suisse Leveraged Loan Index / 50% BofAML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 5.7 May-08

Over/Under -3.3 2.0 3.4 3.7 2.6 2.9 BofA Merrill Lynch US High Yield BB-B RatedConstrained Index 3.1 -- -2.4 -- -2.3 -- 2.5 -- 5.1 -- 6.5 -- 6.8 May-08

Beachpoint Combined 609,728,075 5.5 -0.1 -- -2.2 -- -1.1 -- 4.3 -- 6.1 -- 6.5 -- 6.6 Mar-0450% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 5.5 Mar-04

Over/Under -2.3 -0.1 0.6 1.9 1.8 1.2 1.1 Beachpoint Total Return 609,728,075 5.5 -0.1 -- -2.2 -- -1.1 -- 4.3 -- 6.1 -- -- -- 6.8 Jun-08

50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 5.7 Jun-08

Over/Under -2.3 -0.1 0.6 1.9 1.8 1.1 Pimco Disco Combined 252,831,871 2.3 0.1 -- 2.0 -- 3.7 -- 6.4 -- 9.2 -- -- -- 11.9 Jul-08

50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 5.9 Jul-08

Over/Under -2.1 4.1 5.4 4.0 4.9 6.0 Pimco Disco II 252,831,871 2.3 0.1 -- 2.0 -- 3.7 -- 6.4 -- -- -- -- -- 14.5 Oct-11

50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 5.7 Oct-11

Over/Under -2.1 4.1 5.4 4.0 8.8 GoldenTree Combined 152,943,529 1.4 -3.7 -- -5.3 -- -2.2 -- 5.7 -- 5.9 -- -- -- 9.1 Oct-09


Over/Under -5.9 -3.2 -0.5 3.3 1.6 2.8 Goldentree II 152,943,529 1.4 -3.7 -- -5.3 -- -2.2 -- 5.7 -- -- -- -- -- 8.5 Sep-11

50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 5.3 Sep-11

Over/Under -5.9 -3.2 -0.5 3.3 3.2

48

1 - Marathon European Credit Opportunity II was funded in March 2014.Note: Performance shown is net of fees. Fiscal year ends June 30.

March 31, 2016


Market Value($)

% ofPortfolio

3 Mo(%) Rank

FiscalYTD(%)




_

Medley Capital 139,043,182 1.2 -0.5 -- 3.5 -- 5.5 -- 8.9 -- -- -- -- -- 7.8 Aug-1150% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 4.3 Aug-11

Over/Under -2.7 5.6 7.2 6.5 3.5 GSO Capital 12,184,811 0.1 -0.6 -- 6.4 -- 0.6 -- 5.2 -- -- -- -- -- 5.0 Sep-11

50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 5.3 Sep-11

Over/Under -2.8 8.5 2.3 2.8 -0.3 Waterfall - Eden 223,625,172 2.0 -6.0 -- -7.2 -- -5.3 -- 5.3 -- -- -- -- -- 8.9 Aug-11

50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 4.3 Aug-11

Over/Under -8.2 -5.1 -3.6 2.9 4.6 Waterfall - Victoria 138,632,602 1.2 2.0 -- 7.3 -- 7.7 -- 9.3 -- -- -- -- -- 9.5 Aug-11


Over/Under -0.2 9.4 9.4 6.9 5.2 Marathon European Credit Opportunity I 68,471,997 0.6 0.2 -- 6.1 -- 9.1 -- 6.5 -- -- -- -- -- 7.9 Oct-11


Over/Under -2.0 8.2 10.8 4.1 2.2 Marathon European Credit Opportunity II 121,010,668 1.1 -0.4 -- 2.4 -- 3.4 -- -- -- -- -- -- -- 4.1 Mar-14

50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 0.7 Mar-14

Over/Under -2.6 4.5 5.1 3.4 Elegantree Fund 132,833,600 1.2 3.5 -- 5.8 -- 8.8 -- 9.8 -- -- -- -- -- 11.0 Mar-12

50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 4.3 Mar-12

Over/Under 1.3 7.9 10.5 7.4 6.7 Gramercy Distressed Opp II 129,708,639 1.2 -5.0 -- -6.4 -- -3.9 -- 6.5 -- -- -- -- -- 4.3 Jul-12

50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 4.2 Jul-12

Over/Under -7.2 -4.3 -2.2 4.1 0.1

49

1 - Kildare European Partners I LP was funded in May 2014.2 - Black Forest was funded in July 2014.3 - Gramercy Distressed Argentina FD II funded in November 2014 with $50 M. 4 - Lone Star IX was funded in March 2015 with $1.5 M.5 - Gramercy Distressed Opp III was funded in December 2015 with $40 M. Note: Performance shown is net of fees. Fiscal year ends June 30.

March 31, 2016


Market Value($)

% ofPortfolio

3 Mo(%) Rank

FiscalYTD(%)




_

ICE Canyon 65,351,147 0.6 -10.4 -- -13.7 -- -10.3 -- -6.8 -- -- -- -- -- -3.4 Jun-1250% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 4.5 Jun-12

Over/Under -12.6 -11.6 -8.6 -9.2 -7.9 Lone Star VIII 43,749,720 0.4 0.0 -- 9.9 -- 18.0 -- -- -- -- -- -- -- 27.6 Oct-13


Over/Under -2.2 12.0 19.7 25.2 Kildare European Partners I LP 47,231,407 0.4 3.0 -- 12.6 -- 8.7 -- -- -- -- -- -- -- 6.0 May-14

50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 0.4 May-14

Over/Under 0.8 14.7 10.4 5.6 Black Forest 109,884,876 1.0 2.2 -- 7.3 -- 10.1 -- -- -- -- -- -- -- 5.3 Aug-14


Over/Under 0.0 9.4 11.8 5.3 Gramercy Dist Argentina FD II 57,901,552 0.5 6.2 -- 10.2 -- 10.1 -- -- -- -- -- -- -- 11.6 Dec-14

50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- -0.4 Dec-14

Over/Under 4.0 12.3 11.8 12.0 Lone Star IX 34,195,722 0.3 1.9 -- 7.9 -- -60.9 -- -- -- -- -- -- -- -60.9 Apr-15

50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- -1.7 Apr-15

Over/Under -0.3 10.0 -59.2 -59.2 Gramercy Distressed Opp III 45,094,750 0.4 -9.9 -- -- -- -- -- -- -- -- -- -- -- -9.9 Jan-16

50% Credit Suisse Leveraged Loan Index / 50%BofA ML US HY BB-B Rated Constrained Index 2.2 -- -2.1 -- -1.7 -- 2.4 -- 4.3 -- 5.3 -- 2.2 Jan-16

Over/Under -12.1 -12.1

50

1 - Absolute Return Composite includes $871,587 in a transfer account.2 - ACSHQP Holdings LLC was funded in September 2014.Note: Performance shown is net of fees. Fiscal year ends June 30.

March 31, 2016

New Mexico Educational Retirement BoardPerformance Detail - Absolute Return

Market Value($)

% ofPortfolio

3 Mo(%) Rank

FiscalYTD(%)




_

Absolute Return Composite 3,816,094 0.0 1.4 -- 3.6 -- 4.1 -- 4.1 -- 2.6 -- -- -- 1.9 Jan-07HFRI FOF Conservative (1 Mo Lag) -2.7 -- -4.5 -- -3.1 -- 2.2 -- 1.6 -- 1.5 -- 1.1 Jan-07

Over/Under 4.1 8.1 7.2 1.9 1.0 0.8 91 Day T-Bill + 2% (1 Mo Lag) 0.6 -- 1.6 -- 2.1 -- 2.0 -- 2.1 -- 3.1 -- 2.7 Jan-07DB Advisors (in liquidation) 517,417 0.0 2.8 -- 1.3 -- 7.7 -- 0.1 -- -0.7 -- -- -- 0.1 Jan-07Gottex Market Neutral (in liquidation) 349,762 0.0 18.9 -- 25.3 -- 21.0 -- 4.2 -- 2.5 -- -- -- -1.4 Jan-07Benchmark Plus 1,649,353 0.0 0.0 -- 2.4 -- 2.7 -- 4.9 -- 2.8 -- -- -- 3.7 Feb-07ACSHQP Holdings LLC 427,975 0.0 -3.0 -- -1.3 -- 8.3 -- -- -- -- -- -- -- 0.5 Sep-14

HFRI FOF Conservative (1 Mo Lag) -2.7 -- -4.5 -- -3.1 -- 2.2 -- 1.6 -- 1.5 -- -0.8 Sep-14Over/Under -0.3 3.2 11.4 1.3

51

March 31, 2016

1 - PanAgora was funded in December 2013.Note: Performance shown is net of fees. Fiscal year ends June 30

New Mexico Educational Retirement BoardPerformance Detail - Global Asset Allocation and Risk Parity

Market Value($)

% ofPortfolio

3 Mo(%) Rank

FiscalYTD(%)




_

Global Asset Allocation/Risk Parity Composite 1,109,015,693 10.0 2.4 38 -4.6 44 -7.1 63 0.0 67 4.8 34 -- -- 7.3 Oct-09GAA/Risk Parity Custom Index 2.7 28 0.9 1 0.5 1 4.2 1 5.1 30 4.3 85 6.0 Oct-09

Over/Under -0.3 -5.5 -7.6 -4.2 -0.3 1.3 InvestorForce Public DB > $1 Billion Global TacticalNet Median 1.2 -4.8 -6.1 0.5 4.4 5.0 6.9 Oct-09

Global Asset Allocation Composite 544,278,327 4.9 0.5 71 -6.8 95 -8.2 85 -0.5 81 -- -- -- -- -0.5 Nov-12Credit Suisse Hedge Global Macro -2.2 92 -4.5 32 -6.3 55 0.2 53 2.6 99 5.7 11 1.4 Nov-12

Over/Under 2.7 -2.3 -1.9 -0.7 -1.9 InvestorForce Public DB > $1 Billion Global TacticalNet Median 1.2 -4.8 -6.1 0.5 4.4 5.0 1.6 Nov-12

Bridgewater Pure Alpha 247,872,213 2.2 -4.5 99 -7.5 84 -9.5 85 1.8 64 3.6 40 -- -- 6.9 Oct-09Credit Suisse Hedge Global Macro -2.2 93 -4.5 67 -6.3 75 0.2 84 2.6 71 5.7 13 4.5 Oct-09

Over/Under -2.3 -3.0 -3.2 1.6 1.0 2.4 eA Global TAA Net Median 1.0 -3.6 -4.6 2.1 3.2 4.2 5.2 Oct-09

Bridgewater Pure Alpha Major Markets 12,795,199 0.1 -5.0 99 -5.4 74 -10.5 86 3.9 15 5.0 8 -- -- 5.7 Dec-10Credit Suisse Hedge Global Macro -2.2 93 -4.5 67 -6.3 75 0.2 84 2.6 71 5.7 13 3.1 Dec-10

Over/Under -2.8 -0.9 -4.2 3.7 2.4 2.6 eA Global TAA Net Median 1.0 -3.6 -4.6 2.1 3.2 4.2 4.2 Dec-10

PIMCO All Asset All Authority 283,610,915 2.5 5.6 1 -6.3 82 -6.7 78 -- -- -- -- -- -- -3.2 Jul-13Credit Suisse Hedge Global Macro -2.2 93 -4.5 67 -6.3 75 0.2 84 2.6 71 5.7 13 0.5 Jul-13

Over/Under 7.8 -1.8 -0.4 -3.7 eA Global TAA Net Median 1.0 -3.6 -4.6 2.1 3.2 4.2 2.6 Jul-13

Risk Parity 564,737,367 5.1 4.2 9 -2.4 1 -6.1 51 1.1 41 -- -- -- -- 1.8 Nov-12GAA/Risk Parity Custom Index 2.7 28 0.9 1 0.5 1 4.2 1 5.1 30 4.3 85 5.9 Nov-12

Over/Under 1.5 -3.3 -6.6 -3.1 -4.1 InvestorForce Public DB > $1 Billion Global TacticalNet Median 1.2 -4.8 -6.1 0.5 4.4 5.0 1.6 Nov-12

Bridgewater All Weather 377,359,287 3.4 2.4 13 -5.1 73 -8.0 83 -0.6 97 5.9 3 -- -- 7.7 Oct-0960% MSCI World (Gross) / 40% CITI WGBI 2.8 11 1.2 6 0.8 6 4.8 8 4.9 9 4.9 25 6.1 Oct-09

Over/Under -0.4 -6.3 -8.8 -5.4 1.0 1.6 eA Global TAA Net Median 1.0 -3.6 -4.6 2.1 3.2 4.2 5.2 Oct-09

PanAgora 187,378,080 1.7 8.2 -- 3.6 -- -1.9 -- -- -- -- -- -- -- 8.7 Dec-13GAA/Risk Parity Custom Index 2.7 -- 0.9 -- 0.5 -- 4.2 -- 5.1 -- 4.3 -- 1.8 Dec-13

Over/Under 5.5 2.7 -2.4 6.9

52

1 – InvestorForce Public DB > $1B Real Estate Private is unavailable, universe includes all public funds.Note: Performance shown is net of fees. Fiscal year ends June 30.

March 31, 2016

New Mexico Educational Retirement BoardPerformance Detail - Real Estate

Market Value($)

% ofPortfolio

3 Mo(%) Rank

FiscalYTD(%)




_

Real Estate Composite 839,371,308 7.5 3.1 39 9.3 62 5.9 99 11.7 65 12.5 44 6.4 24 10.2 Dec-03NCREIF Property Index 2.2 65 8.4 82 11.8 67 11.9 58 11.9 62 7.6 3 9.5 Dec-03

Over/Under 0.9 0.9 -5.9 -0.2 0.6 -1.2 0.7 Wilshire REIT 5.2 2 16.3 1 4.8 99 11.1 79 12.1 57 6.3 25 10.2 Dec-03

InvestorForce Public DB > $1 Billion Real Estate NetMedian 2.6 9.4 12.9 12.4 12.2 5.3 7.3 Dec-03

Public Real Estate Composite 382,030,117 3.4 4.0 7 10.4 10 -1.3 99 9.0 97 11.2 68 6.0 29 9.9 Dec-03Wilshire REIT 5.2 2 16.3 1 4.8 99 11.1 79 12.1 57 6.3 25 10.2 Dec-03

Over/Under -1.2 -5.9 -6.1 -2.1 -0.9 -0.3 -0.3 InvestorForce Public DB > $1 Billion Real EstateNet Median 2.6 9.4 12.9 12.4 12.2 5.3 7.3 Dec-03

REIT Index Fund 145,339,286 1.3 5.0 50 16.0 41 4.6 41 10.8 60 11.9 57 6.3 82 10.2 Dec-03Wilshire REIT 5.2 42 16.3 38 4.8 37 11.1 51 12.1 42 6.3 83 10.2 Dec-03

Over/Under -0.2 -0.3 -0.2 -0.3 -0.2 0.0 0.0 eA US REIT Net Median 4.9 15.7 4.3 11.1 11.9 7.1 11.2 Dec-03

Brookfield 236,690,831 2.1 3.4 90 7.2 91 -4.7 93 8.3 86 -- -- -- -- 11.4 Jul-11MSCI US REIT 5.9 19 14.9 64 2.6 83 9.1 84 10.5 85 5.1 90 10.3 Jul-11

Over/Under -2.5 -7.7 -7.3 -0.8 1.1 eA US REIT Net Median 4.9 15.7 4.3 11.1 11.9 7.1 11.6 Jul-11

Private Real Estate Composite 457,341,191 4.1 2.4 19 8.5 52 14.0 6 15.3 4 14.5 5 -- -- 7.0 Jan-08NCREIF Property Index 2.2 23 8.4 52 11.8 45 11.9 65 11.9 61 7.6 5 5.8 Jan-08

Over/Under 0.2 0.1 2.2 3.4 2.6 1.2 InvestorForce Public DB Real Estate Priv NetMedian 1.8 8.5 11.2 12.4 12.0 5.2 3.4 Jan-08

U.S. Private Real Estate 450,090,596 4.0 2.3 -- 8.4 -- 13.9 -- 15.5 -- 14.9 -- -- -- 7.8 Jan-08NCREIF Property Index 2.2 -- 8.4 -- 11.8 -- 11.9 -- 11.9 -- 7.6 -- 5.8 Jan-08

Over/Under 0.1 0.0 2.1 3.6 3.0 2.0 Non-U.S. Private Real Estate 7,250,595 0.1 8.0 -- 14.0 -- 22.5 -- 7.9 -- 4.1 -- -- -- -4.5 Aug-08

NCREIF Property Index 2.2 -- 8.4 -- 11.8 -- 11.9 -- 11.9 -- 7.6 -- 6.0 Aug-08Over/Under 5.8 5.6 10.7 -4.0 -7.8 -10.5

53

Market Value($)

% ofPortfolio

3 Mo(%) Rank

FiscalYTD(%)




_

Private Equity Composite 1,204,315,977 10.8 0.8 43 6.9 29 11.4 24 15.0 23 14.1 1 -- -- 5.4 Jun-06Cambridge Associates US All PE (1 Qtr Lag) 0.4 57 2.8 67 5.5 69 12.5 43 12.5 18 11.4 19 11.6 Jun-06

Over/Under 0.4 4.1 5.9 2.5 1.6 -6.2InvestorForce Public DB > $1 Billion Private EquityNet Median 0.7 3.9 7.7 11.6 10.4 10.1 9.1 Jun-06

Real Assets Composite 449,866,818 4.0 1.2 61 4.0 14 6.3 14 4.4 14 2.5 50 -- -- 0.2 Jul-08CPI + 4% (Seasonally Adjusted) 0.9 62 3.0 18 4.9 18 4.8 13 5.3 9 5.8 1 5.2 Jul-08

Over/Under 0.3 1.0 1.4 -0.4 -2.8 -5.0InvestorForce Public DB > $1 Billion RealAssets/Commodities Net Median 1.3 -6.8 -7.3 -2.6 2.5 5.1 2.1 Jul-08

Infrastructure Composite 203,946,924 1.8 2.0 -- 4.5 -- 6.5 -- 4.9 -- 2.3 -- -- -- 0.9 Jul-08Infrastructure 197,011,667 1.8 -0.3 -- 0.1 -- 1.9 -- 4.3 -- 2.1 -- -- -- 0.7 Jul-08

CPI + 4% (Seasonally Adjusted) 0.9 -- 3.0 -- 4.9 -- 4.8 -- 5.3 -- 5.8 -- 5.2 Jul-08Over/Under -1.2 -2.9 -3.0 -0.5 -3.2 -4.5

International Infrastructure 6,935,257 0.1 22.8 -- 47.7 -- 53.9 -- 5.0 -- -- -- -- -- -24.7 Jan-13CPI + 4% (Seasonally Adjusted) 0.9 -- 3.0 -- 4.9 -- 4.8 -- 5.3 -- 5.8 -- 4.9 Jan-13

Over/Under 21.9 44.7 49.0 0.2 -29.6Natural Resources 245,919,894 2.2 0.6 -- 3.6 -- 6.3 -- 4.0 -- 3.5 -- -- -- 2.0 Mar-09

Energy 48,535,670 0.4 -0.3 -- -8.6 -- -3.5 -- -- -- -- -- -- -- -20.7 Jan-1491 Day T-Bills 0.1 -- 0.1 -- 0.1 -- 0.1 -- 0.1 -- 1.0 -- 0.1 Jan-14

Over/Under -0.4 -8.7 -3.6 -20.8Timber Composite 81,578,782 0.7 -0.1 -- 6.1 -- 10.2 -- 7.4 -- 6.1 -- -- -- 3.8 Mar-09

NCREIF Timberland -0.3 -- 2.4 -- 2.9 -- 7.7 -- 6.6 -- 6.6 -- 4.0 Mar-09Over/Under 0.2 3.7 7.3 -0.3 -0.5 -0.2

Agriculture Composite 63,828,248 0.6 0.1 -- 6.4 -- 5.5 -- 5.6 -- -- -- -- -- 4.6 Aug-12NCREIF Farmland 1.4 -- 8.3 -- 9.6 -- 13.1 -- 15.2 -- 14.2 -- 15.6 Aug-12

Over/Under -1.3 -1.9 -4.1 -7.5 -11.0Water Property Investor, L.P. 20,294,268 0.2 -0.7 -- -3.6 -- -4.4 -- -- -- -- -- -- -- 9.5 Jan-15

CPI + 4% (Seasonally Adjusted) 0.9 -- 3.0 -- 4.9 -- 4.8 -- 5.3 -- 5.8 -- 4.5 Jan-15Over/Under -1.6 -6.6 -9.3 5.0

Mitigation Banking 31,682,925 0.3 6.8 -- 13.7 -- 24.2 -- 12.0 -- -2.3 -- -- -- -2.3 Mar-1191 Day T-Bills 0.1 -- 0.1 -- 0.1 -- 0.1 -- 0.1 -- 1.0 -- 0.1 Mar-11

Over/Under 6.7 13.6 24.1 11.9 -2.4 -2.4

New Mexico Educational Retirement BoardPerformance Detail - Private Equity and Real Assets

March 31, 2016

1 - Energy funded in January 2014.2 - Agriculture Composite contains Halderman Farm Mgmt Services, Hancock Agriculture, and Blue Road Capital L.P. Timber Composite Contains Timber and Brookfield Brazil Timber and ETO II Operating Partnership, which was funded in August 2014.Note: Performance is shown net of fees. Fiscal year ends June 30.

54

1 - Local Government Investment Pool was funded in June, 2015 with $100 M.Note: Performance shown is net of fees. Fiscal year ends June 30.

March 31, 2016

New Mexico Educational Retirement BoardPerformance Detail - Cash

Market Value($)

% ofPortfolio

3 Mo(%) Rank

FiscalYTD(%)




_

Cash 143,122,283 1.3 Cash 141,631,764 1.3 0.1 -- 0.3 -- 0.3 -- 0.4 -- 0.4 -- 1.5 -- 1.0 Dec-99

91 Day T-Bills 0.1 -- 0.1 -- 0.1 -- 0.1 -- 0.1 -- 1.0 -- 1.7 Dec-99Over/Under 0.0 0.2 0.2 0.3 0.3 0.5 -0.7

NM ERB Cash 1,490,031 0.0 0.0 -- 0.0 -- 0.0 -- 1.2 -- 0.8 -- 1.5 -- 1.1 Jun-0091 Day T-Bills 0.1 -- 0.1 -- 0.1 -- 0.1 -- 0.1 -- 1.0 -- 1.6 Jun-00

Over/Under -0.1 -0.1 -0.1 1.1 0.7 0.5 -0.5 Local Government Investment Pool (LGIP) at STO 488 0.0 0.0 -- 0.0 -- -- -- -- -- -- -- -- -- 0.0 Jul-15

91 Day T-Bills 0.1 -- 0.1 -- 0.1 -- 0.1 -- 0.1 -- 1.0 -- 0.1 Jul-15Over/Under -0.1 -0.1 -0.1

XXXXX

55


March 31, 2016

New Mexico Educational Retirement BoardTotal Fund Return Summary vs. Peer Universe

56


March 31, 2016

New Mexico Educational Retirement BoardTotal Fund Return Summary vs. Peer Universe

57

Appendix: Market Environment

58

2009 2010 2011 2012 2013 2014 2015 JAN FEB MAR YTD

Barclays US Strips 20+ Yr -36.0% 10.9% 58.5% 3.0% -21.0% 46.4% -3.7% 6.9% 4.6% -0.3% 11.4%

JPM GBI-EM Global Diversified 22.0% 15.7% -1.8% 16.8% -9.0% -5.7% -14.9% 0.4% 1.4% 9.1% 11.0%

Barclays US Govt/Credit Long 1.9% 10.2% 22.5% 8.8% -8.8% 19.3% -3.3% 2.1% 2.2% 2.8% 7.3%

Citi WGBI 2.6% 5.2% 6.4% 1.7% -4.0% -0.5% -3.6% 1.4% 2.9% 2.7% 7.1%

Barclays US Long Credit 16.8% 10.7% 17.1% 12.7% -6.6% 16.4% -4.6% 0.3% 1.7% 4.8% 6.8%

FTSE NAREIT Equity REITs 28.0% 28.0% 8.3% 18.1% 2.5% 30.1% 3.2% -3.4% -0.4% 10.1% 6.0%

MSCI EM 78.5% 18.9% -18.4% 18.2% -2.6% -2.2% -14.9% -6.5% -0.2% 13.2% 5.7%

JPM EMBI Global Diversified 29.8% 12.2% 7.4% 17.4% -5.3% 7.4% 1.2% -0.2% 1.9% 3.3% 5.0%

Barclays US Corporate HY 58.2% 15.1% 5.0% 15.8% 7.4% 2.5% -4.5% -1.6% 0.6% 4.4% 3.4%

Barclays US Agg Bond 5.9% 6.5% 7.8% 4.2% -2.0% 6.0% 0.6% 1.4% 0.7% 0.9% 3.0%

Barclays US Agg Interm 6.5% 6.2% 6.0% 3.6% -1.0% 4.1% 1.2% 1.3% 0.5% 0.6% 2.3%

Barclays Municipal 12.9% 2.4% 10.7% 6.8% -2.6% 9.1% 3.3% 1.2% 0.2% 0.3% 1.7%

S&P 500 26.5% 15.1% 2.1% 16.0% 32.4% 13.7% 1.4% -5.0% -0.1% 6.8% 1.4%

Credit Suisse Leveraged Loan 44.9% 10.0% 1.8% 9.4% 6.2% 2.1% -0.4% -0.7% -0.6% 2.6% 1.3%

Russell 1000 28.4% 16.1% 1.5% 16.4% 33.1% 13.2% 0.9% -5.4% 0.0% 7.0% 1.2%

Barclays US Govt/Credit 1-3 Yr 3.8% 2.8% 1.6% 1.3% 0.6% 0.8% 0.7% 0.5% 0.1% 0.4% 1.0%

Bloomberg Commodity 18.9% 16.8% -13.3% -1.1% -9.5% -17.0% -24.7% -1.7% -1.6% 3.8% 0.4%

Russell 2500 34.4% 26.7% -2.5% 17.9% 36.8% 7.1% -2.9% -8.0% 0.7% 8.3% 0.4%

MSCI ACWI 34.6% 12.7% -7.4% 16.1% 22.8% 4.2% -2.4% -6.0% -0.7% 7.4% 0.2%

Russell 2000 27.2% 26.9% -4.2% 16.4% 38.8% 4.9% -4.4% -8.8% 0.0% 8.0% -1.5%

Credit Suisse Hedge Fund 18.6% 11.0% -2.5% 7.7% 9.7% 4.1% -0.7% -1.4% -1.1% N/A -2.5%

MSCI EAFE 31.8% 7.8% -12.1% 17.3% 22.8% -4.9% -0.8% -7.2% -1.8% 6.5% -3.0%

Alerian MLP 76.4% 35.9% 13.9% 4.8% 27.6% 4.8% -32.6% -11.1% -0.5% 8.3% -4.2%

Index Performance Summary as of 3/31/2016

Source: Morningstar Direct

March 31, 2016


59

Broad Market Performance Summary as of 3/31/2016

/2015

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

‐35%

‐30%

‐25%

‐20%

‐15%

‐10%

‐5%

0%

5%

10%

15%

1 Yr Range

1 Yr Return

3 Month Return

March 31, 2016


60

Inflation has increased off lows Unemployment steadily improving

Corporate profits lower off secular highs Manufacturing trending higher after dip

US Economic Indicators

Source: Bloomberg, Federal Reserve, Bureau of Labor Statistics Source: Bloomberg, Bureau of Labor Statistics

Source: Bloomberg, Institute for Supply ManagementSource: Bloomberg, Bureau of Economic Analysis

60%

65%

70%

75%

80%

85%

90%

‐3%‐2%‐1%0%1%2%3%4%5%6%

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

CPI (LHS)Capacity Utilization (RHS)

0%2%4%6%8%

10%12%14%16%18%

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

US UnemploymentU‐6 Unemployment

6%

7%

8%

9%

10%

11%

12%

13%

1966

1968

1970

1972

1974

1976

1978

1980

1982

1984

1986

1988

1990

1992

1994

1996

1998

2000

2002

2004

2006

2008

2010

2012

2014

Corporate Profits (% of GDP)

35

40

45

50

55

60

65

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

US ISM PMI

March 31, 2016


61

Inflation remains muted Europe employment recovery lagging

Manufacturing in developed economies has lagged Leading indicators mostly neutral

International Economic Indicators

Source: Bloomberg, Japan Ministry of Internal Affairs and Communications, Eurostat Source: Bloomberg, Japan Ministry of Internal Affairs and Communications, Eurostat

Source: Bloomberg, OECDSource: Bloomberg, OECD, Eurostat

‐3%

‐2%

‐1%

0%

1%

2%

3%

4%

5%

Jan‐04

Oct‐04

Jul‐0

5

Apr‐06

Jan‐07

Oct‐07

Jul‐0

8

Apr‐09

Jan‐10

Oct‐10

Jul‐1

1

Apr‐12

Jan‐13

Oct‐13

Jul‐1

4

Apr‐15

Jan‐16

Japan CPI

Euro CPI0%

2%

4%

6%

8%

10%

12%

14%

Apr‐01

Mar‐02

Feb‐03

Jan‐04

Dec‐04

Nov‐05

Oct‐06

Sep‐07

Aug‐08

Jul‐0

9

Jun‐10

May‐11

Apr‐12

Mar‐13

Feb‐14

Jan‐15

Dec‐15

Europe UnemploymentJapan Unemployment

‐10%‐8%‐6%‐4%‐2%0%2%4%6%8%

10%

Mar‐06

Nov‐06

Jul‐0

7

Mar‐08

Nov‐08

Jul‐0

9

Mar‐10

Nov‐10

Jul‐1

1

Mar‐12

Nov‐12

Jul‐1

3

Mar‐14

Nov‐14

Jul‐1

5YoY % Cha

nge in M

anufacturin

g

GermanyFranceItalyJapan

97.0

98.0

99.0

100.0

101.0

102.0

103.0

Feb‐06

Oct‐06

Jun‐07

Feb‐08

Oct‐08

Jun‐09

Feb‐10

Oct‐10

Jun‐11

Feb‐12

Oct‐12

Jun‐13

Feb‐14

Oct‐14

Jun‐15

OECD Leading

Indicator S

A

Euro AreaJapanUKCanada

March 31, 2016


62

EM inflation is varied by country Relatively healthy Debt/GDP ratios

Marginal improvement in account balance challenged countries

Emerging economies make up >50% of global output

Emerging Market Economic Indicators

Source: Bloomberg Source: Bloomberg, IMF

Source: Bloomberg, IMFSource: Bloomberg

‐2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Brazil China Mexico SouthAfrica

SouthKorea

Taiwan Turkey

CPI

Most Recent

1 Yr Previous

0%

20%

40%

60%

80%

100%

120%

Gross Gov't De

bt as % of G

DP

‐20%

‐15%

‐10%

‐5%

0%

5%

10%

15%

20%

Jun‐06

Jan‐07

Aug‐07

Mar‐08

Oct‐08

May‐09

Dec‐09

Jul‐1

0Feb‐11

Sep‐11

Apr‐12

Nov‐12

Jun‐13

Jan‐14

Aug‐14

Mar‐15

Oct‐15

Accoun

t Balan

ce (%

of G

DP)

Mexico Brazil South AfricaTurkey Malaysia Indonesia

0%10%20%30%40%50%60%70%80%90%

100%

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

GDP PP

P as % of W

orld

Developed

Emerging

March 31, 2016


63

Equity volatility decreasing off early year highs

Treasury rates experiencing periods of higher volatility

Sustained uptick in currency volatilities Commodity pricing volatility has increased

Volatility

Source: Bloomberg, CBOE Source: Bloomberg, Merrill Lynch

Source: Bloomberg, Merrill LynchSource: Bloomberg, Deutsche Bank

05

101520253035404550

Mar‐11

Jun‐11

Sep‐11

Dec‐11

Mar‐12

Jun‐12

Sep‐12

Dec‐12

Mar‐13

Jun‐13

Sep‐13

Dec‐13

Mar‐14

Jun‐14

Sep‐14

Dec‐14

Mar‐15

Jun‐15

Sep‐15

Dec‐15

Mar‐16

VIX Index

405060708090

100110120130

Apr‐11

Jul‐1

1Oct‐11

Jan‐12

Apr‐12

Jul‐1

2Oct‐12

Jan‐13

Apr‐13

Jul‐1

3Oct‐13

Jan‐14

Apr‐14

Jul‐1

4Oct‐14

Jan‐15

Apr‐15

Jul‐1

5Oct‐15

Jan‐16

MOVE Index

4

6

8

10

12

14

16

18

Mar‐11

Jun‐11

Sep‐11

Dec‐11

Mar‐12

Jun‐12

Sep‐12

Dec‐12

Mar‐13

Jun‐13

Sep‐13

Dec‐13

Mar‐14

Jun‐14

Sep‐14

Dec‐14

Mar‐15

Jun‐15

Sep‐15

Dec‐15

Mar‐16

CVIX Index579

11131517192123

May‐11

Aug‐11

Nov‐11

Feb‐12

May‐12

Aug‐12

Nov‐12

Feb‐13

May‐13

Aug‐13

Nov‐13

Feb‐14

May‐14

Aug‐14

Nov‐14

Feb‐15

May‐15

Aug‐15

Nov‐15

Feb‐16

Bloomberg Commodity 90D Vol

March 31, 2016


64

Major central bank policy divergence Fed’s ideal rate of policy firming above market expectations

Many developed central banks have maintained low interest rates

EM central bank policies have varied by circumstance

Central Banks

Source: Bloomberg, Federal Reserve, Bank of Japan, ECB, NEPC Source: Bloomberg, Federal Reserve, NEPC

Source: BloombergSource: Bloomberg

$0.00$0.50$1.00$1.50$2.00$2.50$3.00$3.50$4.00$4.50$5.00

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Trillions (b

alan

ce she

et assets) Fed

ECB

BoJ

‐0.5%0.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%4.0%4.5%

2015 2016 2017 2018 2019 2020 2021

FOMC ParticipantsFOMC MedianFed Funds Futures

Long Term

‐1.0% 0.0% 1.0% 2.0% 3.0% 4.0%

AustraliaCanada

ECBJapan

New ZealandNorway

SingaporeSwitzerland

UKUS

Target central bank rate

1 Yr Previous

Current

0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0%

BrazilChinaIndia

IndonesiaMalaysiaMexicoPolandRussia

South AfricaSouth Korea

Turkey

Target central bank rate

1 Yr Previous

Current

March 31, 2016


65

Global valuations are mixed Earnings growth trending lower

Margins declining outside of EM Global equity returns have been negative over one year

Global Equity

Source: Bloomberg, Standard and Poors, MSCI *MSCI EAFE is ex UK Telecom Source: Bloomberg, Standard and Poors, MSCI

Source: Bloomberg, MSCISource: Bloomberg, MSCI

0

5

10

15

20

25

30

35

40

MSCI ACWI MSCI EAFE MSCI EM S&P 500

PE Ratio

+1 Std Dev ‐1 St Dev3/31/2015 3/31/2016

‐50%‐40%‐30%‐20%‐10%0%

10%20%30%40%50%

Apr‐06

Dec‐06

Aug‐07

Apr‐08

Dec‐08

Aug‐09

Apr‐10

Dec‐10

Aug‐11

Apr‐12

Dec‐12

Aug‐13

Apr‐14

Dec‐14

Aug‐15

Rolling

12‐Mo Ch

ange in

EBIT

S&P 500MSCI EAFEMSCI EM

0%

2%

4%

6%

8%

10%

12%

14%

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

Profit Margins

MSCI ACWIMSCI EAFEMSCI EMS&P 500

‐14%‐12%‐10%‐8%‐6%‐4%‐2%0%2%4%6%8%

MSCI ACWI MSCI ACWIIMI

MSCI EAFE MSCI EM SP 500

3 Month Return

1 Yr Return

March 31, 2016


66

Valuations near or above historical norms Growth recovery marked by inconsistency

Profit margins lower off highs Trailing performance has been mixed

US Equity

Source: Bloomberg, Standard and Poors, Russell *Russell 2000 PE is index adjusted positive Source: Bloomberg, Bureau of Economic Analysis

Source: Bloomberg, Standard and Poors, RussellSource: Bloomberg, Standard and Poors, Russell

0

5

10

15

20

25

30

35

S&P 500 Russell 2000 Russell 1000Growth

Russell 1000Value

PE Ratio

+1 Std Dev ‐1 St Dev3/31/2015 3/31/2016

‐10%

‐8%

‐6%

‐4%

‐2%

0%

2%

4%

6%

20152014201320122011201020092008200720062005

US Real GDP Growth

‐8%‐6%‐4%‐2%0%2%4%6%8%

10%12%

1991

1993

1995

1997

1999

2001

2003

2005

2007

2009

2011

2013

2015

Profit Margins

S&P 500Russell 2000

‐12%

‐10%

‐8%

‐6%

‐4%

‐2%

0%

2%

4%

SP 500 Russell 2500Russell 2000Russell 1000Growth

Russell 1000Value

3 Month Return

1 Yr Return

March 31, 2016


67

PEs varied by region/country Slow Global Growth

Margins elevated but not at extremes Returns near flat or negative

International Equity

Source: Bloomberg, MSCI, FTSE *UK represented by FTSE 100 Index Source: Bloomberg


0

5

10

15

20

25

30

35

40

45

Europe Japan United Kingdom

PE Ratio

+1 Std Dev ‐1 St Dev3/31/2015 3/31/2016

‐15%

‐10%

‐5%

0%

5%

10%

15%

20152014201320122011201020092008200720062005

Eurozone

Japan

UK

0%1%2%3%4%5%6%7%8%9%

10%

1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015

Profit Margins

MSCI EAFE

‐12%

‐10%

‐8%

‐6%

‐4%

‐2%

0%

2%

4%

MSCI EAFE EAFE (Local) EAFE Small Cap EAFE SC (Local)

3 Month Return1 Yr Return

March 31, 2016


68

Regional valuations show divergence Slowing growth in major economies

Profit margins in line with history Recent rally in EM but one year returns mostly negative

Emerging Markets Equity

Source: Bloomberg, MSCI Source: Bloomberg


0

10

20

30

40

50

60

China Brazil South Africa India Russia South Korea

PE Ratio

+1 Std Dev ‐1 St Dev3/31/2015 3/31/2016

‐15%

‐10%

‐5%

0%

5%

10%

15%

20%

20152014201320122011201020092008200720062005

Brazil RussiaIndia China

0%

2%

4%

6%

8%

10%

12%

14%

Profit Margins

MSCI EM‐15%

‐10%

‐5%

0%

5%

10%

MSCI EM EM (Local) EM SmallCap

EM SC(Local)

Frontier


March 31, 2016


69

ACWI Financials and Health Care returns negative in short term

S&P 500 sectors mostly positive in short term

Returns mostly positive across EM sectors in short term Global energy sector weight has fallen

Global Equity by Sector

Source: Bloomberg, MSCI Source: Bloomberg, Standard and Poors


‐20%

‐15%

‐10%

‐5%

0%

5%

10%

3‐Mo Return1 Yr Return

‐20%‐15%‐10%‐5%0%5%

10%15%20%25%


‐20%‐15%‐10%‐5%0%5%

10%15%20%


0%

5%

10%

15%

20%

25%

Sector W

eigh

t of A

CWI

3/31/2016

3/31/2015

March 31, 2016


70

Developed currencies mostly positive versus the dollar receently

EM currencies suffered in unique fashions over the past year

Yen expected to decline versus USD Recent dollar strength pronounced

Currencies

Source: Bloomberg Source: Bloomberg

Source: Bloomberg, Federal ReserveSource: Bloomberg

60

70

80

90

100

110

120

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

USD Trade Weighted Index

‐4%

‐2%

0%

2%

4%

6%

8%

JapaneseYen

PoundSterling

Euro SwissFranc

CanadianDollar

AustralianDollar

3 Month Spot Change1 Yr Spot Change

‐25%‐20%‐15%‐10%‐5%0%5%

10%15%

3 Month Spot Change1 Yr Spot Change

‐2.5%‐2.0%‐1.5%‐1.0%‐0.5%0.0%0.5%1.0%1.5%2.0%2.5%

Euro Yen BritishPound

SwissFranc

Aus Dollar Yuan(O/S)

Chan

ge versus USD

3M Currency Fwd12M Currency Fwd

March 31, 2016


71

Spread levels above historical medians Yields have mostly declined

Similar yield/duration tradeoff among major US indices Returns marked by recent credit rally

US Fixed Income

Source: Bloomberg, Barclays Source: Bloomberg, Barclays

Source: Bloomberg, BarclaysSource: Bloomberg, Barclays

0

200

400

600

800

1000

1200

1400

1600

1800

Aaa Aa A Baa Ba B Caa

Spread

(bps)

+2 Std Dev+1 Std Dev‐1 St Dev3/31/20153/31/2016

0%1%2%3%4%5%6%7%8%9%10%

Month End Yield3‐Mo Previous Yield

0%1%2%3%4%5%6%7%8%9%

0 1 2 3 4 5 6 7 8

Yield

Duration

BC AggBC US TreasuryBC CreditBC MBSBC High YieldBC MunicipalBC TIPS

‐5.0%‐4.0%‐3.0%‐2.0%‐1.0%0.0%1.0%2.0%3.0%4.0%5.0%


March 31, 2016


72

European periphery yields at small premium relative to Germany Global yields are at or near historic lows

Low global yields relative to duration Global bonds positive in USD terms

International Developed Fixed Income

Source: Barclays, Bloomberg, *European periphery spreads are over equivalent German Bund Source: Bloomberg

Source: Bloomberg, Citigroup, BarclaysSource: Bloomberg, Citigroup, Barclays

0

100

200

300

400

500

600

OAS

or E

quivalen

t (bp

s)

3/31/2016

3/31/2015

‐0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

10 Yr G

ovt Y

ield

Month End Yield3‐Mo Previous Yield1 Yr Previous Yield

‐1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

0 1 2 3 4 5 6 7 8 9 10 11 12 13

Yield

Duration

WGBIBC MultiverseBC Glob Infl‐LinkedBC EuroAggBC Pan‐Euro HY

0%1%2%3%4%5%6%7%8%9%

10%

WGBI(Local)

WGBI(USD)

WGBI exUS (Local)

WGBI exUS (USD)

BCMultiverse

BC GlobInfl‐Linked


March 31, 2016


73

Spreads have widened recently Emerging market bond yield changes have varied directionally

EM yields higher versus global counterparts Currency effect pronounced in EMD returns

Emerging Markets Fixed Income

Source: Bloomberg, JP Morgan Source: Bloomberg

Source: Bloomberg, JP MorganSource: Bloomberg, JP Morgan

0

200

400

600

800

1000

1200

1400Mar‐06

Nov‐06

Jul‐0

7

Mar‐08

Nov‐08

Jul‐0

9

Mar‐10

Nov‐10

Jul‐1

1

Mar‐12

Nov‐12

Jul‐1

3

Mar‐14

Nov‐14

Jul‐1

5

Mar‐16

Spread

in bps

EMBI Glob Div EMBI Glob Div IGEMBI Glob Div HY CEMBI Div Broad IGCEMBI Div Broad HY

0%2%4%6%8%

10%12%14%16%18%

10 Yr Local Govt Y

ield

Month End Yield3‐Mo Previous Yield1 Yr Previous Yield

0%1%2%3%4%5%6%7%8%9%

10%

0 1 2 3 4 5 6 7 8

Yield

Duration

JPM EMBI CompositeJPM GBI‐EM Glob DivCEMBI IGCEMBI HYEMBI HYEMBI IG

‐4%

‐2%

0%

2%

4%

6%

8%

10%

12%

JPM EMBIGlob Div

JPM GBI‐EMGlob Div

CEMBI IG CEMBI HY ELMI+ Comp


March 31, 2016


74

Treasury yield curve has declined since year end

Global yield curves have shifted downwards

Global yield curves trending lower Global yields have trended lower over long term

Rates



0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

1Y 3Y 5Y 7Y 10Y

15Y

20Y

25Y

30Y

3/31/201612/31/20153/31/20153/31/2014

‐1.0%‐0.5%0.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%4.0%

1Y 3Y 5Y 7Y 10Y

15Y

20Y

25Y

30Y

UK Month End UK 3M PreviousJapan Month End Japan 3M PreviousGerm Month End Germ 3M Previous

‐0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

US 10 Yr ‐ 2 YrJapan 10 Yr ‐ 2 YrGermany 10 Yr ‐ 2 Yr

‐1%

0%

1%

2%

3%

4%

5%

6%

7%

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

Japan 10 YrJapan 2 YrGermany 10 YrGermany 2 Year

March 31, 2016


75

Long duration yields have fallen over last few years even with recent uptick

Lower yields driven by low inflation expectations and real rates

Yields are low but spreads above historic averages Returns recently positive

Long Rates and Liability

Source: Bloomberg, Citigroup, Barclays Source: Bloomberg, US Treasury, Barclays, NEPC

Source: Bloomberg, BarclaysSource: Bloomberg, BofA Merrill Lynch, Barclays *No index for 20+ year corporate

1%

2%

3%

4%

5%

6%

7%

Jan‐11

May‐11

Sep‐11

Jan‐12

May‐12

Sep‐12

Jan‐13

May‐13

Sep‐13

Jan‐14

May‐14

Sep‐14

Jan‐15

May‐15

Sep‐15

Jan‐16

Citigroup Pension Liability IndexBC Long CreditBC 20‐30 Yr STRIPS

‐1%0%1%2%3%4%5%6%7%8%9%

10%

Long

credit y

ield (b

y compo

nent) Spread (BC Long Cred OAS)

Inflation (LT Yield ‐ LT Real Yield)Real Rate (LT Real Yield)

0.0%0.5%1.0%1.5%2.0%2.5%3.0%3.5%4.0%4.5%5.0%

0‐5 Years 5‐10 Years 10‐15 Years 15+ Years 20+ Years

US Corp Spread

US Gov't Yield

‐2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

20‐30 YrSTRIPS

US AggLong Treas

US LongCredit

US LongGovt/Credit

US LongCredit A+

Long CorpA+

3‐Month Return

1 Year Return

March 31, 2016


76

US real yields have decreased slightly Global real yields mostly negative

US inflation expectations very low Global inflation expectations have seen recent uptick

Inflation and Real Rates

Source: Bloomberg *3-Mo data not available for Germany 4 year rate Source: Bloomberg


‐0.6%

‐0.4%

‐0.2%

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

US 5 Yr US 10 Yr

Real Yields

3M Previous Month End3M Forward 1 Yr Fwd ‐1.4%

‐1.2%‐1.0%‐0.8%‐0.6%‐0.4%‐0.2%0.0%0.2%0.4%0.6%

US 5 Yr Germany 4Yr

Britain 5 Yr France 5 Yr Australia 5Yr

Month End3‐Mo Previous

1.50%

1.70%

1.90%

2.10%

2.30%

2.50%

2.70%

2.90%

5y5y US Breakeven

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

Mar‐11

Jul‐1

1

Nov

‐11

Mar‐12

Jul‐1

2

Nov

‐12

Mar‐13

Jul‐1

3

Nov

‐13

Mar‐14

Jul‐1

4

Nov

‐14

Mar‐15

Jul‐1

5

Nov

‐15

Mar‐16

Infla

tion Breakeven

US 10 Yr UK 10 YrGermany 10 Yr France 10 YrAustralia 10 Yr

March 31, 2016


77

Yields higher relative to last year Gradual recovery in occupancy rates

PE Ratios near or above averages Recent MLP selloff and energy pressure

Inflation Sensitive Growth Assets

0

500

1000

1500

2000

2500

1985

1986

1988

1990

1992

1994

1996

1997

1999

2001

2003

2005

2007

2008

2010

2012

2014

Thou

sand

s

US Housing Starts SA

Source: Bloomberg, Alerian, Nareit, Standard and Poors Source: Bloomberg, CB Richard Ellis

Source: Bloomberg, US Census Bureau Source: Bloomberg, Alerian, Nareit, Standard and Poors

0%1%2%3%4%5%6%7%8%9%

Alerian MLP NAREIT Global NAREIT US S&P Glob NatRes

Divide

nd Yield

Month End Yield

1 Yr Previous Yield

75%

80%

85%

90%

95%

100%

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

US Occup

ancy Rate

Office IndustrialRetail Multi‐Family

0

5

10

15

20

25

30

PE Ratio

Alerian MLPNAREIT GlobalNAREIT USS&P Glob Nat Res

‐35%‐30%‐25%‐20%‐15%‐10%‐5%0%5%

10%15%20%

Alerian MLP NAREIT Glob NAREIT US NCREIFProperty

S&P GlobNat Res

3 Mo Return1 Yr Return

March 31, 2016


78

Contango in major commodity futures Precipitous fall in oil prices

US fuel production closing gap with consumption

Commodity indices negative over one year after oil-induced decline

Commodities


Source: Bloomberg, Standard and PoorsSource: Bloomberg, US Department of Energy *Crude oil and liquid fuels

‐5% ‐4% ‐3% ‐2% ‐1% 0% 1% 2%

Copper

Corn

Gold

Natural Gas

Oil

Soybeans

3‐Mo Future Roll Yield

0200400600800100012001400160018002000

0

20

40

60

80

100

120

140

160

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

$/Troy

Oun

ce

$/Ba

rrel

Crude Oil Spot (LHS)Gold Spot (RHS)

75

80

85

90

95

100

0

5

10

15

20

25

US ProductionUS ConsumptionWorld Production (RHS)World Consumption (RHS)

Crude oil and liquid fuels

‐35%

‐30%

‐25%

‐20%

‐15%

‐10%

‐5%

0%

5%

BloombergCommodity

GSCI GSCI Non‐Energy

3‐Month Return

1 Yr Return

March 31, 2016


79

�Glossary of Investment Terminology—Risk Statistics

Alpha - Measures the relationship between the fund performance and the per-formance of another fund or benchmark index and equals the excess return while the other fund or benchmark index is zero.

Alpha Jensen - The average return on a portfolio over and above that predict-ed by the capital asset pricing model (CAPM), given the portfolio's beta and the average market return. Also known as the abnormal return or the risk adjusted excess return.

Annualized Excess Return over Benchmark - Annualized fund return minus the annualized benchmark return for the calculated return.

Annualized Return - A statistical technique whereby returns covering periods greater than one year are converted to cover a 12 month time span.

Beta - Measures the volatility or systematic risk and is equal to the change in the fund’s performance in relation to the change in the assigned index’s perfor-mance.

Information Ratio - A measure of the risk adjusted return of a financial security, asset, or portfolio.

Formula: (Annualized Return of Portfolio - Annualized Return of Benchmark)/Annualized Standard Deviation(Period Portfolio Return – Period Benchmark Return). To an-nualize standard deviation, multiply the deviation by the square root of the number of periods per year where monthly returns per year equals 12 and quar-terly returns is four periods per year.

R-Squared – Represents the percentage of a fund’s movements that can be explained by movements in an index. R-Squared values range from 0 to 100. An R-Squared of 100 denotes that all movements of a fund are completely ex-plained by movements in the index.

Sharpe Ratio - A measure of the excess return or risk premium per unit of risk in an investment asset or trading strategy.

Sortino Ratio - A method to differentiate between good and bad volatility in the Sharpe Ratio. The differentiation of up and down volatility allows the calcu-lation to provide a risk adjusted measure of a security or fund's performance without upward price change penalties.

Formula: Calculation Average (X-Y)/Downside Deviation (X-Y) * 2 Where X=Return Series X Y = Return Series Y which is the risk free return (91 day T-bills)

Data Source: InvestorForce

Standard Deviation - The standard deviation is a statistical term that de-scribes the distribution of results. It is a commonly used measure of volatility of returns of a portfolio, asset class, or security. The higher the standard deviation the more volatile the returns are.

Formula: (Annualized Return of Portfolio – Annualized Return of Risk Free) / Annualized Standard Deviation (Portfolio Returns)

Tracking Error - Tracking error, also known as residual risk, is a measure of the degree to which a portfolio tracks its benchmark. It is also a measure of consistency of excess returns. Tracking error is computed as the annualized standard deviation of the difference between a portfolio's return and that of its benchmark.

Formula: Tracking Error = Standard Deviation (X-Y) * �( # of periods per year) Where X = periods portfolio return and Y = the period’s benchmark return For monthly returns, the periods per year = 12 For quarterly returns, the periods per year = 4

Treynor Ratio - A risk-adjusted measure of return based on systematic risk. Similar to the Sharpe ratio with the difference being the Treynor ratio uses beta as the measurement of volatility.

Formula: (Portfolio Average Return - Average Return of Risk-Free Rate)/Portfolio Beta

Up/Down Capture Ratio - A measure of what percentage of a market's re-turns is "captured" by a portfolio. For example, if the market declines 10% over some period, and the manager declines only 9%, then his or her capture ratio is 90%. In down markets, it is advantageous for a manager to have as low a cap-ture ratio as possible. For up markets, the higher the capture ratio the better. Looking at capture ratios can provide insight into how a manager achieves ex-cess returns. A value manager might typically have a lower capture ratio in both up and down markets, achieving excess returns by protecting on the downside, whereas a growth manager might fall more than the overall market in down markets, but achieve above-market returns in a rising market.

UpsideCapture = TotalReturn(FundReturns)/TotalReturns(BMReturn) when Peri-od Benchmark Return is > = 0

DownsideCapture = TotalReturn(FundReturns)/TotalReturns(BMReturn) when Benchmark <0 �

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�Glossary of Investment Terminology

# Of Portfolios/Observations1 – The total number of data points that make up a specified universe

Allocation Index3 - The allocation index measures the value added (or sub-tracted) to each portfolio by active management. It is calculated monthly: The portfolio asset allocation to each category from the prior month-end is multi-plied by a specified market index.

Asset Allocation Effect2 - Measures an investment manager’s ability to effec-tively allocate their portfolio’s assets to various sectors. The allocation effect determines whether the overweighting or underweighting of sectors relative to a benchmark contributes positively or negatively to the overall portfolio return. Positive allocation occurs when the portfolio is over weighted in a sector that outperforms the benchmark and underweighted in a sector that underperforms the benchmark. Negative allocation occurs when the portfolio is over weighted in a sector that underperforms the benchmark and under weighted in a sector that outperforms the benchmark.

Agency Bonds (Agencies)3 - The full faith and credit of the United States gov-ernment is normally not pledged to payment of principal and interest on the majority of government agencies issuing these bonds, with maturities of up to ten years. Their yields, therefore, are normally higher than government and their marketability is good, thereby qualifying them as a low risk-high liquidity type of investment. They are eligible as security for advances to the member banks by the Federal Reserve, which attests to their standing.

Asset Backed Securities (ABS)3 - Bonds which are similar to mortgage-backed securities but are collateralized by assets other than mortgages; com-monly backed by credit card receivables, auto loans, or other types of consumer financing.

Attribution3 - Attribution is an analytical technique that allows us to evaluate the performance of the portfolio relative to the benchmark. A proper attribution tells us where value was added or subtracted as a result of the manager’s deci-sions.

Data Source: 1InvestorForce, 2Interaction Effect Performance Attribution, 3NEPC, LLC, 4Investopedia, 5Hedgeco.net

Average Effective Maturity4 - For a single bond, it is a measure of maturity that takes into account the possibility that a bond might be called back to the issuer.

For a portfolio of bonds, average effective maturity is the weighted average of the maturities of the underlying bonds. The measure is computed by weighing each bond's maturity by its market value with respect to the portfolio and the likelihood of any of the bonds being called. In a pool of mortgages, this would also account for the likelihood of prepayments on the mortgages.

Batting Average1 - A measurement representing an investment manager's ability to meet or beat an index.

Formula: Divide the number of days (or months, quarters, etc.) in which the manager beats or matches the index by the total number of days (or months, quarters, etc.) in the period of question and multiply that factor by 100.

Brinson Fachler (BF) Attribution1 - The BF methodology is a highly accepted industry standard for calculating the allocation, selection, and interaction effects within a portfolio that collectively explains a portfolio’s underlying performance. The main advantage of the BF methodology is that rather than using the overall return of the benchmark, it goes a level deeper than BHB and measures wheth-er the benchmark sector, country, etc. outperformed/or underperformed the overall benchmark.

Brinson Hood Beebower (BHB) Attribution1 - The BHB methodology shows that excess return must be equal to the sum of all other factors (i.e., allocation effect, selection effect, interaction effect, etc.). The advantage to using the BHB methodology is that it is a highly accepted industry standard for calculating the allocation, selection, and interaction effects within a portfolio that collectively explains a portfolio’s underlying performance.

Corporate Bond (Corp) 4 - A debt security issued by a corporation and sold to investors. The backing for the bond is usually the payment ability of the compa-ny, which is typically money to be earned from future operations. In some cas-es, the company's physical assets may be used as collateral for bonds.

Correlation1 - A range of statistical relationships between two or more random variables or observed data values. A correlation is a single number that de-scribes the degree of relationship between variables.

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Coupon4 – The interest rate stated on a bond when it is issued. The coupon is typically paid semiannually. This is also referred to as the "coupon rate" or "coupon percent rate."

Currency Effect1 - Is the effect that changes in currency exchange rates over time affect excess performance.

Derivative Instrument3 - A financial obligation that derives its precise value from the value of one or more other instruments (or assets) at the same point of time. For example, the relationship between the value of an S&P 500 futures contract (the derivative instrument in this case) is determined by the value of the S&P 500 Index and the value of a U.S. Treasury bill that matures at the expiration of the futures contract.

Downside Deviation1 - Equals the standard deviation of negative return or the measure of downside risk focusing on the standard deviation of negative re-turns.

Formula: Annualized Standard Deviation (Fund Return - Average Fund Return) where average fund return is greater than individual fund returns, monthly or quarter-ly.

Duration3 - Duration is a measure of interest rate risk. The greater the dura-tion of a bond, or a portfolio of bonds, the greater its price volatility will be in response to a change in interest rates. A bond’s duration is inversely related to interest rates and directly related to time to maturity.

Equity/Debt/Cash Ratio1 – The percentage of an investment or portfolio that is in Equity, Debt, and/or Cash (i.e. A 7/89/4 ratio represents an investment that is made up of 7% Equity, 89% Debt, and 4% Cash).

Foreign Bond3 - A bond that is issued in a domestic market by a foreign entity, in the domestic market's currency. A foreign bond is most often issued by a foreign firm to raise capital in a domestic market that would be most interested in purchasing the firm's debt. For foreign firms doing a large amount of business in the domestic market, issuing foreign bonds is a common practice.

Hard Hurdle5 – is a hurdle rate that once beaten allows a fund manager to charge a performance fee on only the funds above the specified hurdle rate.


High-Water Mark4 - The highest peak in value that an investment fund/account has reached. This term is often used in the context of fund manager compensation, which is performance based. Some performance-based fees only get paid when fund performance exceeds the high-water mark. The high-water mark ensures that the manager does not get paid large sums for poor perfor-mance.

Hurdle Rate4 - The minimum rate of return on an investment required, in order for a manager to collect incentive fees from the investor, which is usually tied to a benchmark.

Interaction Effects2 - The interaction effect measures the combined impact of an investment manager’s selection and allocation decisions within a sector. For example, if an investment manager had superior selection and over weighted that particular sector, the interaction effect is positive. If an investment manag-er had superior selection, but underweighted that sector, the interaction effect is negative. In this case, the investment manager did not take advantage of the superior selection by allocating more assets to that sector. Since many invest-ment managers consider the interaction effect to be part of the selection or the allocation, it is often combined with the either effect.

Median3 - The value (rate of return, market sensitivity, etc.) that exceeds one-half of the values in the population and that is exceeded by one-half of the val-ues. The median has a percentile rank of 50.

Modified Duration3 - The percentage change in the price of a fixed income security that results from a change in yield.

Mortgage Backed Securities (MBS)3 - Bonds which are a general obligation of the issuing institution but are also collateralized by a pool of mortgages.

Municipal Bond (Muni) 4 - A debt security issued by a state, municipality or county to finance its capital expenditures.

Net Investment Change1 – Is the change in an investment after accounting for all Net Cash Flows.

Performance Fee4 - A payment made to a fund manager for generating posi-tive returns. The performance fee is generally calculated as a percentage of investment profits, often both realized and unrealized.

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Policy Index3 - A custom benchmark designed to indicate the returns that a passive investor would earn by consistently following the asset allocation targets set forth in this investment policy statement.

Price to Book (P/B)4 - A ratio used to compare a stock's market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter's book value per share, also known as the "price-equity ratio".

Price to Earnings (P/E)3 - The weighted equity P/E is based on current price and trailing 12 months earnings per share (EPS).

Price to Sales (P/S)4 - A ratio for valuing a stock relative to its own past per-formance, other companies, or the market itself. Price to sales is calculated by dividing a stock's current price by its revenue per share for the trailing 12 months.

Return on Equity (ROE)4 - The amount of net income returned as a percent-age of shareholders equity. Return on equity measures a corporation's profita-bility by revealing how much profit a company generates with the money share-holders have invested.

Selection (or Manager) Effect2 - Measures the investment manager’s ability to select securities within a given sector relative to a benchmark. The over or underperformance of the portfolio is weighted by the benchmark weight, there-fore, selection is not affected by the manager’s allocation to the sector. The weight of the sector in the portfolio determines the size of the effect—the larger the sector, the larger the effect is, positive or negative.

Soft Hurdle rate5 – is a hurdle rate that once beaten allows a fund manager to charge a performance fee based on the entire annualized return.

Tiered Fee1 – A fee structure that is paid to fund managers based on the size of the investment (i.e. 1.00% fee on the first $10M invested, 0.90% on the next $10M, and 0.80% on the remaining balance).

Total Effects2 - The active management (total) effect is the sum of the selec-tion, allocation, and interaction effects. It is also the difference between the total portfolio return and the total benchmark return. You can use the active management effect to determine the amount the investment manager has add-ed to a portfolio’s return.


Total Return1 - The actual rate of return of an investment over a specified time period. Total return includes interest, capital gains, dividends, and distributions realized over a defined time period.

Universe3 - The list of all assets eligible for inclusion in a portfolio.

Upside Deviation1 – Standard Deviation of Positive Returns

Weighted Avg. Market Cap.4 - A stock market index weighted by the market capitalization of each stock in the index. In such a weighting scheme, larger companies account for a greater portion of the index. Most indexes are con-structed in this manner, with the best example being the S&P 500.

Yield (%)3 - The current yield of a security is the current indicated annual divi-dend rate divided by current price. Yield to Maturity3 -The discount rate that equates the present value of cash flows, both principal and interest, to market price.

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Information Disclaimer

• Past performance is no guarantee of future results.

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

• NEPC’s source for portfolio pricing, calculation of accruals, and transaction information is the plan’s custodian bank. Information on market indices and security characteristics is received from other 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.

• Some index returns displayed in this report or used in calculation of a policy, allocation or custom benchmark may be preliminary and subject to change.

• This report is provided as a management aid for the client’s internal use only. Information contained in this report does not constitute a recommendation by NEPC.

• This report may contain confidential or proprietary information and may not be copied or redistributed to any party not legally entitled to receive it.

Reporting Methodology

• The client’s custodian bank is NEPC’s preferred data source unless otherwise directed. NEPC generally reconciles custodian data to manager data. If the custodian cannot provide accurate data, manager data may be used.

• Trailing time period returns are determined by geometrically linking the holding period returns, from the first full month after inception to the report date. Rates of return are annualized when the time period is longer than a year. Performance is presented gross and/or net of manager fees as indicated on each page.

• For managers funded in the middle of a month, the “since inception” return will start with the first full month, although actual inception dates and cash flows are taken into account in all Composite calculations.

• This report may contain forward-looking statements that are based on NEPC’s estimates, opinions and beliefs, but NEPC cannot guarantee that any plan will achieve its targeted return or meet other goals.

Information Disclaimer and Reporting Methodology

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Documents

Investment Performance Analysis for the period ending ...Final)2016.pdf · EMSO 89,640,171 0.8 2.2 99 10.3 1 8.0 1 2.8 6 -- -- -- -- 4.0 Sep-11 JP Morgan GBI - EM Diversified 11.0