EFTA01795113Set 10
2011-02-142p488w
Powell, Deputy CIO, Utah<=stl:State> Retirement System
• Frank Barbarino, Hedge Fund Research=Consultant, NEPC, LLC
• Joseph McAlinder, Chairman & CEO=/I>, Catalpa Capital LLC
• Daniel J. Arbess, Partner, Perella Weinberg ... lliard School • Kruger, Inc • Main Line Health Systems * Michelin North Ame=ica Inc. * NEPC, LLC * New
Orleans Employeesa€'" Retirement System *=Novartis Corporation • Princeton Theological Seminary • Sharp Electronics
*=Texas Permanent School
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01795113.pdf
EFTA02691355Set 11
2011-06-0740p3,425w
Source: St. Louis Fed, Ibbotson, Research Affiliates, NEPC, NYC MOPI
6/28/2011 4.21
PM
'Merrill Lynch US Treasury Master Annualized Total Return 4
EFTA_R1_02033249
EFTA02691358
Progressively More Equity Needed ... Tail Events' More Likely Investments
Expected "Mean" Returns: Declining
Tail-Risk Underestimation:
12/1/07-11/30/08 [Source: NEPC]
4 SD event for high yield bonds (0.006% probability)
3 SD event for most equities
https://www.justice.gov/epstein/files/DataSet%2011/EFTA02691355.pdf