20

Item No. 20: Annual Presentation by Morgan Stanley AIP – Hedge Fund of Funds Manager (November 9, 2016, Regular Retirement Board Meeting)

____________________________________________________________________________

INVESTMENT MANAGER SUMMARY

MANAGEMENT Firm Name Morgan Stanley AIP Manager Tenure with Fund 2.6 years Investment Strategy/Vehicle Absolute Return/ Hedge Fund of Funds Contract Expiration N/A

ASSETS* Total Firm AUM $36 Billion Total Firm Assets in Strategy N/A** Total Assets Managed for WPERP (as of 9/30/16)

RP - $78.5 Million HP - $12.8 Million

PERFORMANCE (net of fees)* as of 9/30/16 QTD YTD 1-Year Inception

Morgan Stanley AIP 1.45% -1.32% -1.50% -0.73% Index: T-Bills + 3% 0.82% 2.47% 3.25% 3.13% Difference 0.63% -3.79% -4.75% -3.86% Inception Date: March 1, 2014

FEES Schedule Annual Management Fee 0.77% Annual Administration Fee 0.11%

WATCH STATUS Performance Watch as of June 8, 2016

* Per Morgan Stanley AIP

**WPERP portfolio is a customized fund of one.

Water and Power Employees’ Retirement Plan

November 9, 2016

Hedge Fund of Funds – Convergent Portfolio Investment Manager Presentation

José González-Heres, CAIA - Managing Director, Senior Portfolio Manager West Conshohocken, PA 610.260.7622 Dan McHale - Executive Director West Conshohocken, PA 610.260.7363

2

Dan McHale: Dan is a Portfolio Specialist for Morgan Stanley Alternative Investment Partners Hedge Fund team and focuses on business development. He joined Morgan Stanley in 2015 and has more than 14 years of experience in the hedge fund industry, on both the buy-side and sell-side. Before joining the firm, Dan was a Managing Director and Head of Business Development at RSP Investments, as well as Lyster Watson & Co; both are placement agencies focusing on alternative investments. Prior to that, Dan worked in institutional equity sales at Sanford C. Bernstein where he oversaw the west coast hedge fund sales effort. Dan received a BS in Finance from Fordham University in 1996, and maintains Series 7 & 63 Securities licenses.

José González-Heres, CAIA: José is a portfolio manager for the Morgan Stanley AIP Hedge Fund group and is a member of the AIP Fund of Hedge Funds Investment Committee. He is responsible for event-driven and corporate credit strategies. He joined Morgan Stanley AIP in 2001 as a senior research analyst and has 21 years of industry experience. Prior to joining the firm, José was Chief Executive Officer of a privately held software company, and has seven years of investment banking experience at both Bear Stearns and Prudential Securities. Previously, he also worked at IBM Credit Corporation as a corporate finance analyst and at IBM as a design engineer. José received a B.S. in electrical engineering from Northwestern University and an M.B.A. from the Yale School of Management. He also holds a U.S. and an international patent for his work on algorithms and has published research articles in periodicals including The Journal of Portfolio Management, The Journal of Fixed Income and The Journal of Alternative Investments. José has served as a lecturer at NYU's Stern School of Business. He holds the Chartered Alternative Investment Analyst designation.

Presenters

3

Table of Contents

Company Overview Section 1

Investment Team Section 2

Hedge Fund Market Environment Section 3

Investment Approach Section 4

Review of Mandate • Performance • Portfolio Construction • Compliance

Section 5

Traditional Markets Section 6

Additional Information • Key Contacts • Fee Schedule • Glossary

Appendix A

Company Overview

SECTION 1

5

• Top 10 hedge fund asset manager by AUM with $20.8 billion invested in hedge funds1

• Deep and experienced team of over 75 people dedicated to the hedge fund business

• 7-person investment committee with over 19 years of experience on average

• Diverse client base of both institutional and high net worth investors

• 11 industry awards for superior performance vs. peers won in the past 3 years

• Culture influenced by pension management philosophy and legacy

• Strong historical investment performance

• Alignment with clients: independence, compensation structure & employee investment

Investment Strategies

Assets Under Management

AIP Hedge Fund Group

40% 17%

5%

38%

76%

2%

22%

Customised Discretionary

Strategy-specific Pooled Funds

Multi-strategy Pooled Funds

Advisory

Institutional

Family Office / HNW

MS / Employee

1. Data as of August 31, 2016. Morgan Stanley AIP hedge fund’s total assets of approximately $20.8 billion comprises approximately $12.9 billion assets under management (“AUM”) and approximately $7.8 billion assets under advisement.

More than $194MM of MS firm & employee capital invested alongside our clients in AIP hedge fund strategies

6

Organizational Chart

As of September 30, 2016 Green box denotes members of the Investment Committee, and tan boxes reflect shared resources

Jacques Chappuis and Rui De Figueiredo, Ph.D. Co-Heads of Solutions and Multi-Asset Group

Mustafa Jama Vice Chairman of AIP Hedge Fund Team

Strategies Portfolio Managers Investment Analysts

Global Macro, Secondaries and Co-Investments

Mark van der Zwan Maxwell Egan Johan Detter

Secondaries, Co-Investments and Mortgages

Jarrod Quigley Brian Ksenak Tony Idugboe Dan Hu

Event Driven, Credit and Capital Structure Arbitrage

José González-Heres Christina Han Jeff Scott

Discretionary Global Macro, Emerging Markets and Fixed Income Relative Value

Paresh Bhatt Kenneth Michlitsch Robert Rafter

Long/Short Equity and Emerging Managers

Eric Stampfel Adam Piro Satya Prasad

Europe-Based Managers Lawrence Berner Rene Song

Systematic and Quantitative Radha Thillainatesan

Mark van der Zwan, CFA Chief Investment Officer and Head of AIP Hedge Fund Team

Matt Graver Chief Operating Officer of AIP Hedge Fund Team

QUANTITATIVE ANALYSTS • Eban Cucinotta – Head • Ping Chen • Steven Shin • Dima Skvortsov

HEDGE FUND SOLUTIONS • Chris Morser – Head • Patrick Reid • Andrew Malek • Michelle Schepis

Business Support & Analytics • Rob Seelos • Pennapa Tantiyakul • Victoria Eckstein • Brian McGrath • Nick Buddell • Allyson Copertino • Kristen DeBono

CLIENT SERVICE • Dan Gifford – Head • Sarah Murphy • Ladan Mirzai • George Harris DATA MANAGEMENT • Chuck McManus – Head • Andy Carrara • Surrina Hu • Priya Shah • Hiren Parmar • Nelissa D’Souza REPORTING AND ANALYSIS • Tom Archey – Head • Cara Klavans • Evelyn Richardson

PORTFOLIO SPECIALISTS • Maryellen Doyle • Tadashi Kikkawa • Dan McHale • Hiroyuki Kato

MIDDLE OFFICE • Lisa Shaposhnick – Co-Head • John Zaleski – Co-Head • Phillip Crystal • Matthew Congdon • Angelique Robinson

OPERATIONAL DUE DILIGENCE • Peter Vasiliadis – Head • Sean Ondish • Jonathan Pistilli • Christopher Auffenberg • Doug Ford • Ryan Verano • Jason Curran • John Gregitis • Sarah Rainey

Sloan Walker Senior Administrative Officer • Jamie Durant

PORTFOLIO MANAGEMENT

Information Technology

Product Development Operations

Compliance Legal Human Resources

Marketing Tax

7

Mustafa Jama Vice Chairman of AIP Hedge Funds

Mark van der Zwan, CFA Chief Investment Officer of AIP Hedge Funds

Jose Gonzalez-Heres, CAIA Event Driven, Credit, Capital Structure Arbitrage

Paresh Bhatt Discretionary Global Macro, Emerging Markets and Fixed Income Relative Value

Jarrod Quigley, CFA Relative Value, Mortgages, Secondaries

Eric Stampfel, CFA, CAIA, CMT Long/Short Equity, Emerging Managers

Lawrence Berner, CFA Europe–based Managers

Radha Thillainatesan, CFA Systematic Strategies

Matthew Graver, CPA Chief Operating Officer

Peter Vasiliadis, CPA Head of Operational Due Diligence

Eban Cucinotta Head of Quantitative Research

Tenure and Stability of Senior Leadership Fosters a Strong Investment Culture

12

12

15

13

12

6

10

10

13

12

14

9

9

8

10

3

14

9

5

14

8

2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994 1993 1992 1991 1990 2014 2015

As of July 19, 2016 .

Years of Experience Prior to AIP Years of Experience at AIP

8

Deep and Diverse Investment Platform

Key Platform Statistics

As of June 30, 2016

Favorable Investment Terms

1. Fee discount may range from 15bp – 48bp depending on the strategies . There is no guarantee that there will be favorable investment terms at any given time. As of August 1, 2016.

Total Number of Managers 136

% Hard Closed 16%

Average AUM USD 3.8Bn

Funds Covered per Analysts / PM 8.7

Average Age of Fund 9.7 Years

# of Funds with x < $1.0Bn 55

% of Mgrs.

Fee Discounts (1) 27%

Most Favored Nation Status 58%

Liquidity Terms 14%

One or more of the above 59%

Funds by Broad Investment Style Platform by Fund Strategy AUM Regional Focus (Look-Through)

56

13 24

34

33

15

Long Short

CTA/Managed Futures

Macro

Event Driven

Relative Value

Multi Strategy

32%

15% 33%

11%

9% Sub $1Bn

$1 – $2Bn $2 – $5Bn

$5 – $10Bn

$10Bn+

8%

19%

10% 63%

Developed Asia

Developed Europe

Emerging

North America

9

AIP Awards and Recognition (1)

1. Past performance is not indicative of future results. Please see the important disclaimers on these awards at the end of this presentation.

Hedge Funds Review

2014

Winner – 2014 Best Overall Fund of Hedge Funds Group and Best Bespoke Fund of

Hedge Fund Provider

InvestHedge

2014

Riverview Global Macro Fund, Winner – 2014 Global Macro and Managed

Futures Award

Hedge Funds Review

2014

Morgan Stanley Opportunistic Fund, Winner – 2014 Best Diversified Fund of

Hedge Funds (Three-Years)

HFMWeek

2014

AIP Select Mortgage Fund, Winner – 2014 Best Fund of Hedge

Fund Newcomer

InvestHedge

2013

Winner – 2013 Group of the Year Award (Five-Years)

HFM Awards

2013

Morgan Stanley Opportunistic Fund, Winner – 2013 Best Fund of

Funds Overall

InvestHedge

2013

Riverview Global Macro Fund, Winner –2013 Global Macro and Managed

Futures Award

Hedge Funds Review

2015

AIP Absolute Return Fund, Winner – Best Diversified Fund of Hedge Funds

(One-Year)

InvestHedge

2015

Winner – 2015 Group of the Year

InvestHedge

2015

Riverview Global Macro Fund, Winner – 2015 Global Macro Award

(Five Years)

InvestHedge

2015

Morgan Stanley Opportunistic Fund, Winner – Global Multi-Strategy Fund

(Five Years)

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CLIENT DOMICILE MANDATE AUM

($Millions)

1 Central Bank Middle East Multi Strategy Separate Accounts 2,352

2 Foundation Middle East Multi Strategy Separate Account, part of OCIO Mandate 837

3 Sovereign Wealth Fund Asia Multi Strategy Separate Account 800

4 Corporate Pension US Multi Strategy Separate Account 767

5 Corporate Pension US Multi Strategy Fund of One 666

6 Insurance Company / Corporate Pension US Multiple Commingled Funds 370

7 High Net Worth Individual Europe Multiple Commingled funds, Separate Account 291

8 Public Pension UK Multi Strategy Separate Account 244

9 Public Pension Europe Global Macro Fund of One 198

10 Corporate Pension Asia Global Macro Separate Account 182

11 Corporate Pension US Multi Strategy Separate Account 168

12 Not for Profit Organization US Multi Strategy Separate Account 130

13 High Net Worth Individual US Multi Strategy Separate Accounts 130

14 Corporate Assets / Pension US Multi Strategy Separate Accounts 121

15 Sovereign Wealth Fund Middle East Multi Strategy Separate Account 117

16 University Endowment US Multi Strategy Separate Account 110

17 Public Pension UK Multi Strategy Separate Account, part of OCIO Mandate 104

18 High Net Worth Individual US Multi Strategy Separate Account 94

19 High Net Worth Individual US Multi Strategy Separate Accounts 92

20 LADWP US Multi Strategy Fund of One 91

Top 20 Hedge Fund Clients and Investors by AUM As of August 31, 2016

Investment Team

SECTION 2

12

1. RESOURCES

• 75 professionals

• Five teams dedicated by function

– Portfolio Management

– Investment Analytics

– Quantitative Analysis

– Operational Due Diligence

– Middle Office functions

2. EXPERIENCE AND ORGANIZATION

• Seven portfolio managers, with average 19 years of experience

• Specialized by strategy; knowledgeable across sectors

• Independent research combines with collaborative decision making

3. ALIGNMENT OF INTERESTS

• Compensation is tied to investment performance

• Formal revenue share agreement with parent

Summary of Key Strengths – AIP Hedge Fund Team

1. As of September 30, 2016.

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Portfolio Management Team

Information as of June 30, 2016 The statements above reflect the views and opinions of AIP Hedge Fund Team as of the date hereof and not as of any future date

• Dedicated to hedge fund investing

• Organized by strategy expertise

• Stable, long-tenured team

• 23 years of relevant industry experience • M.B.A. from Yale School of Management • B.S. from Northwestern University • Chartered Alternative Investment Analyst • Experience: Bear Stearns, Prudential Securities, IBM

and Suggestionator

Event Driven, Credit and Capital Structure Arbitrage

José González-

Heres

• 21 years of relevant industry experience • M.B.A. from Queen’s University, Ontario • B.S. from Queen’s University, Ontario • Chartered Financial Analyst • Experience: Alan D. Biller & Associates;

National Research Council of Canada

Chief Investment Officer and Head of AIP Hedge Fund Team

Mark van der Zwan

• 19 years of relevant industry experience • M.S. from The University of Chicago • B.S. & B.A. from the University of Texas, Austin • Chartered Financial Analyst • Experience: Man-Glenwood Capital Investments, ABN

AMRO, Salomon Smith Barney

Europe-Based Managers

Lawrence Berner

• 23 years of relevant industry experience • M.B.A. from Wharton School of the University of

Pennsylvania • B.A. from Union College • Experience: SEI Investments, Granite Associates,

Lehman Brothers; Bankers Trust, the Federal Reserve Board

Discretionary Global Macro, Emerging Markets, and Relative Value Fixed Income

Paresh Bhatt

• 20 years of relevant industry experience • B.S. from Villanova University • Chartered Financial Analyst • Chartered Alternative Investment Analyst • Experience: Ivy Asset Management, Cambium Capital

Management, Kingdon Capital Management

Long/Short Equity

Eric Stampfel

Radha Thillainatesan

• 15 years of relevant industry experience • M.S. from New York University • B.S. from McGill University • Chartered Financial Analyst • Experience: Larch Lane Advisors

Systematic Global Macro

• 15 years of relevant industry experience • B.S. from Babson College • Chartered Financial Analyst • Experience: AG Edwards

Relative Value, Hedge Fund Secondaries, Mortgages

Jarrod Quigley

14

Specialized Professionals Dedicated to Supporting the Hedge Fund Portfolio Managers

Analyst Team

Emerging Markets and Discretionary Macro

Robert Rafter 8 years of industry experience B.A. Georgetown University CFA Experience: Colchis Capital Mgmt, CNBC, Lehman

Satya Prasad 14 years of industry experience B.B.A. from Ross, University of Michigan CFA Experience: Allianz Global, Sandell Asset Management, Veritable

Kenneth Michlitsch 16 years of industry experience M.B.A. from the Wharton School, University of Pennsylvania B.S. and M.S. from MIT Experience: Lumen Advisors, KJM Consulting, JOMED, Fish & Neave

Adam Piro 17 years of industry experience B.B.A. from George Washington University CFA Experience: Meridian Investment Co.

Long/Short Equity

Information as of June 30, 2016.The statements above reflect the views and opinions of AIP Hedge Fund Team as of the date hereof and not as of any future date. All forecasts are speculative, subject to change at any time and may not come to pass due to economic and market conditions.

Rene Song 5 years of industry experience MSc from Nottingham Business School B.A. from the University of Toronto Experience: Towers Watson

Europe-Based Managers

Christina Han 16 years of industry experience M.B.A. from the Wharton School, University of Pennsylvania B.A. from Shanghai International Studies University CFA Experience: Goldman Sachs, ING Barings, Arthur Anderson

Jeff Scott 8 years of industry experience B.S. from Drexel University CFA, CAIA Experience: Veritable, L.P.

Event Driven, Credit

15

Specialized Professionals Dedicated to Supporting the Hedge Fund Portfolio Managers

Analyst Team

Non-Equity Relative Value, Hedge Fund Secondaries and Mortgages

Brian Ksenak 7 years of industry experience B.S. from Villanova University Experience: Citigroup

Max Egan 8 years of industry experience M.B.A from Carnegie Mellon University B.S. from Carnegie Mellon University Experience: American Century Investments, NERA Economic Consulting

Tony Idugboe 6 years of industry experience B.B.A. from Howard University Experience: Goldman Sachs, Merrill Lynch

Johan Detter 2 years of industry experience B.S. from Trinity College Experience: K2 Advisors

Dan Hu 2 years of industry experience B.A. from Swarthmore Experience: Deutsche Bank, QVT Financial

Global Macro, Multi-Strategy and Secondaries

Information as of June 30, 2016. The statements above reflect the views and opinions of AIP Hedge Fund Team as of the date hereof and not as of any future date. All forecasts are speculative, subject to change at any time and may not come to pass due to economic and market conditions.

16

Focused on Analyzing and Monitoring Hedge Fund Risk and Return Drivers Quantitative Analysis Team

Quantitative Analysis Team

Eban Cucinotta, Head of Quantitative Analysis Team 13 years of relevant industry experience M.B.A. from the Yale School of Management B.S. from Carnegie Mellon University Experience: Peter D. Hart Research, MCI Telecommunications

Dima Skvortsov 11 years of relevant industry experience M.S. from St. Petersburg State Polytechnic University Chartered Financial Analyst Experience: iCarnegie; Sonic Foundry

Ping Chen,Ph. D. 9 years of relevant industry experience Ph.D. from Carnegie Mellon University B.S. from Tsinghua University, China M.S. from the School of Computer Science at Carnegie Mellon University

Steven Shin 11 years of relevant industry experience Chartered Financial Analyst M.B.A. from the Yale School of Management B.S. from University of Illinois at Urbana-Champaign

Information as of June 30, 2016. The statements above reflect the views and opinions of AIP Hedge Fund Team as of the date hereof and not as of any future date. All forecasts are speculative, subject to change at any time and may not come to pass due to economic and market conditions.

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Dedicated to Operational Integrity With Veto Authority Over Decisions to Approve Hedge Funds as Available for Investment

Operational Due Diligence Team

Operational Due Diligence Team

Peter Vasiliadis, Head of Operational Due Diligence Team 18 years of relevant industry experience B.S. from the University of Delaware Experience: PricewaterhouseCoopers, Tait, Weller & Baker, Delaware Group of Funds, Prudential

Sean Ondish 11 years of relevant industry experience B.S. from the University of Delaware Experience: PricewaterhouseCoopers

Jonathan Pistilli 13 years of relevant industry experience B.S. from West Chester University Experience: PricewaterhouseCoopers, Arthur Andersen

Ryan Verano 9 years of relevant industry experience B.S. from Penn State University Experience: PricewaterhouseCoopers

Douglas Ford 11 years of relevant industry experience M.B.A. from Villanova University B.S. from Shippensburg University Experience: Cohen and Company, SEI Investments

Chris Auffenberg 8 years of relevant industry experience B.S. from Villanova University Experience: Morgan Stanley Financial Control Group; Credit Suisse (Product Controller)

Jason Curran 8 years of relevant industry experience B.A. from Villanova University

John Gregitis 1 year of relevant industry experience B.S. with cum laude honors from the University of Scranton

Information as of June 30, 2016.The statements above reflect the views and opinions of AIP Hedge Fund Team as of the date hereof and not as of any future date. All forecasts are speculative, subject to change at any time and may not come to pass due to economic and market conditions.

Sarah Rainey 2 years of relevant industry experience B.S. with cum laude honors from the Arcadia University Experience: Morgan Stanley Wealth Management

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Responsible for Streamlining Operational Burdens, Including Liquidity Management and Trade Execution

Middle Office Team

Middle Office Team

Sloan Walker, Senior Administrative Officer 16 years of relevant industry experience J.D. from University of Virginia Law School B.A. from Yale University Chartered Financial Analyst Experience: Oppenheimer Funds, Moody’s Investor Services, U.S. Securities and Exchange Commission

Lisa Shaposhnick 15 years of relevant industry experience B.A. from Pennsylvania State University Experience: BDO, Rothstein Kass

Phillip Crystal B.S. from the University of Maryland Experience: Orthobond, Aerospine

Matthew Congdon 3 years of relevant industry experience B.A. from Temple University Experience: Vanguard

Information as of June 30, 2016. The statements above reflect the views and opinions of AIP Hedge Fund Team as of the date hereof and not as of any future date. All forecasts are speculative, subject to change at any time and may not come to pass due to economic and market conditions.

John Zaleski 23 years of relevant industry experience M.B.A. from Temple University B.S. from Pennsylvania State University Experience: SEI Investments

Jamie Durant 12 years of relevant industry experience J.D. from Touro College- Jacob D. Fuchsberg Law Center B.A. from Rutgers University Experience: Merrill Lynch, Oppenheimer Asset Mgmt., Deutsche Bank Asset Mgmt,Citigroup

Angelique Robinson 1 year of relevant industry experience B.A. from Temple University Experience: Aramark, AmeriGas Propane

Matthew Graver 25 years of relevant industry experience M.B.A. from Villanova University B.S. from Pennsylvania State University Experience: PricewaterhouseCoopers, PFPC and Coopers & Lybrand

Chief Operating Officer

Hedge Fund Market Environment

SECTION 3

20

• Funds de-risked during selloff in first six weeks of 2016 and did not fully participate in ensuing rally caused by central bank intervention

• Commonalities in factor exposures and risk management techniques across managers led to negative alpha amid market volatility in 1Q

• Recovery and normalization from May – August

• Relative Value funds capitalized on a market characterized by a rebound in structured products and a rally in credit

• Macro funds successfully navigated EM sovereign opportunity, “Brexit” and rising energy prices

• Technical factors rather than fundamentals driving performance; creates short-term recent dislocations but future opportunities for alpha

YTD 2016 : Key Highlights

Past performance does not guarantee future results. This is provided for illustrative purposes only and is not meant to depict the performance of a particular investment. Indices are unmanaged portfolios of securities and investors cannot invest directly in an index. Please see index definitions at the end of this presentation.

Investment Approach

SECTION 4

22

Philosophy The AIP Hedge Fund Group Believes:

The statements above reflect the opinions and views of the AIP Hedge Fund Group as of the date hereof and not as of any future date and will not be updated or supplemented. All forecasts are speculative, subject to change at any time and may not come to pass due to economic and market conditions

• Separating and evaluating the sources of hedge fund returns is the best way to find alpha-producing managers

– Quantitative analysis – identify betas (returns from the market), alphas (returns from timing and security selection) and illiquidity premium

– Qualitative analysis – identify sustainable competitive advantages of managers’ investment process, organization or people

• An informed market view coupled with opportunistic insights determines and refines our portfolio strategy

– Strategic weighting of alpha managers drives long-term consistency

– Tactical shifts and creativity ahead of changing market conditions can add significant value

• Insisting on business quality helps prevent “slippage” of alpha by adverse events, terms or costs

– Underlying manager quality confirmed through operational due diligence

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Investment Process

1. Subject to confidentiality obligations, information barriers established by Morgan Stanley to manage potential conflicts of interest, and applicable allocation policies. 2. The statements above reflect the views and opinions of Morgan Stanley AIP as the date hereof and not as of any future date.

Monitoring Sourcing Investing Analyzing

Validate decision making

• Manager-level control

– Style, risk, business operations

– Transparency

– Z-score process

• Portfolio-level control

– Market and idiosyncratic risks

– Concentration / diversification

– Leverage / liquidity

– Quality / consistency

Identify potential investments

• Reputation as a “partner of choice”

– Primaries

– Secondaries

– Co-investment

– Talent Development

• Extensive network built over decades

– MS internal (1)

– AIP external

• New talent discovery and access to premier funds

– Diversity of alpha sourcing

– No selection bias at sourcing level

Optimize risk / returns through portfolio construction

• Strategic outlook defines market opportunity

• Risk / return analysis at fund and AIP portfolio levels

• Optimal position sizing methodology

– Alpha, beta, risk and correlations are all considered

Evaluate and decide

• Qualitative assessment

– Strategy specialists

– Consistent framework

• Quantitative confirmation

– Separation of alpha and betas

• Operational due diligence

– AIP resources, MS network (1), third-party investigation

– Full IC veto

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INVESTMENT DUE DILIGENCE

Monthly Performance attribution Sector / region / other factor analysis Capacity monitoring

Quarterly Call with manager Review SEC filings (13F filings, others)

Annual On-site visit Revise due diligence scorecard

OPERATIONAL DUE DILIGENCE

Monthly Media search Review manager communications

Annual On-site visit Review audited financials Revise due diligence scorecard

Other Refresh background checks Meet with service providers

QUANTITATIVE SCORING

Z-Score Process Identify change in manager behavior based on a hedge fund’s risk factors. Repeated outliers results in IC review “Rule of 4”.

Addition to “Watch list”1 or re-approval required if:

• Any two standard deviation return from expected twice in a 12-month period or

• A single four standard deviation return from expected

Monitoring – Manager Level

1. AIP monitors the funds on the watch list and sets a specific time frame for resolution. No new investments are made to funds listed on the watch list.

Possible Investment Committee Actions from Monthly Risk Review

Add to Watch list, with specific time frame for resolution (typically, next liquidity point)

Site visit / call with the manager

Position reduction

Redeem in full

No change if issue satisfactorily resolved

INVESTMENT COMMITTEE MONTHLY RISK REVIEW

Review of Mandate

SECTION 5

• Performance

• Portfolio Construction

• Compliance

26

• Key overall hedge fund program guidelines

– Enhance the Plan’s long-term risk-adjusted total return

– Add diversification benefits to overall investment program

– Hedge against long-term liabilities (inflation)

– Absolute return orientated, while emphasizing preservation of capital

– Implement via the construction of two separate complimentary hedge fund portfolios: Convergent & Divergent

– Transparency – 100% on Risk Metrics

• Mandated characteristics of the Convergent Portfolio are

Convergent Portfolio – Summary Overview

CONVERGENT

Return Objective 90-day T-BilI index+ 3% over a full market cycle

Volatility Medium to low, 5% standard deviation over full market cycle

Correlation 0.7 or less to Russell 3000 and MSCI ACWI Ex U.S.

Leverage None at portfolio level; 2x aggregate max. in underlying HFs

Liquidity 12 mos. max. for full redemption; and/or avg. of 6 mos.

Diversification Max. single manager 10% (at cost) or 14% (at mkt) Max. new emerging manager 5% (at cost) or 7% (at mkt)

1. Water and Power Convergent Fund Ltd. is a Cayman Islands based hedge fund of one portfolio, created specifically for WPERP, and referred to as the “WPERP Portfolio” in this presentation.

27

1.64%

0.04%

1.45%

-1.32% -1.50%

-0.73%

0.82%

3.25%

-0.75% -0.74%

3.13%2.47%

-2%

-1%

0%

1%

2%

3%

4%

Q3 2016 YTD One Year Since Inception

Since inception 3/1/2014 Gross and Net of fees1

1. Net of fees returns are estimated, unaudited and based upon information received from underlying funds or their service providers as of the date above. Prior month returns are based on the reported net asset value and will not be changed in future months for subsequent non-material revisions to estimated valuations received from underlying managers. If such revisions have a material impact on a prior month’s net asset value, the net asset value, unit value and monthly return will be restated. Otherwise, prior month valuation revisions will be accounted for in the current month’s net asset value and return. No assurance can be given that any positive return can be achieved by Water and Power Convergent Fund Ltd. and past performance may not be indicative of future results.

WPERP Portfolio Gross Citigroup US Treasury Bills Index +3% WPERP Portfolio Net

Gross and Net Performance

28

Performance Track Record (%) As of September 30, 2016

Comparative Performance

1. Net of fees returns are estimated, unaudited and based upon information received from underlying funds or their service providers as of the date above. Prior month returns are based on the reported net asset value and will not be changed in future months for subsequent non-material revisions to estimated valuations received from underlying managers. If such revisions have a material impact on a prior month’s net asset value, the net asset value, unit value and monthly return will be restated. Otherwise, prior month valuation revisions will be accounted for in the current month’s net asset value and return. No assurance can be given that any positive return can be achieved by Water and Power Convergent Fund Ltd. and past performance may not be indicative of future results.

For the Period March 1, 2014 (Inception) – September 30, 2016 3Q 2016 (%) YTD 2016 (%) ONE-YEAR (%)

ANNUALIZED SINCE INCEPTION (3/1/2014)

(%)

WPERP Portfolio – Gross 1.64 (0.75) (0.74) 0.04

WPERP Portfolio – Net 1.45 (1.32) (1.50) (0.73)

Hedge Fund Benchmark

HFRI FoF Conservative Index 1.93 0.33 0.33 0.86

Benchmarks

Citigroup 3M U.S. Treasury Bill Index + 3% 0.82 2.47 3.25 3.13

Barclays US Aggregate Index 0.46 5.80 5.19 3.94

MSCI AC World Index 5.30 6.60 11.96 2.92

Russell 3000 TR Index 4.40 8.18 14.96 7.53

S&P GSCI Commodity Total Return Index (4.15) 5.30 (12.21) (25.89)

YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR

2014 Net (0.67) (0.51) 1.22 1.40 (0.52) 0.48 (0.21) (1.19) 0.70 (0.03) 0.64

2015 Net (0.36) 1.92 0.94 0.38 0.73 (0.78) (0.45) (1.14) (2.20) 0.13 (0.43) 0.12 (1.20)

2016 Net (2.11) (1.16) (0.01) 0.24 0.65 (0.33) 1.13 0.15 0.17 (1.32)

NAV: $91,256,426

Number of Funds: 24

29

• 6 of 10 strategies produced negative results in the period

• Multi Strategy funds Citadel, HBK and KLS each returned between 5%-7%

• Event Driven Equity funds impacted by healthcare exposure.

• Statistical arbitrage funds negatively impacted by poor environment for quantitative equity strategies.

For the Period January 1, 2016 to September 30, 2016

Strategy Level Performance and Attribution – YTD 2016 WPERP Portfolio

YTD 2016

IMPACT (%) RETURN (%)

Multi Strategy 0.74 5.88

Merger/Risk Arbitrage 0.03 2.26

Event Driven Credit 0.02 2.09

Mortgage Arbitrage 0.01 2.73

Equity L/S High Hedge (0.01) (0.30)

Equity L/S Opportunistic (0.08) (0.30)

Relative Value Credit (0.17) (3.62)

Distressed (0.22) (5.70)

Event Driven Equity (0.36) (3.14)

Statistical Arbitrage (0.60) (6.03)

30

Relative Value 47.1% Statistical Arbitrage 16.0% Equity L/S High Hedge 15.0% Mortgage Arbitrage 7.9% Relative Value Credit 5.3% Fixed Income Arbitrage 2.5% Convertible Arbitrage 0.2% Volatility Arbitrage 0.2%

Event Driven 13.5% Event Driven Equity 9.7% Merger / Risk Arbitrage 2.5% Distressed 0.6% Event Driven Credit 0.5% Private Placements 0.2%

Directional 34.7% Equity L/S Opportunistic 29.9% CTA/Managed Futures 3.9% Commodities 0.5% Other Directional 0.3% Macro 0.2%

Cash and Other 4.6%

NAV: $91,256,426

Number of Funds: 24

Strategy Allocation

Strategy Allocation (1)

As of September 30, 2016

WPERP Portfolio

47.1%

13.5%

34.7%

4.6%

1. The percent of net asset value is determined by dividing the value of investment in an underlying fund by the net asset value as of the date above. Water and Power Convergent Fund’s actual portfolio may vary from that described above, not all of the strategies listed above may be utilized at any given time, and additional strategies not listed above may be utilized by Water and Power Convergent Fund at any given time. The chart above includes investments in Multi-Strategy funds, which invest in more than one strategy at any given time. Multi-Strategy funds are not included as a separate strategy. Rather, Morgan Stanley AIP GP LP attempts to “look through” to the strategies of these funds’ holdings, relying on strategy breakdowns from managers of the underlying Multi-Strategy funds when such strategy breakdowns are provided by such managers and otherwise attempting to estimate such strategy breakdowns internally when breakdowns are not provided by such managers.

31

Geographic Allocation

Geographic Allocation

As of September 30, 2016

WPERP Portfolio (1)

71.2%

11.5%

4.8%

12.5%

North America

Developed Europe

Emerging/Other Regions

Developed Asia

1. Water and Power Convergent Fund Ltd. does not maintain a predetermined target allocation to U.S. and non-U.S. markets, and there is no guarantee that the assets will be allocated in the manner described above at any time other than the preceding “as of” date. Regional allocations exclude cash.

32

Portfolio Holdings

WPERP PORTFOLIO (9/30/16) STRATEGY % OF NAV Millennium International, Ltd. Equity L/S High Hedge 6.04 Anchor Bolt Offshore Fund, Ltd. Equity L/S Opportunistic 5.75 KLS Diversified Fund Ltd. Multi Strategy 5.42 Third Point Offshore Fund, Ltd. Event Driven Equity 5.37 HBK Multi-Strategy Offshore Fund Ltd. Multi Strategy 5.35 Horizon Portfolio I Limited Equity L/S High Hedge 5.19 Atlas Enhanced Fund, Ltd. Equity L/S Opportunistic 5.11 GSA QMS Fund Limited Statistical Arbitrage 5.02 Renaissance Institutional Equities Fund International L.P. Statistical Arbitrage 5.01 Teza Offshore Fund IV, Ltd. Statistical Arbitrage 4.28 Sachem Head Offshore Ltd. Event Driven Equity 4.23 Pleiad Asia Offshore Feeder Fund Equity L/S Opportunistic 4.01 Shellback Offshore Fund, Ltd. Equity L/S Opportunistic 3.98 Citadel Global Equities Fund Ltd. Equity L/S High Hedge 3.41 HBK Quantitative Strategies Offshore Fund L.P. Statistical Arbitrage 3.23 Doonbeg Fund, Ltd. Equity L/S Opportunistic 3.19 Quentec Fund, Ltd. Equity L/S Opportunistic 3.16 SPM Core Offshore Fund, Ltd. Mortgage Arbitrage 3.05 Ailanthus Capital Partners, Ltd. Equity L/S Opportunistic 2.97 Waterfront CP Offshore Fund Ltd. Equity L/S High Hedge 2.95 Citadel Kensington Global Strategies Fund Ltd. Multi Strategy 2.62 Paulson International Ltd. Event Driven Equity 2.19 Tricadia Credit Strategies, Ltd. Relative Value Credit 2.01 Chilton European International (BVI) Ltd. Equity L/S Opportunistic 1.46 East Lodge Capital Credit Opportunities Fund, Ltd. Mortgage Arbitrage 0.37

33

WPERP Portfolio For the Period March 1, 2014 to September 30, 2016 (Since Inception)

Annualized Performance (Net of Fees) -0.73%

Annualized Volatility (Realized) 3.27%

Annualized Volatility (Ex-Ante based on underlying securities) 2.58%1

Sharpe Ratio -0.25

Sortino Ratio -0.33

Maximum Drawdown -7.79%

Liquidity 100% in 12 months2

Leverage (Underlying Managers) 1.70x3

Correlation to Russell 3000 Index 0.59

Correlation to MSCI All Country World Ex-USA Index 0.59

Beta to Russell 3000 Index 0.18

Beta to MSCI All Country World Ex-USA Index 0.15

Annualized Volatility of Russell 3000 Index 10.96%

Annualized Volatility of MSCI All Country World Ex-USA Index 12.80%

Maximum Drawdown of Russell 3000 Index -8.80%

Maximum Drawdown of MSCI All Country World Ex-USA Index -20.85%

1. Source: MSCI Riskmetrics, based on 1-day VaR 95% confidence interval. 2. Plus an additional three months for processing. 3. As of October 21, 2016.

Risk Characteristics

34

For the Period March 1, 2014 (Inception) to September 30, 2016 (Estimate)

BOARD OF ADMINISTRATION OF THE WATER AND POWER EMPLOYEES' RETIREMENT PLAN (ON BEHALF

OF THE RETIREE HEALTH BENEFITS FUND)

WATER AND POWER EMPLOYEES(1)

RETIREMENT PLAN

Beginning Capital $0 $0

Contributions $13,000,000 $80,000,000

Withdrawals $0 $0

Net Contributions $13,000,000 $80,000,000

Portfolio Net Return ($243,998) ($1,501,521)

Market Value (September 30, 2016) $12,756,002 $78,498,479

Change in Market Value Summary

1. AIP total $AUM managed in discretionary HFoF portfolios at 9/30/16 totaled approximately $13.0 billion (of this amount $9.5 billion was in portfolios customized to meet individual client needs). The WPERP portfolio represents 0.7% of $13.0 billion.

35

As of October 21, 2016 (Estimate)

MANDATE METRICS METRIC TEST STATUS 10/21/16 VALUE

Largest single fund at cost <= 10% 5.1%

Largest single fund at market value <= 14% 6.1%

Largest emerging manager at cost <= 5% 4.9%

Largest emerging manager at market value <= 7% 4.3%

Weighted average underlying hedge fund investment leverage <= 2x 1.70

Leverage at the portfolio level <= 1x None

Funds liquid within 15 months (additional 3 months for processing) = 100% 100.00%

Weighted average liquidity (days) <= 180 121.97

Macro Strategies Not Predominate 0.2%1

Commodity Strategies Not Predominate 0.4%1

CTA/Managed Futures Strategies Not Predominate 4.5%1

Portfolio Volatility <= 5% 3.28%

Correlation to Russell 3000 TR Index <= 0.70 0.59

Correlation to MSCI AC World ex-US Index <= 0.70 0.59

Investment Guidelines and Compliance

Legend: in compliance; out of compliance.

1. Allocation results from look through to multi strategy funds. There is no direct Macro, Commodities or CTA/Managed Futures exposure.

Traditional Markets

SECTION 6

37

Price / Earnings Ratio CAPE, TTM

Price / Earnings Ratios

0

5

10

15

20

25

30

35

40

45

50

1954 1959 1964 1969 1974 1979 1984 1989 1994 1999 2004 2009 2014

Trailing Twelve Month P/E

Cyclically Adjusted P/E 27.1

20.4

Cyclically Adjusted P/E (“CAPE”) Ratio Average = 19.5 Trailing Twelve Months (“TTM”) Earnings P/E Ratio Average = 16.4

Source: Bloomberg

January 1954 – August 2016

38

%

Barclays U.S. Aggregate Yield

Source: Bloomberg

January 1992– September 2016

0

1

2

3

4

5

6

7

8

9

1.96%

39

%

Fed Funds Yield

Source: Bloomberg

January 1992 – September 2016

0

1

2

3

4

5

6

7

8

9

0.50%

40

Current Strategy Outlook – September 2016

Distressed / Event Driven Credit

Distressed ratio does not signal current opportunity, but pockets of opportunity exist (Europe, EM sovereign / quasi-sovereign, energy value chain, failed LBOs, secular decline sectors, commodity related issues.)

Equity Long/Short

Current opportunity set remains challenged due to high correlations, low dispersion, central bank intervention and crowding. Opportunities in emerging markets more favorable than developed markets.

Event Driven Equity

Generally healthy environment for corporate activity, but downside risk has increased, driven by record high deal breakage created by regulatory concerns and rich equity market valuation.

Mortgage Arbitrage

Favorable view of residential credit fundamentals and available yield in non-agency RMBS. Less optimistic on commercial real estate trajectory, warranting a relative value approach in CMBS. Agency prepayment strategies represent a diversifying source of alpha, although valuation of derivative instruments is fair.

Statistical Arbitrage

The proportion of single stock returns explained by a common factor has declined from its peak but remains high. High correlations among funds and high short interest ratio levels indicate crowding .

Discretionary Macro

Higher 2016 volatility offset by lower risk taking. AIP Risk on/Risk off measure higher than 2015 but below peak. Lower level of market trends but price trends and momentum have manifested in tradeable idiosyncratic markets.

Systematic Macro

Fundamental strategies negatively impacted by high intra-asset correlations. Current average volatility / high correlation environment neutral for technical strategies. Stable volatility neutral for short-term trading.

CONVICTION SCALE Low Neutral High

41

CURRENT POSITIONING AND OUTLOOK

• Portfolio well diversified by manager, strategy and geography

• Currently in compliance with WPERP investment guidelines

• Portfolio conservatively positioned

– Low beta to traditional equity and fixed income market risk

Convergent Portfolio – Summary Overview

Additional Information

APPENDIX A

43

RELATIONSHIP MANAGEMENT

Dan Gifford Head of Client Service

100 Front Street West Conshohocken, PA 19428 610.260.7617

Daniel.Gifford@morganstanley.com

Dan McHale Executive Director

100 Front Street West Conshohocken, PA 19428 610.260.7363

Dan.McHale@morganstanley.com

PORTFOLIO MANAGEMENT

Jose Gonzalez-Heres, CAIA Lead Portfolio Manager

100 Front Street West Conshohocken, PA 19428 610.260.7622

Jose.Gonzalez-Heres@morganstanley.com

Key Contacts for WPERP

44

• Morgan Stanley AIP earns a fixed per annum fee of 77 bps for the management of the WPERP hedge fund of funds portfolio

Fee Schedule

45

Annualized Volatility represents the standard deviation of monthly returns since inception.

Beta represents the Portfolio’s volatility relative to the market. A beta of greater than 1.0 indicates that the Portfolio is more volatile than the market, and less than 1.0 is less volatile than the market. A negative beta indicates the Portfolio volatility has an inverse relationship to the market.

Correlation represents the statistical relationship between the movement of the Portfolio’s net returns and the stated variable.

Cyclically Adjusted Price / Earnings Ratio uses smoothed real earnings to eliminate the fluctuations in net income caused by variations in profit margins over a ten year period.

Price / Earnings Ratio is calculated as the stock price divided by earnings per share.

Sharpe Ratio is a risk-adjusted measure developed by William F. Sharpe, calculated by dividing the Portfolio ’s excess return relative to the risk-free rate (defined as the rate of return of the Citi Three-Month U.S. Treasury Bill Index) by the standard deviation of the Portfolio’s return.

Sortino Ratio is a risk-adjusted measure developed by Brian M. Rom, calculated by dividing the Portfolio’s excess return relative to the risk-free rate (defined as the rate of return of the Citi Three-Month U.S. Treasury Bill Index) by the downside deviation of the Portfolio’s return.

Glossary of Investment Terms

46

This InvestHedge Awards, September 2015. The awards are based on on quantitative factors such as Sharpe ratio, outperformance, and assets over 5-year period ending August 31, 2015. The InvestHedge database tracks approximately 1,400 active funds of hedge funds.

Hedge Funds Review, July 2015. The winners of the Americas Awards 2015 were selected based on a rigorous methodology that combines quantitative and qualitative analysis. The process started with running a quantitative screen over all funds reporting to the BarclayHedge database to extract raw performance figures as well as other important metrics. Information on non-reporting funds was independently sourced. Funds that met the qualification criteria and had top-quartile returns in their category were ranked based on returns, Sharpe ratio and downside deviation. An independent panel of judges reviewed all the risk and return metrics on the top-ranked funds and selected the winners.

Hedge Funds Review, July 2014. The winners of the Americas Awards 2014 were selected based on a rigorous methodology that combines quantitative and qualitative analysis. The process started with running a quantitative screen over all funds reporting to the BarclayHedge database to extract raw performance figures as well as other important metrics. Information on non-reporting funds was independently sourced. Funds that met the qualification criteria and had top-quartile returns in their category were ranked based on returns, Sharpe ratio and downside deviation. An independent panel of judges reviewed all the risk and return metrics on the top-ranked funds and selected the winners.

InvestHedge Awards, September 2014 – The criteria for “Global Macro and Managed Futures” are based on global macro and managed futures fund of funds returns over a five-year period from August 2013 to July 2014. The fund must also have achieved a Sharpe ratio within 25% of the best of the nominees.

HFMWeek U.S. Performance Awards, October 2014. A panel of judges comprised representatives of HFMWeek, leading institutional and private investors and industry experts. The panel considered a combination of quantitative and qualitative considerations including annual performance, volatility and risk management for the period July 2013 to June 2014.

InvestHedge Awards, September 2013. The criteria for “Group of the Year” is based on various quantitative factors, including Sharpe ratio, outperformance and assets. The time frame for this award takes into account the performance over five years from August 2008 to July 2013. To be considered for “Group of the Year,” a group must have $1Bn in asset under management and at least three nominations to the InvestHedge Awards. The InvestHedge Database of Funds of Hedge Funds tracks 1,998 active funds of hedge funds run by 536 management companies globally.

Preqin, 2013 Preqin Private Equity Performance Monitor, July 2013 based on a universe of 73 firms and 644 funds fulfilling the selection criteria. This information is being provided with the permission of Preqin. For informational purposes only and does not constitute an offer or solicitation of an offer, to buy or sell any security or strategy. The information is as of July 2013 and is subject to change. All investing involves risk, including the risk of loss. In compiling this ranking, Preqin considered the quartile rankings assigned to funds and top quartile funds were assigned a score of 1,and funds with vintage years 2011 – 2013 were excluded. The list of managers was restricted to active fund managers, which are managers that have raised 3 or more funds with a similar strategy, with one of those funds being raised in the past six years or currently being raised.

HFMWeek U.S. Performance Awards, October 2013. A panel of judges comprised representatives of HFMWeek, leading institutional and private investors and industry experts. The panel considered a combination of quantitative and qualitative considerations including annual performance, volatility and risk management for the period July 2013 to June 2013.

Additional Disclaimers