De-Risking Solutions: Low and Managed Volatility

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1 De-Risking Solutions: Low and Managed Volatility NCPERS May 17, 2016 Richard Yasenchak, CFA Senior Vice President, Client Portfolio Manager, INTECH FOR INSTITUTIONAL INVESTOR USE C

2 AGENDA I. Overview II. III. IV. Evaluating Investment Risk The Importance of Managing Volatility Implementation

3 I. OVERVIEW

4 INTECH Overview: Active Equity Manager Across All Markets and Regions As of March 31, 2016 More than 25 Years of Investment Experience Risk-Managed Mathematical Investment Styles Value $269.5M Income $2.0M Staff - 85 Employees Worldwide - 29 Investment Professionals Office Locations - West Palm Beach, FL (Corporate Headquarters) - Princeton, NJ (Research Facility) - London, UK (International Office) Absolute-Risk $4.9B Growth $5.8B Core $14.8B Enhanced $23.0B INTECH manages $48.7 billion in equity portfolios Asset Distribution by Client Domicile Broad Distribution Across Market Segments Commingled 4.8% Non-Profit 2.6% Foundations 0.3% North America $28.3 B Europe $4.9 B Africa $288.9 M Asia (ex Japan) $5.7 B Japan $7.0 B Mutual Funds 6.3% Taft-Hartley 9.9% Corporate 38.2% Australia $2.5 B Public 37.9%

5 II. EVALUATING INVESTMENT RISK

6 The Importance of Limiting Losses Black Monday August 1987 April 1989 August 2000 Tech Bubble October 2006 Global Financial Crisis October 2007 March 2012? Drawdown Drawdown Drawdown Years to Recoup Investment Losses 29% Break-Even Return 42% 45% Break-Even Return 82% 51% Break-Even Return 105% Annualized Return Assumption Magnitude of Loss -10% -25% -50% 2% Recovery Time 1.5 Years Recovery Time 4 Years Recovery Time 3 Years 4% % % % As an investment decreases in value, the gain needed to get back to even increases substantially. Severe market drawdowns are difficult to predict and may require years to recover from. Drawdown and recovery time reflects Russell 1000 Index monthly returns. Does not represent the returns of any particular investment. Data reflects past performance and is no guarantee of future results.

7 Why Do We Care About Drawdowns? Large Equity Drawdowns are NOT Infrequent. Avoiding the drawdown of the left-hand tail has the potential to increase long-term performance. S&P 500 Index Maximum Year Drawdown % % % % % % % % % % % % % % % This example is hypothetical and for illustrative purposes only. The example does not represent the returns of any particular investment. Source: Bloomberg, based on daily returns. Past performance is not guarantee of future results.

8 The Power of Compounding 40% 30% Russell 1000 Index Return in 2008 and 2009 Impact of a Hypothetical Lower Beta Approach Cumulative ( ) 28.42% Average Excess Return: 1.38% Annualized Excess Return: 4.47% 20% 10% 11.28% 19.89% 8.20% 0% -10% -20% -8.53% % % -30% % -40% % Hypothetical Strategy 0.7 Beta Russell 1000 Index Excess Return $1B allocation in the 0.7 beta portfolio would have outperformed a passive allocation by $82M over the two year period. Hypothetical illustration shown. Does not represent the returns of any particular investment.

9 Beta Risk and Investment Style December 31, 2004 December 31, Style Index Beta vs. Russell 1000 Index Style Index Beta vs. Russell 1000 Index /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/2015 Russell 1000 Growth Index Russell 1000 Value Index Growth and Value styles are not defined by risk, and have no consistency to the risk exposure. Barra U.S. Long-Term Model. Data reflects past performance, which does not guarantee future results.

10 Total Risk and Volatility Regimes January 1, 1988 March 31, % Rolling 36-Month Standard Deviation vs. Long-Term Standard Deviation 30% 25% 20% 15% 10% 5% 0% 1/1988 1/1989 1/1990 1/1991 1/1992 1/1993 1/1994 1/1995 1/1996 1/1997 1/1998 1/1999 1/2000 1/2001 1/2002 1/2003 1/2004 1/2005 1/2006 1/2007 1/2008 1/2009 1/2010 1/2011 1/2012 Annualized Standard Deviation 1/2013 1/2014 1/2015 1/2016 Russell 1000 Index - Rolling 36-Month Std. Dev. MSCI World Index - Rolling 36-Month Std. Dev. MSCI Emerging Markets Index - Rolling 36-Month Std. Dev. Russell 1000 Index - Long-Term Std. Dev. MSCI World Index - Long-Term Std. Dev. MSCI Emerging Markets Index - Long-Term Std. Dev. Index Annualized Cumulative Return Annualized Standard Deviation 36-Month Rolling Standard Deviation Interquartile Range (50% of observations fall outside this range) Russell 1000 Index 10.37% 14.55% 10.1% % MSCI World Index 7.47% 14.98% 10.5% % MSCI Emerging Markets Index 10.63% 23.28% 18.3% % Data presented reflects past performance, which is no guarantee of future results.

11 III. THE IMPORTANCE OF MANAGING VOLATILITY

12 Defining Absolute-Risk Strategies Absolute-risk strategies go by many different names, but all have one common goal: Provide investors exposure to equity markets and their growth potential with lower levels of risk There are two main approaches used to achieve this goal: - Low Volatility Strategies: Seek benchmark-like returns with considerably lower total risk - Managed Volatility Strategies: Seek to outperform the benchmark with lower total risk Investors often use the terms low volatility and managed volatility interchangeably. At INTECH, we prefer to differentiate for clarity between low volatility equity strategies that focus solely on minimizing risk within equities, and managed volatility equity strategies that balance risk reduction and alpha generation. More specifically, the objective for low volatility equity strategies is market-like returns as compared to the index (i.e., benchmark) over the full market cycle, with a total volatility (standard deviation) considerably below that of the index. In comparison, the portfolio s objective for managed volatility equity strategies is to outperform the index over the full market cycle, with a total volatility below that of the. index.

13 Benefits of Absolute-Risk Strategies Black Monday Tech Bubble Global Financial Crisis August 1987 April 1989 August 2000 October 2006 October 2007 March 2012 Drawdown Drawdown Drawdown 29% 45% 51% Russell 1000 Index Break-Even Return 42% Break-Even Return 82% Break-Even Return 105% Recovery Time 1.5 Years Recovery Time 4 Years Recovery Time 3 Years Black Monday Tech Bubble Global Financial Crisis Drawdown Recovery Time Drawdown Recovery Time Drawdown Recovery Time U.S. Low Volatility Portfolio* U.S. Managed Volatility Portfolio* -23% 1.5 Years -14% 1 Year -32% 1.7 Years -29% 1.5 Years -13% 0.5 Years -39% 1.7 Years *Simulated results. Drawdown and recovery time reflects monthly returns. Does not represent the returns of any particular investment. Data reflects past performance and is no guarantee of future results. See Simulations Disclaimer at the end of this presentation for additional information.

14 Absolute-Risk Strategies Have a Lower Risk Profile Through Time December 31, 2004 December 31, 2015 Beta vs. Russell 1000 Index* Absolute-Risk Strategy Beta vs. Russell 1000 Index /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/ /31/2015 U.S. Low Volatility Portfolio U.S. Managed Volatility Portfolio Absolute-Risk strategies are minimizing risk, and persistently have less risk than the market. *Simulated results. Barra U.S. Long-Term Model. Data reflects past performance, which does not guarantee future results.

15 A Dynamic Approach to Managing Risk 50% 40% U.S. Low Volatility Portfolio U.S. Managed Volatility Portfolio Estimated Volatility Reduction* U.S. Low and Managed Volatility Portfolio vs. Russell 1000 Index 30% 20% 10% 0% 12/ / / / / / / / / / /2015 Volatility Reduction vs. Index The amount of risk reduction varies based on the market environment. *Simulated results. Source: Barra. See Simulations Disclaimer at the end of this presentation for additional information.

16 Performance Observations of Absolute-Risk Strategies 80% 70% 60% U.S. Low Volatility August 1, 2012 March 31, 2016 U.S. Low Volatility - Net Russell 1000 Index 66.61% 61.87% 80% 70% 60% U.S. Managed Volatility June 1, 2013 March 31, 2016 U.S. Managed Volatility - Net Russell 1000 Index C um ulative Returnn 50% 40% 30% 20% Cumulative Returnn 50% 40% 30% 20% 10% 10% 0% 0% -10% -10% 8/ /2012 2/2013 5/2013 8/ /2013 2/2014 5/2014 8/ /2014 2/2015 5/2015 8/ /2015 2/2016 6/2013 9/ /2013 3/2014 6/2014 9/ /2014 3/2015 6/2015 9/ /2015 3/ % 33.26% By adapting to the market environment an absolute-risk strategy is able to generate above market returns over the long term. Performance includes the reinvestment of dividends and other earnings. Data presented reflects past performance, which is no guarantee of future results. Performance for other accounts may differ from the representative account. Net of fees return shown reflects the deduction of the maximum fee for the strategy as reflected in INTECH s standard fee schedule, and are not necessarily the actual fees deducted for this portfolio. Actual advisory fees may vary among clients invested in this strategy. Actual advisory fees paid may be higher or lower than the model advisory fees. Some clients may utilize a performance based fee. Fee schedules are available upon request.

17 IV. IMPLEMENTATION

18 Implementation Options Plan Sponsors: Reducing risk by lowering the volatility of return-generating assets Meeting funding status and shortterm funding requirements Individual Investors: Reducing risk by providing downside protection Meeting the time horizon of plan participants Allocation Weight 100% 75% 50% 25% 0% Reduce Risk Equity Low/Managed Volatility Equity Bonds/Other Cash Low / Managed Volatility Hypothetical illustration.

19 Expected Risk Profile Going Forward Year Expected Year Expected 10-Year Historical Change Asset Class Return Return Std. Dev. Std. Dev. in Volatility US Equity - Large Cap US Equity - Small/Mid Cap Non-US Equity - Dev Non-US Equity - EM US Fixed Investment Grade US Fixed High Yield Non-US Fixed Income - Dev Non-US Fixed Income - EM Treasuries TIPS (0.0) Hedge Funds Commodities (0.2) Real Estate* 6.4 Infrastructure* 7.7 Private Equity* 9.4 Expected risk is higher than the historical average and equity returns are expected to be lower. *Historical standard deviations for illiquid asset classes are not shown. Source: Horizon Actuarial Services 2015 and 2014 Survey of Capital Markets Assumptions. For historical std. deviation, benchmarks used, in order: Russell 1000 Index, Russell 2000 Index, MSCI World ex U.S. Index, MSCI Emerging Markets Index, Barclays U.S. Aggregate, Barclays U.S. Corporate High Yield, Barclays Global Aggregate Unhedged, JPM EMI Global Diversified, Barclays U.S. 1-3 Year U.S. Treasuries, Barclays U.S. TIPS, HFN Global Index, Bloomberg Commodity.

20 Q & A

21 APPENDIX

22 Simulations Disclaimer All simulated performance results have been compiled solely by INTECH and have not been independently verified. Simulations potentially allow investors to understand and evaluate INTECH s investment process by seeing how a strategy/product would have performed hypothetically during certain time periods. This material is provided for illustrative purposes only and should not be construed as an offer to sell, or the solicitation of offers to buy, or a recommendation for any security. It has been prepared for, and authorized for internal use by, designated institutional and professional investors and their consultants or for such other use as may be authorized by INTECH or its affiliates. This material and/or its contents are current at the time of writing and may not be reproduced or distributed in whole or in part, for any purpose, without the express written consent of INTECH. Although the information contained herein has been obtained from sources believed to be reliable, its accuracy and completeness cannot be guaranteed. Simulated results are hypothetical, not real. They do not reflect the results or risks associated with actual trading or the actual performance of any account. Simulated performance results are prepared with the benefit of hindsight. As a result, the simulations may be theoretically changed from time to time to obtain results that are more favorable. Simulation results do not reflect material, economic, and market factors that may have impacted INTECH s trading or decision-making in the actual management of a client s account. Simulated returns should not be considered indicative of INTECH s mathematical process, as INTECH may not have managed money during some of the periods shown or may not have managed money for the particular strategy/product shown. INTECH s mathematical optimization process was applied to historical data to produce the simulations. Unlike traditional simulations that do involve fundamental estimates, INTECH s do not. In addition, the proprietary mathematical investment process used by INTECH may not achieve the desired results. INTECH s simulated performance results have inherent limitations, including, among other things: 1) simulated performance results are prepared with the benefit of hindsight; 2) no price-based or volume-based deleted list; 3) no posted list; 4) index constituent changes done as a group at the beginning of the month (typically done once or twice a year based on the index changes); 5) simulated trades take place at the closing price (+80 bps for countries in the MSCI Emerging Markets Index and +40 bps for developed countries), while INTECH actually trades intra-day (historically, INTECH's domestic trading costs have been below the 40 bps used in the simulations); and 6) six trading tranches are simulated with the average of the six tranches being reported as the result for the period. Past performance of simulated data is no guarantee of future results. Therefore, no current or prospective client should assume that future performance will be profitable, or equal to either the simulated performance results shown or any corresponding historical index. In particular, simulations do not reflect actual trading in an account, so there is no guarantee that an actual account would have achieved the results shown. In fact, there may be differences between simulated performance results and the actual results subsequently achieved. In no circumstances should simulated returns be regarded as a representation, warranty, or prediction that investors will achieve or are likely to achieve the performance results displayed, or that investors will be able to avoid losses. Investing involves risk, including fluctuation in value, the possible loss of principal and total loss of investment. There are numerous other factors related to the markets in general or to the implementation of any specific trading strategy, which cannot be fully accounted for in the preparation of simulated performance results, all of which can adversely affect actual trading results. Any clients invested in the strategy/product may have experienced investment results during any relevant periods that were materially different from those portrayed in the simulations. The simulated results include the reinvestment of all dividends, interest, and capital gains, but do not reflect deduction of investment advisory fees. Thus, simulated returns will be reduced by advisory fees and any other expenses that may be incurred in the management of an account, which will materially lower returns over time. An index is unmanaged, is not available for direct investment, and does not reflect the deduction of management fees or other expenses. S&P 500 Dow Jones Indices LLC and/or its affiliates make no express or implied warranties or representations and shall have no liability whatsoever with respect to any S&P data contained herein, if shown. The S&P data has been licensed for use by INTECH and may not be further redistributed or used as a basis for other indices or any securities or financial products. This report has not been approved, reviewed, or produced by S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC's indices, please visit Russell Investment Group is the source and owner of the Russell Index data contained or reflected in this material and all trademarks and copyrights related thereto, if shown. The presentation may contain confidential information and unauthorized use, disclosures, copying, dissemination or redistribution is strictly prohibited. This is a presentation of INTECH. Russell Investment Group is not responsible for the formatting or configuration of this material or for any inaccuracy in INTECH s presentation thereof. MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein, if shown. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report has not been approved, reviewed, or produced by MSCI. Data Source: The Center for Research in Security Prices ("CRSP") Deciles are market value weighted benchmarks of common stock performance provided by the CRSP at the University of Chicago Booth School of Business. The CRSP universe includes common stocks listed on the NYSE, AMEX, and the NASDAQ National Market excluding the following: preferred stocks, unit investment trusts, closed-end funds, real estate investment trusts, Americus Trusts, foreign stocks and American Depositary Receipts.

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