Amy C. McGarrityChief Investment OfficerMarch 20, 2020

Market & Portfolio Update

Market Performance 2020 YTD* vs. 2019 Calendar Year

All returns are presented in unhedged USD terms*YTD performance as of 3/19/2020

2019 Highest Performers

“Risk assets” rebounded in 2019, but turned broadly negative in 2020

-0.9%

13.1%

14.3%

14.5%

16.5%

18.0%

18.1%

23.4%

24.4%

26.4%

31.5%

34.4%

9.0%

-13.4%

-17.6%

-10.0%

-38.2%

-32.0%

-25.5%

-18.8%

-34.6%

-29.5%

-25.1%

-57.7%

-70% -60% -50% -40% -30% -20% -10% 0% 10% 20% 30% 40%

US Dollar Index

Emerging U.S. Dollar Debt

U.S. Corporate High Yield Debt

U.S. Corporate Investment Grade Debt

Broad Commodities

Emerging Market Equities

Japanese Equities

Chinese Equities

European Equities

Global Equities

U.S. Equities

WTI Crude Oil

Return

2020 YTD Return

2019 Return

Asset Class Returns – Perspective

50

75

100

125

150

175

200

225

250

50

75

100

125

150

175

200

225

250

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Comparative Investment Returns ‐ Prior Decade

Stocks

Bonds

Cash

Commodities

All Indexes set to 100 as of 12/31/2009

Benchmark Annualized Return

MSCI ACWI IMI NR w/US Gross 9.5%Bbg Barc US Agg 3.7%FTSE 3 Mo T Bill 0.6%Bbg Commodities TR ‐4.7%

65

70

75

80

85

90

95

100

105

110

65

70

75

80

85

90

95

100

105

110

12/31 1/13 1/26 2/8 2/21 3/5 3/18

Comparative Investment Returns ‐ 2020 YTD

Stocks

Bonds

Commodities

Cash

All Indexes set to 100 as of 12/31/2019YTD data as of 3/19/2020

Benchmark YTD Return

MSCI ACWI IMI NR w/US Gross ‐29.4%Bbg Barc US Agg ‐0.6%FTSE 3 Mo T Bill 0.3%Bbg Commodities TR ‐23.8%

Global Markets React to COVID-19

‐14.0%

‐13.0%

‐12.0%

‐11.0%

‐10.0%

‐9.0%

‐8.0%

‐7.0%

‐6.0%

‐5.0%

‐4.0%

‐3.0%

‐2.0%

‐1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

11.0%

12/31/2019 1/7/2020 1/14/2020 1/21/2020 1/28/2020 2/4/2020 2/11/2020 2/18/2020 2/25/2020 3/3/2020 3/10/2020 3/17/2020

MSCI ACWI IMI

MSCI ACWI ex‐USA IMI

MSCI USA IMI

(U.S. stocks)

China alerted the WHO of several flu-like cases in Wuhan (12/31)

Fed cuts rates by 50 bps (3/3)

China reports first death (1/11)

First confirmed case in U.S. (1/21)

WHO declares public health emergency of international concern (1/31)

First reported death in U.S. (2/29)

Saudi Arabia and Russia enter oil war(3/9)

WHO declares a pandemic (3/11)

Fed cuts rates to 0-0.25% and will purchase $700 billion in Treasuries and MBS(3/15)

Global Monetary and Fiscal Policy Response to COVID-19

Slowing Global Growth

0%

5%

10%

15%

20%

25%

30%

35%

0%

2%

4%

6%

8%

10%

12%

14%

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Year Over Year Real GDP Growth  (Constant 2010 US$)

China World China Growth as % World Growth (right)Source: World Bank

• Forecasts for China’s GDP growth in 2020 have recently been lowered - currently Bloomberg shows an estimate of 5.3% but estimates remain stale. China appears to have weathered the virus better than others are expected to

• Markets reacting to realization of the potential magnitude of drag on global growth –at least in the short-term

“Safe Assets” React to COVID-19 Impact

The sharp rally in bond yields could be caused by a number of factors, including forced selling by investors and governments for cash needs or rebalancing, as well as just a recovery from the “squeeze“ from the prior week. In addition, some may anticipate increased inflationary pressures due to easing (Source: Bloomberg 3/19/2020)

U.S. Dollar Gains

• Dollar strength due to flight to quality and dollar hoarding by borrowers and dollar-based global financials (e.g. Asian insurers, global banks, etc.)

Market Volatility Near Record Highs

10/31/200889.5 3/18/2020

85.5

0

10

20

30

40

50

60

70

80

90

100

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

CBOE Volatility (VIX) Index

Active Risk PolicyPolicyActive risk within marketable securities asset classes (i.e., Global Equity and Fixed Income) and total marketable securities portfolios will not exceed maximums

StatusActive risk levels are within policy limits

Portfolio

Three-Year Historical Tracking Error in Basis

Points December 31, 2019

(preliminary)

Active Risk Policy Maximum in Basis Points

Global Equity 100 225

Fixed Income 16 100

Total MarketableSecurities

86 150

Active Risk

Investment Activities

Looking to hire in a number of areas: Operations, Private Equity, Fixed Income and Equities

The PERAdvantage 2065 Fund will be added to the CAP lineup effective March 20, 2020. The PERAdvantage 2020 Fund merged into the Income Fund in November 2019

The BlackRock Passive Fixed Income fund was transitioned to PERA Internal Core in January. PERA’s Fixed Income asset class is now 100% internally managed

Investment Operations established a Business Continuity Plan with Northern Trust to ensure continued management of the portfolio if PERA systems are unavailable

Investment-Related Strategic Initiative Projects

Project StatusUpdated Proxy Voting Statement

Evaluation stages – analysis of existing policy and potential enhancements; expected completion 1Q2021

Direct investment in private asset classes

Exploratory stages – we continue to explore new, but not fully direct, investment structures which provide more discretionary decision making, flexible capital deployments, and better transparency

Participation on Secure Savings Board

Recommendation sent to the Governor and Legislature on February 28, 2020. Bill to create the Colorado Secure Savings Plan announced on March 9, 2020

Refreshed technology roadmap

In progress – currently reviewing a consulting firm’s proposal to complete a private asset class fund expense review; expected completion mid-2020

DC plan: improved alignment of preferences and product offerings

In progress – member research, evaluation of current and proposed options by Defined Contribution Committee; expected completion 2021

Appendix

Portfolio Monitor

Asset Class StrategyGlobal Equity Portfolio retains higher quality bias. No material sector or geographic

overweights or underweights relative to the benchmark.

Fixed Income The current environment is volatile. Treasury yields are at historic lows while valuations in other asset classes have become more attractive. The portfolio is positioned with a modest overweight to spread products and has no significant duration deviation versus the benchmark.

Private Equity Vintage construction underway with a focus on high quality re-up opportunities. Global health concerns could impact size and timing of commitments. A prolonged market correction and/or challenged portfolio company fundamentals could lead to interesting opportunities in the distressed and turnaround areas.

Real Estate In an uncertain interest rate and asset valuation environment, difficulties exist in pursuit of new acquisitions. Team is focusing efforts on existing strategic partner relationships to expand long term, core, income oriented strategies and investment vehicles.

Alternatives Allocating to opportunistic and special situations funds, which can tactically invest across multiple asset classes. Also focused on diversifying strategies such as healthcare credit, specialty crops/agriculture and Asia private credit opportunities.

Asset Allocation PolicyPolicyAsset class weights will be within permissible ranges

StatusAll asset class weights within permissible ranges

Asset Class2020 Policy Benchmark

Weight

Actual Weight*

(February 29, 2020)

Range Risk Weight(December 31, 2019)

Global Equity 56.0% 54.6% 48%–60% 73.2%

Fixed Income 23.5% 23.9% 18%–28% -0.7%

Private Equity 8.5% 8.3% 4%–13% 16.3%

Real Estate 8.5% 9.2% 4%–13% 8.4%

Alternatives 3.5% 3.6% 0%–12% 1.7%

Cash and Short Term**

0.0% 0.4% 0%–3% 1.1%

Total 100.0% 100.0% 100.0%

*Transitional cash remains within respective asset classes**Includes Cash Overlay

Annual Returns(1988-2019)

‐10%

‐5%

0%

5%

10%

15%

20%

‐50% ‐40% ‐30% ‐20% ‐10% 0% 10% 20% 30% 40% 50%

Bloo

mbe

rg Barclays U

S Ag

g Bo

nd In

dex

MSCI ACWI

Stocks vs. Bonds Annual Returns

Stocks down, bonds up

Stocks down, bonds down Stocks up, bonds down

Stocks up, bonds up

2008

1995

2009

2003

1991

2000

2019

1994

2002

1990 2001

2013

1999

1989

Dot‐Com BubbleGreat Recession

YTD 3/19

Calendar Year Returns

*Large Growth – Russell 1000 Growth; Large Value – Russell 1000 Value; Small Growth – Russell 2000 Growth; Small Value – Russell 2000 Value; ACWI – MSCI ACWI; EAFE – MSCI EAFE; EM – MSCI EM; REITs – FTSE NAREIT All Equity REITs; Bonds – Bloomberg Barclays Aggregate; High Yield – Bloomberg Barclays U.S.Corporate High Yield; Cmdty – S&P GSCI Composite Index; HFOF – HFRI FOF Composite Index; NCREIF – NCREIF ODCE Index

**2020 Returns are through February 29. 2020. NCREIF ODCE Index returns are through December 31, 2019.

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020**Sm Growth NCREIF REITs Sm Growth REITs NCREIF Sm Value EM NCREIF Lg Growth NCREIF

29.1 15.0 19.7 43.3 28.0 14.0 31.7 37.3 7.4 36.4 4.4REITs REITs EM Sm Value Lg Value Lg Growth Lg Value Lg Growth Bonds REITs Bonds27.9 8.3 18.2 34.5 13.5 5.7 17.3 30.2 0.0 28.7 3.8

Sm Value Bonds Sm Value Lg Growth Lg Growth REITs High Yield EAFE Lg Growth Sm Growth HFOF24.5 7.8 18.1 33.5 13.1 2.8 17.1 25.0 -1.5 28.5 -1.1EM High Yield Lg Value Lg Value NCREIF Total Fund Cmdty ACWI High Yield ACWI High Yield18.9 5.0 17.5 32.5 11.5 1.5 11.4 24.0 -2.1 26.6 -1.4

Lg Growth Lg Growth EAFE ACWI Bonds Bonds Sm Growth Sm Growth Total Fund Lg Value Total Fund16.7 2.6 17.3 22.8 6.0 0.5 11.3 22.2 -3.5 26.5 -4.0

Lg Value Total Fund ACWI EAFE Total Fund HFOF EM Total Fund REITs EAFE Lg Growth15.5 1.9 16.1 22.8 5.7 -0.3 11.2 18.1 -4.0 22.0 -4.7

NCREIF Lg Value High Yield Total Fund Sm Growth EAFE REITs Lg Value HFOF Total Fund REITs15.3 0.4 15.8 15.6 5.6 -0.8 8.6 13.7 -4.1 19.5 -5.8

High Yield Cmdty Lg Growth NCREIF ACWI Sm Growth ACWI REITs Lg Value EM Sm Growth15.1 -1.2 15.3 12.9 4.2 -1.4 7.9 8.7 -8.3 18.4 -8.2

Total Fund Sm Growth Sm Growth HFOF Sm Value ACWI NCREIF Sm Value ACWI Cmdty ACWI14.0 -2.9 14.6 9.0 4.2 -2.4 7.8 7.8 -9.4 17.6 -9.1

ACWI Sm Value Total Fund High Yield HFOF Lg Value Total Fund HFOF Sm Growth Sm Value EM12.7 -5.5 12.9 7.4 3.4 -3.8 7.3 7.7 -11.7 15.5 -9.7

Cmdty HFOF NCREIF REITs High Yield High Yield Lg Growth High Yield Sm Value High Yield EAFE9.0 -5.7 9.8 2.9 2.5 -4.5 7.1 7.5 -12.9 14.3 -10.9

EAFE ACWI HFOF Cmdty EM Sm Value Bonds NCREIF EAFE Bonds Lg Value7.8 -7.3 4.8 -1.2 -2.2 -7.5 2.6 6.7 -13.8 8.7 -11.6

Bonds EAFE Bonds Bonds EAFE EM EAFE Cmdty Cmdty HFOF Sm Value6.5 -12.1 4.2 -2.0 -4.9 -14.9 1.0 5.8 -13.8 6.4 -14.6

HFOF EM Cmdty EM Cmdty Cmdty HFOF Bonds EM NCREIF Cmdty5.7 -18.4 0.1 -2.6 -33.1 -32.9 0.5 3.5 -14.6 3.1 -18.3