1Q2020 Real Estate Performance

City of Phoenix Employees’ Retirement System (COPERS)

September 3, 2020

Presented remotely by Mark Bartmann & Dan Krivinskas

Portfolio Overview

2

InvestmentCOPERS

CommitmentStructure

Investment Period

ExpirationCommitment

Unfunded Commitment % Funded 1 Status 2

Morgan Stanley Prime 3Q 2006 Open N/A $90,500,000 $0 100.0% StabilizedJPMorgan SPF 2Q 2007 Open N/A $87,380,529 $0 100.0% StabilizedTotal Core Portfolio $177,880,529 $0 100.0%JDM Partners I 1Q 2010 Closed Expired $20,000,000 $551,724 97.2% HarvestingRECAP III 1Q 2012 Closed Expired $30,000,000 $6,339,855 78.9% Nearly LiquidatedWheelock Street I 2Q 2012 Closed Expired $20,000,000 $3,724,018 81.4% Nearly LiquidatedNorthwood Series IV 1Q 2014 Closed Expired $20,000,000 $14,230,492 28.9% HarvestingWheelock Street II 3Q 2014 Closed Expired $30,000,000 $8,700,665 71.0% Nearly LiquidatedNorthwood Series V 1Q 2015 Closed Expired $30,000,000 $10,155,798 66.2% HarvestingRECAP IV 1Q 2015 Closed Expired $30,000,000 $4,599,077 84.7% HarvestingHSI V 2Q 2016 Closed Expired $25,000,000 $7,501,290 70.0% HarvestingSC Core Fund 3Q 2016 Closed N/A $30,000,000 $47,806 99.8% StabilizedWheelock Street V 4Q 2016 Closed Expired $25,000,000 $5,880,097 76.5% HarvestingFocus Senior Housing I 2Q 2017 Closed 2Q 2021 $25,000,000 $15,974,345 36.1% InvestingHammes Partners III 2Q 2017 Closed 2Q 2022 $25,000,000 $20,027,310 19.9% InvestingRECAP V 4Q 2018 Closed 4Q 2021 $25,000,000 $18,929,860 24.3% InvestingAscentris Value Add Fund III 3Q 2019 Closed 3Q 2023 $25,000,000 $10,537,456 57.9% InvestingWheelock Street VI 4Q 2019 Closed 1Q 2024 $20,000,000 $20,000,000 0.0% Recently ClosedTotal Non-Core Portfolio $380,000,000 $127,199,793 66.5%Total Portfolio $557,880,529 $127,199,793 77.2%

Cor

eN

on-C

ore

Performance Summary

3

Note: Sub-Portfolio and Total Portfolio composite performance figures include data from liquidated investments not shown in table

Investment Market Value% of RE Portfolio % Funded 1 % Realized3 SI IRR (Gross) 4 SI IRR (Net) 5

Net Equity Multiple 6

Morgan Stanley Prime $82,009,284 23.1% 100.0% 51.3% 6.4% 5.4% 1.70xJPMorgan SPF $77,115,664 21.7% 100.0% 47.0% 3.5% 4.2% 1.52x

$159,124,948 44.8% 100.0% 49.3% 5.7% 4.8% 1.61xJDM Partners I $22,201,012 6.2% 97.2% 36.3% 8.4% 7.2% 1.76xRECAP III $4,203,708 1.2% 78.9% 88.9% 12.0% 8.3% 1.18xWheelock Street I $2,119,205 0.6% 81.4% 94.6% 35.7% 24.8% 1.71xNorthwood Series IV $15,930,832 4.5% 28.9% 53.7% 16.3% 11.3% 1.42xWheelock Street II $6,971,713 2.0% 71.0% 81.2% 25.7% 16.0% 1.45xNorthwood Series V $28,470,931 8.0% 66.2% 23.9% 10.5% 8.0% 1.30xRECAP IV $21,539,920 6.1% 84.7% 28.4% 9.5% 6.2% 1.17xHSI V $12,403,292 3.5% 70.0% 31.5% 8.4% -1.0% 0.98xSC Core Fund $30,531,076 8.6% 99.8% 4.5% 4.2% 3.3% 1.06xWheelock Street V $17,123,546 4.8% 76.5% 6.0% -2.5% -7.2% 0.91xFocus Senior Housing I $9,531,804 2.7% 36.1% 4.9% 13.8% 6.1% 1.06xHammes Partners III $4,203,012 1.2% 19.9% 8.2% 15.3% -19.3% 0.92xRECAP V $7,839,971 2.2% 24.3% 13.3% N/A N/A N/AAscentris Value Add Fund III $13,203,155 3.7% 57.9% 5.1% N/A N/A N/AWheelock Street VI $0 0.0% 0.0% N/A N/A N/A N/A

$196,273,177 55.2% 66.5% 51.0% 13.9% 9.6% 1.26x$355,398,125 100.0% 77.2% 50.3% 7.5% 5.9% 1.40x

Cor

e

Total Core Portfolio

Total PortfolioTotal Non-Core Portfolio

Non

-Cor

e

Performance Summary

4

1Q2020 1-Yr 3-Yr 5-Yr SICore 1.2% 6.2% 7.4% 9.0% 7.6% 4.8% 1.61x

Non-Core -11.9% -3.8% 8.8% 9.5% 13.7% 9.6% 1.26xTotal Portfolio -6.1% 0.5% 7.6% 9.0% 7.9% 5.9% 1.40xNCREIF ODCE 1.0% 4.9% 6.8% 8.5% 6.3% - -

Net IRR 4 Net EM 5Time-Weighted Returns (Gross)

Performance Commentary• 1Q2020 returns primarily reflect

unrealized valuation adjustments as a result of COVID-19.

• HSI V (-31.2%), JDM I (-16.2%) and Wheelock II (-29.3%) were the largest negative contributors during the quarter.

• JP Morgan SPF (+1.6%), MS Prime (+0.9%) and Hammes III (+3.4%) were the main contributors during the quarter.

• Non-USD funds and funds that invest significant amounts of equity outside the US were significantly impacted by FX movements vs. the USD:

• BRL was down 22%, GBP was down 6% and EUR was down 2%

Diversification

5

Portfolio is well diversified by both Geography and Property Type Portfolio will continue to be primarily focused in North America (U.S.), with recent

commitments to Ascentris VA III and Wheelock VI Exposure to “niche” property types with defensive cash flows such as medical office

buildings and senior housing will increase as capital continues to be called in Hammes III and Focus Senior Housing Fund I

Global United States

Leverage Profile

6

Modest use of leverage across the Real Estate Portfolio

Non-Core Portfolio LTV Ratio of around 50% remains modest, despite slight increases from valuation adjustments

Total Portfolio Loan-toValue (LTV) 7: 41.4%Core Portfolio LTV: 20.5%Non-Core Portfolio LTV: 51.6%

Weighted-Average Interest Rate: 3.4%

Fee Summary 8

7

1Q2020 Fees Are Far Below Historical Averages Negative incentive fees for the quarter reflect reversal of prior incentive fee accruals as

a result of unrealized valuation adjustments during the quarter as a result of COVD-19 The largest reversals of incentive fee accruals were in HSI V, Northwood Series IV & V,

and Wheelock II

Type 1Q2020Quarterly

Avg.AssetMgmt. 0.32% 0.29%

Incentive -0.66% 0.10%Other 0.00% 0.00%

Total -0.35% 0.39%

RE Portfolio Fees(% of Market Value)

Subsequent Events

Below are some key portfolio updates that occurred subsequent to the end of 1Q2020:

2Q2020 Core Portfolio Flash Returns:

JP Morgan SPF: -2.0% (gross)

Morgan Stanley Prime: -1.7% (gross)

Ascentris Value Added Fund III

In May, the fund called approximately $260,000 from COPERS primarily for follow-on investments at The Cascades(office in Aliso Viejo, CA) and Broadstone EaDo (multifamily in Houston, TX).

HSI Fund V

In June, the fund distributed $2.7M to COPERS capital as a result of the sale of Shopping Tucuruvi.

In June and July, the fund called approximately $779,000 from COPERS capital to pay down the fund’s subscriptionline.

RECAP IV

In June, the fund distributed over $3.6M to COPERS from recent property sales and refinancings, including ProjectBounty and Project Gold in Australia.

RECAP V

In June, the fund called approximately $1.6M from COPERS as a result of a recent acquisition of a prime retail asset indowntown Sydney, Australia.

SC Core Fund

In April, the fund made and operating income distribution to COPERS totaling approximately $530,000.

The fund's initial 2Q2020 valuations reflect an increase in asset value of approximately 4% during the quarter.

8

Appendix

1Q20 Portfolio NAV Summary

10

Note that figures may not sum to ending values due to differences in fee accruals and payment

Investment Opening Value Net Income Net Appreciation Capital Called Capital Distributed Ending Value

Morgan Stanley Prime 82,323,513$ 463,807$ 34,586$ 812,622$ 82,009,284$

JPMorgan SPF 76,675,524$ 581,329$ 417,118$ 192,789$ 751,422$ 77,115,664$ 158,999,037$ 1,045,136$ 451,704$ 192,789$ 1,564,044$ 159,124,948$

JDM Partners I 26,578,181$ 1,144,124$ (5,521,293)$ 22,201,012$ RECAP III 4,352,092$ (16)$ (148,368)$ 4,203,708$ Wheelock Street I 2,240,162$ (5,922)$ (115,035)$ 2,119,205$ Northwood Series IV 17,933,343$ 220,293$ (1,570,247)$ 193,047$ 845,603$ 15,930,832$ Wheelock Street II 10,585,775$ 50,218$ (2,493,704)$ 88,774$ 1,259,350$ 6,971,713$ Northwood Series V 30,457,855$ 311,196$ (2,069,372)$ 214,640$ 443,387$ 28,470,931$ RECAP IV 22,127,784$ (910)$ (1,703,097)$ 1,248,704$ 132,560$ 21,539,920$ HSI V 18,543,271$ 715,034$ (5,621,894)$ 594,356$ 1,827,476$ 12,403,292$ SC Core Fund 23,692,222$ (2,716,675)$ 1,257,311$ 8,298,217$ -$ 30,531,076$ Wheelock Street V 19,556,138$ (56,171)$ (2,376,421)$ 17,123,546$ Focus Senior Housing I 6,212,091$ (8,011)$ (28,045)$ 3,355,769$ -$ 9,531,804$ Hammes Partners III 2,113,435$ (37,437)$ 21,187$ 2,190,725$ 84,898$ 4,203,012$ RECAP V 7,960,406$ (701)$ (487,753)$ 410,326$ 42,307$ 7,839,971$ Ascentris Value Add Fund III 1,502,681$ (95,941)$ (778,353)$ 12,574,768$ -$ 13,203,155$

193,855,436$ (480,919)$ (21,635,084)$ 29,169,326$ 4,635,581$ 196,273,177$

352,854,473$ 564,217$ (21,183,380)$ 29,362,115$ 6,199,625$ 355,398,125$

Cor

e

Total Core Portfolio

Total Non- Core PortfolioTotal Portfolio

Non

- Cor

e

Definitions & Footnotes

1 Commitment Funded Percentage (“% Funded”) – The percentage of the investor’s commitment that has been called by the manager to date, less any capital returned during the investment period that is deemed to be recallable.

2 Investment Status Definitions:

Recently Closed-Investment is awaiting first capital call designated for investment purposes

Investing- Investment actively making commitments to new underlying investments; within stated investment period

Stabilized- Investment is fully invested and unlikely to make near-term return of capital distributions

Harvesting- Investment is actively divesting

Nearly Liquidated- Investment is substantially divested of assets (typically > 80% realized)

Liquidated- Investment has divested of all assets and either holds cash or no balance at all

3 Realization Percentage (“% Realized”) – The percentage of an investment’s cumulative distributions to date relative to the total value of the fund, measured as a sum of the cumulative distributions to date and the remaining investment value.

4 Since Inception Gross Internal Rate of Return (“SI-IRR GROSS”) – Reflects the implied discount rate equating the present value of an investment’s cash outflows and the remaining market value to the present value of the investment’s cash inflows, excluding any impact of fees charged or accrued.

5 Since Inception Net Internal Rate of Return (“SI-IRR NET”) - Reflects the implied discount rate equating the present value of an investment’s cash outflows and the remaining market value to the present value of the investment’s cash inflows, accounting for the impact of fees.

6 Net Equity Multiple (“NET EM”) – The sum of cumulative distributions and remaining investment value divided by total paid-in-capital, accounting for the impact of fees.

7 Loan-to-Value Ratio (“LTV %”) – Ratio of all outstanding direct debt obligations divided by the fair value of the fund’s gross real estate asset value.

8 Fee Summary – Fees percentages shown reflect fees paid relative to beginning portfolio market value.

11

Disclaimer of Warranties and Limitation of Liability

This document was prepared by Alignium, LLC (“Alignium”) and includes information and data from some or all of the following sources: investment managers, custodian banks, client staff, specialty investment consultants, actuaries, plan administrators/record-keepers, index providers, as well as other third-party sources as directed by the client or as we believe necessary or appropriate. Alignium makes no warranties and disclaims responsibility for the accuracy or completeness of information or data provided or methodologies employed by any external source. Alignium has taken reasonable care to ensure the accuracy of the information or data but disclaims responsibility for the accuracy of information or data received from outside sources. This document is provided for the client’s internal use only and does not constitute a recommendation by Alignium or an offer of, or a solicitation for, any particular security and it is not intended to convey any guarantees as to the future performance of the investment products, asset classes, or capital markets.

12

www.aligniumllc.com