monthly performance review november 2019...monthly performance review november 2019 prepared for the...

Monthly Performance ReviewNovember 2019

Prepared for the New York City Employees’ Retirement System

01.2020

THE CITY OF NEW YORKOFFICE OF THE COMPTROLLER

TABLE OF CONTENTS

Market Indicators for November & December ....................................................................................................................... 1

Contribution to Returns .......................................................................................................................................................... 6

Asset Allocation: Growth, Deflation, Inflation; New Policy Weights & Adjusted Policy Weight Mixes ............................... 7

Classification of Investments.. .............................................................................................................................................. 13 NYCERS Market Values 2018-2019..…………..………………………………………………………………………………….………………17 NYCERS Market Values 2010-2019…………………………………………………………………………………………………………………18

Manager / Benchmark Comparison Report ......................................................................................................................... 19

Private Equity Fund Supplemental Details .......................................................................................................................... 34

Private Equity Cash Flow Tracker ....................................................................................................................................... 36

Real Estate Fund Supplemental Details ............................................................................................................................... 37

Real Estate Cash Flow Tracker ............................................................................................................................................ 38

Infrastructure Fund Supplemental Details ........................................................................................................................... 39

Infrastructure Cash Flow Tracker ........................................................................................................................................ 40

MARKET INDICATORS1 Month 3 Month Fiscal YTD 1 Year 2 Year 3 Year 5 Year 10 Year

S&P 500 3.63 7.86 7.67 16.11 11.08 14.88 10.98 13.44S&P 400 MIDCAP 2.98 7.33 4.05 8.86 4.59 9.04 8.60 13.10RUSSELL 1000 3.78 7.82 7.48 16.10 10.90 14.67 10.80 13.49RUSSELL 2000 4.12 9.08 4.29 7.51 3.99 8.57 8.22 12.38RUSSELL 3000 3.80 7.90 7.27 15.49 10.40 14.22 10.61 13.41RUSSELL 3000 GROWTH 4.53 7.43 8.66 20.28 14.05 19.21 13.39 15.11RUSSELL 3000 VALUE 3.04 8.39 5.83 10.81 6.64 9.26 7.77 11.65

MSCI EAFE NET 1.13 7.76 3.64 12.44 1.74 9.62 4.26 5.32MSCI EMF NET (0.14) 6.06 (0.34) 7.28 (1.25) 9.01 3.12 3.33FTSE CUSTOM NYCERS (1.06) 6.46 (0.19) 7.67 (0.51) 8.73 2.63 3.57MSCI WORLD NET 2.79 7.64 5.96 14.53 7.09 12.35 7.75 9.34MSCI EUROPE SMID CAP NET 2.86 10.23 5.40 15.63 1.04 11.16 6.25 7.69MSCI AC WORLD ex US NET 0.88 7.09 2.52 11.20 1.08 9.24 3.85 4.74FTSE ALL WORLD EX US 0.93 7.34 2.97 11.85 1.60 9.72 4.50 5.35MSCI World ex USA IMI NR 1.39 7.70 3.92 12.51 1.69 9.42 4.44 5.47

1 YEAR TREASURY BILL YIELD + 4% 0.37 1.54 2.69 7.18 6.42 5.82 5.31 4.86HFRI FUND OF FUNDS COMPOSITE + 1% 0.63 0.82 0.48 5.51 2.45 4.53 3.04 3.72

NYC - TREASURY AGENCY PLUS FIVE (0.53) (2.39) 3.68 16.09 6.23 5.34 3.82 4.80FTSE USBIG Treasury 1-3 Y Index (0.03) 0.19 0.88 4.14 2.45 1.78 1.28 1.10FTSE USBIG Treasury/Agency 1-10 y (0.24) (0.39) 1.22 6.75 3.31 2.56 1.92 2.19FTSE Treasury 10+ (0.52) (3.86) 6.46 24.69 8.62 7.80 5.35 6.73

CITY OF NEW YORKNYC Employees' Retirement System

Market Indicator ReportNovember 30, 2019

*NCREIF NFI - ODCE NET index return calculated on a quarterly basis Prepared by State Street Investment Analytics

1


FTSE MORTGAGE INDEX 0.10 0.63 2.00 8.34 3.81 3.26 2.61 3.02NYC - INVESTMENT GRADE CREDIT 0.20 0.00 3.80 14.88 5.77 5.75 4.28 5.07FTSE BIG (DAILY) (0.03) (0.28) 2.65 10.97 4.62 4.16 3.11 3.56

NYC - CORE PLUS FIVE (0.01) (0.36) 3.17 12.84 5.20 4.81 3.60 4.22BARCLAYS AGGREGATE (0.05) (0.28) 2.53 10.79 4.55 4.10 3.08 3.59

FTSE BB & B 0.59 1.12 2.15 10.22 5.14 6.25 5.16 7.29FTSE BB & B CAPPED 0.59 1.12 2.12 10.17 5.06 6.16 5.06 7.17ICE BofA US High Yield Index 0.27 0.82 1.74 9.61 4.81 6.28 5.38 7.61ICE BofA US High Yield Constrained 0.27 0.82 1.74 9.61 4.81 6.28 5.39 7.59

CSFB LEVERAGED LOAN 0.55 0.48 0.99 4.02 3.97 4.32 3.97 5.29

BARCLAYS GLOBAL US TIPS 0.15 (0.96) 1.76 8.61 3.75 3.15 2.31 3.09

ICE BofA US Convertibles - Yield Alter 1.37 3.38 4.18 10.41 6.49 7.47 4.07 6.01ICE BofA All IG US Convertibles (0.75) 3.61 6.59 14.38 10.25 15.07 11.35 11.18ICE BofA All US Conv Ex Mandatory 3.27 4.53 5.00 14.79 9.95 12.31 8.52 10.79

DJ US SELECT REAL ESTATE (1.35) 2.41 6.51 13.59 9.11 8.94 6.97 12.41NCREIF NFI - ODCE NET* 0.00 1.08 1.08 4.64 6.16 6.34 8.36 9.84CPI + 4% 0.59 1.63 2.70 6.13 6.20 6.23 5.77




2


91 DAY TREASURY BILL 0.12 0.49 0.88 2.32 2.06 1.63 1.05 0.57




3


S&P 500 3.02 9.07 10.92 31.49 12.13 15.27 11.70 13.56S&P 400 MIDCAP 2.81 7.06 6.97 26.20 5.93 9.26 9.03 12.72RUSSELL 1000 2.89 9.04 10.59 31.43 11.87 15.05 11.48 13.54RUSSELL 2000 2.88 9.94 7.30 25.52 5.69 8.59 8.23 11.83RUSSELL 3000 2.89 9.10 10.37 31.02 11.42 14.57 11.24 13.42RUSSELL 3000 GROWTH 2.97 10.67 11.89 35.85 15.31 19.89 14.23 15.05RUSSELL 3000 VALUE 2.80 7.48 8.80 26.26 7.44 9.32 8.20 11.71

MSCI EAFE NET 3.25 8.17 7.01 22.01 2.56 9.56 5.67 5.50MSCI EMF NET 7.46 11.84 7.09 18.42 0.58 11.57 5.61 3.68FTSE CUSTOM NYCERS 6.94 10.60 6.74 16.08 0.61 10.74 5.13 3.89MSCI WORLD NET 3.00 8.56 9.14 27.67 7.96 12.57 8.74 9.47MSCI EUROPE SMID CAP NET 5.04 12.93 10.70 28.24 2.29 11.50 7.63 8.06MSCI AC WORLD ex US NET 4.33 8.92 6.96 21.51 2.11 9.87 5.51 4.97FTSE ALL WORLD EX US 4.35 9.10 7.46 22.20 2.59 10.29 6.15 5.58MSCI World ex USA IMI NR 3.40 8.36 7.45 22.91 2.40 9.49 5.79 5.66

1 YEAR TREASURY BILL YIELD + 4% 0.53 1.58 3.24 7.10 6.52 5.88 5.35 4.89HFRI FUND OF FUNDS COMPOSITE + 1% 1.75 3.29 2.57 9.42 2.99 4.91 3.38 3.85

NYC - TREASURY AGENCY PLUS FIVE (1.49) (2.26) 2.14 10.40 5.04 4.91 3.32 5.10FTSE USBIG Treasury 1-3 Y Index 0.21 0.51 1.09 3.56 2.55 1.84 1.38 1.21FTSE USBIG Treasury/Agency 1-10 y (0.04) 0.01 1.18 5.18 3.28 2.55 1.97 2.38FTSE Treasury 10+ (2.80) (4.14) 3.48 14.89 6.17 6.98 4.14 7.06


Market Indicator ReportDecember 31, 2019


4


FTSE MORTGAGE INDEX 0.28 0.77 2.28 6.68 3.80 3.36 2.64 3.20NYC - INVESTMENT GRADE CREDIT 0.23 0.95 4.04 13.40 5.47 5.66 4.35 5.22FTSE BIG (DAILY) (0.09) 0.18 2.56 8.86 4.33 4.08 3.08 3.73

NYC - CORE PLUS FIVE (0.15) 0.13 3.01 10.35 4.80 4.70 3.53 4.40BARCLAYS AGGREGATE (0.07) 0.18 2.45 8.72 4.27 4.03 3.05 3.75

FTSE BB & B 1.82 2.65 4.01 14.50 5.95 6.31 5.85 7.20FTSE BB & B CAPPED 1.84 2.67 4.00 14.47 5.88 6.23 5.75 7.10ICE BofA US High Yield Index 2.09 2.61 3.86 14.41 5.74 6.32 6.13 7.50ICE BofA US High Yield Constrained 2.09 2.61 3.86 14.41 5.74 6.32 6.14 7.48

CSFB LEVERAGED LOAN 1.61 1.68 2.61 8.17 4.60 4.48 4.54 5.18

BARCLAYS GLOBAL US TIPS 0.38 0.79 2.15 8.43 3.47 3.32 2.62 3.36

ICE BofA US Convertibles - Yield Alter 1.91 4.13 6.17 15.40 7.20 7.94 4.76 5.95ICE BofA All IG US Convertibles 1.81 2.93 8.51 20.88 11.77 14.77 11.92 11.17ICE BofA All US Conv Ex Mandatory 2.32 7.46 7.43 22.89 11.21 12.69 9.23 10.59

DJ US SELECT REAL ESTATE (0.94) (1.23) 5.51 23.10 8.59 6.95 6.39 11.54CPI + 4% 0.55 1.83 3.26 6.38 6.21 6.20 5.8991 DAY TREASURY BILL 0.14 0.46 1.03 2.28 2.08 1.67 1.07 0.58


Market Indicator ReportDecember 31, 2019


5

NYC Employees' Retirement System Contribution to Return - November 2019

1 Month - Total Fund 3 Months - Total Fund FYTD - Total Fund FY Ending 6/30/19Total FY Ending 6/30/18 Total

Return: 1.47% Return: 3.96% Return: 4.11% Return: 7.13% Return: 8.56%Prepared by State Street

0.17 0.05 0.11

0.42 0.60

0.11 0.18

0.44

0.96 1.17

0.15 0.19

0.10

0.31 0.21

(0.20)

0.59

1.79

(0.06) 0.40

0.29

0.24

1.06

0.49

1.50

1.07

2.31 2.08

2.39

4.54

DOMESTIC EQUITY

WORLD EX-USA

EMERGING MARKETS

INTL FOF

GLOBAL EQUITY

HEDGE FUNDS

CORE + 5

TIPS

HIGH YIELD

BANK LOANS

CONVERTIBLE BONDS

OPPORTUNISTIC FIXED

TARGETED

OTHER FIXED

PRIVATE EQUITY

PRIVATE REAL ESTATE

INFRASTRUCTURE

RESIDUAL

0.01-Intl FoF 0.01-Global Eq (0.00)-HF (0.04)-Core+5 0.01-TIPS 0.02-HY 0.01-BL 0.01-Conv 0.02-Opp FI (0.00)-ETI (0.00)-Oth FI 0.01-Infra 0.00-Res

0.05-Intl FoF 0.03-Global Eq (0.00)-HF (0.04)-TIPS 0.05-HY 0.01-BL 0.04-Conv 0.02-Opp FI (0.01)-ETI 0.00-Oth FI 0.08-RE 0.02-Infra (0.04)-Res

(0.09)-EM 0.03-Intl FoF 0.03-Global Eq 0.00-HF 0.08-TIPS 0.02-BL 0.05-Conv 0.07-Opp FI 0.04-ETI 0.00-Oth FI 0.05-Infra 0.02-Res

0.07-World ex (0.01)-Intl FoF 0.00-HF 0.06-BL 0.08-Conv 0.12-ETI 0.02-Oth FI 0.10-Infra

0.13-EM 0.04-Intl FoF 0.00-Global Eq 0.01-HF (0.06)-Core+5 0.09-TIPS 0.07-HY 0.08-BL 0.08-Conv (0.01)-ETI 0.01-Oth FI 0.08-Infra 0.06-Res

Information Classification: General

6

1.4%

-0.2% -0.2%0.0%

-2.0% -1.9%-0.7%

0.0%1.2%

0.7% 0.4%

-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%

10.00%Relative Mix to New Policy Weights

$9.012.8%

$4.86.8%

$4.97.0%

$3.04.3%$1.4

2.0%

$2.23.1% $0.0

0.0%

$0.81.2%

Opportunistic FI

High Yield Hedge Funds Convertible Bonds

$70.4B Under ManagementPortfolio Asset Allocation – Growth : November 30, 2019

Asset Allocation

Note: Brackets represent rebalancing ranges versus Policy.

New York City Employees’ Retirement SystemPerformance Overview as of November 30, 2019Prepared by State Street

Int’l Emerging Managers FoF

$0.50.7%

$21.430.4%

Domestic US Equity World ex-USA Emerging Markets Private Equity Private Real Estate – Non Core

Global Equity

$0.30.4%

7

$70.4B Under ManagementPortfolio Asset Allocation – Growth : November 30, 2019

Asset Allocation


Asset Allocation

-0.3%0.4%

-0.1%0.0% 0.0% 0.0%

-1.6%

0.0%1.2%

0.0% 0.0%

-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%

10.00%Relative Mix to Adjusted Policy Weights


Note: On November 29, 2019 NYCERS' combined Fixed Income and Cashportfolios have a duration of 6.4 years. The duration of the Barclays USAggregate Index was 5.9 years on that date.

$9.012.8%

$4.86.8%

$3.04.3%$1.4

2.0%

$2.23.1% $0.0

0.0%

$0.81.2%

$0.50.7%

$0.30.4%

Opportunistic FI

High Yield Hedge Funds Convertible Bonds Int’l Emerging Managers FoF

Domestic US Equity World ex-USA Emerging Markets Private Equity Private Real Estate – Non Core

Global Equity

$4.97.0%

$21.430.4%

8

Asset Allocation

US Government Treasuries

$8.111.5%

1.5%0.4% 0.2% 0.9% 0.2% 0.6%

-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%

10.00%

$2.8 3.9%

Mortgages Investment Grade Credit Short Term

$2.63.7%

Relative Mix to New Policy Weights

$70.4B Under ManagementPortfolio Asset Allocation – Deflation Protection : November 30, 2019


$0.10.2%

Core Fixed Income-Emerging Managers

$0.40.6%

Core Fixed Income-Developing Managers

$0.60.9%

9

$70.4B Under ManagementPortfolio Asset Allocation – Deflation Protection : November 30, 2019

Asset Allocation

1.0%

-0.6% -0.9%

0.9% 0.2% 0.6%

-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%

10.00%Relative Mix to Adjusted Policy Weights

New York City Employees’ Retirement SystemPerformance Overview as of November 30, 2019 Prepared by State Street

Mortgages Investment Grade Credit Short TermCore Fixed Income-Emerging Managers Core Fixed Income-Developing Managers

US Government Treasuries

$0.10.2%

$0.40.6%

$0.60.9%

$8.111.5%

$2.83.9%

$2.63.7%


10

Asset Allocation

Infrastructure

-0.9%

0.3%

-1.6%-0.3%

-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%

10.00%

US TIPS Real Estate - Core Bank Loans

Relative Mix to New Policy Weights


$70.4B Under ManagementPortfolio Asset Allocation – Inflation Protection : November 30, 2019

New York City Employees’ Retirement SystemPerformance Overview as of November 30, 2019 Prepared by State Street

$3.0 4.3%$2.4

3.4%

$1.21.7%

$0.71.1%

11

Asset Allocation

Infrastructure US TIPS Real Estate - Core Bank Loans

Relative Mix to Adjusted Policy Weights


Portfolio Asset Allocation – Inflation Protection : November 30, 2019


$70.4B Under Management

0.0% 0.1% 0.0%-0.3%

-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%

10.00%

$3.04.3%

$1.21.7%

$0.71.1%

$2.43.4%


12

NYC EMPLOYEES' RETIREMENT SYSTEM

CLASSIFICATION OF INVESTMENTS

(as of November 30th, 2019)

ASSET CLASS ALLOCATIONS Actual Policy Target Adjustment Adjusted Policy

TOTAL EQUITIES $45,432.2 64.5% 67.0% NA 64.8% 59.8% - 69.8%

TOTAL FIXED INCOME $24,973.9 35.5% 33.0% NA 35.2% 30.2% - 40.2%

TOTAL ASSETS 100.0% 100.0% NA 100.0%

Actual Policy Target Adjustment Adjusted Policy

US Equities $21,376.9 30.4% 29.0% 2.1% 31.1% 26.1% - 36.1%

Non-US Equities/EAFE $9,003.1 12.8% 13.0% 0.2% 13.2% 9.2% - 17.2%

Emerging Markets $4,803.9 6.8% 7.0% 0.0% 7.0% 4.0% - 10.0%

Non-US Emerging Mgrs. FoF $490.8 0.7% 0.0% NA 0.0% -

Global Equity $298.8 0.4% 0.0% NA 0.0% -

TOTAL PUBLIC EQUITY 51.1% 49.0% 2.3% 51.3%

*HEDGE FUNDS 0.0% 0.0% NA 0.0% 0.0% - 0.0%

*REAL ESTATE - CORE 3.4% 5.0% NA 3.4% 1.4% - 5.0%

*REAL ESTATE - OPPORTUNISTIC 2.0% 4.0% NA 2.0% 0.0% - 4.0%

*PRIVATE EQUITY 7.0% 7.0% NA 7.0% 4.0% - 10.0%

PRIVATE INFRASTRUCTURE 1.1% 2.0% NA 1.1% 1.0% - 3.0%

TOTAL EQUITIES 64.5% 67.0% NA 64.8% 59.8% - 69.8%

Actual Policy Target Adjustment Adjusted Policy

U.S. Treasuries – All Maturities $8,122.4 11.5% 0.0% NA 0.0% -5.0% - 5.0%

U.S. Treasuries - Longer Than Five Years $0.0 0.0% 10.0% 0.6% 10.6% 5.0% - 15.0%

Core Mortgage-Backed Securities $1,851.2 2.6% 1.5% 1.2% 2.7% 0.5% - 2.5%

Credit - Investment Grade Corporates 3.7% 3.5% 1.2% 4.7% 2.5% - 4.5%

High Yield $3,021.9 4.3% 5.0% 0.9% 5.9% 2.9% - 8.9%

Bank Loans $1,194.0 1.7% 2.0% NA 2.0% 0.0% - 2.6%

Total High Yield & Bank Loans 6.0% 7.0% 0.9% 7.9% 2.9% - 8.9%

TIPS $3,048.2 4.3% 4.0% 0.2% 4.2% 3.2% - 5.0%

Convertible Bonds $820.8 1.2% 0.0% NA 0.0% 0.0% - 0.0%**

ETI $911.1 1.3% 2.0% NA 2.0% 1.0% - 3.0%

Cash $638.0 0.9% 0.0% NA 0.0% 0.0% - 0.0%

TOTAL PUBLIC FIXED INCOME 31.5% 28.0% NA 32.1%

*OPPORTUNISTIC FIXED INCOME 3.1% 5.0% NA 3.1% 3.0% - 7.0%

OTHER FIXED INCOME 0.8% 0.0% NA 0.0% 0.0% - 0.0%

TOTAL FIXED INCOME 35.5% 33.0% NA 35.2% 30.2% - 40.2%

*

**

***

$22,209.8

$2,193.1

$571.0

$24,973.9

Ranges for illiquid asset classes represent minimums and maximums which will be monitored and will influence pacing analysis but will not necessarily result in purchases or sales.

ETIs have a policy of 2% of the total Fund. The ETI adjusted policy % is shown for illustrative purposes only and is not included in the sub-totals. The ETI policy % is included within the policy % of the other asset classes.

Adjusted Target Ranges are calculated as follows: Total Equities: +/-5%; Total Fixed Income: +/-5%; US Equities: +/-5%; Non-US Equities/EAFE: +/-4%; Emerging Markets: +/-3%; Real Estate Core: +/-2%; Real Estate

Opportunistic: +/-2%; Private Equity: +/-3%; US Treasuries All Maturities: +/-5%; US Treasuries Longer than 5 Years: +/-5%; Mortgage Backed Securities: +/-1%; Investment Grade Corporates: +/-1%; TIPS: +/-1%; High Yield:

+/-3%; Bank Loans: +/-1%; OFI: +/-2%.

$4,216.0

$45,432.2

In $MM Adjusted Target

Range***

$2,602.0

$748.0


Range***

$70,406.0


Range***

$35,973.4

$6.0

$2,397.1

$1,377.6

$4,930.0


13




Adjustments to Long-Term Asset Allocation

1) Private Equity

2) Real Estate Core

3) Real Estate Opportunistic

4) Infrastructure

5) Opportunistic Fixed Income

Impact of Adjustments

1) U.S. Treasuries - Longer Than Five Years 10.0%

Adjustment: Adjustment: 12% of uninvested Real Estate Core 0.2%

Adjustment: Adjustment: 8% of uninvested Real Estate Opportunistic 0.2%

Adjustment: Adjustment: 5% of uninvested Private Infrastructure 0.0%

Adjustment: Adjustment: 10% of uninvested Opportunistic Fixed Income 0.2%

Total U.S. Treasuries - Longer Than Five Years 10.6%

2) Credit - Investment Grade Corporates 3.5%

Adjustment: 24% of uninvested Real Estate Core 0.4%

Adjustment: 16% of uninvested Real Estate Opportunistic 0.3%

Adjustment: 10% of uninvested Private Infrastructure 0.1%

Adjustment: 20% of uninvested Opportunistic Fixed Income 0.4%

Total Credit - Investment Grade Corporates 4.7%

3) Core Mortgage-Backed Securities 1.5%

Adjustment: 24% of uninvested Real Estate Core 0.4%




Total Core Mortgage-Backed Securities 2.7%

10% of uninvested commitments will be invested in US Treasuries, 20% of uninvested commitments will be invested in Investment Grade Corporates, 20% of uninvested commitments will be invested

in Mortgages Backed Securities, and 50% of uninvested commitments will be invested in High Yield.

Adjusted Target Ranges are calculated as follows: Total Equities: +/-5%; Total Fixed Income: +/-5%; US Equities: +/-5%; Non-US Equities/EAFE: +/-4%; Emerging Markets: +/-3%; Real Estate Core: +/-2%; Real Estate

Opportunistic: +/-2%; Private Equity: +/-3%; US Treasuries All Maturities: +/-5%; US Treasuries Longer than 5 Years: +/-5%; Mortgage Backed Securities: +/-1%; Investment Grade Corporates: +/-1%; TIPS: +/-1%; High Yield:

+/-3%; Bank Loans: +/-1%; OFI: +/-2%.

100% of uninvested commitments will be invested in Domestic Equity.

40% of uninvested commitments will be invested in US Equity, 12% of uninvested commitments will be invested in US Treasuries, 24% of uninvested commitments will be invested in Investment

Grade Corporates, and 24% of uninvested commitments will be invested in Mortgage Backed Securities.

60% of uninvested commitments will be invested in US Equity, 8% of uninvested commitments will be invested in US Treasuries, 16% of uninvested commitments will be invested in Investment Grade

Corporates, and 16% of uninvested commitments will be invested in Mortgage Backed Securities.

27% of uninvested commitments will be invested in US Equity, 18% of uninvested commitments will be invested in Developed Ex-US Equity, 5% of uninvested commitments will be invested in

Emerging Markets Equity, 5% of uninvested commitments will be invested in US Treasuries, 10% of uninvested commitments will be invested in Investment Grade Corporates, 10% of uninvested

commitments will be invested in Mortgage Backed Securities, and 25% of uninvested commitments will be invested in TIPS.


14




4) Treasury Inflation Protected Securities 4.0%


Total Treasury Inflation Protected Securities 4.2%

5) High Yield Securities 5.0%


** Existing Convertibles holdings to be placeholder for HY Securities 0.0%

Total High Yield Securities 5.9%

6) Domestic Equity 29.0%

Adjustment: 100% of uninvested Private Equity 0.0%



Adjustment: 40% of uninvested of uninvested Real Estate Core 0.6%

Total Domestic Equity 31.1%

7) Non-U.S. Equity - Developed Markets 13.0%


Total Non-U.S. Equity - Developed Markets 13.2%

8) Non-U.S. Equity - Emerging Markets 7.0%


Total Non-U.S. Equity - Emerging Markets 7.0%


15




Note: Totals may not equal 100% due to rounding

US Equities

59%

Non-US

Equities/EAFE

25%

Emerging

Markets

13%

Non-US Emerging

Mgrs. FoF

1%

Global Equity

1%

Total Public Equities

U.S. Treasuries – All Maturities

33%

U.S. Treasuries - Longer Than Five

Years 0%

Core Mortgage-Backed Securities

7% Credit - Investment Grade Corporates

10% High Yield

12%

Bank Loans 5%

TIPS 12%

Convertible Bonds 3%

**ETI 4%

Cash 3%

*Opportunistic FixedIncome

9%

Other Fixed Income 2%

Total Fixed Income


16

$61,679

$64,270$65,096

$66,007$66,802

$65,265

$68,187 $67,939$68,017 $68,163

$69,123

$70,406

$60,000 $61,000 $62,000 $63,000 $64,000 $65,000 $66,000 $67,000 $68,000 $69,000 $70,000 $71,000 $72,000

NYCERS MARKET VALUESDECEMBER 2018 - NOVEMBER 2019

17

$34,598

$41,623 $41,621

$46,538

$53,548 $54,289 $54,553 $60,682

$64,838 $68,187

$70,406

$25,500 $30,500 $35,500 $40,500 $45,500 $50,500 $55,500 $60,500 $65,500 $70,500 $75,500 $80,500

18

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month FYTD CYTD

FYE06/30/19

CYE12/31/18

CYE12/31/17

CYE12/31/16

CYE12/31/15

CYE12/31/14

Trailing1 Year

InceptionDate

ASSET CLASS SUMMARY

NYCERS-TOTAL DOMESTIC EQUITY 21,376.91 30.36 3.59 7.83 7.05 26.37 8.37 (5.41) 20.01 14.24 (0.76) 11.24 14.59 Aug-01-79

NYCERS-TOTAL WORLD ex-USA 9,003.06 12.79 1.89 8.45 3.86 20.36 0.57 (14.11) 29.45 4.22 (1.09) (4.36) 14.11 Apr-01-04

NYCERS-TOTAL EMERGING MARKETS 4,803.86 6.82 (0.87) 5.87 (1.29) 7.93 4.06 (14.23) 34.45 12.25 (18.15) (0.13) 6.15 Sep-01-05

NYCERS-TOTAL INTL FOF 490.82 0.70 1.56 7.84 4.11 20.24 (0.81) (16.27) 14.19 May-01-17

NYCRS-TOTAL GLOBAL EQUITY 298.79 0.42 3.24 7.21 6.21 30.24 22.39 Aug-01-18

NYCERS-TOTAL HEDGE FUNDS 5.98 0.01 (2.05) (1.05) 5.29 9.09 3.59 5.87 3.27 2.21 (1.57) 5.43 9.45 Jul-01-11

NYCERS-TOTAL CORE FI- DEVELOPING MGRS 440.34 0.63 (0.11) (0.20) 2.34 9.46 7.93 (1.05) 3.98 3.61 0.86 5.67 10.54 May-01-09

NYCERS-TOTAL STRUCTURED 12,575.72 17.86 (0.19) (1.03) 3.02 9.94 8.45 (0.37) 4.33 3.79 0.21 7.60 12.05 Jan-01-85

NYCERS-TOTAL CONVERTIBLE BONDS 820.82 1.17 1.01 3.75 4.07 13.65 6.59 (0.69) 12.65 7.01 (1.28) 7.95 10.07 Jun-01-08

NYCERS-TOTAL TIPS MANAGERS 3,048.22 4.33 0.12 (1.01) 1.74 8.03 4.82 (1.27) 3.04 4.72 (1.21) 3.42 8.59 Jun-01-05

NYCERS-TOTAL HIGH YIELD 3,021.95 4.29 0.41 1.14 2.40 12.45 7.29 (2.69) 6.65 14.93 (4.15) 2.58 10.25 Oct-01-94

NYCERS-TOTAL BANK LOANS 1,194.04 1.70 0.68 0.72 1.39 6.40 3.53 0.66 4.18 8.81 0.85 2.24 3.91 Dec-01-12

NYCERS-TOTAL OPPORTUNISTIC FIXED 2,193.11 3.11 0.49 0.73 2.32 5.10 5.08 6.32 7.60 8.54 (2.34) 7.99 4.29 Oct-01-07

NYCERS-TOTAL CORE FI- EMERGING MGRS 130.61 0.19 (0.03) (0.41) 2.55 9.09 7.92 (0.03) 4.25 2.58 0.56 5.82 10.90 Jan-01-92

TOTAL EMPLOYEES ETI (w/o cash) 911.05 1.29 (0.03) (0.46) 2.75 9.63 9.71 0.98 3.88 2.76 4.12 8.03 11.48 Dec-01-84

NYCERS-TOTAL PRIVATE REAL ESTATE 3,774.75 5.36 0.84 1.39 2.08 5.33 7.88 10.22 10.86 10.35 14.44 14.51 5.67 Apr-01-04

NYCERS-TOTAL INFRASTRUCTURE 748.01 1.06 0.80 1.62 4.69 9.83 11.83 14.49 16.10 8.47 12.80 11.57 10.77 Dec-01-13

NYCERS-TOTAL PRIVATE EQUITY 4,929.98 7.00 1.61 2.49 6.32 10.78 13.54 16.05 18.57 9.84 9.49 12.73 11.58 Apr-01-04

NYCERS-TOTAL CASH 638.02 0.91 (0.31) 0.10 0.52 2.37 3.29 2.49 1.31 0.67 0.27 0.34 2.62 Apr-01-04

SECURITY LENDING 0.00 0.00 Apr-01-04

NYCERS-TOTAL EMPLOYEES 70,406.05 100.00 1.47 3.96 4.11 15.30 7.13 (2.70) 16.25 9.33 (0.44) 7.07 11.79 Jul-01-87

NYCERS-TOTAL EQUITY 35,973.44 51.09 2.51 7.71 5.01 22.06 5.69 (9.24) 24.38 11.80 (3.28) 6.39 13.39 Aug-01-93

NYCERS-TOTAL FIXED INCOME (MINUS SS) 24,335.86 34.57 0.08 (0.33) 2.66 9.44 7.30 (0.06) 4.75 5.98 (0.54) 6.24 10.24 Apr-01-04

NYCERS-TOTAL HEDGE FUNDS 5.98 0.01 (2.05) (1.05) 5.29 9.09 3.59 5.87 3.27 2.21 (1.57) 5.43 9.45 Jul-01-11

NYCERS-TOTAL PRIVATE EQUITY 4,929.98 7.00 1.61 2.49 6.32 10.78 13.54 16.05 18.57 9.84 9.49 12.73 11.58 Apr-01-04

NYCERS-TOTAL PRIVATE REAL ESTATE 3,774.75 5.36 0.84 1.39 2.08 5.33 7.88 10.22 10.86 10.35 14.44 14.51 5.67 Apr-01-04

NYCERS-TOTAL INFRASTRUCTURE 748.01 1.06 0.80 1.62 4.69 9.83 11.83 14.49 16.10 8.47 12.80 11.57 10.77 Dec-01-13

NYCERS-TOTAL CASH 638.02 0.91 (0.31) 0.10 0.52 2.37 3.29 2.49 1.31 0.67 0.27 0.34 2.62 Apr-01-04

SECURITY LENDING 0.00 0.00 Apr-01-04

NYCERS-TOTAL EMPLOYEES 70,406.05 100.00 1.47 3.96 4.11 15.30 7.13 (2.70) 16.25 9.33 (0.44) 7.07 11.79 Jul-01-87

Employees Policy Benchmark 1.18 4.32 4.19 15.92 7.73 (2.75) 15.98 9.43 0.17 8.15 12.21 Jun-01-94

Periods Ending November 30, 2019

New York City Employees' Retirement System

Manager / Benchmark Comparison Report

Rates of Return - Net Mgr

Information Classification: Limited Access

19

Ending Market Value($MM)

% of Total 1 Month 3 Month FYTD CYTD

CYE12/31/2018

CYE12/31/2017

CYE12/31/2016

CYE12/31/2015

ASSET CLASS SUMMARY

NYCERS-TOTAL EMPLOYEES 70,406 100.00 1.47 3.96 4.11 15.30 (2.70) 16.25 9.33 (0.44)Employees Policy Benchmark 1.18 4.32 4.19 15.92 (2.75) 15.98 9.43 0.17Excess 0.29 (0.36) (0.08) (0.62) 0.04 0.27 (0.09) (0.62)

NYCERS-TOTAL EQUITY (INCL PE & RA) 45,432 64.53 2.24 6.47 4.89 18.94 (4.74) 22.43 11.10 (0.52)

NYCERS-TOTAL FIXED INCOME (DOM & GLOBAL) 24,967 35.46 0.08 (0.32) 2.63 9.32 (0.02) 4.80 5.86 (0.50)

EQUITY SUMMARY

NYCERS-TOTAL DOMESTIC EQUITY 21,377 30.36 3.59 7.83 7.05 26.37 (5.41) 20.01 14.24 (0.76)RUSSELL 3000 (DAILY) 3.80 7.90 7.27 27.34 (5.24) 21.13 12.74 0.48Excess (0.21) (0.07) (0.22) (0.98) (0.17) (1.12) 1.51 (1.24)

BlackRock US SCG R2000 301 0.43 5.92 8.10 4.54 25.81 (9.18) 22.32 11.29 (1.54)RUSSELL 2000 GROWTH DAILY 5.89 8.01 4.35 25.61 (9.31) 22.17 11.32 (1.38)Excess 0.03 0.10 0.18 0.20 0.12 0.15 (0.03) (0.16)

BlackRock US SCV R2000 45 0.06 2.33 10.29 4.41 18.49 (12.77) 7.95 31.61 (7.49)RUSSELL 2000 VALUE DAILY 2.34 10.20 4.22 18.25 (12.86) 7.84 31.74 (7.47)Excess (0.02) 0.09 0.19 0.24 0.09 0.11 (0.13) (0.02)

RAFI US SCE 627 0.89 2.38 9.44 5.08 18.07 (11.31) 9.63 27.57 (7.09)RUSSELL 2000 (DAILY) 4.12 9.08 4.29 22.01 (11.01) 14.65 21.31 (4.41)Excess (1.74) 0.35 0.78 (3.94) (0.29) (5.01) 6.26 (2.68)

Ceredex US SCV 125 0.18 0.92 5.72 2.54 17.10 (11.97) 10.59 29.34 (4.74)RUSSELL 2000 VALUE DAILY 2.34 10.20 4.22 18.25 (12.86) 7.84 31.74 (7.47)Excess (1.42) (4.48) (1.68) (1.16) 0.89 2.75 (2.40) 2.73

Wellington US SCC 285 0.40 4.75 7.91 5.04 28.56 (10.09) 19.90 19.25 (2.79)RUSSELL 2000 (DAILY) 4.12 9.08 4.29 22.01 (11.01) 14.65 21.31 (4.41)Excess 0.63 (1.17) 0.75 6.56 0.93 5.25 (2.05) 1.63

BlackRock US LMC R1000 Core 16,060 22.81 3.76 7.76 7.47 27.76RUSSELL 1000 (DAILY) 3.78 7.82 7.48 27.74Excess (0.01) (0.06) (0.02) 0.02

Legal General US LMCE 1,736 2.47 2.44 6.08 5.88RUSSELL 1000 (DAILY) 3.78 7.82 7.48Excess (1.34) (1.73) (1.61)






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CYE12/31/2015





PIMCO RAFI US LMCE 2,077 2.95 3.31 9.49 6.63 21.66 (6.90) 16.94 15.71 (3.17)RUSSELL 1000 (DAILY) 3.78 7.82 7.48 27.74 (4.78) 21.69 12.05 0.92Excess (0.47) 1.67 (0.86) (6.08) (2.11) (4.74) 3.66 (4.09)

FUND OF FUNDS

Essex US SCG - Legato 23 0.03 5.30 7.18 4.06 23.69 (5.16)RUSSELL 2000 GROWTH DAILY 5.89 8.01 4.35 25.61 (9.31)Excess (0.59) (0.83) (0.29) (1.91) 4.15

Dean US SCV - Legato 22 0.03 3.65 8.75 3.18 16.76 (12.50)RUSSELL 2000 VALUE DAILY 2.34 10.20 4.22 18.25 (12.86)Excess 1.31 (1.45) (1.04) (1.49) 0.36

Bridge City US SCG - Legato 29 0.04 2.33 7.14 5.36 22.60 0.88RUSSELL 2000 GROWTH DAILY 5.89 8.01 4.35 25.61 (9.31)Excess (3.56) (0.87) 1.00 (3.01) 10.19

Bowling US SCV - Legato 17 0.02 2.37 8.37 2.78 18.28 (19.60)RUSSELL 2000 VALUE DAILY 2.34 10.20 4.22 18.25 (12.86)Excess 0.02 (1.83) (1.44) 0.03 (6.74)

Altravue US SCV - Legato 16 0.02 2.32 3.55 1.11 14.21 (10.04)RUSSELL 2000 VALUE DAILY 2.34 10.20 4.22 18.25 (12.86)Excess (0.02) (6.66) (3.11) (4.05) 2.82

Lisanti US SCG - Legato 15 0.02 3.63 0.84 0.23 26.22RUSSELL 2000 GROWTH DAILY 5.89 8.01 4.35 25.61Excess (2.26) (7.17) (4.13) 0.61

NYCERS-TOTAL WORLD ex-USA 9,003 12.79 1.89 8.45 3.86 20.36 (14.11) 29.45 4.22 (1.09)WORLD ex-USA CUSTOM BM 1.39 7.70 3.92 18.87 (14.68) 26.40 1.15 0.49Excess 0.49 0.75 (0.06) 1.49 0.57 3.05 3.06 (1.59)

Causeway WorldxUS LMCC 1,287 1.83 2.97 12.54 5.60 18.86 (18.52) 27.94 0.69 (2.41)NYC Developed Value Benchmark 1.25 7.46 3.55 18.71 (14.09) 22.77 5.02 (5.68)Excess 1.73 5.08 2.05 0.15 (4.43) 5.18 (4.33) 3.28

Sprucegrove WorldxUS LMCC 1,284 1.82 0.96 8.01 (0.67) 12.65 (13.93) 27.61 11.10 (9.77)NYC Developed Value Benchmark 1.25 7.46 3.55 18.71 (14.09) 22.77 5.02 (5.68)Excess (0.28) 0.55 (4.22) (6.06) 0.16 4.85 6.08 (4.08)

Baillie Gifford WorldxUS LMCC 1,429 2.03 3.21 7.46 4.70 30.21 (12.79) 39.40 2.12 (4.67)NYC Developed Growth Benchmark 1.25 7.46 3.55 18.71 (14.09) 27.77 (3.04) 4.09Excess 1.96 0.00 1.15 11.50 1.30 11.63 5.16 (8.76)


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CYE12/31/2015





Walter Scott WorldxUS LMCC 1,449 2.06 0.88 7.34 4.84 23.69 (7.16) 27.94 5.26 0.04NYC Developed Growth Benchmark 1.25 7.46 3.55 18.71 (14.09) 27.77 (3.04) 4.09Excess (0.37) (0.12) 1.29 4.98 6.93 0.17 8.31 (4.05)

Acadian WorldxUS SCC 441 0.63 2.92 8.92 4.81 18.80 (19.03) 37.50 5.15 8.71S&P EPAC Small Cap USD NET 2.04 9.54 5.11 18.28 (18.58) 33.47 1.34 8.58Excess 0.88 (0.62) (0.31) 0.51 (0.45) 4.03 3.82 0.13

Algert EAFE SCC 122 0.17 3.40 9.73 4.62MSCI EAFE SMALL CAP NET (DAILY) 2.21 9.86 6.39Excess 1.19 (0.13) (1.77)

Fidelity WorldxUS SCC 2 0.00 (18.48) 31.22 (0.81) 11.68S&P EPAC Small Cap USD NET 2.04 (18.58) 33.47 1.34 8.58Excess 0.10 (2.25) (2.15) 3.09

SSGA WorldxUS LMC NYC Custom IDX 2,293 3.26 1.25 7.50 3.62 18.84 (13.65) 24.53 1.28 (0.42)NYC Custom World ex US Index 1.25 7.46 3.55 18.71 (14.09) 24.12 1.00 (0.81)Excess 0.00 0.04 0.07 0.13 0.44 0.41 0.28 0.39

SSGA WorldxUS SC Custom IDX 696 0.99 2.26 9.16 6.25 19.91 (17.72) 33.66 2.52 9.97World ex USA SC PASSIVE CUSTOM BM 2.27 9.19 6.18 19.86 (18.07) 33.31 2.18 9.59Excess (0.01) (0.03) 0.07 0.04 0.35 0.35 0.33 0.39

NYCERS-TOTAL INTL FOF 491 0.70 1.56 7.84 4.11 20.24 (16.27)NYC Blended Custom Benchmark for FoF (ERS) 1.02 7.48 3.21 17.13 (14.39)Excess 0.54 0.35 0.90 3.11 (1.88)

ARGA-WorldxUS LCV - Bivium 37 0.05 2.18 14.30 10.45 24.81 (19.39)MSCI AC WORLD ex US (NET) 0.88 7.09 2.52 16.47 (14.20)Excess 1.30 7.21 7.93 8.35 (5.20)

Bailard-WorldxUS LCC - Bivium 32 0.04 1.00 6.36 1.98 17.30 (20.86)MSCI AC WORLD ex US (NET) 0.88 7.09 2.52 16.47 (14.20)Excess 0.12 (0.73) (0.54) 0.83 (6.67)

Blackcrane-WorldxUS SCG - Bivium 8 0.01 4.62 11.74 8.00 28.18 (24.01)MSCI ACWI Ex US Small Cap (DAILY) 1.68 8.36 4.54 16.66 (18.20)Excess 2.94 3.38 3.46 11.51 (5.81)

Dundas-WorldxUS LCG - Bivium 39 0.05 2.03 9.60 6.19 24.40 (11.85)MSCI AC WORLD ex US (NET) 0.88 7.09 2.52 16.47 (14.20)Excess 1.15 2.51 3.66 7.93 2.35


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Global Alpha-WorldxUS SCC - Bivium 8 0.01 2.94 11.62 6.40 23.06 (12.85)

MSCI ACWI Ex US Small Cap (DAILY) 1.68 8.36 4.54 16.66 (18.20)

Excess 1.26 3.25 1.86 6.39 5.34

Radin-WorldxUS SCV - Bivium 7 0.01 1.52 10.35 (1.42) 6.51 (19.84)

MSCI ACWI Ex US Small Cap (DAILY) 1.68 8.36 4.54 16.66 (18.20)

Excess (0.16) 1.98 (5.95) (10.15) (1.64)

Smith Asset Mgmt-WorldxUS LCC - Bivium 30 0.04 0.91 7.16 1.75 15.97

MSCI AC WORLD ex US (NET) 0.88 7.09 2.52 16.47

Excess 0.03 0.07 (0.77) (0.50)

Martin-EAFE ACG - FIS 17 0.02 1.15 2.75 2.20

MSCI EAFE 1.13 7.76 3.64

Excess 0.02 (5.01) (1.44)

Redwood-EAFE ACG - FIS 19 0.03 1.85 6.12 4.36 22.40

MSCI EAFE + Canada Net Index 1.25 7.46 3.55 18.71

Excess 0.60 (1.34) 0.81 3.70

Osmosis-EAFE ACV - FIS 26 0.04 0.27 7.16 2.41 13.93 (15.73)

MSCI EAFE 1.13 7.76 3.64 18.17 (13.79)

Excess (0.85) (0.60) (1.23) (4.24) (1.94)

Metis-EAFE ACV - FIS 8 0.01 2.68 14.18 8.20 14.55 (18.33)

MSCI EAFE 1.13 7.76 3.64 18.17 (13.79)

Excess 1.56 6.42 4.56 (3.62) (4.54)

Dundas-EAFE ACG - FIS 31 0.04 2.16 9.82 6.33 26.03 (9.93)

MSCI EAFE + Canada Net Index 1.25 7.46 3.55 18.71 (14.09)

Excess 0.91 2.37 2.78 7.32 4.16

Denali-EAFE ACV - FIS 14 0.02 0.44 7.87 0.89 8.72 (11.86)


Excess (0.80) 0.42 (2.66) (9.98) 2.23

Change Global-EM ACV - FIS 19 0.03 (2.38) 1.52 (3.51) 5.67 (16.94)

NYC Blended Custom Benchmark for FoF (ERS) 1.02 7.48 3.21 17.13 (14.39)

Excess (3.40) (5.96) (6.72) (11.45) (2.56)

Ativo-EAFE ACG - FIS 28 0.04 1.70 6.38 3.67 19.58 (12.64)


Excess 0.45 (1.08) 0.12 0.88 1.45


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Redwood-WorldxUS LMCC - Leading Edge 34 0.05 1.31 7.87 4.32 25.49 (14.32)MSCI ACWI ex USA IMI Net 0.99 7.26 2.79 16.49 (14.76)Excess 0.32 0.61 1.53 9.00 0.43

Henry James-WorldxUS LMCC - Leading Edge 38 0.05 1.92 5.23 2.11 22.39 (14.92)MSCI ACWI ex USA IMI Net 0.99 7.26 2.79 16.49 (14.76)Excess 0.93 (2.03) (0.68) 5.90 (0.17)

Haven-WorldxUS LMCV - Leading Edge 22 0.03 0.39 8.20 3.01 16.54MSCI ACWI ex USA IMI Net 0.99 7.26 2.79 16.49Excess (0.59) 0.94 0.22 0.05

Blackcrane-WorldxUS ACC - Leading Edge 23 0.03 3.81 11.21 8.75 23.65 (23.09)MSCI ACWI ex USA IMI Net 0.99 7.26 2.79 16.49 (14.76)Excess 2.83 3.95 5.96 7.16 (8.33)

Applied Rsch-WorldxUS LCG - Leading Edge 23 0.03 2.91 5.02 4.48 27.33MSCI AC WORLD ex US (NET) 0.88 7.09 2.52 16.47Excess 2.03 (2.07) 1.95 10.87

Ativo-WorldxUS ACC - Leading Edge 27 0.04 1.49 7.21 4.38 19.49 (12.34)MSCI ACWI ex USA IMI Net 0.99 7.26 2.79 16.49 (14.76)Excess 0.50 (0.05) 1.59 3.00 2.41

NYCERS-TOTAL EMERGING MARKETS 4,804 6.82 (0.87) 5.87 (1.29) 7.93 (14.23) 34.45 12.25 (18.15)NYCERS Custom EM Index (1.13) 6.23 (0.78) 7.61 (13.38) 34.18 13.66 (16.80)Excess 0.26 (0.37) (0.51) 0.32 (0.85) 0.27 (1.42) (1.35)

Baillie Gifford EM 838 1.19 (0.75) 7.42 1.22 16.36 (14.40) 41.25 4.20 (13.67)NYCERS Custom EM Index (1.13) 6.23 (0.78) 7.61 (13.38) 34.18 13.66 (16.80)Excess 0.38 1.18 2.00 8.75 (1.02) 7.07 (9.46) 3.14

Acadian EM 710 1.01 (0.79) 5.15 (2.06) 6.09 (17.60) 36.05 12.66 (18.25)NYCERS Custom EM Index (1.13) 6.23 (0.78) 7.61 (13.38) 34.18 13.66 (16.80)Excess 0.34 (1.08) (1.28) (1.52) (4.22) 1.86 (1.00) (1.45)

Parametric EM 600 0.85 (1.25) 3.37 (2.62) 5.14 (14.77) 30.24 11.58 (19.39)NYCERS Custom EM Index (1.13) 6.23 (0.78) 7.61 (13.38) 34.18 13.66 (16.80)Excess (0.12) (2.87) (1.84) (2.47) (1.38) (3.95) (2.09) (2.59)

DFA EM 741 1.05 (0.07) 6.15 (3.76) 3.57 (13.70) 34.27 20.31 (22.06)NYCERS Custom EM Index (1.13) 6.23 (0.78) 7.61 (13.38) 34.18 13.66 (16.80)Excess 1.06 (0.08) (2.98) (4.04) (0.31) 0.09 6.65 (5.26)


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BlackRock MSCI EM Core 1,915 2.72 (1.14) 6.16 (0.67) 7.86 (12.86) 32.90 12.49 (17.92)MSCI CUSTOM NYCERS EMERGING MARKETS (NET) (1.13) 6.23 (0.78) 7.61 (12.97) 33.03 12.68 (17.71)Excess (0.01) (0.07) 0.11 0.25 0.11 (0.13) (0.19) (0.21)

NYCRS-TOTAL GLOBAL EQUITY 299 0.42 3.24 7.21 6.21 30.24MSCI World Index 2.79 7.64 5.96 23.96Excess 0.45 (0.44) 0.25 6.29

Fiera-Global 299 0.42 3.24 7.21 6.21 30.24MSCI World Index 2.79 7.64 5.96 23.96Excess 0.45 (0.44) 0.25 6.29

NYCERS-TOTAL HEDGE FUNDS 6 0.01 (2.05) (1.05) 5.29 9.09 5.87 3.27 2.21 (1.57)HFRI Fund of Funds Composite Index + 1% 0.63 0.82 0.48 7.19 (3.06) 8.84 1.52 0.73Excess (2.68) (1.87) 4.81 1.90 8.92 (5.57) 0.70 (2.30)

Luxor Capital 2 0.00 (7.05) (6.99) (7.02) (22.80) (0.42) 42.20 (14.78) (18.59)HFRI Fund of Funds Composite Index + 1% 0.63 0.82 0.48 7.19 (3.06) 8.84 1.52 0.73Excess (7.67) (7.81) (7.49) (29.99) 2.64 33.36 (16.30) (19.32)

Perry Capital Lp 4 0.01 0.00 1.41 10.36 21.10 (11.07) (6.87) 8.07 (13.38)HFRI Fund of Funds Composite Index + 1% 0.63 0.82 0.48 7.19 (3.06) 8.84 1.52 0.73Excess (0.63) 0.58 9.88 13.91 (8.01) (15.71) 6.55 (14.11)

FIXED INCOME SUMMARY

NYCERS-TOTAL STRUCTURED 12,576 17.86 (0.19) (1.03) 3.02 9.94 (0.37) 4.33 3.79 0.21NYC Custom Structured Index-ERS (0.25) (1.28) 3.37 11.10 (0.19) 4.47Excess 0.06 0.25 (0.36) (1.17) (0.19) (0.14)

Neuberger Berman Mortgages 553 0.79 0.10 0.69 1.76 6.02 0.82 2.43 1.50 1.42FTSE MORTGAGE INDEX 0.10 0.63 2.00 6.38 1.01 2.47 1.59 1.56Excess 0.01 0.06 (0.24) (0.36) (0.19) (0.04) (0.09) (0.14)

BlackRock Mortgages 1,298 1.84 0.07 0.51 2.02 6.78 0.96 2.69 2.17 1.67FTSE MORTGAGE INDEX 0.10 0.63 2.00 6.38 1.01 2.47 1.59 1.56Excess (0.02) (0.12) 0.02 0.40 (0.05) 0.22 0.58 0.11

Prudential Credit 814 1.16 0.19 0.15 3.81 13.22 (1.91) 6.17 5.89 (0.32)NYC - Investment Grade Credit 0.20 0.00 3.80 13.13 (1.90) 6.04 5.56 (0.65)Excess (0.02) 0.15 0.00 0.08 (0.01) 0.13 0.33 0.33


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CYE12/31/2016

CYE12/31/2015





T Rowe Price Credit 812 1.15 0.27 0.28 4.11 14.00 (2.41) 6.85 6.00 0.13NYC - Investment Grade Credit 0.20 0.00 3.80 13.13 (1.90) 6.04 5.56 (0.65)Excess 0.06 0.28 0.30 0.86 (0.51) 0.81 0.44 0.78

BlackRock Credit 351 0.50 0.22 0.18 3.78 13.62 (2.00) 6.38 5.50 (0.83)NYC - Investment Grade Credit 0.20 0.00 3.80 13.13 (1.90) 6.04 5.56 (0.65)Excess 0.02 0.18 (0.02) 0.48 (0.10) 0.35 (0.06) (0.18)

Taplin Credit 217 0.31 0.29 0.40 4.00 15.08 (3.47) 6.91 9.51 (4.37)NYC - Investment Grade Credit 0.20 0.00 3.80 13.13 (1.90) 6.04 5.56 (0.65)Excess 0.09 0.39 0.19 1.94 (1.56) 0.87 3.95 (3.73)

Barrow Hanley Credit 409 0.58 0.32 0.37 3.85 14.22 (2.37) 6.06 5.88 (0.09)NYC - Investment Grade Credit 0.20 0.00 3.80 13.13 (1.90) 6.04 5.56 (0.65)Excess 0.12 0.37 0.05 1.08 (0.46) 0.02 0.32 0.56

BlackRock LI Treasury 3,153 4.48 (0.47) (2.32) 3.69 12.01 (0.19) 4.76 1.24 0.69NYC - Treasury Agency Plus Five (0.53) (2.39) 3.68 12.06 (0.05) 4.66 1.21 0.72Excess 0.06 0.07 0.01 (0.05) (0.14) 0.10 0.02 (0.03)

SSGA LI Treasury 3,289 4.67 (0.50) (2.38) 3.87 12.17 (0.18) 4.93 1.57 0.46NYC - Treasury Agency Plus Five (0.53) (2.39) 3.68 12.06 (0.05) 4.66 1.21 0.72Excess 0.03 0.01 0.19 0.11 (0.13) 0.28 0.36 (0.26)

SSgA Int Gov Bond Index * 6 0.01 (0.24) (0.39) 1.23 5.12 2.05

FTSE USBIG Treasury/Agency 1-10 y (0.24) (0.39) 1.22 5.21 1.42

Excess 0.00 0.00 0.01 (0.10) 0.63

ICE BofAML US 3-Month Treasury Bill 0.12 0.49 0.88 2.13 1.87

Excess (0.37) (0.89) 0.35 2.98 0.17

* Assets were in transition as of 9/29/17

SSGA ST Treasury 1-3Y 1,674 2.38 (0.03) 0.19 0.88 3.32 1.52 0.40

FTSE USBIG Treasury 1-3 Y Index (0.03) 0.19 0.88 3.34 1.56 0.42

Excess 0.01 0.00 0.00 (0.02) (0.04) (0.02)

NYCERS-TOTAL CORE FI- EMERGING MGRS 131 0.19 (0.03) (0.41) 2.55 9.09 (0.03) 4.25 2.58 0.56BBG BARC Agg (Dly) (0.05) (0.28) 2.53 8.79 0.01 3.54 2.65 0.55Excess 0.03 (0.12) 0.03 0.30 (0.04) 0.71 (0.07) 0.01

Integrity-Core - Progress 13 0.02 (0.07) (0.43) 2.49 8.68 0.01 3.92

BBG BARC Agg (Dly) (0.05) (0.28) 2.53 8.79 0.01 3.54

Excess (0.02) (0.15) (0.04) (0.11) 0.00 0.38

Optimum Quantvest-Core - Progress 11 0.02 (0.24) (0.70) 2.15 8.22 0.22 2.56

BBG BARC Agg (Dly) (0.05) (0.28) 2.53 8.79 0.01 3.54

Excess (0.19) (0.42) (0.38) (0.57) 0.21 (0.98)


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New Century-Core Plus - Progress 30 0.04 (0.06) (0.40) 2.19 8.57 0.17 4.24 1.98 (0.04)BBG BARC Agg (Dly) (0.05) (0.28) 2.53 8.79 0.01 3.54 2.65 0.55Excess (0.01) (0.12) (0.33) (0.22) 0.16 0.70 (0.67) (0.59)

Pugh-Core Plus - Progress 33 0.05 (0.03) (0.27) 2.68 9.07 (0.39) 4.25 3.13 0.69BBG BARC Agg (Dly) (0.05) (0.28) 2.53 8.79 0.01 3.54 2.65 0.55Excess 0.02 0.01 0.15 0.28 (0.40) 0.71 0.49 0.14

Ramirez-Core - Progress 43 0.06 0.08 (0.43) 2.84 9.83 0.04 4.80 3.47 0.94BBG BARC Agg (Dly) (0.05) (0.28) 2.53 8.79 0.01 3.54 2.65 0.55Excess 0.13 (0.15) 0.31 1.04 0.03 1.25 0.82 0.39

NYCERS-TOTAL HIGH YIELD 3,022 4.29 0.41 1.14 2.40 12.45 (2.69) 6.65 14.93 (4.15)High Yield Custom Benchmark 0.33 0.97 1.95 12.08 (2.34) 7.03 15.48 (4.21)Excess 0.09 0.17 0.45 0.37 (0.35) (0.38) (0.55) 0.06

Oaktree High Yield 415 0.59 0.48 1.20 2.45 12.28 (3.46) 5.78 14.91 (4.77)BBG BARC US HY - 2% Issr Cap 0.33 0.97 1.95 12.08 (2.08) 7.50 17.13 (4.43)Excess 0.15 0.23 0.50 0.20 (1.38) (1.72) (2.22) (0.33)

Neuberger Berman High Yield 447 0.63 0.52 1.26 2.45 12.11 (2.00) 5.78 14.70 (4.00)BBG BARC US HY - 2% Issr Cap 0.33 0.97 1.95 12.08 (2.08) 7.50 17.13 (4.43)Excess 0.19 0.29 0.51 0.03 0.08 (1.73) (2.43) 0.43

Stone Harbor High Yield 256 0.36 0.04 0.43 1.00 11.84 (2.62) 5.85 12.98 (4.54)BBG BARC US HY - 2% Issr Cap 0.33 0.97 1.95 12.08 (2.08) 7.50 17.13 (4.43)Excess (0.29) (0.54) (0.95) (0.23) (0.53) (1.65) (4.15) (0.10)

T Rowe Price High Yield 673 0.96 0.44 1.34 3.09 13.87 (2.36) 7.03 12.32 (1.28)BBG BARC US HY - 2% Issr Cap 0.33 0.97 1.95 12.08 (2.08) 7.50 17.13 (4.43)Excess 0.11 0.37 1.15 1.79 (0.28) (0.47) (4.81) 3.16

Shenkman High Yield 384 0.55 0.53 1.36 2.62 12.50 (3.21) 6.79 11.86 (2.24)BBG BARC US HY - 2% Issr Cap 0.33 0.97 1.95 12.08 (2.08) 7.50 17.13 (4.43)Excess 0.21 0.39 0.68 0.42 (1.12) (0.71) (5.27) 2.20

Nomura High Yield 312 0.44 0.18 0.51 1.47 11.01

BBG BARC US HY - 2% Issr Cap 0.33 0.97 1.95 12.08

Excess (0.15) (0.46) (0.47) (1.06)

Eaton Vance High Yield 305 0.43 0.39 1.19 2.53 12.65


Excess 0.07 0.22 0.58 0.58


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Mackay Shields High Yield 231 0.33 0.60 1.41 2.47 12.31


Excess 0.27 0.44 0.52 0.23

Transition High Yield 0 0.00

NYCERS-TOTAL BANK LOANS 1,194 1.70 0.68 0.72 1.39 6.40 0.66 4.18 8.81 0.85CSFB LEVERAGED LOAN INDEX 0.55 0.48 0.99 6.46 1.14 4.25 9.88 (0.38)Excess 0.13 0.24 0.40 (0.06) (0.48) (0.07) (1.06) 1.23

Bain Bank Loans 208 0.30 0.54 0.70 1.40

CSFB LEVERAGED LOAN INDEX 0.55 0.48 0.99

Excess (0.01) 0.21 0.41

Barings Bank Loans 324 0.46 0.85 0.72 1.20 6.01 0.38 4.47 8.46 0.12CSFB LEVERAGED LOAN INDEX 0.55 0.48 0.99 6.46 1.14 4.25 9.88 (0.38)Excess 0.30 0.24 0.22 (0.44) (0.76) 0.22 (1.42) 0.50

Credit Suisse Bank Loans 338 0.48 0.72 0.99 1.85 6.91 1.04 4.66 8.95 2.57CSFB LEVERAGED LOAN INDEX 0.55 0.48 0.99 6.46 1.14 4.25 9.88 (0.38)Excess 0.17 0.51 0.86 0.46 (0.10) 0.41 (0.92) 2.96

Guggenheim Bank Loans 1 0.00 1.24 3.82 7.84 2.07CSFB LEVERAGED LOAN INDEX 0.55 1.14 4.25 9.88 (0.38)Excess 0.10 (0.43) (2.03) 2.45

Invesco Bank Loans 323 0.46 0.57 0.44 1.09 6.95 0.17 3.64 9.68 (0.91)CSFB LEVERAGED LOAN INDEX 0.55 0.48 0.99 6.46 1.14 4.25 9.88 (0.38)Excess 0.02 (0.04) 0.11 0.49 (0.97) (0.61) (0.20) (0.53)

NYCERS-TOTAL TIPS MANAGERS 3,048 4.33 0.12 (1.01) 1.74 8.03 (1.27) 3.04 4.72 (1.21)BBG BARC Gbl Inf-Lk: US TIPS (Dly) 0.15 (0.96) 1.76 8.02 (1.26) 3.01 4.68 (1.44)Excess (0.03) (0.05) (0.02) 0.01 (0.01) 0.03 0.04 0.23

SSGA TIPS 2,299 3.26 0.12 (1.02) 1.74 8.03 (1.30) 3.06 4.73 (1.35)BBG BARC Gbl Inf-Lk: US TIPS (Dly) 0.15 (0.96) 1.76 8.02 (1.26) 3.01 4.68 (1.44)Excess (0.04) (0.06) (0.02) 0.01 (0.04) 0.05 0.04 0.09

BlackRock TIPS 750 1.06 0.14 (0.97) 1.76 8.03 (1.18) 2.98 4.71 (1.24)BBG BARC Gbl Inf-Lk: US TIPS (Dly) 0.15 (0.96) 1.76 8.02 (1.26) 3.01 4.68 (1.44)Excess (0.01) (0.01) 0.00 0.01 0.08 (0.02) 0.02 0.20

NYCERS-TOTAL CONVERTIBLE BONDS 821 1.17 1.01 3.75 4.07 13.65 (0.69) 12.65 7.01 (1.28)ICE BofAML All US Conv Ex Mandatory 3.27 4.53 5.00 20.11 0.65 15.70 11.71 (2.75)Excess (2.26) (0.78) (0.93) (6.46) (1.34) (3.05) (4.70) 1.47


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Advent Convertible Bonds 469 0.67 1.33 2.72 2.72 11.26 (1.64) 7.75 7.35 (1.92)ICE BofAML US Convertibles - Yield Alter 1.37 3.38 4.18 13.24 (0.42) 9.45 9.96 (8.77)Excess (0.04) (0.66) (1.46) (1.98) (1.22) (1.69) (2.61) 6.85

Victory Convertible Bonds 352 0.50 0.59 5.16 5.92 16.99 0.66 20.54 6.47 (0.24)ICE BofAML All IG US Convertibles (0.75) 3.61 6.59 18.74 3.35 20.99 14.23 1.68Excess 1.34 1.55 (0.67) (1.75) (2.69) (0.45) (7.77) (1.92)

NYCERS-TOTAL CORE FI- DEVELOPING MGRS 440 0.63 (0.11) (0.20) 2.34 9.46 (1.05) 3.98 3.61 0.86BBG BARC Agg (Dly) (0.05) (0.28) 2.53 8.79 0.01 3.54 2.65 0.55Excess (0.06) 0.09 (0.18) 0.67 (1.06) 0.44 0.96 0.31

LM Capital-Core Plus 323 0.46 (0.15) (0.25) 2.30 9.46 (1.14) 3.85 3.47 0.83BBG BARC Agg (Dly) (0.05) (0.28) 2.53 8.79 0.01 3.54 2.65 0.55Excess (0.10) 0.04 (0.22) 0.67 (1.15) 0.31 0.82 0.28

GIA-Core Plus 117 0.17 0.02 (0.06) 2.45 9.46 (0.81) 4.35 4.00BBG BARC Agg (Dly) (0.05) (0.28) 2.53 8.79 0.01 3.54 2.65Excess 0.07 0.22 (0.08) 0.67 (0.82) 0.80 1.35

NYCERS-TOTAL OPPORTUNISTIC FIXED 2,193 3.11 0.49 0.73 2.32 5.10 6.32 7.60 8.54 (2.34)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42 17.40 0.63Excess (0.23) (0.98) (0.41) (7.21) 3.95 (1.82) (8.86) (2.96)

Ave Special Situation Fd VI 5 0.01 1.12 1.12 1.67 (0.31) 12.41 (16.32) (10.10) (9.95)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42 17.40 0.63Excess 0.39 (0.59) (1.06) (12.62) 10.05 (25.74) (27.50) (10.58)

Brightwood Capital Advisors III, LP 20 0.03 0.00 (0.89) (3.00) 2.92 11.00 5.22 1.78Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42 17.40Excess (0.73) (2.60) (5.73) (9.38) 8.64 (4.21) (15.63)

Brightwood Capital Advisors FD IV, LP 77 0.11 0.37 0.37 (0.44) 3.77 6.94 14.82Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42Excess (0.36) (1.33) (3.17) (8.54) 4.58 5.39

Fortress Ctr St Ptnrs 162 0.23 2.81 2.81 4.99 8.55 10.99 11.92 7.63 8.14Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42 17.40 0.63Excess 2.08 1.10 2.26 (3.75) 8.63 2.49 (9.77) 7.51

ICG Centre St Partner 63 0.09 2.79 2.79 5.53 11.66 9.02Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36Excess 2.06 1.08 2.80 (0.64) 6.66


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Lone Star Fd VIII 29 0.04 (1.70) (1.70) (1.66) (4.95) 3.61 (5.55) (12.42) 28.60Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42 17.40 0.63Excess (2.43) (3.41) (4.39) (17.25) 1.25 (14.97) (29.83) 27.98

Oaktree Opp Fd IX 71 0.10 0.00 (1.44) 2.99 7.21 4.57 12.87 3.89 (9.30)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42 17.40 0.63Excess (0.73) (3.14) 0.26 (5.09) 2.21 3.45 (13.51) (9.92)

Torchlight Debt Opp V 25 0.04 1.86 1.57 4.32 6.36 14.55 16.30 12.01

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42 17.40

Excess 1.13 (0.13) 1.59 (5.95) 12.19 6.88 (5.39)

TORCHLIGHT DEBT OPP VI 32 0.05 2.24 2.24 2.32

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73

Excess 1.51 0.53 (0.41)

Angelo Gordon Ct St Ptnrs 165 0.23 1.68 2.00 4.54 0.53 7.97 4.32 7.38 (6.05)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42 17.40 0.63Excess 0.96 0.29 1.81 (11.78) 5.61 (5.10) (10.02) (6.68)

Apollo Centre Street Partnership, L.P 286 0.41 0.47 1.42 3.24 5.25 8.34 8.88 5.78 (11.35)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42 17.40 0.63Excess (0.26) (0.28) 0.51 (7.06) 5.98 (0.54) (11.63) (11.97)

Ares Centre Street 188 0.27 0.40 1.78 3.18 7.89 9.71 10.00 9.10 12.79Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42 17.40 0.63Excess (0.32) 0.07 0.44 (4.41) 7.35 0.58 (8.30) 12.16

Contrarian Partnership, L.P 91 0.13 (0.18) (3.77) (2.46) (8.22) (4.51) 8.52 16.94 (8.12)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42 17.40 0.63Excess (0.91) (5.47) (5.19) (20.52) (6.87) (0.90) (0.46) (8.75)

Golden Tree OD 214 0.30 0.25 1.00 1.45 9.00 (1.71) 7.08 10.28 2.33Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42 17.40 0.63Excess (0.47) (0.71) (1.28) (3.30) (4.08) (2.34) (7.12) 1.70

Maranon Partnership 59 0.08 0.69 1.91 3.25 6.97

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31

Excess (0.04) 0.20 0.52 (5.33)

Marathon Centre Street Partnership, L.P. 301 0.43 (0.65) (1.80) (0.52) 3.66 4.89 2.82 16.20 (5.43)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42 17.40 0.63Excess (1.37) (3.50) (3.25) (8.65) 2.53 (6.60) (1.21) (6.06)


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Oak Hill Ctr St Ptnrs 261 0.37 0.01 0.37 1.93 6.06 7.72 13.66 13.18 (4.29)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36 9.42 17.40 0.63Excess (0.72) (1.33) (0.80) (6.24) 5.36 4.24 (4.23) (4.91)

KKR NYC CREDIT A & B 143 0.20 0.00 3.46 6.54 5.57 26.55

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.73 1.71 2.73 12.31 2.36

Excess (0.73) 1.76 3.81 (6.73) 24.18

TOTAL EMPLOYEES ETI (w/o cash) 911 1.29 (0.03) (0.46) 2.75 9.63 0.98 3.88 2.76 4.12Employees Custom Benchmark (No Cash) 0.04 0.29 2.27 7.47 1.01 3.10 2.38 1.42Excess (0.07) (0.75) 0.48 2.17 (0.03) 0.78 0.38 2.70

AFL-CIO Housing Investment Trust 334 0.47 (0.17) (0.60) 1.97 8.11 0.16 3.17 1.94 1.13BBG BARC Agg (Dly) (0.05) (0.28) 2.53 8.79 0.01 3.54 2.65 0.55Excess (0.12) (0.32) (0.55) (0.68) 0.15 (0.38) (0.71) 0.58

RBC Access MBS 161 0.23 0.03 0.26 2.02 6.97 0.49 2.64 1.61 1.83Access RBC Benchmark (0.06) 0.08 1.61 5.89 1.17 1.96 1.52 1.40Excess 0.08 0.18 0.41 1.08 (0.69) 0.69 0.09 0.43

CPC Construction Facility 12 0.02 0.23 0.50 2.56 4.73 4.14 6.07 (3.95) 12.90CPC CONST BENCHMARK 0.29 0.92 1.62 3.78 3.99 3.34 3.03 2.90Excess (0.06) (0.42) 0.95 0.95 0.15 2.73 (6.99) 10.00

CPC PPAR GNMA 77 0.11 (0.60) (1.10) 0.32 5.16 0.86 2.58 2.86 5.08GNMA Plus 65bps 0.06 0.59 2.01 6.60 1.63 2.53 2.28 2.02Excess (0.66) (1.68) (1.69) (1.44) (0.77) 0.05 0.58 3.07

JPMC PPAR GNMA 31 0.04 (0.27) (0.49) 1.09 6.11 1.99 2.63 2.99 6.04GNMA Plus 65bps 0.06 0.59 2.01 6.60 1.63 2.53 2.28 2.02Excess (0.34) (1.07) (0.92) (0.49) 0.36 0.11 0.72 4.03

BOA PPAR GNMA 16 0.02 (0.46) (1.19) 1.71 9.10 2.42 4.08 3.13 8.04GNMA Plus 65bps 0.06 0.59 2.01 6.60 1.63 2.53 2.28 2.02Excess (0.52) (1.77) (0.30) 2.50 0.79 1.56 0.85 6.03

BOA PPAR FNMA 24 0.03 0.22 (0.64) 5.30 15.04 2.33 5.21 4.07 42.03FNMA Plus 85bps 0.19 0.96 2.50 7.35 1.86 3.61 2.38 2.50Excess 0.02 (1.60) 2.80 7.69 0.47 1.60 1.69 39.53

Citibank PPAR GNMA 6 0.01 (0.85) (1.28) 0.46 5.81 1.90 3.10 2.78 5.08GNMA Plus 65bps 0.06 0.59 2.01 6.60 1.63 2.53 2.28 2.02Excess (0.91) (1.87) (1.55) (0.79) 0.27 0.57 0.50 3.06


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Citibank PPAR FNMA 26 0.04 2.16 2.30 10.57 21.35 2.63 5.26 3.71 6.69FNMA Plus 85bps 0.19 0.96 2.50 7.35 1.86 3.61 2.38 2.50Excess 1.97 1.34 8.07 14.00 0.77 1.65 1.33 4.20

CFSB PPAR GNMA 3 0.00 (0.56) (0.81) 0.76 6.37 0.99 3.83 3.21 5.90GNMA Plus 65bps 0.06 0.59 2.01 6.60 1.63 2.53 2.28 2.02Excess (0.62) (1.40) (1.25) (0.23) (0.65) 1.30 0.93 3.88

CPC PPAR FNMA 106 0.15 0.04 (1.03) 4.39 14.78 2.31 5.06 6.15 8.96FNMA Plus 85bps 0.19 0.96 2.50 7.35 1.86 3.61 2.38 2.50Excess (0.15) (1.98) 1.90 7.43 0.45 1.45 3.77 6.46

JPMC PPAR FNMA 85 0.12 0.23 (0.98) 4.90 15.66 1.68 9.96 7.94 6.18FNMA Plus 85bps 0.19 0.96 2.50 7.35 1.86 3.61 2.38 2.50Excess 0.03 (1.93) 2.41 8.32 (0.18) 6.35 5.56 3.68

LIIF PPAR GNMA 3 0.00 0.05 (0.06) 1.34 5.76 2.53 2.52 3.88 3.92GNMA Plus 65bps 0.06 0.59 2.01 6.60 1.63 2.53 2.28 2.02Excess (0.01) (0.64) (0.67) (0.84) 0.89 (0.01) 1.61 1.91

LIIF PPAR FNMA 13 0.02 0.37 1.78 7.90 17.89 2.27 9.55 5.03 6.29FNMA Plus 85bps 0.19 0.96 2.50 7.35 1.86 3.61 2.38 2.50Excess 0.18 0.83 5.40 10.54 0.41 5.94 2.65 3.79

LISC PPAR FNMA 2 0.00 0.56 (0.69) 6.26 16.66FNMA Plus 85bps 0.19 0.96 2.50 7.35Excess 0.37 (1.65) 3.76 9.31

NCBCI PPAR FNMA 0 0.00 0.27 0.19 1.24 4.38 2.00 1.75 3.46 4.97FNMA Plus 85bps 0.19 0.96 2.50 7.35 1.86 3.61 2.38 2.50Excess 0.08 (0.77) (1.25) (2.96) 0.15 (1.86) 1.07 2.47

NCBCI PPAR GNMA 2 0.00 (0.40) (0.49) (0.01) 3.90 1.23 3.01 3.51 5.53GNMA Plus 65bps 0.06 0.59 2.01 6.60 1.63 2.53 2.28 2.02Excess (0.46) (1.07) (2.02) (2.70) (0.41) 0.48 1.23 3.52

NHS PPAR GNMA 1 0.00 (0.78) (0.82) (0.69) 3.04 0.54 (2.93) 3.58 4.90GNMA Plus 65bps 0.06 0.59 2.01 6.60 1.63 2.53 2.28 2.02Excess (0.84) (1.41) (2.70) (3.56) (1.09) (5.46) 1.30 2.89

Wells Fargo PPAR FNMA 10 0.01 0.55 (0.62) 6.15 23.53FNMA Plus 85bps 0.19 0.96 2.50 7.35 1.86 3.61Excess 0.36 (1.58) 3.66 16.19


32



CYE12/31/2018

CYE12/31/2017

CYE12/31/2016

CYE12/31/2015





NYCERS-TOTAL CASH 638 0.91 (0.31) 0.10 0.52 2.37 2.49 1.31 0.67 0.27ICE BofAML US 3-Month Treasury Bill 0.12 0.49 0.88 2.13 1.87 0.86 0.33 0.05Excess (0.44) (0.39) (0.36) 0.24 0.62 0.45 0.35 0.21

Short Term NYCERS 631 0.90 0.14 0.48 0.87 2.15 1.95 1.09 0.76 0.31ICE BofAML US 3-Month Treasury Bill 0.12 0.49 0.88 2.13 1.87 0.86 0.33 0.05Excess 0.01 (0.01) (0.01) 0.02 0.07 0.23 0.44 0.26

Cash Account 0 0.00

KKR SP CASH ACCOUNT 7 0.01 0.05 0.56 0.93

Securities Lending 0 0.00

NYCERS-TOTAL PRIVATE EQUITY 4,930 7.00 1.61 2.49 6.32 10.78 16.05 18.57 9.84 9.49

NYCERS-TOTAL PRIVATE REAL ESTATE 3,775 5.36 0.84 1.39 2.08 5.33 10.22 10.86 10.35 14.44

NYCERS-TOTAL INFRASTRUCTURE 748 1.06 0.80 1.62 4.69 9.83 14.49 16.10 8.47 12.80


33

StepStone Group LP

New York City Employees' Retirement SystemPrivate Equity Portfolio

As of June 30, 2019 (in USD)

Vintage Year

Investment First DrawdownCommitted

CapitalContributed

CapitalDistributed Capital Market Value Multiple IRR1 PME

Benchmark2 PME Spread3

Active Investments1999 Cypress Merchant Banking Partners II, L.P. 3/29/1999 45,172,972$ 53,944,269$ 50,584,154$ 25,457$ 0.94x (1.2%) 5.5% (6.7%)1999 Lincolnshire Equity Fund II, L.P. 10/20/1999 18,397,347 19,261,466 37,375,300 744,811 1.98x 24.6% 7.0% 17.6%2000 Solera Partners, L.P. 5/26/2000 19,999,779 26,608,666 41,635,156 158,076 1.57x 7.5% 6.1% 1.3%2000 SCP Private Equity Partners II, L.P. 6/15/2000 27,442,463 30,827,225 10,819,873 1,638,441 0.40x (11.5%) 5.3% (16.8%)2001 Apollo Investment Fund V, L.P. 4/13/2001 40,000,000 62,528,643 123,295,865 346,258 1.98x 38.6% 8.3% 30.3%2001 RRE Ventures III, L.P. 7/6/2001 19,999,999 26,323,260 34,078,940 1,073,014 1.34x 5.4% 6.6% (1.2%)2002 Thomas, McNerney & Partners, L.P. 10/9/2002 20,000,000 20,000,000 10,058,105 2,942,251 0.65x (6.47%) 10.4% (16.8%)2002 Landmark Equity Partners XI, L.P. 10/23/2002 55,000,000 52,284,778 80,358,502 134,630 1.54x 23.3% 7.5% 15.8%2003 FS Equity Partners V, L.P. 1/20/2003 25,000,000 21,419,958 41,861,469 1,674,354 2.03x 15.3% 5.0% 10.4%2003 Blackstone Capital Partners IV, L.P. 2/26/2003 34,418,762 38,818,072 100,180,571 17,262 2.58x 39.7% 7.6% 32.2%2003 Ares Corporate Opportunities Fund, L.P. 4/1/2003 45,000,000 53,984,770 80,476,920 1,233,364 1.51x 13.2% 7.4% 5.8%2004 Markstone Capital Partners, LP 1/30/2004 40,000,000 46,899,103 19,822,611 272,215 0.43x (42.1%) 10.3% (52.4%)2004 FdG Capital Partners II LP 8/30/2004 35,000,000 37,714,408 43,600,092 2,128,937 1.21x 3.7% 6.7% (3.0%)2004 Paladin Homeland Security Fund (NY City), L.P. 9/27/2004 15,000,000 16,513,285 6,286,009 22,200 0.38x (14.2%) 6.2% (20.4%)2004 Lincolnshire Equity Fund III, L.P. 10/1/2004 55,000,000 55,006,941 77,732,618 21,298,714 1.80x 28.3% 11.3% 17.0%2004 Yucaipa American Alliance Fund I, LP 10/1/2004 90,000,000 114,094,892 137,148,067 8,610,992 1.28x 4.9% 10.4% (5.6%)2004 New York/Fairview Emerging Managers Fund, L.P.-Tranche 1 10/21/2004 32,000,000 32,862,069 31,358,791 5,984,510 1.14x 2.1% 8.7% (6.5%)2004 Aurora Equity Partners III L.P. 11/16/2004 50,000,000 54,126,788 87,435,881 374,050 1.62x 13.5% 9.9% 3.6%2005 Palladium Equity Partners III, L.P. 11/12/2004 35,000,000 36,448,227 68,160,827 2,553,712 1.94x 16.1% 11.9% 4.3%2005 New Mountain Partners II, L.P. 1/12/2005 46,451,615 42,071,397 81,045,604 647,209 1.94x 13.6% 4.5% 9.2%2005 Snow Phipps Group, L.P. 9/7/2005 20,000,000 23,827,483 20,914,615 10,642,537 1.32x 6.1% 11.0% (4.9%)2005 Blackstone Mezzanine Partners II, L.P. 10/10/2005 21,346,698 23,488,553 31,752,958 298,294 1.36x 8.0% 3.8% 4.2%2005 Psilos Group Partners III, L.P. 10/24/2005 35,000,000 37,205,819 17,948,760 24,576,600 1.14x 2.0% 7.4% (5.4%)2005 USPF II Institutional Fund, L.P. 11/23/2005 65,000,000 85,734,194 99,275,372 9,899,032 1.27x 4.1% 7.7% (3.6%)2005 JP Morgan Fleming (Tranche A) 12/21/2005 43,000,000 42,969,481 41,591,108 13,296,331 1.28x 4.6% 10.7% (6.0%)2006 Aisling Capital II, LP 1/12/2006 6,680,102 7,854,064 7,775,060 360,098 1.04x 0.6% 8.0% (7.3%)2006 InterMedia Partners VII, L.P. 1/20/2006 25,000,000 29,198,197 29,591,747 (12,606) 1.01x 0.2% 9.7% (9.5%)2006 Terra Firma Capital Partners III, L.P. 3/8/2006 52,773,915 53,487,997 20,191,973 3,795,238 0.45x (9.8%) 9.8% (19.6%)2006 BDCM Opportunity Fund II, L.P. 3/29/2006 25,000,000 37,114,935 68,759,144 24,965,852 2.53x 17.9% 11.3% 6.6%2006 Blackstone Capital Partners V, L.P. 4/13/2006 121,624,827 129,363,533 205,090,658 5,138,715 1.63x 7.9% 8.3% (0.4%)2006 Avista Capital Partners, L.P. 4/27/2006 45,000,000 59,165,902 72,036,625 1,075,350 1.24x 4.5% 6.3% (1.8%)2006 Apollo Investment Fund VI, L.P. 5/10/2006 90,000,000 115,838,240 173,338,314 1,678,993 1.51x 8.7% 7.6% 1.1%2006 Landmark Equity Partners XIII, L.P. 5/11/2006 50,000,000 48,059,342 51,798,804 11,013,593 1.31x 5.3% 6.5% (1.3%)2006 Ares Corporate Opportunities Fund II, L.P. 5/23/2006 50,000,000 54,881,935 90,291,469 1,281,792 1.67x 13.1% 3.8% 9.2%2006 Fairview Ventures Fund III, L.P. 6/29/2006 25,000,000 26,652,926 36,142,195 21,181,905 2.15x 14.4% 12.4% 2.1%2006 Ampersand 2006 8/14/2006 25,000,000 25,000,000 51,467,841 22,093,957 2.94x 16.9% 9.0% 8.0%2006 CCMP Capital Investors II, L.P. 8/17/2006 30,000,000 32,921,953 56,637,777 23,899 1.72x 13.5% 10.6% 2.9%2006 Thomas, McNerney & Partners II, L.P. 11/30/2006 25,000,000 25,349,167 53,110,685 4,911,441 2.29x 16.8% 11.5% 5.3%2006 Catterton Partners VI, L.P. 12/14/2006 45,000,000 51,243,868 74,926,969 20,838,491 1.87x 11.7% 8.9% 2.8%2006 First Reserve Fund XI, L.P. 12/14/2006 45,000,000 47,820,682 30,192,162 2,254,708 0.68x (8.3%) 7.1% (15.3%)2006 Arsenal Capital Partners II, LP 12/19/2006 22,500,000 27,416,444 43,593,587 7,602,773 1.87x 11.7% 11.9% (0.2%)2006 RRE Ventures IV, L.P. 12/19/2006 35,000,000 44,455,196 28,329,608 33,202,769 1.38x 4.8% 10.9% (6.1%)2006 MidOcean Partners III, L.P. 12/21/2006 58,234,777 69,505,670 133,186,353 11,268,837 2.08x 13.0% 9.8% 3.3%2006 GF Capital Private Equity Fund, L.P. 12/22/2006 20,000,000 20,729,120 26,863,570 9,099,778 1.73x 12.0% 12.4% (0.4%)2006 The Fourth Cinven Fund 1/22/2007 69,348,407 72,910,838 105,267,237 52,613 1.44x 7.4% 7.5% (0.2%)2007 Pegasus Partners IV, L.P. 1/29/2007 30,000,000 36,742,533 27,580,372 6,432,680 0.93x (1.5%) 11.1% (12.6%)2007 FTVentures III, LP 3/1/2007 24,201,990 26,802,873 49,633,924 7,756,586 2.14x 15.8% 10.0% 5.7%2007 Co-Investment Partners Europe, L.P. 3/19/2007 39,908,480 42,601,283 51,788,773 2,549,853 1.28x 4.7% 15.3% (10.6%)2007 Montreux Equity Partners IV, L.P. 3/27/2007 20,000,000 20,000,000 11,044,696 16,142,134 1.36x 4.7% 10.3% (5.6%)2007 Quaker BioVentures II, L.P. 3/30/2007 20,000,000 19,058,740 16,436,907 3,473,813 1.04x 1.0% 12.6% (11.6%)2007 SCP Vitalife Partners II Fund 4/13/2007 20,000,000 20,099,698 1,579 10,029,693 0.50x (8.2%) 8.8% (17.0%)2007 Craton Equity Investors I, L.P. 4/30/2007 20,000,000 20,089,805 2,153,907 39,962 0.11x (33.0%) 13.8% (46.8%)2007 Nautic Partners VI, L.P. 5/14/2007 30,000,000 33,794,398 72,914,122 6,943,431 2.36x 18.8% 12.0% 6.8%2007 Constellation Venture Capital III, L.P. 5/22/2007 25,000,000 28,575,035 13,995,719 7,889,904 0.77x (4.3%) 16.4% (20.7%)2007 United States Power Fund III, L.P. 6/28/2007 65,000,000 76,903,642 78,396,240 17,562,186 1.25x 4.0% 9.5% (5.5%)2007 Halyard Capital Fund II, L.P. 7/2/2007 25,000,000 21,628,251 26,458,033 5,447,755 1.48x 7.0% 9.9% (2.9%)2007 Carlyle Partners V, L.P. 7/6/2007 70,000,000 72,144,879 119,094,563 9,451,862 1.78x 13.7% 11.0% 2.8%2007 PCG Clean Energy & Technology Fund (East), LLC 7/6/2007 90,000,000 81,429,594 18,508,627 14,624,898 0.41x (12.3%) 13.1% (25.4%)2007 GSO Capital Opportunities Fund LP 7/16/2007 45,000,000 67,377,298 95,627,284 667,126 1.43x 17.3% 10.1% 7.2%2007 StarVest Partners II, L.P. 8/1/2007 25,000,000 25,159,680 10,023,499 11,912,338 0.87x (2.0%) 13.6% (15.6%)2007 New Mountain Partners III, L.P. 8/9/2007 100,000,000 101,866,058 135,606,735 76,566,849 2.08x 13.7% 12.6% 1.1%2007 Vista Equity Partners Fund III, L.P. 10/3/2007 30,000,000 32,183,690 76,619,901 3,020,417 2.47x 27.0% 9.9% 17.1%2007 Trilantic Capital Partners IV L.P. 10/22/2007 69,028,637 72,053,009 106,275,810 8,084,171 1.59x 13.7% 11.0% 2.7%2007 RLJ Equity Partners Fund I, L.P. 11/30/2007 20,000,000 21,991,729 22,531,306 10,851,727 1.52x 9.2% 13.8% (4.6%)2007 Pine Brook Capital Partners, L.P. 1/11/2008 30,000,000 34,059,414 39,157,544 5,555,273 1.31x 7.3% 12.0% (4.6%)2008 Paladin III (NY City), L.P. 1/8/2008 30,000,000 40,369,020 28,679,482 40,672,876 1.72x 10.6% 12.1% (1.6%)2008 Apollo Investment Fund VII, L.P. 1/28/2008 100,000,000 122,349,020 192,034,659 16,339,883 1.70x 22.7% 13.6% 9.1%2008 NGN BioMed Opportunity II, L.P. 2/11/2008 20,000,000 19,151,821 13,346,209 10,769,197 1.26x 3.5% 14.8% (11.3%)2008 Riverstone/Carlyle Global Energy & Power Fund IV, L.P. 3/3/2008 45,000,000 52,184,314 46,083,016 13,532,670 1.14x 3.6% 13.8% (10.2%)2008 Yucaipa American Alliance Fund II, LP 3/28/2008 120,000,000 163,744,290 151,663,737 115,645,292 1.63x 9.1% 12.3% (3.2%)2008 Levine Leichtman Capital Partners IV, L.P. 4/8/2008 35,000,000 37,477,097 59,216,356 3,693,297 1.68x 18.3% 14.3% 4.0%2008 New York/Fairview Emerging Managers Fund, L.P.-Tranche 2 5/28/2008 45,000,000 44,996,824 48,386,655 44,829,677 2.07x 16.3% 13.0% 3.3%2008 Yucaipa Corporate Initiatives Fund II, LP 6/23/2008 42,092,788 41,298,333 15,059,176 21,753,638 0.89x (1.8%) 12.0% (13.7%)2008 Leeds Equity Partners V, L.P. 7/28/2008 60,000,000 57,820,894 81,251,905 55,544,172 2.37x 19.3% 13.4% 5.9%2008 GI Partners Fund III L.P. 7/29/2008 45,000,000 48,618,007 75,719,848 655,072 1.57x 13.0% 15.3% (2.3%)2008 Ares Corporate Opportunities Fund III, L.P. 7/30/2008 75,000,000 91,112,895 145,367,822 49,339,327 2.14x 20.6% 12.1% 8.5%2008 GCM Grosvenor NYCERS Emerging Manager Fund, L.P. 8/22/2008 116,737,374 143,138,342 126,041,563 78,005,284 1.43x 10.3% 13.3% (3.0%)2008 First Reserve Fund XII, L.P. 8/25/2008 45,000,000 49,986,866 24,602,219 7,713,532 0.65x (10.0%) 16.8% (26.9%)2008 Landmark Equity Partners XIV, L.P. 9/19/2008 109,120,000 106,061,756 120,147,815 18,263,185 1.31x 9.5% 14.4% (4.9%)2008 Crestview Partners II, L.P. 10/1/2008 50,000,000 57,957,601 74,238,021 24,426,115 1.70x 13.4% 14.5% (1.2%)2008 Avista Capital Partners II, L.P. 11/5/2008 75,000,000 97,206,003 150,159,298 13,530,387 1.68x 15.0% 14.7% 0.3%2008 Blue Wolf Capital Fund II, L.P. 11/14/2008 25,000,000 27,167,904 31,424,990 6,517,869 1.40x 7.8% 15.7% (7.9%)2008 Bridgepoint Europe IV 11/14/2008 26,656,789 27,047,550 33,755,841 7,434,376 1.52x 10.0% 14.8% (4.8%)2008 Aisling Capital III, LP 11/20/2008 14,000,000 15,803,050 35,307,216 1,816,669 2.35x 26.1% 14.2% 11.9%2008 Onex Partners III LP 12/10/2008 75,000,000 81,909,329 108,383,240 28,437,823 1.67x 12.6% 14.9% (2.3%)2009 Welsh, Carson, Anderson & Stowe XI, L.P. 2/10/2009 40,000,000 40,000,000 51,763,285 13,911,455 1.64x 12.3% 14.7% (2.4%)2009 FS Equity Partners VI, L.P. 7/27/2009 32,500,000 32,623,613 71,744,199 25,096,300 2.97x 24.0% 14.8% 9.2%2009 Lincolnshire Equity Fund IV, L.P. 8/5/2009 27,500,000 29,330,543 33,784,932 8,049,056 1.43x 8.9% 13.5% (4.6%)2009 Lexington Capital Partners VII, L.P. 12/3/2009 50,000,000 44,615,537 56,792,914 13,285,331 1.57x 14.1% 14.3% (0.2%)2010 Snow Phipps II, L.P. 1/8/2010 30,000,000 34,648,284 25,479,743 20,577,844 1.33x 8.8% 13.8% (5.0%)2010 JP Morgan Fleming (Tranche B) 2/26/2010 35,000,000 35,780,224 27,578,227 25,798,519 1.49x 9.1% 13.3% (4.2%)2010 Trident V, L.P. 4/29/2010 110,000,000 128,176,939 137,287,116 71,101,277 1.63x 11.3% 12.5% (1.2%)2011 Blackstone Capital Partners VI, L.P. 1/24/2011 120,000,000 125,079,352 94,810,144 103,649,672 1.59x 12.8% 12.5% 0.3%2011 Ampersand 2011 3/11/2011 25,000,000 25,000,000 40,459,089 34,048,852 2.98x 22.4% 12.8% 9.6%2011 BDCM Opportunity Fund III, L.P. 4/8/2011 45,000,000 64,767,169 30,670,422 58,460,837 1.38x 8.6% 12.5% (3.8%)2011 AXA Secondary Fund V B L.P. 6/16/2011 120,000,000 98,870,731 140,724,194 17,906,735 1.60x 15.6% 14.7% 0.9%2011 Wellspring Capital Partners V, L.P. 7/1/2011 40,000,000 40,547,421 46,287,391 17,792,938 1.58x 15.8% 12.2% 3.5%2011 EQT VI, L.P. 8/1/2011 106,266,162 110,231,315 148,714,921 38,944,472 1.70x 14.0% 12.2% 1.8%2011 Pegasus Partners V, L.P. 8/16/2011 20,789,916 25,001,306 22,521,565 18,578,836 1.64x 12.9% 14.2% (1.3%)2011 BC European Capital IX 9/19/2011 131,725,192 142,706,209 124,128,103 98,713,201 1.56x 12.7% 13.3% (0.6%)

34

StepStone Group LP

New York City Employees' Retirement SystemPrivate Equity Portfolio

As of June 30, 2019 (in USD)

Vintage Year

Investment First DrawdownCommitted

CapitalContributed

CapitalDistributed Capital Market Value Multiple IRR1 PME

Benchmark2 PME Spread3

2011 American Securities Partners VI, L.P. 11/18/2011 80,000,000 85,908,470 129,018,407 39,320,978 1.96x 22.0% 13.1% 8.9%2011 Vista Equity Partners Fund IV, L.P. 11/30/2011 100,000,000 104,087,016 133,471,050 73,213,833 1.99x 18.1% 13.4% 4.7%2012 Warburg Pincus Private Equity XI, L.P. 5/24/2012 110,000,000 117,033,488 88,323,238 100,671,398 1.61x 14.1% 12.4% 1.7%2012 Trilantic Capital Partners V L.P. 9/20/2012 70,000,000 75,895,862 64,025,005 51,101,427 1.52x 18.1% 12.3% 5.8%2012 Palladium Equity Partners IV, L.P. 10/10/2012 55,000,000 46,855,097 25,851,563 43,407,701 1.48x 13.1% 13.2% (0.1%)2012 Ares Corporate Opportunities Fund IV, L.P. 11/5/2012 125,000,000 130,650,551 71,493,562 122,517,157 1.48x 12.8% 11.2% 1.6%2012 Green Equity Investors VI, L.P. 11/30/2012 120,000,000 129,110,851 85,848,555 133,751,236 1.70x 16.4% 12.1% 4.3%2012 Platinum Equity Capital Partners III, L.P. 1/14/2013 100,000,000 82,521,605 116,249,966 37,592,022 1.86x 35.7% 13.2% 22.5%2012 NYCERS - 2012 Emerging Manager Program4 6/21/2013 139,600,000 136,878,941 61,085,474 152,681,980 1.56x 16.3% 11.4% 4.9%2013 Carlyle Partners VI, L.P. 7/3/2013 75,000,000 78,614,930 33,745,816 68,007,884 1.29x 10.3% 11.3% (0.9%)2014 Carlyle Partners VI, L.P. (Side Car) 9/23/2014 8,250,000 5,997,320 345,832 5,368,337 0.95x (1.5%) 11.6% (13.0%)2013 Landmark Equity Partners XV, L.P. 10/30/2013 75,000,000 52,979,665 38,443,621 28,778,730 1.27x 12.3% 11.4% 0.8%2013 Apollo Investment Fund VIII, L.P. 12/11/2013 140,000,000 128,735,517 41,019,394 125,715,224 1.30x 10.8% 12.0% (1.1%)2013 Landmark - NYC Fund I, L.P. 12/24/2013 25,000,000 20,805,806 13,974,302 15,411,876 1.41x 15.0% 10.0% 5.0%2014 CVC Capital Partners VI, L.P. 2/18/2014 123,457,523 120,348,295 34,322,108 138,874,209 1.44x 16.4% 11.7% 4.7%2013 Crestview Partners III, L.P. 3/3/2015 66,000,000 46,018,128 8,748,317 51,479,330 1.31x 14.0% 11.7% 2.2%2013 Crestview Partners III (Co-Investment B), L.P. 12/17/2015 22,000,000 21,675,199 1,085,940 24,874,230 1.20x 8.6% 13.4% (4.8%)2014 Olympus Growth Fund VI, L.P. 1/21/2014 75,000,000 62,455,623 25,426,675 59,259,136 1.36x 14.4% 13.0% 1.4%2014 ASF VI B L.P. 5/9/2014 83,000,000 62,949,260 37,390,829 52,959,671 1.44x 13.6% 11.4% 2.2%2014 ASF VI B NYC Co-Invest L.P. 5/9/2014 27,000,000 21,344,708 17,249,431 12,725,168 1.40x 12.9% 9.1% 3.7%2014 Vista Equity Partners Fund V, L.P. 9/8/2014 125,000,000 144,254,441 112,808,849 162,287,252 1.91x 24.0% 11.4% 12.6%2014 Lexington Capital Partners VIII, L.P. 1/8/2015 110,000,000 93,195,847 40,140,276 82,162,766 1.31x 19.6% 12.5% 7.1%2015 Siris Partners III, L.P. 5/4/2015 31,000,000 27,601,973 14,669,345 19,003,703 1.22x 11.5% 11.5% (0.1%)2015 Centerbridge Capital Partners III, L.P. 5/21/2015 23,700,000 15,255,292 4,886,819 15,682,235 1.35x 14.9% 11.6% 3.3%2015 Welsh, Carson, Anderson & Stowe XII, L.P. 8/26/2015 78,500,000 66,122,763 28,037,167 73,670,288 1.54x 25.9% 12.8% 13.1%2015 Warburg Pincus Private Equity XII, L.P. 12/21/2015 205,500,000 159,946,843 9,005,627 187,516,524 1.23x 12.9% 11.9% 1.0%2015 ASF VII B L.P. 12/29/2015 94,500,000 31,736,043 5,595,462 36,820,582 1.34x 17.0% 11.6% 5.4%2015 ASF VII B NYC Co-Invest L.P. 12/29/2015 46,000,000 23,381,531 3,294,470 35,397,348 1.65x 38.7% 10.4% 28.3%2015 EQT VII, L.P. 1/8/2016 162,898,391 138,963,998 18,086,777 178,139,862 1.41x 19.4% 12.1% 7.3%2015 American Securities Partners VII, L.P. 1/19/2016 80,000,000 64,511,976 9,545,683 50,910,524 0.94x (4.2%) 13.0% (17.2%)2015 Bridgepoint Europe V L.P. 2/8/2016 62,069,891 56,670,066 8,076,223 61,893,208 1.23x 12.3% 12.3% 0.0%2015 Bridgepoint Europe V Co-Invest 8/16/2016 18,347,196 17,018,173 1,702,176 27,010,838 1.69x 32.9% 12.9% 19.9%2015 NYCERS - 2015 Emerging Manager Program5 2/22/2016 190,400,000 69,817,454 2,504,091 85,029,863 1.25x 23.3% 11.8% 11.5%2016 Vista Equity Partners Fund VI, L.P. 6/28/2016 158,000,000 170,397,297 39,435,462 189,315,190 1.34x 18.5% 13.0% 5.5%2016 Platinum Equity Capital Partners IV, L.P. 3/21/2017 111,000,000 87,394,700 22,692,737 94,836,643 1.34x 31.6% 10.6% 21.0%2018 Platinum Equity Capital Partners IV Co-Investment, L.P. 9/7/2018 16,000,000 11,200,000 - 12,891,955 1.15x NM NM N/A2016 Apax IX USD, L.P. 5/12/2017 127,000,000 61,694,233 3,339,596 88,075,000 1.48x 28.1% 10.3% 17.8%2017 Green Equity Investors VII, L.P. 5/12/2017 95,000,000 56,123,648 376,189 65,414,555 1.17x 13.5% 10.0% 3.5%2017 Ares Corporate Opportunities Fund V, L.P. 6/22/2017 95,000,000 63,235,190 1,635,473 66,590,279 1.08x 8.5% 9.8% (1.2%)2017 KKR Americas Fund XII, L.P. 10/31/2017 158,000,000 63,824,173 1,041,587 68,022,980 1.08x NM NM N/A2017 BC European Capital X 12/14/2017 89,528,118 44,279,911 - 46,453,073 1.05x NM NM N/A2017 BCEC X Co-Investment 3/24/2017 36,076,705 25,235,865 - 28,401,511 1.13x 10.9% 9.4% 1.5%2017 Warburg Pincus Financial Sector, L.P. 1/5/2018 104,000,000 48,095,156 5,304,000 39,390,129 0.93x NM NM N/A2018 Platinum Equity Small Cap Fund, L.P. 6/27/2018 41,000,000 3,119,044 - 2,397,143 0.77x NM NM N/A2018 EQT VIII, L.P. 8/10/2018 110,938,721 20,156,963 1,344,326 19,489,413 1.03x NM NM N/A2018 EQT VIII Co-Investment 11/2/2018 40,304,679 9,596,241 - 10,827,719 1.13x NM NM N/A2018 CVC Capital Partners VII, L.P. 12/4/2018 156,016,596 24,563,857 526,145 29,650,680 1.23x NM NM N/A2018 Grain Communications Opportunity Fund II, L.P. 12/26/2018 21,000,000 2,895,737 51,721 2,050,096 0.73x NM NM N/A2017 Palladium Equity Partners V, L.P. 2/11/2019 33,333,333 5,486,557 - 3,877,297 0.71x NM NM N/A2018 Vista Equity Partners Fund VII, L.P. 2/13/2019 177,500,000 24,319,952 26,263 23,205,144 0.96x NM NM N/A2019 Welsh, Carson, Anderson & Stowe XIII, L.P. 3/14/2019 89,000,000 652,842 - (143,380) (0.22x) N/A N/A N/A2018 Siris Partners IV, L.P. 3/15/2019 89,000,000 13,489,968 - 13,444,944 1.00x NM NM N/A2018 Apollo Investment Fund IX, L.P. 3/15/2019 256,000,000 23,383,997 2,651 19,542,947 0.84x NM NM N/A2019 ASF VIII B L.P. 3/15/2019 174,000,000 17,400 - 1,123,793 64.59x NM NM N/A2019 ASF VIII B NYC Co-Invest L.P. 3/15/2019 87,000,000 8,700 - (8,666) (1.00x) N/A N/A N/A2019 Warburg Pincus Global Growth, L.P. 3/26/2019 125,500,000 1,454,339 - 564,128 0.39x NM NM N/A2018 Bridgepoint Europe VI N/A 121,198,077 7,003,461 - 5,144,634 0.73x NM NM N/A2018 Bridgepoint Europe VI Co-Invest N/A 30,259,623 4,947,653 - 4,939,949 1.00x NM NM N/A2018 Crestview Partners IV, L.P. N/A 71,000,000 - - (157,015) - N/A N/A N/A2018 Crestview Partners IV (Co-Investment), L.P. N/A 23,666,667 - - (52,335) - N/A N/A N/A2019 KKR European Fund V (USD) N/A 83,250,000 - - (205,887) - N/A N/A N/A2019 Lexington Capital Partners IX N/A 106,500,000 - - 5,215,689 - NM N/A N/A2019 Lexington IX Co-Invest N/A 35,500,000 - - - - N/A N/A N/A2019 Lindsay Goldberg V N/A 87,000,000 - - - - N/A N/A N/ATotal Portfolio6 11,439,279,761$ 9,489,151,376$ 8,980,478,493$ 4,835,793,899$ 1.46x 9.9% 10.3% (0.4%)

Vintage Year

Investment First Drawdown Committed Capital

Contributed Capital

Distributed Capital

Market Value Multiple IRR1 PME Benchmark2 PME Spread3

Commitments Closed Subsequent to as of Date2019 Platinum Equity Capital Partners V, L.P. N/A 157,000,000$ -$ -$ -$ N/A N/A N/A N/A2019 Apax X USD L.P. N/A 104,500,000 - - - N/A N/A N/A N/A2019 Trilantic Capital Partners VI (North America) L.P. N/A 51,000,000 - - - N/A N/A N/A N/A2019 Blackstone Capital Partners VIII L.P. N/A 109,000,000 - - - N/A N/A N/A N/A2019 Reverence Capital Partners Opportunities Fund II, L.P. N/A 18,000,000 - - - N/A N/A N/A N/A2019 Reverence Capital Partners Opportunities Fund II (Parallel), L.P. N/A 9,000,000 - - - N/A N/A N/A N/ATotal Commitments Closed Subsequent to as of Date 448,500,000$ -$ -$ -$ N/A N/A N/A N/A

1 Performance for funds with less than eight (8) quarters of activity is not meaningful.2 Russell 3000 PME+ or Long-Nickels PME for investments with no distributed capital as of quarter-end.3 PME Spread is calculated as IRR minus PME Return.4 NYCERS - 2012 Emerging Manager Program total commitment amount of $139.6 million has been fully committed as of June 30, 2015.

6 Total Portfolio includes liquidated investments.

5 NYCERS - 2015 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $158.8 million has been committed as of October 18, 2019.

Past performance is not necessarily indicative of future results and there can be no assurance that the fund will achieve comparable results or avoid substantial losses.

The referenced indices are shown for general market comparisons and are not meant to represent any particular fund. An investor cannot directly invest in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented.

Note: IRRs presented are interim estimates and may not be indicative of the ultimate performance of fund investments due to a number of factors, such as the lack of industry valuation standards and the differences in the investment pace and strategy of various funds. Until a fund is liquidated,typically over 10 to 12 years, the IRR is only an interim estimated return. The IRR calculated in early years of a fund is not meaningful given the J-curve effect. The actual IRR performance of any fund is not known until all capital contributed and earnings have been distributed to the investor. TheIRRs contained in this report are calculated by StepStone Group LP (“StepStone”), a consultant to the New York City Police Pension Fund, Subchapter 2, based on information provided by the general partners (e.g. cash flows and valuations). The IRR calculations and other information contained inthis report have not been reviewed or confirmed by the general partners. The result of the IRR calculation may differ from that generated by the general partner or other limited partners. Differences in IRR calculations can be affected by cash-flow timing, the accounting treatment of carriedinterest, fund management fees, advisory fees, organizational fees, other fund expenses, sale of distributed stock, and valuations.

35

-$250.0-$225.0-$200.0-$175.0-$150.0-$125.0-$100.0

-$75.0-$50.0-$25.0

$0.0$25.0$50.0$75.0

$100.0$125.0$150.0$175.0$200.0$225.0$250.0

($ m

m)

NYCERS Monthly PE Cash Flow Summary(as of November 30,2019)

Contributions Distributions Net Cash Flow

36

New York City Employees’ Retirement System Second Quarter 2019

Investments by StrategyVintage

YearFirst Draw-

downCommitted

Capital Contributions Distributions Market ValueUnfunded

CommitmentEquity

Multiple IRRAlmanac Realty Securities VII 2015 4/2015 65,000,000 50,380,051 14,041,670 50,920,840 20,849,141 1.29x 13.4%Almanac Realty Securities VII (Sidecar IV) 2015 12/2015 20,000,000 11,818,585 2,156,771 13,815,798 8,776,100 1.35x 16.5%Almanac Realty Securities VIII 2018 12/2018 51,000,000 2,527,098 - 2,093,134 48,472,902 0.83x NMAlmanac Realty Securities VIII (Sidecar II) 2018 12/2018 34,000,000 1,704,131 - 1,801,002 32,295,869 1.06x NMArtemis Co-Investment 2016 2/2016 53,000,000 54,406,811 23,354,148 43,035,317 11,081,688 1.22x 18.0%Artemis Income and Growth Fund 2018 N/A 61,000,000 - - - 61,000,000 0.00x NMBrookfield Premier Real Estate Partners 2016 11/2016 91,000,000 99,575,182 8,575,182 117,680,265 - 1.27x 11.3%Carlyle Property Investors 2017 7/2017 91,000,000 97,198,474 6,198,474 102,878,941 - 1.12x 7.4%Colony Realty Partners II 2006 12/2006 20,000,000 24,666,122 8,957,737 - - 0.36x -13.3%Exeter Core Industrial Club Fund II 2016 5/2016 28,000,000 24,682,000 2,784,267 26,538,745 3,318,000 1.19x 12.8%Exeter Core Industrial Fund III 2019 N/A 72,100,000 - - - 72,100,000 0.00x NMHarrison Street Core Property Fund 2019 N/A 90,000,000 - - - 90,000,000 0.00x NMHarrison Street Core Property Fund Co-Investment 2019 5/2019 45,000,000 19,858,782 3,152 19,891,340 25,141,218 1.00x NMHeitman America Real Estate Trust, L.P. 2007 3/2007 115,000,000 187,846,460 72,846,460 253,269,042 - 1.74x 7.6%Heitman Core Real Estate Debt Income Trust 2 2018 11/2018 45,000,000 46,126,652 1,126,652 46,674,201 - 1.04x NMJamestown Premier Property Fund 2016 2/2016 48,721,196 46,463,897 20,342,919 36,175,661 9,721,196 1.22x 9.0%JP Morgan Special Situation Property Fund 2007 1/2007 90,000,000 110,212,437 43,758,898 130,451,362 - 1.58x 4.8%JP Morgan Strategic Property Fund 2006 12/2006 136,000,000 173,067,032 22,313,223 309,266,653 - 1.92x 6.9%LaSalle Property Fund 2010 7/2010 132,000,000 49,759,233 19,423,683 72,887,042 82,000,000 1.86x 10.4%Lion Industrial Trust 2017 1/2017 90,000,000 96,960,978 6,960,978 117,872,186 - 1.29x 15.6%MetLife Core Property Fund 2014 7/2014 50,000,000 50,000,000 10,168,301 63,780,781 - 1.48x 9.7%NYC Asset Investor #2 2013 7/2013 75,000,000 73,856,873 32,373,418 51,998,525 4,827,308 1.14x 3.7%Prologis Targeted US Logistics Fund 2006 10/2006 25,000,000 34,359,470 11,768,511 48,169,213 - 1.74x 5.7%Prudential PRISA 2006 9/2006 86,000,000 92,673,389 36,085,538 122,918,975 - 1.72x 4.9%Prudential PRISA II 2007 6/2007 141,518,761 150,922,667 49,629,499 215,128,634 - 1.75x 5.8%RREEF America REIT II 2006 10/2006 86,000,000 113,537,802 59,598,150 125,816,481 - 1.63x 5.3%RREEF America REIT III 2007 10/2007 90,000,000 90,000,000 51,156,568 - - 0.57x -7.5%UBS Trumbull Property Fund 2006 9/2006 156,000,000 249,747,538 225,620,197 157,053,161 - 1.53x 6.0%USAA Eagle Real Estate Fund 2015 12/2015 90,000,000 85,757,534 6,168,183 96,485,756 10,402,605 1.20x 8.4%Core / Core Plus Portfolio 2006 2,177,339,957 2,038,109,197 735,412,580 2,226,603,056 479,986,027 1.45x 5.7%Aermont Capital Real Estate Fund IV 2018 4/2019 74,947,092 6,127,503 - 5,266,011 68,819,589 0.86x NMAmerican Value Partners Fund I 1 2007 10/2007 55,000,000 39,320,163 41,373,738 4,346,244 15,679,837 1.16x 3.1%Apollo Real Estate Investment Fund V 2006 6/2006 25,000,000 25,000,000 26,453,703 2,690,160 2,500,000 1.17x 1.9%Ares European Real Estate Fund III 2008 5/2008 30,000,000 30,487,501 33,237,500 587,960 - 1.11x 2.7%Avanath Affordable Housing Fund II 1 2015 7/2015 8,000,000 8,114,613 1,493,994 10,898,303 222,091 1.53x 12.3%Basis Investment Group Real Estate Fund I 1,2 2017 11/2017 17,000,000 8,773,053 2,249,158 7,523,891 9,701,566 1.11x 13.1%BlackRock Carbon Capital III Co-Investments 2009 7/2009 40,000,000 43,757,162 53,189,633 - - 1.22x 8.9%Blackstone Real Estate Partners Europe III - USD 2008 10/2008 50,000,000 52,046,096 68,201,264 9,385,269 6,615,496 1.49x 11.1%Blackstone Real Estate Partners Europe IV L.P. - USD 2013 12/2013 169,000,000 167,116,360 165,078,275 87,826,906 30,992,381 1.51x 15.5%Blackstone Real Estate Partners Europe VI L.P. 2019 N/A 99,000,000 - - - 99,000,000 0.00x NMBlackstone Real Estate Partners IV L.P. 2004 5/2004 30,000,000 38,393,533 52,943,229 1,708,140 - 1.42x 10.3%Blackstone Real Estate Partners IX L.P. 2019 N/A 166,000,000 - - - 166,000,000 0.00x NMBlackstone Real Estate Partners VI L.P. 2007 7/2006 110,000,000 123,465,884 235,679,383 11,109,800 5,618,578 2.00x 13.3%Blackstone Real Estate Partners VII L.P. 2012 4/2012 170,000,000 211,054,544 246,356,928 104,590,733 23,792,517 1.66x 17.2%Blackstone Real Estate Partners VIII L.P. 2015 8/2015 151,000,000 136,582,011 46,269,489 131,163,968 51,095,210 1.30x 15.6%Brookfield Strategic Real Estate Partners 2012 9/2012 100,000,000 118,731,844 158,557,187 71,408,835 12,798,281 1.94x 20.9%Brookfield Strategic Real Estate Partners III, L.P. 2018 4/2019 170,000,000 36,795,963 1,129,720 35,509,943 133,217,637 1.00x NMCanyon Johnson Urban Fund III 2010 3/2010 30,000,000 29,971,216 40,371,580 5,652 413,020 1.35x 11.9%Canyon-Johnson Urban 2002 12/2002 15,000,000 13,742,215 16,418,450 - - 1.19x 11.1%Canyon-Johnson Urban II 2005 5/2005 40,000,000 35,954,815 15,898,610 134,407 4,045,186 0.45x -10.5%Capri Urban Investors 2008 6/2008 60,000,000 60,000,000 27,538,270 16,589,307 - 0.74x -4.2%Carlyle Realty Partners V, L.P. 2007 8/2007 20,000,000 25,788,441 30,672,452 6,487,657 4,420,459 1.44x 8.6%Carlyle Realty Partners VI, L.P. 2011 9/2011 70,000,000 75,469,523 106,045,703 8,991,650 46,050,411 1.52x 20.9%Carlyle Realty Partners VII, L.P. 2014 7/2014 80,000,000 70,376,002 48,439,459 48,437,965 44,747,974 1.38x 14.9%DivcoWest Fund IV 2014 1/2014 23,000,000 22,770,380 34,160,521 4,211,328 2,067,545 1.69x 26.4%DivcoWest Fund V 2016 12/2016 60,000,000 29,755,851 43,068 31,928,220 30,244,149 1.07x 4.8%DRA Growth and Income Fund IX 2017 3/2017 49,000,000 42,035,621 9,430,516 38,396,407 12,415,034 1.14x 16.0%Exeter Industrial Value Fund IV, L.P. 2016 9/2017 30,000,000 19,500,000 - 21,670,089 10,500,000 1.11x 11.3%H/2 Special Opportunities Fund II 2 2011 2/2011 40,000,000 40,045,335 57,830,732 3,631,731 - 1.53x 14.4%H/2 Special Opportunities Fund III 2 2014 12/2014 65,000,000 65,000,000 49,306,989 35,830,211 - 1.31x 11.8%H/2 Special Opportunities Fund IV 2 2016 11/2016 91,000,000 17,726,451 740,287 18,787,529 73,973,416 1.10x 6.4%JPM Urban REN PTY FD 2008 12/2008 16,360,625 4,206,523 4,206,523 - - 1.00x 0.0%KKR Real Estate Partners Americas II 2 2018 2/2018 118,700,000 42,772,183 6,426,181 40,485,761 79,329,723 1.10x NMKTR Industrial Fund III 2013 6/2013 40,000,000 18,186,884 28,372,400 - - 1.56x 40.5%Lone Star Real Estate Fund III 2 2013 2/2014 100,000,000 95,639,471 115,529,066 13,824,194 6,258,452 1.35x 14.9%Metropolitan Workforce Housing Fund 1 2007 7/2007 14,000,000 14,013,027 16,744,531 256,137 - 1.21x 3.9%NYC Asset Investor #1 2013 6/2013 50,000,000 56,231,818 26,888,900 44,431,997 14,258,486 1.27x 6.5%NYC Asset Investor #3 2013 9/2013 50,000,000 31,683,115 5,512,467 31,273,062 18,316,885 1.16x 5.1%NYCRS-KKR CMBS Retention Partners 2 2017 9/2017 122,000,000 109,610,188 10,005,686 109,474,625 12,640,051 1.09x 8.5%Pramerica Real Estate Capital VI 2 2016 4/2017 60,219,664 32,710,930 14,984,184 23,622,349 38,405,257 1.18x 16.1%Prudential PRISA III 2008 9/2008 50,000,000 78,022,483 17,623,985 163,446,232 - 2.32x 11.7%PW Real Estate Fund III 2016 10/2016 50,104,823 28,823,471 3,696,925 35,054,238 21,281,352 1.34x 18.8%Silverpeak Legacy Partners III 2008 6/2008 50,000,000 23,490,515 4,048,619 4,261,078 - 0.35x -11.4%Stockbridge Real Estate III 2008 9/2008 27,000,000 26,998,145 16,829,753 14,691,078 1,855 1.17x 2.2%Taconic New York City Investment Fund 2012 7/2012 70,000,000 29,272,728 46,981,257 4,624,347 40,727,272 1.76x 15.8%The City Investment Fund I 2004 3/2004 225,000,000 221,883,300 224,384,800 481,335 - 1.01x 0.3%Thor Urban Property Fund II 2007 10/2008 40,000,000 54,796,108 54,781,253 12,591,580 2,971,106 1.23x 6.1%Tishman Speyer Citigroup Alt Inv V&VI NYC 2004 12/2003 100,000,000 71,066,452 261,916,211 - - 3.69x 63.2%Tristan European Property Investors Special Opp IV 2015 12/2015 49,860,091 36,920,992 3,341,376 39,790,278 15,088,991 1.17x 9.8%UrbanAmerica II 1 2007 1/2007 25,000,000 23,222,798 2,626,813 - - 0.11x -25.0%Walton Street Real Estate Fund VI 2009 4/2009 50,000,000 44,323,933 49,424,641 18,869,955 7,770,792 1.54x 8.7%Westbrook Real Estate Fund VII, L.P. 2007 12/2007 40,000,000 43,883,574 42,237,578 10,638,807 3,756,190 1.20x 3.2%Westbrook Real Estate Fund VIII, L.P. 2009 12/2009 50,000,000 59,620,184 68,952,803 9,985,521 4,310,561 1.32x 11.4%Westbrook Real Estate Fund X Co-Investment 2016 7/2016 36,000,000 23,215,159 5,631,531 21,183,719 18,449,883 1.16x 12.6%Westbrook Real Estate Fund XI 2019 N/A 83,000,000 - - - 83,000,000 0.00x NMNon-Core Portfolio 2004 3,655,192,294 2,764,496,060 2,600,257,320 1,318,104,607 1,221,497,234 1.42x 11.2%Emerging Manager 2007 172,000,000 147,850,464 87,842,383 66,059,892 36,685,182 1.04x 1.0%Debt 2011 540,219,664 415,632,080 251,772,755 259,368,731 140,978,743 1.23x 12.9%Total Portfolio 5,832,532,251 4,802,605,258 3,335,669,900 3,544,707,662 1,701,483,261 1.43x 7.8%1 Emerging managers

2 Debt investments

37

-$200,000,000

-$150,000,000

-$100,000,000

-$50,000,000

$0

$50,000,000

$100,000,000

$150,000,000

$200,000,000

$250,000,000

Amou

ntNYCERS Monthly Real Estate Cash Flow Summary

(as of November 30, 2019)


38

Vintage Year Investment Closing Date Committed

Capital Contributed

Capital Distributed

Capital Market

Value TVPI IRR

Active Investments:2013 Brookfield Infrastructure Fund II, L.P. 7/8/2013 $75,000,000 $61,740,475 $18,670,790 $74,441,939 1.5x 12.2%2014 IFM Global Infrastructure Fund 1/2/2014 $75,000,000 $100,136,579 $37,106,368 $109,408,157 1.5x 12.6%2014 Global Energy & Power Infrastructure Fund II 4/16/2014 $45,000,000 $43,593,881 $24,356,804 $35,936,955 1.4x 32.7%2014 KKR Global Infrastructure Investors II L.P. 6/12/2015 $77,000,000 $77,486,425 $11,300,454 $84,089,572 1.2x 11.1%2016 Global Infrastructure Partners III-A/B, L.P. 1/29/2016 $106,000,000 $83,605,392 $6,346,377 $86,943,337 1.1x 7.7%2016 Brookfield Infrastructure Fund III, L.P. 4/15/2016 $91,000,000 $49,176,946 $4,101,947 $51,732,699 1.1x 9.8%2016 Actis Energy 4 12/16/2016 $64,300,000 $33,577,419 $4,952,281 $40,096,000 1.3x 26.4%2017 EQT Infrastructure III (No.2) SCSp 2/18/2017 $56,187,527 $51,453,569 $5,090,510 $56,567,947 1.2x 21.4%2017 ASF VII Infrastructure L.P. 4/24/2017 $66,000,000 $27,253,721 $2,273,032 $27,883,021 1.1x 25.3%2017 Axium Infrastructure North America 8/14/2017 $67,104,915 $67,746,762 $3,118,858 $68,600,883 1.1x 9.3%2017 NYCRS EIG Energy Partners, L.P. 8/14/2017 $65,880,000 $13,587,725 $692,883 $13,944,531 1.1x 9.6%2018 NYCRS EIG Energy Partners Co-Investment, L.P. 1/12/2018 $16,470,000 - - - NM NM2018 KKR Global Infrastructure Investors III L.P. 3/29/2018 $87,500,000 $11,030,142 - $9,537,189 NM NM2018 Global Energy & Power Infrastructure Fund III, L.P. 7/3/2018 $87,500,000 $3,464,855 $1,485 $3,605,168 NM NM2018 Cardinal NR Sidecar Holdings L.P. 10/5/2018 $10,500,000 $10,500,000 - $11,484,806 NM NM2019 EQT Infrastructure IV (No.2) USD SCSp 12/20/2018 $101,500,000 $3,927,208 - $3,236,812 NM NM2019 Ardian Infrastructure Fund V B 3/4/2019 $76,112,656 $77,090 - ($66,149) NM NM2019 Global Infrastructure Partners IV-A/B, L.P. 3/11/2019 $117,400,000 $822,051 - ($52,013) NM NM2019 Brookfield Infrastructure Fund IV, L.P. 5/10/2019 $101,000,000 - - - NM NMTotal $1,386,455,098 $639,180,239 $118,011,789 $677,390,854 1.2x 13.0%

New York City Employees' Retirement SystemInfrastructure Portfolio

As of June 30, 2019

Note: IRRs presented are interim estimates and may not be indicative of the ultimate performance of fund investments due to a number of factors, such as the lack of industry valuation standards and the differences in the investment pace and strategy of various funds. Until a fund is liquidated, typically over 10 to 12 years, the IRR is only an interim estimated return. The IRR calculated in the early years of a fund is usually not meaningful given the J-Curve effect. The actual IRR performance of any fund is not known until all capital contributed and earnings have been distributed to the investor. The IRRs contained in this report are calculated by StepStone Group LP, a consultant to the New York City Retirement Systems, based on information provided by the general partners of each investment (e.g. cash flows and valuations). The IRR calculations and other information contained in this report have not been reviewed or confirmed by the general partners. The result of the IRR calculation may differ from that generated by the general partner or other limited partners. Differences in IRR calculations can be affected by cash-flow timing, the accounting treatment of carried interest, fund management fees, advisory fees, organizational fees, other fund expenses, sale of distributed stock, and valuations.

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($65,000,000)($60,000,000)($55,000,000)($50,000,000)($45,000,000)($40,000,000)($35,000,000)($30,000,000)($25,000,000)($20,000,000)($15,000,000)($10,000,000)($5,000,000)

$0$5,000,000$10,000,000$15,000,000$20,000,000$25,000,000

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NYCERS Monthly Infrastructure Cash Flow Summary(as of November 30, 2019)


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monthly performance review november 2019...monthly performance review november 2019 prepared for the...

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