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March 31, 2021North Dakota State InvestmentBoard Pension FundsInvestment Measurement ServiceQuarterly ReviewInformation contained herein includes confidential, trade secret and proprietary information. Neither this Report nor any specific information contained herein isto be used other than by the intended recipient for its intended purpose or disseminated to any other person without Callan’s permission. Certain informationherein has been compiled by Callan and is based on information provided by a variety of sources believed to be reliable for which Callan has not necessarilyverified the accuracy or completeness of or updated. This content may consist of statements of opinion, which are made as of the date they are expressed andare not statements of fact. This content is for informational purposes only and should not be construed as legal or tax advice on any matter. Any decision youmake on the basis of this content is your sole responsibility. You should consult with legal and tax advisers before applying any of this information to yourparticular situation. Past performance is no guarantee of future results. For further information, please see the Appendix section in your investmentmeasurement service quarterly review report for Important Information and Disclosures.

Table of ContentsMarch 31, 2021Executive SummaryActive Management Overview2Capital Market Review3NDSIB - Consolidated Pension TrustActual vs Target Asset Allocation19Quarterly Total Fund Attribution20Cumulative Total Fund Attribution21Historical Asset Allocation25Asset Class Risk and Return26Total Fund Ranking27Asset Class Rankings28Investment Manager Asset Allocation29Investment Manager Returns32NDSIB - Public Employees Retirement SystemActual vs Target Asset Allocation38Quarterly Total Fund Attribution39Cumulative Total Fund Attribution40Cumulative Performance44Historical Asset Allocation45Asset Class Risk and Return46Total Fund Ranking47Asset Class Rankings48Asset Class Allocation49Asset Class Returns50NDSIB - Teachers Fund For RetirementActual vs Target Asset Allocation53Quarterly Total Fund Attribution54Cumulative Total Fund Attribution55Cumulative Performance59Historical Asset Allocation60Asset Class Risk and Return61Total Fund Ranking62Asset Class Rankings63Asset Class Allocation64Asset Class Returns65

Table of ContentsMarch 31, 2021Domestic EquitiesDomestic Equities Composite68L.A. Capital Management69L.A. Capital Management Enhanced Index70Northern Trust AM Enhanced S&P 50071Parametric Enhanced S&P 50072Atlanta Capital73Riverbridge Small Cap Growth74Sycamore Small Cap Value75International EquitiesInternational Equities Composite77DFA International Small Cap Value Fund78Northern Trust AM World ex US79Wellington Management Company80William Blair81Axiom Emerging Markets82DFA Emerging Markets83World EquitiesEPOCH Investment Partners85LSV Asset Management86Private EquitiesInvestment Manager Returns88Domestic Fixed IncomeDomestic Fixed Income Composite90Declaration Total Return91PIMCO DiSCO II92PIMCO Core Plus Constrained93Prudential Core94SSgA Long US Treasury Index95Ares ND Credit Strategies Fd96Cerberus ND Private Credit Fd97Goldman Sachs 2006 Offshore98Goldman Sachs Offshore Fund V99Loomis Sayles100PIMCO Bravo II Fund101Real EstateReal Estate Composite103Performance vs Total Real Estate Database104

Table of ContentsMarch 31, 2021TimberTIR Teredo106TIR Springbank107InfrastructureISQ Global Infrastructure II109The Rohatyn Group110JP Morgan Infrastructure Fund111Grosvenor Cust. Infrastructure112Grosvenor Cust. Infrastructure II113Macquarie Infrastructure Fund IV114Macquarie Infrastructure Fund V115Callan Research/Education116Disclosures119

Executive SummaryExecutive Summary

Market OverviewActive Management vs Index ReturnsMarket OverviewThe charts below illustrate the range of returns across managers in Callan’s Separate Account database over the mostrecent one quarter and one year time periods. The database is broken down by asset class to illustrate the difference inreturns across those asset classes. An appropriate index is also shown for each asset class for comparison purposes. As anexample, the first bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter.The triangle represents the S&P 500 return. The number next to the triangle represents the ranking of the S&P 500 in theLarge Cap Equity manager database.Range of Separate Account Manager Returns by Asset ClassOne Quarter Ended March 31, (5%)(10%)(92)Large CapEquityvsS&P 500Small CapEquityvsRussell 2000Non-USEquityvsMSCI EAFEDomesticFixed IncomevsBlmbg Aggr BdNon-USFixed IncomevsCiti Non-US GovtRealEstatevsNCREIF 6.1712.703.48(3.37)(6.42)1.7210th Percentile25th PercentileMedian75th Percentile90th PercentileIndexRange of Separate Account Manager Returns by Asset ClassOne Year Ended March 31, %)10th Percentile25th PercentileMedian75th Percentile90th PercentileIndex(94)(95)0%Large CapEquityvsS&P 500Small CapEquityvsRussell 2000(55)Non-USEquityvsMSCI EAFEDomesticFixed IncomevsBlmbg Aggr BdNon-USFixed IncomevsCiti Non-US GovtRealEstatevsNCREIF 3594.8544.570.715.652.61North Dakota State Investment Board Pension Funds2

First Quarter 2021CapitalMarketsReviewThe U.S. Economy:Open for BusinessSharp Gains AfterSteep Plunge in 1Q20Another ReboundAround the WorldE CO NO M YINST IT UT IONAL INVE S TOR SE QU ITY2U.S. GDP notched a solid6.4% gain in 1Q21, andPA G Ethe U.S. economy maybe on track for a truly eyeopening expansion. Initial projectionsare pointing to growth rates of 9% oreven higher for 2Q. At that rate, GDPis now likely to return to its pre-pandemic peak by midyear.4All institutional investortypes saw robust gainsP A G Efor the four quarters ending 1Q21. And all but corporate DBplans exceeded a 60% stocks/40%bonds benchmark. Investors areelated following an incredible year,but that is tempered by soberingexpectations for the capital markets.6The S&P 500 Index hitrecord highs in 1Q21,PA G Eand since the prior peak(February 2020) it is up over 19.6%.Global markets responded positively to the rollout of the COVID19 vaccine; small cap outperformedlarge on continued economicoptimism.Broad MarketQuarterly ReturnsU.S. EquityRussell 30006.3%Global ex-U.S. EquityU.S., Global BondsFall as Rates Head UpSigns of Stability AmidVirus ChallengesMarket Is Riding aWave of MomentumF I X E D IN C O M EREAL ESTAT E/REAL A S S E TSP R IVATE E QU ITYThe10-yearU.S.Treasury yield closedPA G E1Q21 at 1.74%, up 81bps from 4Q20. The BloombergBarclays US Aggregate Bond Indexfell 3.4%. Global ixed incomedropped as developed marketrates rose and the U.S. dollarstrengthened.10The Hotel and Retailsectors face continuedP A G Eheadwinds. The outlookfor the Ofice sector is uncertainwhile Industrial remains the bestperformer. Net operating income forprivate real estate declined. GlobalREITs and U.S. REITs outpacedequities in the quarter.11Continued Interest asYields Remain LowDamn the MarginCalls, Full Risk AheadThird StraightQuarterly GainP RI VATE C R E D I THEDGE F UNDS/M ACsD E FIN E D C ON TR IBU TION1213158Private credit remainsattractive in a low-yieldPA G Eenvironment. Spreads forhigh yield and leveraged loans havesnapped back. Fundraising sloweddown in 2020 due to the pandemic;senior debt and mezzanine capitalrepresented the bulk of the capitalthat was raised.The Credit Suisse HedgeFund Index gained 2.9%P A G Ein 1Q21. The median fundin the Callan Hedge Fund-of-FundsDatabase earned 2.1%; over the lastyear, the median rebounded 27.1%.The average Callan InstitutionalHedge Fund manager earned 4.1%,net of fees.The strong start to 1Q21was fueled by stimulus,PA G Eoptimism, and positiveinvestor sentiment. Preliminarynumbers show that fundraisingand exits (particularly IPOs) weregenerally up, but new investmentsdeclined slightly from the priorquarter.The Callan DC Index gained 11.2% in 4Q20,PA G Eslightlybelowtheincrease of the Age 45 Target DateFund ( 13.4%) but the third straightquarter of gains for both. Investorsexpressed an appetite for relativelysafer asset classes, based on netlows in plans.MSCI ACWI ex USA3.5%U.S. Fixed IncomeBloomberg Barclays Agg-3.4%Global ex-U.S. Fixed IncomeBloomberg Barclays Gbl ex US-5.3%Sources: Bloomberg Barclays, FTSERussell, MSCI

Now Open for BusinessE CO N OM Y Jay KloepferU.S. GDP notched a solid 6.4% gain in 1Q21. The U.S. economymay be on track for a truly eye-opening expansion, with initialprojections from high-frequency GDP trackers such as GDPNowpointing to growth rates of 9% or even higher for 2Q. At that rate,GDP is likely to return to its pre-pandemic peak by midyear. Forcontext, after the Global Financial Crisis (2008-09), it took 3½years before real GDP reclaimed its pre-recession highs. At thestart of the pandemic, the level of real GDP dropped more than10% from March to June 2020. But the recovery in the secondhalf of the year meant annual GDP growth measured -3.5%compared to 2019, although that is still the worst annual loss in(20 Years)Quarterly Real GDP %-35%01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 2175 years. The steep decline and the rapid recovery surroundingthe pandemic have been unprecedented.Source: Bureau of Economic AnalysisInflation Year-Over-YearThe robust 1Q21 result relects the grand reopening enabled bythe expansion of vaccinations against COVID-19 and improve-CPI (All Urban Consumers)PPI (All Commodities)20%ments in containing the spread of the virus in the United States.After a faltering start to the vaccination roll-out, supplies and dis-15%tribution methods began catching up to demand as the quarter10%came to a close. Expectations that a majority of American adults5%will be vaccinated by the end of June have fueled sustained optimism by consumers and a move toward a full economic reopen-0%ing by all businesses, particularly those most affected by the-5%pandemic: travel, hospitality, passenger transportation. As the-10%country moves toward the reopening of places of work and theretreat from work-from-home orders, expect a surge in demandfor business and personal services as well. This reopening will-15%01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21Source: Bureau of Labor Statisticsnot be without hitches, as supply chains have been seriouslyimpacted around the globe, and the mismatch of the supply ofand Brazil than at any time since the start of the global pan-labor and demand to ill jobs may take the rest of the year (ordemic. The lagging distribution of vaccines to many countrieslonger) to be sorted out.may hinder their reopening and recovery well into 2022, as wellas travel into and out of these regions.Around the globe, the move toward reopening has been far lesseven and sustained, as the rollout and availability of the vaccineThe biggest hole to ill in the U.S. economy is in the job market.has been much less robust than in the U.S. Spikes in COVIDWe lost over 22 million jobs in March and April last year, andinfection rates in India, Brazil, Canada, and many Europeanrecovered just 13 million by the end of the year. After a weakcountries constrain both business and consumer conidence,January, however, key metrics of the U.S. job market haveand health care systems are under even greater stress in Indiaperked up substantially. Monthly job creation climbed to 558,0002