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Item 6a, Attachment 1, Page 1 of 62WILSHIRE ASSOCIATES W i l s h i r e C o n s u l t i n g C a l i f o r n i a P u b l i c E m p l o y e e s R e t i r e m e n t S y s t e m P e r f o r m a n c e R e v i e w D e c e m b e r 3 1 , 2 0 1 7 Item 6a, Attachment 1, Page 2 of 62W i l s h i r e C o n s u l t i n g DECEMBER 2017 ASSET CLASS ASSUMPTIONS DEV EMG GLOBAL LT NON-USUS EX-US MRKT EX-US GLOBAL PRIVATE CORE CORE US HIGH BOND US GLOBAL PRIVATE REAL USSTOCK STOCK STOCK STOCK STOCK EQUITY CASH BOND BOND TIPS YIELD (HDG) RES RES RE CMDTY ASSETS CPIEXPECTED COMPOUND RETURN (%) 6.25 6.25 6.25 6.45 6.45 8.75 1.75 3.55 3.60 2.95 4.95 1.30 5.40 5.60 6.90 3.70 6.60 1.95EXPECTED ARITHMETIC RETURN (%) 7.55 7.70 9.20 8.05 7.80 12.10 1.75 3.70 4.05 3.10 5.40 1.35 6.75 6.75 7.80 4.75 6.95 1.95EXPECTED RISK (%) 17.00 18.00 26.00 18.75 17.15 28.00 1.25 5.15 9.85 6.00 10.00 3.50 17.00 15.80 14.00 15.00 8.40 1.75CASH YIELD (%) 2.00 3.00 2.00 2.75 2.35 0.00 1.75 3.55 4.75 3.05 8.15 1.65 3.95 3.95 2.65 1.75 2.85 0.00CORRELATIONSUS STOCK 1.00DEV EX-US STOCK (USD) 0.81 1.00EMERGING MARKET STOCK 0.74 0.74 1.00GLOBAL EX-US STOCK 0.83 0.96 0.86 1.00GLOBAL STOCK 0.94 0.92 0.82 0.94 1.00PRIVATE EQUITY 0.74 0.64 0.62 0.67 0.74 1.00CASH EQUIVALENTS -0.05 -0.09 -0.05 -0.08 -0.07 0.00 1.00CORE BOND 0.28 0.13 0.00 0.09 0.20 0.31 0.19 1.00LT CORE BOND 0.31 0.16 0.01 0.12 0.23 0.32 0.11 0.93 1.00US TIPS -0.05 0.00 0.15 0.05 0.00 -0.03 0.20 0.60 0.47 1.00HIGH YIELD BOND 0.54 0.39 0.49 0.45 0.51 0.34 -0.10 0.25 0.32 0.05 1.00NON-US BOND (HDG) 0.16 0.25 -0.01 0.18 0.18 0.26 0.10 0.67 0.64 0.39 0.26 1.00US RE SECURITIES 0.59 0.47 0.44 0.49 0.56 0.50 -0.05 0.17 0.23 0.10 0.56 0.05 1.00GLOBAL RE SECURITIES 0.65 0.59 0.56 0.62 0.66 0.58 -0.05 0.17 0.22 0.11 0.62 0.03 0.94 1.00PRIVATE REAL ESTATE 0.54 0.44 0.44 0.47 0.52 0.51 -0.05 0.19 0.25 0.09 0.57 0.05 0.77 0.76 1.00COMMODITIES 0.25 0.34 0.39 0.38 0.32 0.27 0.00 -0.02 -0.02 0.25 0.29 -0.10 0.25 0.28 0.25 1.00REAL ASSET BASKET 0.42 0.43 0.50 0.48 0.47 0.43 0.01 0.24 0.25 0.41 0.53 0.06 0.65 0.69 0.69 0.59 1.00INFLATION (CPI) -0.10 -0.15 -0.13 -0.15 -0.13 -0.10 0.10 -0.12 -0.12 0.15 -0.08 -0.08 0.05 0.03 0.05 0.44 0.26 1.00REAL ESTATEEQUITY FIXED INCOME REAL ASSETS2017 Wilshire Associates. 2 Item 6a, Attachment 1, Page 3 of 62W i l s h i r e C o n s u l t i n g ECONOMIC REVIEW AS OF DECEMBER 31, 2017CPI (ALL ITEMS)SEASONALLY ADJUSTED Dec-17 0.1 3-Mo. 0.6Nov-17 0.4 12-Mo. 2.1Oct-17 0.1 10-Yr. (Annual) 1.6BREAKEVEN INFLATION 10-Yr. 2.0CONSUMER SENTIMENT Dec-17 95.9U. OF MICHIGAN SURVEY Nov-17 98.51-Yr. Ago 98.2 10-Yr. Avg 79.1MANUFACTURING Dec-17 59.7INST. FOR SUPPLY MGMT Nov-17 58.2 >50 ExpansionPURCHASING MNGRS' IDX 1-Yr. Avg. 57.6 Item 6a, Attachment 1, Page 4 of 62W i l s h i r e C o n s u l t i n g ANNUAL EQUITY RETURNS U.S. Equity has now produced 9 straight years of positive returns since 2008 Wilshire 5000 Total Market Index was up +21.0% in 2017 EPS growth remained strong in 2017; Operating earnings rose 17.4% 3124 24-11 -11-2132136166-372817116331311321-10-22-12-21-29-32-13-8 -7 -8 -10-49-27-16-20-10-6-7-12 -11-3-60-50-40-30-20-10010203040WILSHIRE 5000 INDEXWORST INTRA-PERIOD SELLOFF VS ANNUAL RETURN (%)Annual Return Largest Selloff-15%-10%-5%0%5%10%15%20%S&P 500 EARNINGS GROWTH (Operating EPS)QoQ YoY2017 Wilshire Associates. 4 Item 6a, Attachment 1, Page 5 of 62W i l s h i r e C o n s u l t i n g HISTORICALLY LOW LEVELS OF EQUITY RISK 2017 was one of the least volatile years in nearly four decades Largest drawdown for the year was -2.75% Only 4 trading days where the market was down 1% or more Year 1% 2% 3% 4%Max Risk 40.56% -48.54% 71 42 24 17 -17.23%Avg 15.45% -13.81% 28.1 7.6 2.3 1.0 -4.00%Med 13.21% -9.94% 22.5 4.0 1.0 0.0 -3.29%Min Risk 6.96% -2.74% 3 0 0 0 -1.36%Level 6.96% -2.75% 4 0 0 0 -1.85%Rank 1 2 2 1 1 1 7Annual VolatilityLargest DrawdownNumber of Days Down: Worst Down Day0%5%10%15%20%25%30%35%40%45%1980 1985 1990 1995 2000 2005 2010 2015ANNUAL VOLATILITY (WILSHIRE 5000 INDEX)2017 Wilshire Associates. 5 Item 6a, Attachment 1, Page 6 of 62W i l s h i r e C o n s u l t i n g FEDERAL RESERVE Federal Reserve began their balance sheet normalization program during Q4; targeting $10B in reductions per month with the goal of reaching $50B per month in Q4 2018 Total reductions have equaled only $17B through mid-January 2018 $- $0.5 $1.0 $1.5 $2.0 $2.5 $3.0 $3.5 $4.0 $4.5 $5.0FEDERAL RESERVE: BALANCE SHEET FORECAST ($T)U.S. Treasuries Mortgage-backed Securities Other Original ForecastData sources: Federal Reserve 2017 Wilshire Associates. 6 Item 6a, Attachment 1, Page 7 of 62W i l s h i r e C o n s u l t i n g U.S. YIELD CURVE Shape of the curve had been steep since the global financial crisis; has recently flattened Current spread between 10-year and 2-year Treasury is well below average (0.56% vs. 0.96%) Tight spread present in 10-year forward curve as well (0.39%) Continued strong economic growth will put upward pressure on the long end of the curve (3.00) (2.00) (1.00) - 1.00 2.00 3.00 4.00YIELD CURVE SLOPE: 10-YR MINUS 2-YR SPREAD (%)10Yr - 2Yr 40 Year Average 10-Yr Fwd Curve Dec-17Data source: Federal Reserve 2017 Wilshire Associates. 7 Item 6a, Attachment 1, Page 8 of 62W i l s h i r e C o n s u l t i n g CalPERS Expected Return and Risk Estimates 6.10% 6.12%7.41% 7.43%11.47% 11.94%0.65%0.0%5.0%10.0%15.0%Target Allocation Actual AllocationExpected Return - 10 Yr Expected Return - 30 YrExpected Risk Expected Allocation Based TE2017 Wilshire Associates. 8 Item 6a, Attachment 1, Page 9 of 62W i l s h i r e C o n s u l t i n g Asset and Risk Allocation 54.0%20.0%13.0%9.0%4.0%0.0%Target Asset AllocationGrowthIncomeReal AssetsInflationLiquidityARS/Other Perf58.4%18.9%10.6%7.8%4.2%0.1%Actual Asset AllocationGrowthIncomeReal AssetsInflationLiquidityARS/Other Perf81.98%6.86% 9.69%1.47% -0.01% 0.00%Contribution to Total Risk - Target AllocationGrowthIncomeReal AssetsInflationLiquidityARS/Other Perf85.27%6.02%7.52%1.17% -0.01% 0.03%Contribution to Total Risk - Actual AllocationGrowthIncomeReal AssetsInflationLiquidityARS/Other Perf2017 Wilshire Associates. 9 Item 6a, Attachment 1, Page 10 of 62W i l s h i r e C o n s u l t i n g Drivers of Expected Excess Risk 4.40%-1.11%-2.39%-1.16%0.19% 0.08%-6.0%-4.0%-2.0%0.0%2.0%4.0%6.0%Growth Income Real Assets Inflation Liquidity ARS/OtherPerfCalPERS Asset Allocation Variance 101.64%0.19%-2.96%0.74%-0.03%0.42%-20.0%0.0%20.0%40.0%60.0%80.0%100.0%120.0%Growth Income Real Assets Inflation Liquidity ARS/OtherPerfContribution to TF Tracking Error This excess risk forecast is based on asset allocation variance only Other sources of risk (structural within asset classes, manager/program specific source of tracking error, covariance) are not considered here 2017 Wilshire Associates. 10 Item 6a, Attachment 1, Page 11 of 62W i l s h i r e C o n s u l t i n g Total Fund Performance Market Value Qtr 1-Year 3-Year 5-Year 10-Year VaR Sharpe InfoTOTAL FUND $350.0 bil 4.0% 15.7% 7.6% 9.0% 4.9% $42.6 bil 1.6 0.2Total Fund Policy Benchmark 4.0% 15.5% 7.6% 8.8% 6.1% 1.6 0.0Actuarial Rate 1.8% 7.5% 7.5% 7.5% 7.6%GROWTH 203.2 5.6% 23.2% 10.0% 11.9% 6.0% $42.7 bil 1.4 -0.2Growth Policy Benchmark 5.9% 24.2% 10.4% 12.4% 7.1% 1.5 0.0PUBLIC EQUITY 176.4 5.8% 24.0% 10.0% 11.8% 5.5% $36.0 bil 1.2 0.6Public Equity Policy Benchmark 5.8% 24.4% 9.9% 11.6% 5.8% 1.1 0.0PRIVATE EQUITY 26.7 4.2% 18.0% 9.9% 12.6% 9.1% $9.1 bil 3.6 -0.3Private Equity Policy Benchmark 6.1% 22.9% 12.0% 15.4% 13.2% 1.5 0.0INCOME 65.6 1.3% 7.2% 3.7% 3.3% 6.0% $7.3 bil 0.6 1.3Income Policy Benchmark 1.3% 6.6% 3.0% 2.5% 5.3% 0.4 0.0REAL ASSETS 36.8 2.0% 8.5% 9.4% 10.4% -0.9% $5.1 bil 1.7 0.1Real Assets Policy Benchmark 1.6% 6.4% 9.1% 9.9% 6.4% 2.4 0.0INFLATION 27.4 4.0% 6.3% 0.1% -2.0% 0.1% $2.0 bil -0.4 0.7Inflation Policy Benchmark 3.9% 6.2% -0.2% -2.5% 0.1% -0.4 0.0LIQUIDITY 14.7 0.3% 1.2% 0.7% 0.4% 1.1% $0.0 bil 0.2 -0.3Liquidity Policy Benchmark 0.3% 0.9% 0.6% 0.6% 1.2% 0.2 0.0ABSOLUTE RETURN STRATEGIES 0.3 1.8% 6.4% 0.6% 3.0% 1.5% 0.6 -0.5Absolute Return Strategies Policy Benchmark 1.2% 5.6% 5.5% 5.4% 5.9% 23.5 0.0EXTERNAL MULTI-ASSET CLASS COMPOSITE 1.4 4.8% 13.9% 5.8% 7.1% -.-% N/A N/AAbsolute 7.5% 1.8% 7.5% 7.5% 7.5% -.-% N/A N/ATRUST LEVEL PORTFOLIO MANAGEMENT / OTHER 0.7 -.-% -.-% -.-% -.-% -.-% N/A N/ATERMINATED AGENCY POOL 0.1 1.8% 5.0% 2.6% -.-% -.-% N/A N/ATOTAL FUND PLUS TAP 350.1 4.0% 15.7% 7.6% 9.0% 4.9% N/A N/A5-Year Ratios2017 Wilshire Associates. 11 Item 6a, Attachment 1, Page 12 of 62W i l s h i r e C o n s u l t i n g Total Fund Attribution (Quarter) Growth 57.88 5.61 54.00 5.86 3.88 -0.26 0.07 0.00 -0.15 -0.08Public Equity 49.96 5.82 46.00 5.82 3.96 0.00 0.07 0.00 0.00 0.07Private Equity 7.91 4.23 8.00 6.08 -0.09 -1.85 0.00 0.00 -0.15 -0.15Income 19.02 1.34 20.00 1.28 -0.98 0.06 0.02 0.00 0.01 0.04Real Assets 10.60 2.05 13.00 1.57 -2.40 0.48 0.06 -0.01 0.06 0.11Inflation 7.82 4.03 9.00 3.93 -1.18 0.09 0.00 0.00 0.01 0.01Ext. MAC/ARS/TLPM/Other 0.57 4.83 0.00 1.82 0.57 3.01 -0.01 0.02 0.00 0.00Liquidity 4.11 0.35 4.00 0.28 0.11 0.06 0.00 0.00 0.00 0.00Monthly Linked Return 100.00 4.06 100.00 3.98 0.08 0.14 0.00 -0.06 0.08Trading/Hedging/Other -0.02 0.00 -0.02 -0.02Total 4.04 3.98 0.06 0.06California Public Employees' Retirement SystemTotal Fund Attribution - QuarterAs of 12/31/2017Asset ClassActual (%) Policy (%) Difference (%) Total Fund Return Contribution (%)Weight Return Weight Return Weight ReturnActual AllocationInteractionActive ManagementTotal2017 Wilshire Associates. 12 Item 6a, Attachment 1, Page 13 of 62W i l s h i r e C o n s u l t i n g Total Fund Attribution (Calendar YTD) Growth 56.67 23.15 54.00 24.19 2.67 -1.04 0.21 -0.02 -0.52 -0.33Public Equity 48.56 24.03 46.00 24.38 2.56 -0.35 0.21 -0.01 -0.15 0.06Private Equity 8.10 18.04 8.00 22.90 0.10 -4.86 0.00 -0.01 -0.38 -0.38Income 19.00 7.22 20.00 6.57 -1.00 0.65 0.08 -0.01 0.14 0.21Real Assets 10.88 8.49 13.00 6.41 -2.12 2.09 0.19 -0.05 0.29 0.43Inflation 8.44 6.33 9.00 6.16 -0.56 0.17 0.01 0.00 0.02 0.02Ext. MAC/ARS/TLPM/Other 0.51 13.88 0.00 7.50 0.51 6.38 -0.04 0.04 0.00 -0.01Liquidity 4.50 1.15 4.00 0.86 0.50 0.30 -0.07 0.00 0.01 -0.05Monthly Linked Return 100.00 15.75 100.00 15.48 0.27 0.38 -0.05 -0.06 0.27Trading/Hedging/Other -0.02 0.00 -0.02 -0.02Total 15.73 15.48 0.25 0.25California Public Employees' Retirement SystemTotal Fund Attribution - Calendar Year-to-DateAs of 12/31/2017Asset ClassActual (%) Policy (%) Difference (%) Total Fund Return Contribution (%)Weight ReturnActive ManagementTotalWeight Return Weight ReturnActual AllocationInteraction2017 Wilshire Associates. 13 Item 6a, Attachment 1, Page 14 of 62W i l s h i r e C o n s u l t i n g Total Fund Attribution (Fiscal YTD) Growth 57.27 11.35 54.00 11.55 3.27 -0.19 0.12 0.00 -0.11 0.01Public Equity 49.32 11.62 46.00 11.62 3.32 0.00 0.12 0.00 0.00 0.12Private Equity 7.95 9.73 8.00 11.11 -0.05 -1.38 0.00 0.00 -0.11 -0.11Income 19.22 2.71 20.00 2.60 -0.78 0.12 0.03 0.00 0.02 0.06Real Assets 10.76 4.52 13.00 3.00 -2.24 1.51 0.10 -0.04 0.20 0.27Inflation 7.83 7.38 9.00 6.99 -1.17 0.39 0.01 0.00 0.04 0.04Ext. MAC/ARS/TLPM/Other 0.54 9.06 0.00 3.68 0.54 5.38 -0.02 0.03 0.00 0.01Liquidity 4.38 0.68 4.00 0.55 0.38 0.13 -0.02 0.00 0.01 -0.02Monthly Linked Return 100.00 8.10 100.00 7.74 0.36 0.22 -0.02 0.16 0.36Trading/Hedging/Other -0.01 0.00 -0.01 -0.01Total 8.09 7.74 0.35 0.35Weight ReturnActual AllocationInteractionActive ManagementTotalAs of 12/31/2017Asset ClassActual (%) Policy (%) Difference (%) Total Fund Return Contribution (%)Weight Return Weight ReturnCalifornia Public Employees' Retirement SystemTotal Fund Attribution - Fiscal Year-to-Date2017 Wilshire Associates. 14 Item 6a, Attachment 1, Page 15 of 62W i l s h i r e C o n s u l t i n g Total Fund Rolling Excess Returns 2017 Wilshire Associates. 15 Item 6a, Attachment 1, Page 16 of 62W i l s h i r e C o n s u l t i n g Total Fund Rolling Tracking Error 2017 Wilshire Associates. 16 Item 6a, Attachment 1, Page 17 of 62W i l s h i r e C o n s u l t i n g U.S. EQUITY MARKET 21.0-0.312.623.48.8-1.912.821.822.923.420.237.46.43.60.76.72.76.56.56.69.11.28.08.6Wilshire 5000TelecomUtilitiesMaterialsReal EstateEnergyCnsmr StplsIndustrialsCnsmr Discr.HealthcareFinancialsInfo. Tech.2.0%3.0%3.3%4.2%5.9%7.7%10.8%12.4%12.6%15.6%22.6%WILSHIRE 5000 SECTOR WEIGHT & RETURN (%)4th Quarter Year to DateAS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YRWILSHIRE 5000 INDEX 6.4 21.0 21.0 11.4 15.7 8.6WILSHIRE U.S. LARGE CAP 6.7 21.8 21.8 11.5 15.8 8.5WILSHIRE U.S. SMALL CAP 3.6 13.5 13.5 9.7 14.4 9.9WILSHIRE U.S. LARGE GROWTH 7.3 27.7 27.7 12.9 17.3 9.7WILSHIRE U.S. LARGE VALUE 6.1 16.3 16.3 10.0 14.4 7.2WILSHIRE U.S. SMALL GROWTH 4.2 19.6 19.6 9.8 14.9 9.9WILSHIRE U.S. SMALL VALUE 3.0 7.4 7.4 9.5 13.9 9.8WILSHIRE REIT INDEX 1.7 4.2 4.2 5.2 9.3 7.3MSCI USA MIN. VOL. INDEX 5.2 18.4 18.4 10.9 14.5 8.8FTSE RAFI U.S. 1000 INDEX 6.5 16.4 16.4 10.1 15.3 9.4-10.00%-5.00%0.00%5.00%10.00%15.00%Large Cap in excess of Small CapLARGE CAP VS SMALL CAPQTD Excess Return Rolling 3-Year Excess Return-10.00%-5.00%0.00%5.00%10.00%15.00%Growth in excess of ValueGROWTH VS VALUEQTD Excess Return Rolling 3-Year Excess ReturnData sources: Wilshire Compass, Wilshire Atlas 2017 Wilshire Associates. 17 Item 6a, Attachment 1, Page 18 of 62W i l s h i r e C o n s u l t i n g RETURNS BY QUALITY SEGMENT Generally speaking, higher quality names led the market for both the fourth quarter and 2017 - 5.00 10.00 15.00 20.00 25.00 30.004Q 17 YTD 2017Total Return (%)RETURN BY S&P QUALITY RATINGA+ A A- B+ B B- C / DA+ 5%A 11%A- 17%B+ 23%B 16%B- 9%C / D 4%N.A. 15%Segment Weightsas of September 30Data sources: Wilshire Atlas 2017 Wilshire Associates. 18 Item 6a, Attachment 1, Page 19 of 62W i l s h i r e C o n s u l t i n g NON-U.S. EQUITY MARKET AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YRMSCI ACWI EX-US ($G) 5.1 27.8 27.8 8.3 7.3 2.3MSCI EAFE ($G) 4.3 25.6 25.6 8.3 8.4 2.4MSCI EMERGING MARKETS ($G) 7.5 37.7 37.7 9.5 4.7 2.0MSCI FRONTIER MARKETS ($G) 5.6 32.3 32.3 5.5 9.7 -0.7MSCI ACWI EX-US GROWTH ($G) 5.8 32.5 32.5 9.7 8.4 2.8MSCI ACWI EX-US VALUE ($G) 4.3 23.4 23.4 6.9 6.2 1.8MSCI ACWI EX-US SMALL ($G) 6.6 32.1 32.1 12.5 10.5 5.2MSCI EAFE MINIMUM VOLATILITY 3.6 22.2 22.2 9.3 9.9 5.2FTSE RAFI DEVELOPED EX-US 4.7 25.7 25.7 8.7 8.9 2.8MSCI EAFE LC (G) 3.7 15.8 15.8 9.0 11.9 3.8MSCI EMERGING MARKETS LC (G) 5.7 31.0 31.0 10.9 8.4 4.525.621.823.528.230.122.524.34.37.11.82.61.65.78.5MSCI EAFEAustraliaSwitzerlandGermanyFranceUnited KingdomJapan6.9%8.0%9.8%10.7%17.8%24.0%MSCI EAFE: LARGEST COUNTRIES & RETURN (USD)4th Quarter Year to Date37.724.736.938.728.547.354.37.5-1.821.411.84.011.27.6MSCI Emrg MrktsBrazilSouth AfricaIndiaTaiwanSouth KoreaChina6.8%7.1%8.8%11.3%15.4%29.7%MSCI EM: LARGEST COUNTRIES & RETURN (USD)4th Quarter Year to DateData sources: Wilshire Compass 2017 Wilshire Associates. 19 Item 6a, Attachment 1, Page 20 of 62W i l s h i r e C o n s u l t i n g Growth: Public Equity Performance Market Value Qtr 1-Year 3-Year 5-Year 10-Year VaR5-year Sharpe Ratio5-year Info RatioPUBLIC EQUITY 176.4 5.8% 24.0% 10.0% 11.8% 5.5% $36.0 bil 1.2 0.6Public Equity Policy Benchmark 5.8% 24.4% 9.9% 11.6% 5.8% 1.1 0.0Value Added 0.0% -0.4% 0.1% 0.2% -0.3%US Equity Composite 88.9 6.4% 21.2% 10.9% 15.7% 8.5% 1.5 0.3Custom US Equity Benchmark 6.3% 21.7% 10.9% 15.5% 8.5% 1.5 0.0Value Added 0.1% -0.5% 0.0% 0.2% 0.0%Total Int'l Equity 87.5 5.2% 27.5% 9.0% 8.1% 2.7% 0.7 -0.2Custom Int'l Equity Benchmark 5.4% 27.2% 8.8% 8.2% 2.6% 0.7 0.0Value Added -0.2% 0.3% 0.2% -0.1% 0.1%2017 Wilshire Associates. 20 Item 6a, Attachment 1, Page 21 of 62W i l s h i r e C o n s u l t i n g Growth: Public Equity Rolling Excess Returns 2017 Wilshire Associates. 21 Item 6a, Attachment 1, Page 22 of 62W i l s h i r e C o n s u l t i n g Growth: Public Equity Rolling Tracking Error 2017 Wilshire Associates. 22 Item 6a, Attachment 1, Page 23 of 62W i l s h i r e C o n s u l t i n g Growth: U.S. Equity Rolling Excess Returns 2017 Wilshire Associates. 23 Item 6a, Attachment 1, Page 24 of 62W i l s h i r e C o n s u l t i n g Growth: U.S. Equity Rolling Tracking Error 2017 Wilshire Associates. 24 Item 6a, Attachment 1, Page 25 of 62W i l s h i r e C o n s u l t i n g Growth: International Equity Rolling Excess Returns 2017 Wilshire Associates. 25 Item 6a, Attachment 1, Page 26 of 62W i l s h i r e C o n s u l t i n g Growth: International Equity Rolling Tracking Error 2017 Wilshire Associates. 26 Item 6a, Attachment 1, Page 27 of 62W i l s h i r e P r i v a t e M a r k e t s PRIVATE EQUITY FUNDRAISING & INVESTMENT ACTIVITY Global Annual Private Equity Fundraising (2011 - 2017) Aggregate Capital Raised ($B) $500 1,400 1,200 1,000 $300 800 600 $200 400 $100 200 $0 0 2011 2012 2013 2014 2015 2016 2017 Aggregate Capital Raised ($B) No. of Funds Closed $500 Global Annual Private Equity-Backed Buyout Activity (2011 - 2017) 4,400 $400 No. of Funds3,200 3,400 3,600 3,800 4,000 4,200 $0 $100 $200 $300 $400 2011 2012 2013 2014 2015 2016 2017 No. of Deals Aggregate Deal Value ($B) Aggregate Deal Value ($B) No. of Deals Source: Preqin, as of December 31, 2017. 2017 Wilshire Associates. 27 Item 6a, Attachment 1, Page 28 of 62W i l s h i r e P r i v a t e M a r k e t s PRIVATE EQUITY PRICING & VALUATIONS Purchase Price Multiples (2000 - 2017)12x 10.6x 10.3x 10.0x 9.7x 9.7x 10x 9.1x 8.8x 8.7x 8.8x 8.5x 8.4x 8.4x 7.7x 8x 7.3x 7.1x 6.7x 6.6x 6.4x 6x 4x 2x 0x 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Venture Capital Median Pre-Money Valuations ($M) (2006 - 2017)$45 $300 $0 $0 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Angel/Seed Series A Series B Series C Series D+ $50 $100 $150 $200 $250 $5 $10 $15 $20 $25 $30 $35 $40 Series C, Series D+Angel/Seed, Series A, Series BSource: S&P LBO; Pitchbook, as of December 31, 2017 2017 Wilshire Associates. 28 Item 6a, Attachment 1, Page 29 of 62W i l s h i r e P r i v a t e M a r k e t s U.S. INVESTMENT ACTIVITY BY DEAL SIZE Percentage of Deal Volume by Deal Size (by Count) Percentage of Deal Volume by Deal Size (by Dollars) 100% 100% 90% $2.5B+ 90% 80% 80% $1B-70% 70% $2.5B 60% 60% $500M-$1B 50% 50% $100M-40% 40% $500M 30% 30% $25M-$100M 20% 20% Under 10% 10% $25M 0% 0% 2010 2011 2012 2013 2014 2015 2016 2017 Smaller investments again comprised a majority of deal volume in 2017 while there continues to be a limited number of deals over $2.5 billion More capital was invested into deals in the $500 million to $1 billion range in 2017 than in 2010 2011 2012 2013 2014 2015 2016 2017 prior years Source: PitchBook, as of December 31, 2017 2017 Wilshire Associates. 29 Item 6a, Attachment 1, Page 30 of 62W i l s h i r e P r i v a t e M a r k e t s PRIVATE EQUITY DRY POWDER Private Equity Dry Powder by Fund Type (2008 - Q3 2017) $1,400 $1,200 $1,000 $800 $600 $400 $200 $-2008 2009 2010 2011 2012 2013 2014 2015 2016 2017* Buyout Venture Growth Other Private Equity Global private equity dry powder continues to increase, topping $1.1 trillion across all fund types This abundant capital should continue to fuel private equity deal flow over the next few yearsDry Powder (bn) *Source: Preqin, as of September 30, 2017 2017 Wilshire Associates. 30 Item 6a, Attachment 1, Page 31 of 62W i l s h i r e P r i v a t e M a r k e t s PRIVATE EQUITY - U.S. DEBT MARKETS $0 $20 $40 $60 $80 $100 $120 $140 $160 $180 $200 Total U.S. LBO Loan Volume ($B) (2006 - 2017) 20% 30% 40% 50% 60% 70% Percentage of Debt Used in LBOs 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 $50M or more of EBITDA Less than $50M of EBITDA Funded Bank Debt Unfunded Bank Debt The amount of capital available for leverage in LBOs has decreased considerably since its peak volume in 2007; however, loan volume in 2017 increased by approximately $27 billion from 2016 LBOs of companies with under $50 million of EBITDA were financed with less debt than in prior years Source: S&P LBO, as of December 31, 2017 2017 Wilshire Associates. 31 Item 6a, Attachment 1, Page 32 of 62W i l s h i r e P r i v a t e M a r k e t s PRIVATE EQUITY- U.S. LBO PURCHASE PRICE MULTIPLES Purchase Price Multiples of U.S. LBO Transactions (2006 - 2017) 12x 10.6x 10.3x 10.0x 9.7x 9.7x 10x 9.1x 8.8x 8.7x 8.8x 8.5x 7.7x 8.4x 8x 6x 4x 2x 0x 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Debt/EBITDA Equity/EBITDA Others As debt remains readily available, purchase price multiples for U.S. LBOs continue to increase and remain high relative to 2009s low Source: S&P LBO, as of December 31, 2017 2017 Wilshire Associates. 32 Item 6a, Attachment 1, Page 33 of 62W i l s h i r e C o n s u l t i n g Growth: Private Equity Performance Market Value Qtr 1-Year 3-Year 5-Year 10-Year VaR5-year Sharpe Ratio5-year Info RatioPRIVATE EQUITY 26.7 4.2% 18.0% 9.9% 12.6% 9.1% $9.1 bil 3.6 -0.3PE Policy Benchmark 6.1% 22.9% 12.0% 15.4% 13.2% 1.5 0.0Value Added -1.9% -4.9% -2.1% -2.8% -4.1%Private Equity Partnership Investments 26.5 4.2% 18.0% 10.0% 12.7% 9.3%Private Equity Distribution Stock 0.2 8.7% 53.8% -18.8% -13.2% -9.3%2017 Wilshire Associates. 33 Item 6a, Attachment 1, Page 34 of 62W i l s h i r e C o n s u l t i n g Growth: Private Equity Rolling Excess Returns 2017 Wilshire Associates. 34 Item 6a, Attachment 1, Page 35 of 62W i l s h i r e C o n s u l t i n g Growth: Private Equity Rolling Tracking Error 2017 Wilshire Associates. 35 Item 6a, Attachment 1, Page 36 of 62W i l s h i r e C o n s u l t i n g U.S. FIXED INCOME 02004006008001,0001,2001,4001,6001,8002,000Option Adjusted Spread (bps)BLOOMBERG BARCLAYS FIXED INCOME INDEXESSecuritized IG Corporate Aa Corporate High Yield0.000.501.001.502.002.503.003.500 5 10 15 20 25 30Yield (%)Maturity (yrs)TREASURY YIELD CURVECurrent Quarter Previous Quarter One Year AgoAS OF DECEMBER 31, 2017 YTM DURATION QTR YTD 1 YR 3 YR 5 YR 10 YRBLOOMBERG BARCLAYS AGGREGATE 2.7 6.0 0.4 3.6 3.6 2.2 2.1 4.0BLOOMBERG BARCLAYS TREASURY 2.2 6.2 0.1 2.3 2.3 1.4 1.3 3.3BLOOMBERG BARCLAYS GOV'T-REL. 2.7 5.5 0.3 4.2 4.2 2.2 1.9 3.7BLOOMBERG BARCLAYS SECURITIZED 2.9 4.4 0.2 2.5 2.5 1.9 2.0 3.8BLOOMBERG BARCLAYS CORPORATE 3.3 7.6 1.2 6.4 6.4 3.9 3.5 5.7BLOOMBERG BARCLAYS LT G/C 3.5 15.4 2.8 10.7 10.7 4.5 4.4 7.3BLOOMBERG BARCLAYS LT TREASURY 2.7 17.6 2.4 8.5 8.5 2.8 3.5 6.6BLOOMBERG BARCLAYS LT GOV't-REL. 4.0 12.6 2.1 11.9 11.9 4.5 4.1 7.0BLOOMBERG BARCLAYS LT CORP. 4.0 14.3 3.3 12.1 12.1 5.9 5.3 7.8BLOOMBERG BARCLAYS U.S. TIPS * 2.4 7.7 1.3 3.0 3.0 2.0 0.1 3.5BLOOMBERG BARCLAYS HIGH YIELD 6.2 3.9 0.5 7.5 7.5 6.3 5.8 8.0TREASURY BILLS 1.4 0.25 0.3 0.8 0.8 0.4 0.3 0.4* Yield and Duration statistics are for a proxy index based on similar maturity, the Bloomberg Barclays U.S. Treasury 7-10 Year IndexData sources: Wilshire Compass, Bloomberg Barclays, U.S. Treasury 2017 Wilshire Associates. 36 Item 6a, Attachment 1, Page 37 of 62W i l s h i r e C o n s u l t i n g HIGH YIELD BOND MARKET AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YRBLOOMBERG BARCLAYS HIGH YIELD 0.5 7.5 7.5 6.3 5.8 8.0CREDIT SUISSE LEVERAGED LOAN 1.2 4.2 4.2 4.5 4.3 4.6HIGH YIELD QUALITY DISTRIBUTION WEIGHTBa U.S. HIGH YIELD 44.1% 0.4 7.3 7.3 6.2 5.8 8.4B U.S. HIGH YIELD 40.3% 0.4 6.5 6.5 5.5 5.1 6.5Caa U.S. HIGH YIELD 14.4% 1.0 10.4 10.4 8.4 7.5 7.8Ca to D U.S. HIGH YIELD 1.1% 0.8 13.8 13.8 -3.0 -10.1 -0.4Non-Rated U.S. HIGH YIELD 0.2% -2.0 9.2 9.2 -2.5 0.9 1.305001,0001,5002,0002,5003,000Option Adjusted Spread (bps)BLOOMBERG BARCLAYS HIGH YIELD INDEXESHY Index Ba B CaaData sources: Wilshire Compass, Bloomberg Barclays 2017 Wilshire Associates. 37 Item 6a, Attachment 1, Page 38 of 62W i l s h i r e C o n s u l t i n g NON-U.S. FIXED INCOME AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YRDEVELOPED MARKETSBLMBRG BRCLYS GLBL AGGREGATE xUS 1.6 10.5 10.5 1.8 -0.2 2.4BLMBRG BRCLYS GLBL AGGREGATE xUS * 1.1 2.5 2.5 2.9 3.7 4.2BLMBRG BRCLYS GLOBAL INF LNKD xUS 3.9 12.8 12.8 2.6 2.4 3.3BLMBRG BRCLYS GLOBAL INF LNKD xUS * 3.4 3.3 3.3 5.7 5.8 5.8EMERGING MARKETS (HARD CURRENCY)BLMBRG BRCLYS EM USD AGGREGATE 0.6 8.2 8.2 6.4 3.9 7.0EMERGING MARKETS (FOREIGN CURRENCY)BLMBRG BRCLYS EM LOCAL CURR. GOV'T 2.2 14.3 14.3 2.7 0.3 n.a.BLMBRG BRCLYS EM LOCAL CURR. GOV'T * 0.0 3.6 3.6 2.3 1.8 n.a.EURO vs. DOLLAR 1.6 13.8 13.8 -0.3 -1.9 -2.0YEN vs. DOLLAR -0.1 3.5 3.5 2.1 -5.2 -0.1POUND vs. DOLLAR 0.8 9.5 9.5 -4.6 -3.6 -3.8* Returns are reported in terms of local market investors, w hich removes currency effects.0.002.004.006.008.0010.0012.00Yield to Worst (%)BLOOMBERG BARCLAYS FIXED INCOME INDEXESU.S. Treasury Global xUS Gov't EM USD Sovereign EM Foreign Gov't-25%-20%-15%-10%-5%0%5%10%15%20%25%0102030405060708090100Rolling 1-Year ReturnIndex LevelU.S. DOLLAR INDEX: MAJOR CURRENCIESIndex Level Rolling 1-Year ReturnData sources: Wilshire Compass, Bloomberg Barclays, Federal Reserve Bank of St. Louis 2017 Wilshire Associates. 38 Item 6a, Attachment 1, Page 39 of 62W i l s h i r e C o n s u l t i n g Income Performance Market Value Qtr 1-Year 3-Year 5-Year 10-Year VaR5-year Sharpe Ratio5-year Info RatioINCOME 65.6 1.3% 7.2% 3.7% 3.3% 6.0% $7.3 bil 0.6 1.3Income Policy Benchmark 1.3% 6.6% 3.0% 2.5% 5.3% 0.4 0.0Value Added 0.0% 0.6% 0.7% 0.8% 0.7%U.S. Income 59.8 1.4% 6.7% 3.9% 3.7% 6.3% 0.8 1.4U.S. Income Policy Benchmark 1.3% 6.0% 3.2% 2.9% 5.6% 0.5 0.0Value Added 0.1% 0.7% 0.7% 0.8% 0.7%Non-U.S. Income 5.7 1.2% 12.6% 2.0% -0.5% 3.1% -0.2 0.8Non-US Income Policy Benchmark 1.3% 11.6% 1.8% -1.0% 2.1% -0.2 0.0Value Added -0.1% 1.0% 0.2% 0.5% 1.0%2017 Wilshire Associates. 39 Item 6a, Attachment 1, Page 40 of 62W i l s h i r e C o n s u l t i n g Income Rolling Excess Returns 2017 Wilshire Associates. 40 Item 6a, Attachment 1, Page 41 of 62W i l s h i r e C o n s u l t i n g Income Rolling Tracking Error 2017 Wilshire Associates. 41 Item 6a, Attachment 1, Page 42 of 62W i l s h i r e C o n s u l t i n g U.S. Income Rolling Excess Returns 2017 Wilshire Associates. 42 Item 6a, Attachment 1, Page 43 of 62W i l s h i r e C o n s u l t i n g U.S. Income Rolling Tracking Error 2017 Wilshire Associates. 43 Item 6a, Attachment 1, Page 44 of 62W i l s h i r e C o n s u l t i n g International Income Rolling Excess Returns 2017 Wilshire Associates. 44 Item 6a, Attachment 1, Page 45 of 62W i l s h i r e C o n s u l t i n g International Income Rolling Tracking Error 2017 Wilshire Associates. 45 Item 6a, Attachment 1, Page 46 of 62W i l s h i r e C o n s u l t i n g REAL ASSETS AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YRBLOOMBERG BARCLAYS U.S. TIPS 1.3 3.0 3.0 2.0 0.1 3.5BLOOMBERG COMMODITY INDEX 4.7 1.7 1.7 -5.0 -8.5 -6.8WILSHIRE GLOBAL RESI INDEX 3.2 10.0 10.0 5.8 8.0 5.4NCREIF ODCE FUND INDEX 2.1 7.6 7.6 10.4 11.5 5.0NCREIF TIMBERLAND INDEX 1.5 3.6 3.6 3.7 6.2 4.4ALERIAN MLP INDEX (OIL & GAS) -1.0 -6.5 -6.5 -9.3 -0.1 6.00.00%2.00%4.00%6.00%8.00%10.00%12.00%0.00%2.00%4.00%6.00%8.00%10.00%12.00%Current YieldCurrent Cap RateREAL ESTATE VALUATIONNPI Current Value Cap Rate Wilshire RESI Current Yield 10-Year Treasury Yield-40.0-30.0-20.0-10.00.010.020.030.0Return (%)NCREIF ODCE FUND INDEX RETURNAppreciation Income Total ReturnData sources: Wilshire Compass, National Council of Real Estate Investment Fiduciaries 2017 Wilshire Associates. 46 Item 6a, Attachment 1, Page 47 of 62W i l s h i r e C o n s u l t i n g Inflation Performance Market Value Qtr 1-Year 3-Year 5-Year 10-Year VaR5-year Sharpe Ratio5-year Info RatioINFLATION 27.4 4.0% 6.3% 0.1% -2.0% 0.1% $2.0 bil -0.4 0.7Inflation Policy Benchmark 3.9% 6.2% -0.2% -2.5% 0.1% -0.4 0.0Value Added 0.1% 0.1% 0.3% 0.5% -.-%Internal Commodities 4.8 9.9% 5.9% -7.5% -12.3% -.-%GSCI Total Return Index 9.9% 5.8% -7.5% -12.2% -.-%Value Added 0.0% 0.1% 0.0% -0.1% -.-%Core Inflation Linked Bonds 18.4 1.9% 6.7% 1.8% 0.8% -.-%Custom Benchmark 2.1% 6.6% 1.8% 0.6% -.-%Value Added -0.2% 0.1% 0.0% 0.2% -.-%Tactical Commodities 2.1 11.3% 7.0% -7.7% -.-% -.-%GSCI Total Return Index 9.9% 5.8% -7.5% -.-% -.-%Value Added 1.4% 1.2% -0.2% -.-% -.-%Tactical TIPS 2.1 1.2% 2.9% 1.8% -.-% -.-%CalPERS TIPS 1.3% 3.0% 2.1% -.-% -.-%Value Added -0.1% -0.1% -0.3% -.-% -.-%2017 Wilshire Associates. 47 Item 6a, Attachment 1, Page 48 of 62W i l s h i r e C o n s u l t i n g Inflation Rolling Excess Returns 2017 Wilshire Associates. 48 Item 6a, Attachment 1, Page 49 of 62W i l s h i r e C o n s u l t i n g Inflation Rolling Tracking Error 2017 Wilshire Associates. 49 Item 6a, Attachment 1, Page 50 of 62W i l s h i r e P r i v a t e M a r k e t s PRIVATE REAL ESTATE FUNDRAISING ACTIVITY Aggregate Capital Raised ($B) Global Closed-End Private Real Estate Fundraising (2011 - 2017)$160 400 $140 350 $120 300 $100 250 $80 200 $60 150 $40 100 $20 50 $0 0 2011 2012 2013 2014 2015 2016 2017 Aggregate Capital Raised ($B) No. of Funds Closed-End Private Real Estate Fundraising in 2017 by Primary Geographic Focus 180 160 150 120 90 67 57 60 30 29 30 1710 3 0 North America Europe Asia Rest of World No. of Funds Closed Aggregate Capital Raised ($B) No. of FundsSource: Preqin, as of December 31, 2017 2017 Wilshire Associates. 50 Item 6a, Attachment 1, Page 51 of 62W i l s h i r e C o n s u l t i n g COMMERCIAL PROPERTY Data sources: CB Richard Ellis 2017 Wilshire Associates. 51 Item 6a, Attachment 1, Page 52 of 62W i l s h i r e P r i v a t e M a r k e t s UNLISTED INFRASTRUCTURE FUNDRAISING & INVESTMENT ACTIVITY 0 20 40 60 80 $0 $10 $20 $30 $40 $50 $60 No. of FundsAggregate Capital Raised ($B)Global Unlisted Infrastructure Fundraising (2011 - 2017)$70 100 2011 2012 2013 2014 2015 2016 2017 Aggregate Capital Raised ($B) No. of Funds Unlisted Infrastructure Fundraising in 2017 by Primary Geographic Focus 40 35 35 2830 23 22 20 15 25 11 710 7 5 2 0 North America Europe Asia Rest of World No. of Funds Closed Aggregate Capital Raised ($B) Source: Preqin, as of December 31, 2017 2017 Wilshire Associates. 52 Item 6a, Attachment 1, Page 53 of 62W i l s h i r e C o n s u l t i n g TIMBER Data sources: Forest Investment Associates 2017 Wilshire Associates. 53 Item 6a, Attachment 1, Page 54 of 62W i l s h i r e C o n s u l t i n g Real Assets Performance Market Value Qtr 1-Year 3-Year 5-Year 10-Year VaR5-year Sharpe Ratio5-year Info RatioREAL ASSETS 36.8 2.0% 8.5% 9.4% 10.4% -0.9% $5.1 bil 1.7 0.1Real Assets Policy Benchmark 1.6% 6.4% 9.1% 9.9% 6.4% 2.4 0.0Value Added 0.4% 2.1% 0.3% 0.5% -7.3%Real Estate 30.7 1.4% 7.8% 10.0% 10.9% -1.3% $4.7 bil 1.6 0.1Real Estate Policy Benchmark 1.6% 6.7% 9.8% 10.6% 7.2% 2.3 0.0Value Added -0.2% 1.1% 0.2% 0.3% -8.5%Forestland 2.0 -0.1% 0.8% -3.0% -0.1% -0.4%NCREIF Timberland Index 0.6% 3.3% 5.2% 7.1% 5.2%Value Added -0.7% -2.5% -8.2% -7.2% -5.6%Infrastructure 4.2 8.2% 18.2% 12.4% 14.3% 13.3%CPI + 400 BPS 1Qtr Lag 1.8% 6.3% 5.3% 5.3% 6.2%Value Added 6.4% 11.9% 7.1% 9.0% 7.1%2017 Wilshire Associates. 54 Item 6a, Attachment 1, Page 55 of 62W i l s h i r e C o n s u l t i n g Real Assets Rolling Excess Returns 2017 Wilshire Associates. 55 Item 6a, Attachment 1, Page 56 of 62W i l s h i r e C o n s u l t i n g Real Assets Rolling Tracking Error 2017 Wilshire Associates. 56 Item 6a, Attachment 1, Page 57 of 62W i l s h i r e C o n s u l t i n g Real Estate Rolling Excess Returns 2017 Wilshire Associates. 57 Item 6a, Attachment 1, Page 58 of 62W i l s h i r e C o n s u l t i n g Real Estate Rolling Tracking Error 2017 Wilshire Associates. 58 Item 6a, Attachment 1, Page 59 of 62W i l s h i r e C o n s u l t i n g HEDGE FUND PERFORMANCE AS OF DECEMBER 31, 2017 QTR YTD 1 YR 3 YR 5 YR 10 YRDJ CS HEDGE FUND INDEX 2.3 7.1 7.1 2.5 4.2 3.2EVENT DRIVEN 1.5 6.3 6.3 0.8 3.7 3.0GLOBAL MACRO 1.9 2.2 2.2 2.0 2.7 4.4LONG/SHORT EQUITY 3.3 13.4 13.4 4.3 7.1 4.0MULTI-STRATEGY 0.3 6.8 6.8 5.0 6.4 4.9WILSHIRE 5000 6.4 21.0 21.0 11.4 15.7 8.6MSCI ACWI EX-US ($G) 5.1 27.8 27.8 8.3 7.3 2.3BLOOMBERG BARCLAYS AGGREGATE 0.4 3.6 3.6 2.2 2.1 4.0DOW JONES UBS COMMODITY 4.7 1.7 1.7 -5.0 -8.5 -6.8DJ CS Hedge Fund IndexWilshire 5000 IndexBarclays Aggregate Bond IndexDow Jones UBS Commodity IndexMSCI ACWI ex-US ($g)0.40 0.49 1.10 (0.35)0.09 -8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%10.00%0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00%Annualized ReturnAnnualized RiskHEDGE FUND 10-YEAR RISK/RETURNNote: Sharpe Ratio included to the left of each marker.Data sources: Wilshire Compass 2017 Wilshire Associates. 59 Item 6a, Attachment 1, Page 60 of 62W i l s h i r e C o n s u l t i n g ARS Distribution of Performance Market Value Qtr 1-Year 3-Year 5-Year 10-Year5-Year Info Ratio5-Year Up Capture Ratio5-Year Sharpe Ratio5-Year Sortino RatioAbsolute Return Strategies 0.3 1.8% 6.4% 0.6% 3.0% 1.5% -0.5 0.5 0.6 0.9ARS Policy Benchmar 1.2% 5.6% 5.5% 5.4% 5.9%Value Added 0.6% 0.8% -4.9% -2.4% -4.4%Total Direct Investments 0.3 1.8% 6.1% 0.4% 2.9% 1.7%Total Funds of Funds 0.0 0.0% 30.6% 9.3% 7.7% 3.3%HFRI Fund of Funds Index 0.6% -0.4% 3.9% 2.1% 2.3%2017 Wilshire Associates. 60 Item 6a, Attachment 1, Page 61 of 62W i l s h i r e C o n s u l t i n g ASSET CLASS PERFORMANCE ANNUALIZED5-YEAR2012 2013 2014 2015 2016 2017 AS OF 12/2017Emrg Mrkts U.S. Equity REITs REITs MLPs Emrg Mrkts U.S. Equity18.6% 33.1% 31.8% 4.2% 18.3% 37.7% 15.7%Developed MLPs U.S. Equity U.S. Equity High Yield Developed REITs17.9% 27.6% 12.7% 0.7% 17.1% 25.6% 9.3%REITs Developed Core Bond Core Bond U.S. Equity U.S. Equity Developed17.6% 23.3% 6.0% 0.6% 13.4% 21.0% 8.4%U.S. Equity High Yield MLPs T-Bills Commodities High Yield High Yield16.1% 7.4% 4.8% 0.1% 11.8% 7.5% 5.8%High Yield REITs U.S. TIPS Developed Emrg Mrkts REITs Emrg Mrkts15.8% 1.9% 3.6% -0.4% 11.6% 4.2% 4.7%U.S. TIPS T-Bills High Yield U.S. TIPS REITs Core Bond Core Bond7.0% 0.1% 2.5% -1.4% 7.2% 3.6% 2.1%MLPs Core Bond T-Bills High Yield U.S. TIPS U.S. TIPS T-Bills4.8% -2.0% 0.0% -4.5% 4.7% 3.0% 0.3%Core Bond Emrg Mrkts Emrg Mrkts Emrg Mrkts Core Bond Commodities U.S. TIPS4.2% -2.3% -1.8% -14.6% 2.6% 1.7% 0.1%T-Bills U.S. TIPS Developed Commodities Developed T-Bills MLPs0.1% -8.6% -4.5% -24.7% 1.5% 0.8% -0.1%Commodities Commodities Commodities MLPs T-Bills MLPs Commodities-1.0% -9.5% -17.0% -32.6% 0.3% -6.5% -8.5%ASSET CLASS RETURNS - BEST TO WORSTData sources: Wilshire Compass Note: Developed asset class is developed equity markets ex-U.S., ex-Canada 2017 Wilshire Associates. 61 Item 6a, Attachment 1, Page 62 of 62W i l s h i r e C o n s u l t i n g IMPORTANT INFORMATION This material contains confidential and proprietary information of Wilshire Associates Incorporated (Wilshire), and is intended for the exclusive use of the person to whom it is provided. It may not be disclosed, reproduced or redistributed, in whole or in part, to any other person or entity without prior written permission from Wilshire. Third party information contained herein has been obtained from sources believed to be reliable. Wilshire gives no representations or warranties as to the accuracy of such information, and accepts no responsibility or liability (including for indirect, consequential or incidental damages) for any error, omission or inaccuracy in such information and for results obtained from its use. Information and opinions are as of the date indicated, and are subject to change without notice. This material is intended for informational purposes only and should not be construed as legal, accounting, tax, investment, or other professional advice. This report may include estimates, projections and other "forward-looking statements." Due to numerous factors, actual events may differ substantially from those presented. Wilshire is a registered service mark of Wilshire Associates Incorporated, Santa Monica, California. All other trade names, trademarks, and/or service marks are the property of their respective holders. Copyright 2017 Wilshire Associates Incorporated. All rights reserved. 2017 Wilshire Associates. 62 Structure BookmarksWilshire ConsultingWILSHIRE ASSOCIATESCalifornia Public Employees Retirement System2017 Wilshire Associates. 2 Wilshire Consulting DECEMBER 2017 ASSET CLASS ASSUMPTIONS 2017 Wilshire Associates. 3 Wilshire ConsultingECONOMIC REVIEWData sources: Bureau of Labor Statistics, U.S. Treasury, University of Michigan, Institute for Supply Management, Bureau of Economic Analysis 2017 Wilshire Associates. 4 U.S. Equity has now produced 9 straight years of positive returns since 2008Wilshire ConsultingANNUAL EQUITY RETURNS2017 Wilshire Associates. 5 2017 was one of the least volatileyears in nearly four decadesWilshire ConsultingHISTORICALLY LOW LEVELS OFEQUITY RISK 2017 Wilshire Associates. 6 Federal Reserve began their balance sheet normalization program during Q4; targeting $10B in reductions per month with the goal of reaching $50B per month in Q4 2018 Wilshire Consulting FEDERAL RESERVE Data sources: Federal Reserve 2017 Wilshire Associates. 7 Shape of the curve had been steep since the global financial crisis; has recently flattenedWilshire ConsultingU.S. YIELD CURVEData source: Federal Reserve 2017 Wilshire Associates. 8 Wilshire Consulting CalPERS Expected Return and Risk Estimates 2017 Wilshire Associates. 9 Wilshire Consulting Asset and Risk Allocation 2017 Wilshire Associates. 10 Wilshire Consulting Drivers of Expected Excess Risk This excess risk forecast is based on asset allocation variance only 2017 Wilshire Associates. 11 Wilshire ConsultingTotal Fund Performance 2017 Wilshire Associates. 12 Wilshire ConsultingTotal Fund Attribution (Quarter) 2017 Wilshire Associates. 13 Wilshire Consulting Total Fund Attribution (Calendar YTD) 2017 Wilshire Associates. 14 Wilshire Consulting Total Fund Attribution (Fiscal YTD) 2017 Wilshire Associates. 15 Wilshire Consulting Total Fund Rolling Excess Returns 2017 Wilshire Associates. 16 Wilshire ConsultingTotal Fund Rolling Tracking Error 2017 Wilshire Associates. 17 Wilshire Consulting U.S. EQUITY MARKET Data sources: Wilshire Compass, Wilshire Atlas 2017 Wilshire Associates. 18 Generally speaking, higher quality names led the market for both the fourth quarter and 2017 Wilshire ConsultingRETURNS BY QUALITY SEGMENTData sources: Wilshire Atlas 2017 Wilshire Associates. 19 Wilshire Consulting NON-U.S. EQUITY MARKET Data sources: Wilshire Compass 2017 Wilshire Associates. 20 Wilshire Consulting Growth: 2017 Wilshire Associates. 21 Wilshire Consulting Growth: 2017 Wilshire Associates. 22 Wilshire Consulting Growth: 2017 Wilshire Associates. 23 Wilshire ConsultingGrowth: 2017 Wilshire Associates. 24 Wilshire Consulting Growth: 2017 Wilshire Associates. 25 Wilshire Consulting Growth: 2017 Wilshire Associates. 26 Wilshire Consulting Growth: 2017 Wilshire Associates. 27 Wilshire Private Markets PRIVATE EQUITY FUNDRAISING & INVESTMENT ACTIVITY Source: Preqin, as of December 31, 2017. 02004006008001,0001,2001,400$0$100$200$300$400$5002011201220132014201520162017No. of Funds Aggregate Capital Raised ($B) Global Annual Private Equity Fundraising (2011 - 2017) Aggregate Capital Raised ($B)No. of Funds Closed3,2003,4003,6003,8004,0004,2004,400$0$100$200$300$400$5002011201220132014201520162017No. of Deals Aggregate Deal Value ($B) Global Annual Private Equity-Backed Buyout Activity (2011 - 2017) Aggregate Deal Value ($B)No. of Deals2017 Wilshire Associates. 28 Wilshire Private MarketsPRIVATE EQUITY PRICING &VALUATIONS Source: S&P LBO; Pitchbook, as of December 31, 2017 6.7x 6.4x 6.6x 7.1x 7.3x 8.4x 8.4x 9.7x 9.1x 7.7x 8.5x 8.8x 8.7x 8.8x 9.7x 10.3x 10.0x 10.6x 0x2x4x6x8x10x12x200020012002200320042005200620072008200920102011201220132014201520162017Purchase Price Multiples (2000 - 2017) $0$50$100$150$200$250$300$0$5$10$15$20$25$30$35$40$45200620072008200920102011201220132014201520162017Series C, Series D+ Angel/Seed, Series A, Series B Venture Capital Median Pre-Money Valuations ($M) (2006 - 2017) Angel/SeedSeries ASeries BSeries CSeries D+2017 Wilshire Associates. 29 Wilshire Private Markets U.S. INVESTMENT ACTIVITY BY DEAL SIZE Smaller investments again comprised a majority of deal volume in 2017 while there continues to be a limited number of deals over $2.5 billion Source: PitchBook, as of December 31, 2017 0%10%20%30%40%50%60%70%80%90%100%20102011201220132014201520162017Percentage of Deal Volume by Deal Size (by Count) $2.5B+$1B-$500M-$100M-$25M-Under0%10%20%30%40%50%60%70%80%90%100%20102011201220132014201520162017Percentage of Deal Volume by Deal Size (by Dollars) 2017 Wilshire Associates. 30 Wilshire Private Markets PRIVATE EQUITY DRY POWDER *Source: Preqin, as of September 30, 2017 Global private equity dry powder continues to increase, topping $1.1 trillion across all fund types $- $200 $400 $600 $800 $1,000 $1,200 $1,4002008200920102011201220132014201520162017*Dry Powder (bn) Private Equity Dry Powder by Fund Type (2008 - Q3 2017) BuyoutVentureGrowthOther Private Equity2017 Wilshire Associates. 31 Wilshire Private Markets PRIVATE EQUITY - U.S. DEBT MARKETS Source: S&P LBO, as of December 31, 2017 The amount of capital available for leverage in LBOs has decreased considerably since its peak volume in 2007; however, loan volume in 2017 increased by approximately $27 billion from 2016 $0$20$40$60$80$100$120$140$160$180$200200620072008200920102011201220132014201520162017Total U.S. LBO Loan Volume ($B) (2006 - 2017) Funded Bank DebtUnfunded Bank Debt20%30%40%50%60%70%200620072008200920102011201220132014201520162017Percentage of Debt Used in LBOs $50M or more of EBITDALess than $50M of EBITDA2017 Wilshire Associates. 32 Wilshire Private Markets PRIVATE EQUITY- U.S. LBO PURCHASE PRICE MULTIPLES As debt remains readily available, purchase price multiples for U.S. LBOs continue to increase and remain high relative to 2009s low Source: S&P LBO, as of December 31, 2017 8.4x 9.7x 9.1x 7.7x 8.5x 8.8x 8.7x 8.8x 9.7x 10.3x 10.0x 10.6x 0x2x4x6x8x10x12x200620072008200920102011201220132014201520162017Purchase Price Multiples of U.S. LBO Transactions (2006 - 2017) Debt/EBITDAEquity/EBITDAOthers2017 Wilshire Associates. 33 Wilshire Consulting Growth: 2017 Wilshire Associates. 34 Wilshire Consulting Growth: 2017 Wilshire Associates. 35 Wilshire Consulting Growth: 2017 Wilshire Associates. 36 Wilshire Consulting U.S. FIXED INCOME Data sources: Wilshire Compass, Bloomberg Barclays, U.S. Treasury 2017 Wilshire Associates. 37 Wilshire Consulting HIGH YIELD BOND MARKET Data sources: Wilshire Compass, Bloomberg Barclays 2017 Wilshire Associates. 38 Wilshire Consulting NON-U.S. FIXED INCOME Data sources: Wilshire Compass, Bloomberg Barclays, Federal Reserve Bank of St. Louis 2017 Wilshire Associates. 39 Wilshire Consulting Income Performance 2017 Wilshire Associates. 40 Wilshire Consulting Income Rolling Excess Returns 2017 Wilshire Associates. 41 Wilshire Consulting Income Rolling Tracking Error 2017 Wilshire Associates. 42 Wilshire Consulting U.S. Income Rolling Excess Returns 2017 Wilshire Associates. 43 Wilshire Consulting U.S. Income Rolling Tracking Error 2017 Wilshire Associates. 44 Wilshire Consulting International Income Rolling Excess Returns 2017 Wilshire Associates. 45 Wilshire Consulting International Income Rolling Tracking Error 2017 Wilshire Associates. 46 Wilshire Consulting REAL ASSETS Data sources: Wilshire Compass, National Council of Real Estate Investment Fiduciaries 2017 Wilshire Associates. 47 Wilshire Consulting Inflation Performance 2017 Wilshire Associates. 48 Wilshire Consulting Inflation Rolling Excess Returns 2017 Wilshire Associates. 49 Wilshire Consulting Inflation Rolling Tracking Error 2017 Wilshire Associates. 50 Wilshire Private Markets PRIVATE REAL ESTATE Source: Preqin, as of December 31, 2017 050100150200250300350400$0$20$40$60$80$100$120$140$1602011201220132014201520162017No. of Funds Aggregate Capital Raised ($B) Global Closed-End Private Real Estate Fundraising (2011 - 2017) Aggregate Capital Raised ($B)No. of Funds160 57 29 17 67 30 10 3 0306090120150180North AmericaEuropeAsiaRest of WorldClosed-End Private Real Estate Fundraising in 2017 by Primary Geographic Focus No. of Funds ClosedAggregate Capital Raised ($B)2017 Wilshire Associates. 51 Wilshire Consulting COMMERCIAL PROPERTY Data sources: CB Richard Ellis 2017 Wilshire Associates. 52 Wilshire Private Markets UNLISTED INFRASTRUCTURE Source: Preqin, as of December 31, 2017 020406080100$0$10$20$30$40$50$60$702011201220132014201520162017No. of Funds Aggregate Capital Raised ($B) Global Unlisted Infrastructure Fundraising (2011 - 2017) Aggregate Capital Raised ($B)No. of Funds28 23 7 11 35 22 2 7 0510152025303540North AmericaEuropeAsiaRest of WorldUnlisted Infrastructure Fundraising in 2017 by Primary Geographic Focus No. of Funds ClosedAggregate Capital Raised ($B)2017 Wilshire Associates. 53 Wilshire Consulting TIMBER Data sources: Forest Investment Associates 2017 Wilshire Associates. 54 Wilshire Consulting Real Assets Performance 2017 Wilshire Associates. 55 Wilshire Consulting Real Assets Rolling Excess Returns 2017 Wilshire Associates. 56 Wilshire Consulting Real Assets Rolling Tracking Error 2017 Wilshire Associates. 57 Wilshire Consulting Real Estate Rolling Excess Returns 2017 Wilshire Associates. 58 Wilshire Consulting Real Estate Rolling Tracking Error 2017 Wilshire Associates. 59 Wilshire Consulting HEDGE FUND PERFORMANCE Data sources: Wilshire Compass 2017 Wilshire Associates. 60 Wilshire Consulting ARS Distribution of Performance 2017 Wilshire Associates. 61 Wilshire Consulting ASSET CLASS PERFORMANCE Data sources: Wilshire Compass Note: Developed asset class is developed equity markets ex-U.S., ex-Canada 2017 Wilshire Associates. 62 Wilshire Consulting IMPORTANT INFORMATION This material contains confidential and proprietary information of Wilshire Associates Incorporated (Wilshire), and is intended for the exclusive use of the person to whom it is provided. It may not be disclosed, reproduced or redistributed, in whole or in part, to any other person or entity without prior written permission from Wilshire. Third party information contained herein has been obtained from sources believed to be reliable. Wilshire gives no representations or warranties as to the accuracy of such

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