new york city police pension fund, subchapter two ... · 4q16 performance commentary total plan ±...

New York CityPolice Pension Fund, Subchapter TwoPerformance Overview as of December 31, 2016

Total Fund Overview

New York City Police Pension Fund, Subchapter Two 1Performance Overview as of December 31, 2016

New York City

Police Pension Fund, Subchapter Two

Consultant's Commentary & Performance Charts p.3

Appendix A - Consolidated Performance Report p.24

Appendix B - Public Markets Manager Performance Detail p.33

Appendix C - Alternative Assets Manager Performance Detail p.46

Appendix D - Footnotes p.58

Table of Contents:


4Q16 Capital Markets Commentary

• US Equity – The last quarter of 2016 started on a negative tone as the broad US market index, Russell

3000, lost 2.2% in October. It immediately rebounded following the U.S. election to finish the fourth

quarter up 4.2%. The rally was based on investor sentiment that the new administration’s policies of

corporate and personal tax reform, increased infrastructure spending, and business deregulation, will

spur economic growth. Investor’s convictions were further reinforced with a flurry of positive economic

reports. The most significant was the latest U.S. GDP growth rate, the strongest in two years, of 3.5%.

Also, the US Manufacturing PMI (Purchasing Managers’ Index) rose to a two year high on production

volume and new manufacturing orders. The broad market index, as seen in the chart, has now

returned eight straight years of positive returns with minimal volatility and is trading at all time highs.

• International Equity – In local currency terms

international equity prices advanced during the

quarter. However, the U.S. Dollar strengthened

with higher U.S. interest rates, which resulted in

losses for U.S. Investors. The dollar finished the

quarter near a thirteen year high. Emerging

market stocks continued to suffer, decreasing

1.4% in local currency and 4.1% in U.S. dollar,

plagued by the combination of higher rates and

subdued export trading. Investors will be paying

close attention to the results in the upcoming

German and French elections.

• Both the European Central Bank and the Bank of Japan continue to debate the next phase of their

monetary stimulus programs. Business activity in the Eurozone has risen to a five-year high while

unemployment is at a seven-year low. In Japan, corporate profits are at record highs, the

unemployment rate has eased to 3.0% and the inflation rate remained in positive territory for the third

straight year.

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Russell 3000 IndexWorst Intra-Period Selloff vs Annual Return(%)

Annaul Return Largest Selloff

Consultant's Commentary

Through December 31, 2016



• Fixed Income – The U.S. investment-grade fixed

income market significantly declined during the

quarter and posted the lowest quarterly return of

-3.0% in more than thirty years as represented by

the Bloomberg Barclays U.S. Aggregate Bond

Index. U.S. Treasury yields increased significantly

following the U.S. election as the market

anticipated stronger domestic economic growth

and higher wage and price inflation. The Fed

increased interest rates during the quarter in

response to the tightening labor market and

strengthening economic conditions. The Fed also

projected additional rate increases in 2017. This is

the first time the Fed has increased its interest

rate projections since 2014.

• Opportunistic Fixed Income – Spread sectors

and high yield corporates posted solid returns on

the back of strong global demand for these

securities and improving energy markets. Among

securitized sectors, commercial mortgage-backed

securities (CMBS) posted the strongest returns

with increased demand. High Yield Bonds,

Convertible Bonds, and Bank Loans returned

1.6%, 2.6%, and 2.3% for the quarter,

respectively.

0.00

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1.00

1.50

2.00

2.50

3.00

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0 5 10 15 20 25 30

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ld (

%)

Maturity (yrs)

Treasury Yield Curve

Current Quarter Previous Quarter One Year Ago

0

200

400

600

800

1,000

1,200

1,400

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Op

tion

Ad

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read

(b

ps)

Bloomberg Barclays Fixed Income Indexes

Securitized IG Corporate Aa Corporate High Yield





• Real Assets – Real estate securities were down both in the U.S. and globally due to higher interest

rates and investors shifting assets to the more cyclical growth areas. Commodity prices increased as

crude oil rose 11.4% to $53.72 per barrel, completing an already strong 2016. Natural gas prices

increased by 28.1% with stronger demand and expected environmental regulation relief. The Alerian

MLP index increased by 2.9% as OPEC announced an output cut to balance the surplus supply with

current demand. Gold prices fell by 12.6% as inflationary pressures increased and investors sold this

safe-haven asset.

• Private Equity – Private equity returns remained above the gains of global equities as represented by

the MSCI World Index. Investor’s appetite for private equity remains strong. Last year was the second

year in a row, and the second time ever, that global venture capital deal value was more than $100

billion. The secondary market, where stakes in private equity vehicles that are finished fundraising and

investments can be bought and sold, has been remarkably attractive for sellers. The average price,

expressed as a percentage of net asset value, never dipped below 91 percent, which is close to a

record high. Private equity-backed exits increased close to 20%, and these exits were valued at $90

billion, representing a 33% quarter-over-quarter increase. However, private equity firms are increasingly

under pressure to spend the record amount of idle capital they have amassed, as overhang remains

elevated and allocations to this asset class is increasing.

• Hedge Funds – Hedge funds concluded 2016 with the HFRI Fund Weighted Composite Index (FWC)

rising to a record index value level as oil prices surged, equities gained, and US interest rates increased.

In a year dominated by the dual political financial market surprises in Brexit and the US Presidential

election, the HFRI FWC gain topped the MSCI World Index. The HFRI FWC increased by 1.3% for the

quarter, bringing the annual return to 5.6%. Equity and credit-sensitive Event Driven (ED) strategies,

including M&A, Special Situations and Distressed, led industry performance for the quarter and for 2016.

The HFRI Event Driven (Total) Index gained 3.5% for the quarter and 10.5% for the year, the strongest

annual gain since 2013.




4Q16 Performance Commentary

• Total Plan – Over the fourth quarter of 2016 (4Q16), the Total Fund returned 1.1% outperforming the

policy benchmark return of 1.0% on a net-of-fee basis. In the trailing 12-months, Total Fund returned

8.9% underperforming the policy benchmark return of 9.2%. According to the Wilshire TUCS Universe of

public plans over $5 billion, the median return over the same period was 7.9%, placing the Total Fund in

the first percentile.

– Over the trailing three-, five- and ten-year periods, the Total Fund returned 5.4%, 9.2%, and 5.6%,

respectively, slightly underperforming the policy benchmark returns of 5.9%, 9.4%, and 5.8%,

respectively. The same TUCS Universe median returns were 5.3%, 9.0%, and 5.4%, respectively.

• Total Domestic Equity Composite – The Total Fund has $13.1 billion, or 36.8% invested in domestic

equity. The composite remains predominately passively invested with approximately 80% of the

composite invested passively across market cap segments. Currently, active management is utilized in

small and mid- stocks, with a small allocation, 1.7%, invested with Emerging Managers Fund to Fund

mandates.

– For 4Q16, the Domestic Equity Composite returned 4.4% versus the Russell 3000 return of 4.2%.

The Small-Cap Active and Mid-Cap Active components underperformed the Russell 2000 and Russell

Midcap indexes, respectively, while the Large-Cap Active outperformed the Russell 1000 Index. The

Emerging Managers, predominately small-cap strategies, also underperformed the Russell 2000

Index.

– While most active managers underperformed during the quarter, Dimensional Fund Advisors (DFA)

outperformed by over 300 basis points versus the Russell 2000 Index. DFA uses a quantitative

process that focuses on dimensions that must be sensible, persistent over time, pervasive across

markets, and cost-effective to capture. The product based on empirical data tends to have a small-cap

and value orientation. During the quarter, both value and small-cap securities outperformed their

growth and large-cap counterparts. DFA has also outperformed versus the Russell 2000 Index since

inception.




4Q16 Performance Commentary

• Total International Equity Composite – The Total Fund has $5.5 billion, or 15.4% invested in

international equities. The composite allocation is 27.8% in passive versus 72.2% active. When

broken down by strategy, the allocations are: 48.7% to Developed Large-Cap, 10.6% to Developed

Small-Cap, 38.3% to Emerging Markets, and 2.4% to Active Environmental.

– For 4Q16, the Total International Equity Composite underperformed the MSCI ACWI Ex-US (Net)

Index because the Total International Equity Composite emerging markets allocation was

overweight versus the benchmark. The Total International Equity Composite returned -2.5%

versus the index return of -1.2%. The active Emerging Manager and Developed Growth segments

outperformed their indexes, while the Developed Value segment underperformed its index.

• Total Fixed Income Composite – The Total Fund has $11.0 billion, or 31.0% invested in fixed

income securities. The structure of the composite is: 48.2% in Structured Fixed Income (the

allocation of the Structured Fixed Income is: 46.2% in Investment Grade Credit, 15.7% in Mortgages,

34.8% in Government Bonds, and 3.3% in Long Duration Treasuries), 9.0% in Opportunistic Fixed

Income (OFI), 13.5% in TIPS, 13.3% in Enhanced Yield, 5.5% in Bank Loans, 2.1% in Convertible

Bonds, 0.7% in Fund of Funds, 0.6% in Core Plus Fixed Income, 3.3% in Targeted Investments, and

3.9% in Short-Term Cash.

– For 4Q16, the Total Fixed Income Composite returned -1.6%. Both interest rates and inflation

expectations increased during the quarter and most fixed income components were impacted

negatively. The Enhanced Yield, Bank Loans, Convertible Bonds, and OFI segments were able to

produce absolute positive returns. Relative to their respective benchmarks, Enhanced Yield and

OFI outperformed, while Bank Loans and Convertible Bonds underperformed. A Long Duration

Treasury segment was funded as the new fixed income structure was implemented.




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indirect, consequential or incidental damages) for any error, omission or inaccuracy in such information and for results obtained from its use.

Information and opinions are as of the date indicated, and are subject to change without notice.

This material is intended for informational purposes only and should not be construed as legal, accounting, tax, investment, or other professional

advice.

This presentation represents the current opinion of the firm based on sources deemed reliable. The information and statistical data contained

herein are based on sources believed to be reliable. Wilshire does not represent that it is accurate and should not be relied on as such or be the

basis for an investment decision. This Presentation is for information purposes only. Past performance is no guarantee of future results.

Any opinions expressed in this Presentation are current only as of the time made and are subject to change without notice. Wilshire assumes no

duty to update any such statements. Any holdings of a particular company or security discussed herein are under periodic review by the author

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Copyright © 2016 Wilshire Associates Incorporated. All rights reserved.




TOTAL POLICE - Gross TOTAL POLICE - Net Mgr Police Policy Benchmark

Trailing 3 Months

FYTD Trailing 12 Months

Trailing 3 Years

Trailing 5 Years

Trailing 10 Years

Trailing 15 Years

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

11.00

Rat

e of

Ret

urn

1.17 1.11 1.00

5.14 5.034.66

9.09 8.869.24

5.65 5.415.86

9.23 9.36

5.58 5.78

6.71 6.80

TOTAL POLICE - Gross TOTAL POLICE - Net Mgr Police Policy Benchmark

Trailing 3 Months

FYTD Trailing 12 Months

Trailing 3 Years

Trailing 5 Years

Trailing 10 Years

Trailing 15 Years

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

11.00

Rat

e of

Ret

urn

1.17 1.11 1.00

5.14 5.034.66

9.09 8.869.24

5.65 5.415.86

9.23 9.36

5.58 5.78

6.71 6.80

Plan 3 Years Benchmark 3 Years Plan 5 Years Benchmark 5 Years Plan 10 Years Benchmark 10 YearsStandard DeviationTOTAL POLICE 6.3 6.1 9.2 6.2 10.2 11.0

Market Value (Billions)

TOTAL POLICE $35.5

Total Portfolio Returns: December 31, 2016


Based on the Policy as of 7.7.2011

2.8%

-0.5% -0.1% -0.3%

0.5%

-0.4%

0.4%

-1.5%-2.7%

0.2% 0.1%

1.7%

-0.4%

-2.2%

-1.0%

1.2%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

$35.5 B Under Management

Asset Allocation

Relative Mix to New Policy Weights

Note: Brackets represent rebalancing ranges versus Policy.

Domestic Equity Developed Markets Emerging Markets REITS Infrastructure

Enhanced Yield Conv. Bonds Opportunistic FI Core + 5 Bank Loans Private RE ETI Cash TIPS

Hedge Funds Private Equity

$2.3

6.6%

$1.6

4.5%

$1.5

4.2% $0.4

1.2%

$1.5

4.1% $0.4

1.0%

$0.2

0.6%

$1.0

2.8%

$0.6

1.7%

$13.1

36.8%

$5.5

15.3%

$2.1

5.9%

$3.4

9.5%

$0.2

0.5%

$1.7

4.7%

$0.2

0.4%

Portfolio Asset Allocation: December 31, 2016


Based on the Policy as of 7.7.2011

-0.4%

0.0%

-0.4%

0.0% 0.0%

2.3%

-0.6% -0.1%

0.0% 0.0% 0.0% 0.0% 0.0%

-3.9%

0.7% 1.2%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

$35.5 B Under Management

Asset Allocation

Relative Mix to Adjusted New Policy Weights

Note: Brackets represent rebalancing ranges versus Policy.

Note: On December 30, 2016 Police's combined Fixed Income and Cash portfolios have a duration of 5.5 years. The duration of the Barclays US Aggregate Index was 5.9 years on that date.

Domestic Equity Developed Markets Emerging Markets REITS Infrastructure Enhanced Yield Conv. Bonds Opportunistic FI Core + 5 Bank Loans Private RE ETI Cash TIPS

Hedge Funds Private Equity

$2.3 6.6% $2.3 6.6%

$1.64.5%

$1.5 4.2% $0.4

1.2%

$1.5 4.1% $0.4

1.0%

$0.2 0.6%

$1.0 2.8%

$0.6 1.7%

$13.136.8%

$5.5 15.3%

$2.1 5.9%

$0.2 0.4%

$3.4 9.5%

$0.2 0.5%

$1.7 4.7%

Portfolio Asset Allocation: December 31, 2016


1.11

1.00

0.11 0.14

-0.03

-0.50

0.00

0.50

1.00

1.50

Total Plan Return Policy Index Return Excess Return Allocation Effect Selection Effect

Performance Attribution: Total Plan - Quarter Ending: December 31, 2016


8.86 9.24

-0.38 -0.06

-0.32

-1.50

0.00

1.50

3.00

4.50

6.00

7.50

9.00

10.50


Performance Attribution: Total Plan - 12 Month Ending: December 31, 2016


5.41

5.86

-0.45

-0.05

-0.40

-1.50

0.00

1.50

3.00

4.50

6.00

7.50


Performance Attribution: Total Plan - 3 Years Ending: December 31, 2016


Quarter 12 Months 3 Years Benchmark TOTAL POLICE 0.14 -0.06 -0.05 Police Policy Benchmark

TOTAL DOMESTIC EQUITY 0.02 0.00 0.00 RUSSELL 3000TOTAL DEVELOPED EQUITY -0.02 -0.05 -0.03 MSCI EAFE IMI Net TOTAL EMERGING MARKETS -0.01 -0.04 0.00 MSCI Emerging MarketsTOTAL HEDGE FUNDS 0.02 0.00 0.00 HFRI Fund of Funds Composite Index plus 1% TOTAL REAL ESTATE SECURITIES 0.02 0.02 0.01 Dow Jones US Select Securities IndexTOTAL PRIVATE EQUITY 0.01 0.01 0.01 Russell 3K + 300bpsTOTAL PRIVATE REAL ESTATE - CORE -0.01 -0.01 0.00 NCREIF ODCE netTOTAL PRIVATE REAL ESTATE - NON CORE 0.02 0.02 0.01 NCREIF ODCE net + 200bpsTOTAL INFRASTRUCTURE 0.00 0.00 0.00 CPI + 4%TOTAL US TREASURY SHORT TERM -0.01 -0.01 0.00 Citigroup USBIG Treasury 1-3 Y IndexTOTAL US TREASURY INTERMEDIATE LONG -0.03 -0.03 -0.01 NYC - Treasury Agency Plus FiveTOTAL US TREASURY LONG DURATION 0.19 0.20 0.06 Citigroup Treasury 20+TOTAL INVESTMENT GRADE CREDIT -0.01 -0.01 0.00 NYC - Investment Grade CreditTOTAL MORTGAGES 0.00 0.00 0.00 CITIGROUP MORTGAGE INDEXTOTAL ETI 0.00 0.00 0.00 ETI Custom BenchmarkTOTAL CORE FIXED INCOME 0.00 0.00 0.00 BBG BARC Agg TOTAL PROGRESS FIXED 0.00 0.00 0.00 BBG BARC AggTOTAL ENHANCED YIELD -0.01 0.02 -0.01 CITIGROUP BB&BTOTAL BANK LOANS 0.00 0.00 0.00 Credit Suisse Lev Loan IndexTOTAL TIPS MANAGERS 0.01 -0.03 0.03 Lehman U.S. TIPSTOTAL CONVERTIBLE BONDS -0.01 -0.01 0.00 Merrill All US Converts TOTAL OPPORTUNISTIC FIXED 0.00 0.00 0.00 OFI - JPMGHY / CSFB 50/50 Blend Plus 300 TOTAL PRIVATE REAL ESTATE 0.03 0.03 0.02 NCREIF NFI-ODCE NET + 1%TOTAL STRUCTURED -0.01 0.00 -0.02 NYC - CORE PLUS FIVETOTAL CASH -0.01 -0.12 -0.08

Quarter 12 Months 3 Years Benchmark TOTAL POLICE -0.03 -0.32 -0.40 Police Policy Benchmark

TOTAL DOMESTIC EQUITY 0.08 0.11 -0.19 RUSSELL 3000TOTAL DEVELOPED EQUITY -0.09 0.33 0.12 MSCI EAFE IMI Net TOTAL EMERGING MARKETS 0.03 0.01 0.02 MSCI Emerging MarketsTOTAL HEDGE FUNDS 0.07 -0.05 -0.08 HFRI Fund of Funds Composite Index plus 1% TOTAL REAL ESTATE SECURITIES -0.02 -0.02 -0.04 Dow Jones US Select Securities IndexTOTAL PRIVATE EQUITY -0.12 -0.69 -0.18 Russell 3K + 300bpsTOTAL PRIVATE REAL ESTATE - CORE -0.02 -0.02 -0.01 NCREIF ODCE netTOTAL PRIVATE REAL ESTATE - NON CORE -0.03 -0.03 -0.01 NCREIF ODCE net + 200bpsTOTAL INFRASTRUCTURE 0.00 0.01 0.01 CPI + 4%TOTAL US TREASURY SHORT TERM 0.00 0.00 0.00 Citigroup USBIG Treasury 1-3 Y IndexTOTAL US TREASURY INTERMEDIATE LONG 0.00 0.00 0.00 NYC - Treasury Agency Plus FiveTOTAL US TREASURY LONG DURATION 0.00 0.00 0.00 Citigroup Treasury 20+TOTAL INVESTMENT GRADE CREDIT 0.01 0.01 0.00 NYC - Investment Grade CreditTOTAL MORTGAGES -0.01 -0.01 0.00 CITIGROUP MORTGAGE INDEXTOTAL ETI -0.01 -0.01 0.00 ETI Custom BenchmarkTOTAL CORE FIXED INCOME 0.00 0.00 0.00 BBG BARC Agg TOTAL PROGRESS FIXED 0.00 0.00 0.00 BBG BARC AggTOTAL ENHANCED YIELD 0.00 -0.02 -0.01 CITIGROUP BB&BTOTAL BANK LOANS 0.00 -0.02 0.01 Credit Suisse Lev Loan IndexTOTAL TIPS MANAGERS 0.00 0.00 0.00 Lehman U.S. TIPSTOTAL CONVERTIBLE BONDS -0.01 -0.03 -0.01 Merrill All US Converts TOTAL OPPORTUNISTIC FIXED 0.04 -0.04 -0.13 OFI - JPMGHY / CSFB 50/50 Blend Plus 300 TOTAL PRIVATE REAL ESTATE 0.04 0.13 0.08 NCREIF NFI-ODCE NET + 1%TOTAL STRUCTURED 0.01 0.03 0.01 NYC - CORE PLUS FIVETOTAL CASH 0.00 0.01 0.01

Allocation Effect - Asset Class Breakdown

Selection Effect - Asset Class Breakdown

Total Plan: December 31, 2016


TOTAL ACTIVE SMALL CAPTOTAL SMALL CAP PASSIVETOTAL SMALL MID CAPTOTAL ACTIVE MID CAPTOTAL MID CAP PASSIVETOTAL RUSSELL 1000 ACTIVETOTAL RUSSELL 1000 PASSIVETOTAL RUSSELL 3000 PASSIVETOTAL FUND OF FUNDS

1.7%

29.8%

5.3%

2.3%

0.0%

4.0%

1.6%

9.6%

45.7%

TOTAL ACTIVE SMALL CAPTOTAL SMALL CAP PASSIVETOTAL SMALL MID CAPTOTAL ACTIVE MID CAPTOTAL MID CAP PASSIVETOTAL RUSSELL 1000 ACTIVETOTAL RUSSELL 1000 PASSIVETOTAL RUSSELL 3000 PASSIVETOTAL FUND OF FUNDS

1.7%

29.8%

5.3%

2.3%

0.0%

4.0%

1.6%

9.6%

45.7%

Market Value (Billions) % of plan

TOTAL DOMESTIC EQUITY $13.1 36.8

Total Domestic Equity Asset Allocations: December 31, 2016


TOTAL ACTIVE INTERNATIONAL EQUITYPOLICE-TOTAL PASSIVE INTERNATIONAL EQUITY

27.8%

72.2%

TOTAL ACTIVE INTERNATIONAL EQUITYPOLICE-TOTAL PASSIVE INTERNATIONAL EQUITY

27.8%

72.2%

Asset Weight

Quarterly Returns - Funds and Benchmarks

Fund Benchmark Excess

TOTAL DEVELOPED GROWTH 19.71 (5.18) (5.53) 0.35

TOTAL DEVELOPED VALUE 19.07 1.78 4.17 (2.40)

TOTAL DEVELOPED SMALL CAP ACTIVE 8.94 (2.74) (3.38) 0.64

TOTAL DEVELOPED SMALL CAP PASSIVE 1.68 (2.82) (2.86) 0.03

TOTAL DEVELOPED LARGE CAP PASSIVE 9.84 (0.75) (0.71) (0.04)

TOTAL NON-U.S. ENVIRONMENTAL 2.41 (2.43) 1.86 (4.29)

TOTAL ACTIVE EMERGING MARKETS 22.04 (2.93) (4.16) 1.23

TOTAL PASSIVE EMERGING MARKETS 16.29 (4.34) (4.16) (0.18)

TOTAL INTERNATIONAL EQUITY 100.00 (2.52) (1.25) (1.26)


TOTAL INTERNATIONAL EQUITY $5.5 15.4

TOTAL DEVELOPED GROWTHTOTAL DEVELOPED VALUETOTAL DEVELOPED SMALL CAP ACTIVETOTAL DEVELOPED SMALL CAP PASSIVETOTAL DEVELOPED LARGE CAP PASSIVETOTAL NON-U.S. ENVIRONMENTALTOTAL ACTIVE EMERGING MARKETSTOTAL PASSIVE EMERGING MARKETS

16.3%

22.0%

2.4%

9.8%

19.7%

19.1%

8.9%

1.7%

TOTAL DEVELOPED GROWTHTOTAL DEVELOPED VALUETOTAL DEVELOPED SMALL CAP ACTIVETOTAL DEVELOPED SMALL CAP PASSIVETOTAL DEVELOPED LARGE CAP PASSIVETOTAL NON-U.S. ENVIRONMENTALTOTAL ACTIVE EMERGING MARKETSTOTAL PASSIVE EMERGING MARKETS

16.3%

22.0%

2.4%

9.8%

19.7%

19.1%

8.9%

1.7%

International Equity Asset Allocation: December 31, 2016

New York City Police Pension Fund, Subchapter Two 17Performance Overview as of December 31, 2016 Totals may not add due to rounding

TOTAL TREASURY/AGENCYTOTAL MORTGAGETOTAL INVESTMENT GRADE CREDIT

43.3%

35.7%

21.0%

TOTAL TREASURY/AGENCYTOTAL MORTGAGETOTAL INVESTMENT GRADE CREDIT

43.3%

35.7%

21.0%


TOTAL STRUCTURED + ETI $5.7 15.9

Structured Fixed Income Asset Allocation: December 31, 2016


City of New YorkPerformance Comparison

Total Returns of Master Trusts - Public : Plans > $10 Billion

Cumulative Periods Ending : December 31, 2016

Percentile Rankings 1 Qtr 2 Qtrs 3 Qtrs 1 Year 2 Years 3 Years 4 Years 5 Years 7 Years 10 Years5th 2.19 6.27 8.09 9.57 5.65 6.64 9.56 10.27 9.41 6.2225th 1.55 5.24 7.21 8.68 4.75 5.70 8.32 9.39 8.80 5.7350th 1.05 4.73 6.60 7.88 4.43 5.34 7.97 8.98 8.49 5.4575th 0.39 4.17 6.05 7.37 3.86 4.86 7.14 8.45 7.87 5.1995th -0.82 1.35 3.94 6.08 2.59 4.10 5.03 6.15 6.28 4.30

No. Of Obs 47 47 47 46 46 46 46 46 43 42

Total System - Police 1.17 (39) 5.14 (29) 7.26 (17) 9.09 (11) 4.69 (31) 5.65 (29) 8.30 (31) 9.23 (34) 8.64 (34) 5.58 (37)Police Policy Benchmar 1.00 (52) 4.66 (52) 6.85 (39) 9.24 (7) 4.73 (27) 5.86 (17) 8.32 (25) 9.36 (27) 8.92 (20) 5.78 (20)Public Mkt Equiv 25 1.05 (50) 5.07 (31) 6.53 (52) 7.01 (88) 3.62 (81) 4.37 (88) 8.29 (31) 9.36 (27) 8.23 (65) 4.93 (87)Public Mkt Equiv 35 0.62 (68) 4.10 (75) 5.77 (79) 6.73 (88) 3.55 (83) 4.46 (85) 7.66 (63) 8.61 (65) 7.88 (72) 5.09 (77)

Wilshire Trust Universe Comparison Service® (TUCS®)



City of New YorkPerformance Comparison

Total Returns of Master Trusts - Public : Plans > $10 Billion

Consecutive Time Periods: December 31, 2016

Percentile Rankings Dec 16 Sep 16 Jun 16 Mar 16 Dec 15 Dec 16 Dec 15 Dec 14 Dec 13 Dec 125th 2.19 4.53 3.22 3.56 3.72 9.57 2.69 9.47 19.74 14.8825th 1.55 3.93 2.04 1.72 2.96 8.68 1.74 8.11 17.24 14.2150th 1.05 3.54 1.79 1.35 2.34 7.88 0.64 7.55 15.87 13.4375th 0.39 3.34 1.60 1.05 2.02 7.37 0.09 6.58 14.42 12.6795th -0.82 2.44 1.40 0.52 1.44 6.08 -1.00 5.21 5.12 10.53

No. Of Obs 47 47 47 46 46 46 46 46 46 46

Total System - Police 1.17 (39) 3.93 (25) 2.02 (31) 1.71 (27) 2.44 (43) 9.09 (11) 0.47 (56) 7.60 (45) 16.66 (29) 13.01 (72)Police Policy Benchmar 1.00 (52) 3.62 (43) 2.09 (21) 2.24 (5) 2.35 (47) 9.24 (7) 0.41 (61) 8.16 (21) 16.04 (40) 13.64 (43)Public Mkt Equiv 25 1.05 (50) 3.98 (19) 1.40 (96) 0.44 (96) 4.15 (1) 7.01 (88) 0.35 (65) 5.88 (83) 20.94 (1) 13.75 (43)Public Mkt Equiv 35 0.62 (68) 3.46 (63) 1.60 (75) 0.91 (85) 3.56 (5) 6.73 (88) 0.46 (56) 6.31 (77) 17.86 (21) 12.47 (81)

Wilshire Trust Universe Comparison Service® (TUCS®)



INVESTMENT STYLE (EQUITIES) Avg MV 16

($MM)

Mgmt Fees

BPS

MV 11-30-16

($MM)

Mgmt Fees

BPS

US Equities 11,550 9.26 12,846 7.39

Small Cap Active 565 49.10 673 53.14

Small Cap Growth 118 83.46 137 100.00

Small Cap Value 223 52.05 266 54.95

Small Cap core 114 36.74 136 35.00

Small Cap Fundamental Index 110 18.96 134 19.84

Small/Mid Cap Active 131 80.64 - -

Small/Mid Cap Growth 131 80.64 - -

Mid Cap Active 1,121 40.30 519 44.01

Mid Cap Growth 448 39.37 - -

Mid Cap Value 460 38.67 283 55.67

Mid Cap core 213 45.78 236 30.00

Russell 1000 Active 387 12.23 1,230 12.14

Russell 1000 Fundamental Index 387 12.23 1,230 12.14

Active Emerging Managers (U.S. Equities) 220 63.31 214 75.00

Total US Active Equities 2,424 42.14 2,636 33.98

Total US Passive Equities 9,126 0.52 10,210 0.53

Environmental US E. Strategies - - - -

International Equities 5,061 27.96 5,394 28.44

Active EAFE Equities 2,484 31.75 2,558 32.55

Growth 1,035 27.97 1,064 29.44

Value 981 26.75 1,016 27.85

Small Cap 468 50.58 478 49.47

Non-US Environmental Strategies 119 55.73 131 54.83

Active Emerging Markets 1,089 46.20 1,203 47.37

Total Int'l Active Equities 3,693 36.79 3,893 37.89

Total Int’l Passive Equities 1,368 4.13 1,502 3.96

Total Passive Developed Markets 589 2.32 610 1.68

Total Passive Emerging Markets 779 5.50 892 5.53

REITS Passive Index 176 9.96 176 10.79

2016 2017

POLICE RETIREMENT SYSTEM

ACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2016 AND

ESTIMATED FEES FOR FY 2017 UPDATED THROUGH NOVEMBER 2016

Actual Estimates

Information provided by the New York City Comptroller

Actual and Estimated Fees


INVESTMENT STYLE (FIXED INCOME) Avg MV 16

($MM)

Mgmt Fees

BPS

MV 11-30-16

($MM)

Mgmt Fees

BPS

Fixed Income 10,076 12.55 9,808 13.43

Structured Program 5,719 7.62 5,151 8.13

Government Sector 864 6.33 885 6.07

SSGA Long Duration Treasury - - 176 1.00

Mortgage Sector 2,149 6.11 1,463 6.88

Investment Grade Credit Sector 2,706 9.24 2,627 10.00

Global Fixed Income 70 22.64 71 20.14

Progress Fixed Emerging Managers 82 33.02 76 37.50

TIPS 1,085 1.82 1,482 1.82

Active TIPS 271 5.79 371 5.76

Passive TIPS 813 0.50 1,112 0.51

Enhanced Yield 1,288 33.29 1,437 33.25

Bank Loans 566 30.85 600 30.59

Convertible Bonds 215 40.56 227 39.65

ETI - Access - RBC 60 23.91 92 17.78

ETI - AFL-CIO HIT 146 42.49 154 39.53

Total Public Markets (Externally managed) 26,016 14.48 27,707 13.79

Other ETI Programs 151 - 152 -

In-House Short Term 696 0.00 365 0.00

Total Public Markets 26,864 14.02 28,224 13.53

INVESTMENT STYLE (PRIVATE)

Hedge Funds 1,194 128.34 1,707 125.44

Private Equities 2,311 164.12 2,317 190.30 1

Real Assets 1,568 123.28 1,642 116.20

Private Real Estate 1,463 120.00 1,493 107.32

Infrastructure 105 169.17 149 205.47

Opportunistic Fixed Income 888 90.45 979 89.58

Total Private Markets 5,960 135.24 2 6,644 140.49

Total Overall 32,824 36.03 34,868 37.73

Footnotes

1 -Private Equity estimates for FY 2017 are based on partnership terms. For funds in the investment period, management fees are based

on the committed capital. For funds in the post-investment period, management fees are based on the Market Value as of 6/30/2016.

2 - Private Markets Investments exclude GP CARRY & Incentive Fees .

3 -The Incentive Fees paid for the Police Fund in 2016 are 11.88 BPS.

2016 2017

POLICE RETIREMENT SYSTEM

ACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2016 AND

ESTIMATED FEES FOR FY 2017 UPDATED THROUGH NOVEMBER 2016

Actual Estimates

Information provided by the New York City Comptroller

Actual and Estimated Fees


U. S. U. S. INTERNATIONAL

FIXED INCOME EQUITY EQUITY TOTAL

1989 254,000 - - 254,000

1990 288,000 - - 288,000

1991 464,000 - - 464,000

1992 996,000 138,000 126,000 1,260,000

1993 1,852,000 434,000 203,000 2,489,000

1994 1,846,000 815,000 317,000 2,978,000

1995 1,465,000 888,000 224,000 2,577,000

1996 1,465,000 1,051,000 379,000 2,895,000

1997 1,632,000 1,793,000 599,000 4,024,000

1998 2,770,000 2,517,000 1,006,000 6,293,000

1999 2,681,000 2,713,000 1,184,000 6,578,000

2000 2,697,000 2,899,000 1,520,000 7,116,000

2001 3,947,000 3,595,000 1,980,000 9,522,000

2002 2,646,000 3,401,000 1,725,000 7,772,000

2003 1,238,000 2,257,000 1,859,000 5,354,000

2004 1,515,000 2,306,000 2,097,000 5,918,000

2005 2,333,000 3,172,000 2,503,000 8,008,000

2006 2,104,000 5,043,000 2,243,000 9,390,000

2007 4,582,000 8,425,000 2,727,000 15,734,000

2008 13,856,000 16,383,000 3,872,000 34,111,000

2009 5,163,000 9,110,000 2,695,000 16,968,000

2010 2,405,000 5,813,000 1,979,000 10,197,000

2011 3,060,000 8,287,000 3,253,000 14,600,000

2012 4,213,000 10,047,000 2,545,000 16,805,000

2013 2,980,000 11,363,000 2,255,000 16,598,000

2014 3,478,000 6,803,000 5,786,000 16,067,000

2015 3,692,000 7,281,000 7,489,000 18,462,000

2016 4,070,000 11,406,000 6,506,000 21,982,000

Since Inception 79,692,000 127,940,000 57,072,000 264,704,000

SECURITIES LENDING INCOME

December 31, 2016

NYC POLICE DEPARTMENT PENSION FUND

Securities Lending Income


New York CityPolice Pension Fund, Subchapter Two

Appendix A

Consolidated Performance Report


Market

Value

($MM) % of Total 3 Month FYTD CYTD 2015 2014 2013 2012 2011 3 Year 5 Year 10 Year ITD Inception Date

SYSTEM RETURN SUMMARY

5 POLICE-TOTAL PORTFOLIO - GROSS 35,525 100.00 1.17 5.14 9.09 0.47 7.60 16.66 13.01 0.83 5.65 9.23 5.58 8.50 07/01/1987

POLICE - ESTIMATED INVESTMENT FEES (0.05) (0.11) (0.23) (0.23) (0.26) (0.24)

EST MANAGEMENT FEES - PUBLIC MARKET (ACCRUAL) (0.03) (0.05) (0.11) (0.13) (0.14)

EST MANAGEMENT FEES - ALTERNATIVE MARKETS (CASH) (0.02) (0.06) (0.12) (0.10) (0.12)

EST INCENTIVE FEES

EST OTHER FEES

EST FEE OFFSETS

POLICE-TOTAL PORTFOLIO - NET MGR 1.11 5.03 8.86 0.23 7.34 5.41

POLICE POLICY BENCHMARK 1.00 4.66 9.24 0.41 8.16 16.04 13.64 2.08 5.86 9.36 5.78

EXCESS RETURN 0.11 0.37 (0.38) (0.18) (0.81) 0.62 (0.63) (1.25) (0.45) (0.14) (0.21)

EQUITY RETURN DETAIL

18 POLICE-TOTAL EQUITY (INCLUDES PE & RA) - GROSS 24,509 68.99 2.43 7.48 10.57 0.67 8.27 24.57 15.84 (2.32) 6.42 11.70 5.46 7.38 04/01/2004

ESTIMATED INVESTMENT FEES (0.06) (0.13) (0.27) (0.29) (0.31) (0.29)

EST MANAGEMENT FEES (0.06) (0.13) (0.27) (0.29) (0.31)

EST INCENTIVE FEES

EST OTHER FEES

EST FEE OFFSETS

POLICE-TOTAL EQUITY (INCL PE & RA) - NET MGR 2.36 7.35 10.30 0.38 7.96 6.13

26 POLICE-TOTAL DOMESTIC EQUITY - GROSS 13,087 36.84 4.46 9.21 13.13 0.03 11.42 34.93 16.78 (0.20) 8.03 14.72 7.14 10.98 12/01/1984


POLICE-TOTAL DOMESTIC EQUITY - NET MGR 4.44 9.17 13.03 (0.10) 11.29 7.91

RUSSELL 3000 (DAILY) 4.21 8.79 12.74 0.48 12.56 33.55 16.42 1.03 8.43 14.67 7.07 11.04

EXCESS RETURN 0.23 0.38 0.29 (0.57) (1.26) 1.38 0.37 (1.22) (0.52) 0.05 0.06 (0.06)

36 POLICE-TOTAL SMALL CAP ACTIVE - GROSS 688 1.94 8.40 16.93 23.82 (2.65) 3.34 43.40 16.99 (5.76) 7.60 15.88 8.68 8.87 04/01/2004


POLICE-TOTAL SMALL CAP ACTIVE - NET MGR 8.25 16.62 23.12 (3.25) 2.71 6.95

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89 38.82 16.35 (4.18) 6.74 14.46 7.07 8.19

EXCESS RETURN (0.58) (2.06) 1.81 1.17 (2.18) 4.58 0.64 (1.58) 0.21 1.42 1.62 0.68

46 POLICE-TOTAL SMALL CAP PASSIVE - GROSS 295 0.83 7.48 17.20 18.57 (3.56) 5.01 6.29 8.63 10/01/2013


POLICE-TOTAL SMALL CAP PASSIVE - NET MGR 7.48 17.20 18.57 (3.57) 5.01 6.28

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89 6.74 8.97

EXCESS RETURN (1.35) (1.48) (2.74) 0.85 0.11 (0.46) (0.34)




Market

Value



58 POLICE-TOTAL MID CAP ACTIVE - GROSS 522 1.47 1.79 8.27 10.82 (0.20) 10.58 38.07 20.86 (3.50) 6.94 15.34 7.04 8.18 04/01/2004


POLICE-TOTAL MID CAP ACTIVE - NET MGR 1.65 7.96 10.25 (0.70) 10.03 6.40

RUSSELL MIDCAP (DAILY) 3.21 7.87 13.80 (2.44) 13.22 34.76 17.28 (1.55) 7.92 14.72 7.86 9.45

EXCESS RETURN (1.56) 0.09 (3.55) 1.74 (3.19) 3.31 3.58 (1.95) (1.52) 0.62 (0.82) (1.27)

68 POLICE-TOTAL MID CAP PASSIVE - GROSS 203 0.57 7.40 11.81 19.78 (1.64) 10.10 33.39 17.74 9.06 15.29 12.08 02/01/2011


POLICE-TOTAL MID CAP PASSIVE - NET MGR 7.37 11.76 19.72 (1.65) 10.09 9.03

S&P 400 MIDCAP INDEX (DAILY) 7.42 11.87 20.74 (2.18) 9.77 33.50 17.88 9.04 15.33 12.11

EXCESS RETURN (0.05) (0.11) (1.02) 0.52 0.32 (0.11) (0.14) (0.01) (0.03) (0.03)

78 POLICE-TOTAL RUSSELL 1000 ACTIVE - GROSS 1,252 3.52 5.26 8.85 14.77 (1.87) 10.98 41.42 15.50 0.19 7.72 15.34 7.53 8.24 04/01/2004

ESTIMATED INVESTMENT FEES 0.00 (0.03) (0.10) (0.15) (0.25) (0.17)

POLICE-TOTAL RUSSELL 1000 ACTIVE - NET MGR 5.26 8.83 14.66 (2.01) 10.73 7.55

RUSSELL 1000 (DAILY) 3.83 8.01 12.05 0.92 13.24 33.11 16.42 1.50 8.59 14.69 7.08 7.97

EXCESS RETURN 1.43 0.81 2.61 (2.93) (2.51) 8.31 (0.93) (1.31) (1.04) 0.65 0.45 0.27

88 POLICE-TOTAL RUSSELL 1000 PASSIVE - GROSS 5,998 16.88 3.87 8.05 12.26 0.73 13.13 8.56 11.13 10/01/2013


POLICE-TOTAL RUSSELL 1000 PASSIVE - NET MGR 3.87 8.05 12.26 0.73 13.13 8.55

RUSSELL 1000 (DAILY) 3.83 8.01 12.05 0.92 13.24 8.59 11.18

EXCESS RETURN 0.04 0.04 0.20 (0.19) (0.11) (0.04) (0.06)

98 POLICE-TOTAL RUSSELL 3000 - GROSS 3,911 11.01 4.23 8.82 12.77 0.51 12.61 33.67 16.35 1.08 8.47 14.70 7.15 11.17 12/01/1984


POLICE-TOTAL RUSSELL 3000 - NET MGR 4.23 8.82 12.76 0.50 12.60 8.46

RUSSELL 3000 (DAILY) 4.21 8.79 12.74 0.48 12.56 33.55 16.42 1.03 8.43 14.67 7.07 11.04

EXCESS RETURN 0.02 0.03 0.02 0.02 0.04 0.12 (0.06) 0.05 0.03 0.03 0.08 0.13

108 POLICE-TOTAL FUND OF FUNDS - GROSS 219 0.62 8.37 16.74 17.03 (5.52) 2.39 40.31 4.23 13.71 06/01/2012


POLICE-TOTAL FUND OF FUNDS - NET MGR 8.19 16.33 16.18 (6.24) 1.62 3.44

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89 38.82 6.74 15.03

EXCESS RETURN (0.65) (2.35) (5.13) (1.83) (3.28) 1.49 (3.30) (1.32)




Market

Value



120 POLICE-TOTAL INTERNATIONAL - GROSS 5,476 15.41 (2.52) 5.93 6.92 (5.91) (3.05) 14.06 16.48 (14.17) (0.83) 5.32 1.03 6.09 11/01/1990

ESTIMATED INVESTMENT FEES (0.07) (0.15) (0.30) (0.28) (0.31) (0.30) EST MANAGEMENT FEES (0.07) (0.15) (0.30) (0.28) (0.31) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETS

POLICE-TOTAL INTERNATIONAL - NET MGR (2.59) 5.78 6.62 (6.19) (3.36) (1.13)

MSCI AC WORLD EX US (NET) (1.25) 5.57 4.50 (5.66) (3.87) 15.29 16.83 (13.71) (1.78) 5.00 0.96

EXCESS RETURN (1.33) 0.21 2.13 (0.53) 0.51 (1.23) (0.35) (0.47) 0.65 0.32 0.06

130 POLICE-TOTAL DEVELOPED GROWTH ACTIVE - GROSS 1,079 3.04 (5.18) 3.26 3.35 (1.35) (5.21) 25.26 19.52 (11.67) (1.13) 7.67 2.92 6.79 04/01/2004


POLICE-TOTAL DEVELOPED GROWTH ACTIVE - NET MGR (5.24) 3.11 3.05 (1.63) (5.48) (1.42)

MSCI EAFE GROWTH (5.53) (0.84) (3.04) 4.09 (4.43) 22.55 16.86 (12.11) (1.20) 6.67 1.64 4.81

EXCESS RETURN 0.28 3.96 6.10 (5.72) (1.05) 2.71 2.66 0.44 (0.22) 0.99 1.28 1.98

140 POLICE-TOTAL DEVELOPED VALUE ACTIVE - GROSS 1,045 2.94 1.78 9.66 6.42 (6.01) (3.82) 28.90 9.46 (11.07) (1.28) 6.30 0.22 4.88 04/01/2004


POLICE-TOTAL DEVELOPED VALUE ACTIVE - NET MGR 1.70 9.51 6.12 (6.28) (4.08) (1.56)

MSCI EAFE VALUE NET (DAILY) 4.17 12.50 5.02 (5.68) (5.39) 22.95 17.69 (12.17) (2.14) 6.28 (0.22) 4.36

EXCESS RETURN (2.47) (2.99) 1.10 (0.59) 1.31 5.95 (8.23) 1.11 0.58 0.02 0.44 0.52

150 POLICE-TOTAL DEVELOPED SMALL CAP ACTIVE - GROSS 490 1.38 (2.74) 5.00 3.16 10.89 (4.79) 2.89 6.52 05/01/2013


POLICE-TOTAL DEVELOPED SMALL CAP ACTIVE - NET MGR (2.86) 4.74 2.65 10.34 (5.26) 2.38

S&P EPAC SMALL CAP USD NET (3.38) 4.76 1.34 8.58 (3.43) 2.05 5.58

EXCESS RETURN 0.52 (0.02) 1.32 1.76 (1.83) 0.33 0.95

160 POLICE-TOTAL DEVELOPED SMALL CAP PASSIVE - GROSS 92 0.26 (2.82) 5.65 2.79 9.88 3.17 02/01/2014

ESTIMATED INVESTMENT FEES (0.00) (0.01) (0.02) (0.02) (0.02)

POLICE-TOTAL DEVELOPED SMALL CAP PASSIVE - NET MGR (2.83) 5.64 2.77 9.86 3.16

MSCI EAFE SMALL CAP NET (DAILY) (2.86) 5.54 2.18 9.59 2.71

EXCESS RETURN 0.03 0.10 0.59 0.27 0.45

170 POLICE-TOTAL DEVELOPED LARGE CAP PASSIVE - GROSS 539 1.52 (0.75) 5.65 1.31 (0.53) (4.73) 23.10 17.54 (1.35) 6.79 3.10 02/01/2011


POLICE-TOTAL DEVELOPED LARGE CAP PASSIVE - NET MGR (0.75) 5.64 1.30 (0.54) (4.75) (1.37)

MSCI EAFE (0.71) 5.67 1.00 (0.81) (4.90) 22.78 17.32 (1.60) 6.53 2.81

EXCESS RETURN (0.04) (0.03) 0.30 0.27 0.15 0.32 0.22 0.24 0.26 0.29




Market

Value



182 POLICE-TOTAL NON-U.S. ENVIRONMENTAL - GROSS 132 0.37 (2.43) 5.98 10.39 7.63 11.99 28.87 19.40 (7.77) 9.99 15.41 6.90 09/01/2008


POLICE-TOTAL NON-U.S. ENVIRONMENTAL - NET MGR (2.57) 5.69 9.79 7.04 11.39 9.39

MSCI WORLD INDEX 1.86 6.81 7.51 (0.87) 4.94 26.68 15.83 (5.54) 3.80 10.41 5.42

EXCESS RETURN (4.42) (1.12) 2.28 7.91 6.45 2.19 3.58 (2.23) 5.59 5.00 1.48

192 POLICE-EMERGING MARKETS ACTIVE - GROSS 1,207 3.40 (2.93) 7.00 12.03 (14.20) (0.62) 1.04 15.90 (20.17) (1.51) 2.27 1.96 7.92 04/01/2004


POLICE-EMERGING MARKETS ACTIVE - NET MGR (3.05) 6.75 11.51 (14.62) (1.11) (1.99)

MSCI EMERGING MARKETS (4.16) 4.49 11.19 (14.92) (2.19) (2.60) 18.22 (18.42) (2.55) 1.28 1.84 7.23

EXCESS RETURN 1.12 2.26 0.32 0.30 1.08 3.64 (2.32) (1.75) 0.56 0.99 0.12 0.70

202 POLICE-EMERGING MARKETS PASSIVE - GROSS 892 2.51 (4.34) 4.30 11.23 (14.86) (2.23) (1.97) 18.27 (2.54) 1.43 (2.72) 04/01/2011


POLICE-EMERGING MARKETS PASSIVE - NET MGR (4.36) 4.28 11.17 (14.91) (2.29) (2.59)

MSCI EMERGING MARKETS (4.16) 4.49 11.19 (14.92) (2.19) (2.60) 18.22 (2.55) 1.28 (2.75)

EXCESS RETURN (0.19) (0.21) (0.02) 0.00 (0.10) 0.63 0.04 (0.04) 0.15 0.03




Market

Value



220 POLICE-TOTAL HEDGE FUNDS - NET MGR 1,685 4.74 2.49 3.51 3.08 (1.54) 5.21 2.21 07/01/2011

HFRI FUND OF FUNDS COMPOSITE INDEX + 1% 1.15 3.73 1.56 0.73 4.40 2.22

EXCESS RETURN 1.33 (0.21) 1.53 (2.27) 0.81 (0.01)

230 POLICE-TOTAL DIRECT HEDGE FUNDS - NET MGR 1,533 4.32 2.59 3.16 3.36 (1.41) 5.66 2.49 01/01/2012


EXCESS RETURN 1.44 (0.57) 1.80 (2.14) 1.26 0.28

240 POLICE-TOTAL PERMAL HEDGE FUNDS - NET MGR 152 0.43 1.44 6.43 1.86 (2.14) 2.75 0.80 07/01/2011


EXCESS RETURN 0.29 2.71 0.31 (2.88) (1.65) (1.42)




Market

Value



246 POLICE-TOTAL REAL ESTATE SECURITIES - GROSS 181 0.51 (5.87) (4.92) 3.15 0.28 15.89 3.29 6.23 8.42 06/01/2012


POLICE-TOTAL REAL ESTATE SECURITIES - NET MGR (5.89) (4.96) 3.05 0.18 15.77 6.12

FTSE EPRA/NAREIT DEVEL. LIQUID (5.99) (5.23) 2.37 (0.51) 14.98 2.53 5.40 7.96

EXCESS RETURN 0.10 0.26 0.68 0.68 0.79 0.75 0.72 0.46

256 POLICE-TOTAL PRIVATE EQUITY (TIME WEIGHTED) 2,334 6.57 3.96 7.02 10.07 11.70 14.94 9.65 11.60 14.23 12.22 11.57 9.90 12.73 04/01/2004

NYC R3000 +3% LAGGED 5.16 8.72 18.37 2.49 21.24 24.53 35.20 5.55 13.73 19.89 11.73 12.34

EXCESS RETURN (1.21) (1.70) (8.30) 9.21 (6.31) (14.88) (23.61) 8.68 (1.51) (8.31) (1.82) 0.39

266 POLICE-TOTAL PRIVATE REAL ESTATE (TIME WEIGHTED) 1,593 4.48 2.62 5.30 11.80 16.65 18.00 14.02 14.67 20.18 15.45 15.01 4.59 8.07 04/01/2004

NCREIF NFI-ODCE NET + 100 BP 2.13 4.26 8.86 15.08 12.56 14.02 10.88 16.09 12.14 12.26

EXCESS RETURN 0.49 1.04 2.94 1.57 5.44 (0.01) 3.78 4.09 3.31 2.75

276 POLICE-TOTAL INFRASTRUCTURE (TIME WEIGHTED) 153 0.43 2.58 5.59 10.51 15.14 20.26 15.24 14.79 12/01/2013

CPI + 4% 1.84 3.31 6.18 4.72 4.70 5.20 5.26

EXCESS RETURN 0.75 2.29 4.33 10.42 15.55 10.04 9.53




Market

Value


FIXED INCOME RETURN DETAIL

288 POLICE-TOTAL FIXED INCOME - GROSS 11,007 30.98 (1.63) 0.17 5.66 (0.17) 6.20 0.85 7.97 7.05 3.86 4.05 5.54 8.30 02/01/1980


EST MANAGEMENT FEES (0.03) (0.07) (0.14) (0.12) (0.14)

EST INCENTIVE FEES

EST OTHER FEES

EST FEE OFFSETS

POLICE-TOTAL FIXED INCOME - NET MGR (1.66) 0.10 5.52 (0.29) 6.06 3.72

296 POLICE-TOTAL STRUCTURED FIXED INCOME - GROSS 5,304 14.93 (3.56) (2.58) 3.50 0.56 7.69 (1.99) 6.57 8.88 3.87 3.20 5.27 7.73 01/01/1985


POLICE-TOTAL STRUCTURED FIXED INCOME - NET MGR (3.57) (2.61) 3.42 0.48 7.60 3.80

NYC - CORE PLUS FIVE (3.61) (2.95) 3.20 0.41 7.66 (2.79) 5.41 9.40 3.71 2.71 4.98

EXCESS RETURN 0.04 0.34 0.23 0.07 (0.06) 0.80 1.16 (0.53) 0.08 0.49 0.29

306 POLICE-TOTAL CORE FIXED INCOME - GROSS 71 0.20 (2.48) (1.44) 3.88 1.28 5.74 (1.20) 6.22 8.18 3.62 3.15 5.19 05/01/2009


POLICE-TOTAL CORE FIXED INCOME - NET MGR (2.53) (1.55) 3.66 1.08 5.57 3.42

BBG BARC AGG (DLY) (2.98) (2.53) 2.65 0.55 5.97 (2.02) 4.21 7.84 3.03 2.23 4.00

EXCESS RETURN 0.44 0.98 1.02 0.53 (0.39) 0.82 2.01 0.34 0.39 0.91 1.19

316 POLICE-TOTAL FIXED INCOME FUND OF FUND - GROSS 76 0.22 (2.69) (1.91) 3.19 1.00 6.21 (1.58) 3.45 2.41 06/01/2012


POLICE-TOTAL FIXED INCOME FUND OF FUND - NET MGR (2.74) (1.96) 2.97 0.65 5.85 3.13

BBG BARC AGG (DLY) (2.98) (2.53) 2.65 0.55 5.97 (2.02) 3.03 1.92

EXCESS RETURN 0.24 0.57 0.32 0.10 (0.12) 0.45 0.10 0.49

326 POLICE-TOTAL TIPS - GROSS 1,481 4.17 (2.46) (1.50) 4.70 (1.29) 3.52 (8.47) 7.17 13.52 2.28 0.97 4.47 3.98 06/01/2005


POLICE-TOTAL TIPS - NET MGR (2.46) (1.51) 4.68 (1.32) 3.45 2.24

BBG BARC GBL INF-LK: US TIPS (DLY) (2.41) (1.47) 4.68 (1.44) 3.64 (8.61) 6.98 13.56 2.26 0.89 4.36 3.84

EXCESS RETURN (0.05) (0.04) (0.01) 0.12 (0.19) 0.14 0.19 (0.04) (0.02) 0.08 0.11 0.14

336 POLICE-TOTAL ENHANCED YIELD - GROSS 1,463 4.12 1.64 6.88 15.25 (3.94) 2.80 8.14 14.53 6.05 4.41 7.11 7.33 7.90 10/01/1994


POLICE-TOTAL ENHANCED YIELD - NET MGR 1.55 6.70 14.86 (4.26) 2.45 4.05

CITIGROUP BB & B 1.56 6.77 15.48 (4.21) 2.78 6.17 14.45 6.58 4.37 6.68 6.02 7.04

EXCESS RETURN (0.01) (0.07) (0.61) (0.05) (0.34) 1.97 0.07 (0.53) (0.32) 0.43 1.31 0.86




Market

Value


FIXED INCOME RETURN DETAIL

348 POLICE- TOTAL BANK LOANS - GROSS 606 1.71 2.09 4.88 8.86 1.80 2.76 6.54 4.43 5.00 12/01/2012


POLICE-TOTAL BANK LOANS - NET MGR 2.02 4.72 8.52 1.49 2.44 4.10

CSFB LEVERAGED LOAN INDEX 2.25 5.42 9.88 (0.38) 2.06 6.15 3.76 4.45

EXCESS RETURN (0.24) (0.70) (1.35) 1.87 0.38 0.39 0.35 0.56

358 POLICE-TOTAL CONVERTIBLE BONDS - GROSS 229 0.65 0.70 4.53 7.23 (0.41) 9.44 16.96 11.69 (3.62) 5.34 8.83 6.60 07/01/2008


POLICE-TOTAL CONVERTIBLE BONDS - NET MGR 0.60 4.32 6.80 (0.81) 8.99 4.91

BOFAML ALL CONVERTIBLE EX M AI (DAILY) 2.61 10.21 11.71 (2.75) 9.33 25.00 14.41 (3.42) 5.90 11.18 8.15

EXCESS RETURN (2.00) (5.89) (4.90) 1.94 (0.34) (8.04) (2.72) (0.20) (0.99) (2.34) (1.55)

368 POLICE-TOTAL OPPORTUNISTIC FIXED INCOME 988 2.78 3.80 7.24 8.62 (1.34) 8.86 17.15 22.48 (4.67) 5.27 10.85 8.24 10/01/2007

10% ANNUAL RETURN 2.41 4.88 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00

EXCESS RETURN 1.39 2.36 (1.38) (11.34) (1.14) 7.15 12.48 (14.67) (4.73) 0.85 (1.76)

378 POLICE-TOTAL TARGETED INVESTMENTS (NO CASH) 359 1.01 (4.05) (3.35) 2.73 4.04 8.06 2.22 6.32 6.47 4.92 4.65 5.92 8.27 12/01/1984

POLICE CUSTOM BENCHMARK (NO CASH) (2.19) (1.65) 2.38 1.40 6.11 (1.66) 3.41 7.74 3.28 2.30 4.51

EXCESS RETURN (1.87) (1.70) 0.35 2.65 1.95 3.87 2.92 (1.27) 1.64 2.36 1.41

CASH SUMMARY

390 POLICE SHORT TERM - GROSS 429 1.21 0.16 0.26 0.89 0.47 0.23 0.21 0.40 0.43 0.53 0.44 1.39 04/01/1982

ESTIMATED INVESTMENT FEES 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

POLICE SHORT TERM - NET MGR 0.16 0.26 0.89 0.47 0.23 0.21 0.40 0.43 0.53 0.44 1.39

394 C/D - FAIL FLOAT EARNINGS 1 0.00

396 SECURITY LENDING 7 0.02





Appendix B

Public Markets Manager Performance Detail


Market Value ($MM)% ofTotal 3 Month FYTD CYTD 2015 2014

EQUITY SUMMARY

US EQUITY

State Street Global Adv R3000 3,911 11.01 4.23 8.82 12.75 0.47 12.59

RUSSELL 3000 (DAILY) 4.21 8.79 12.74 0.48 12.56

Excess 0.02 0.02 0.02 (0.01) 0.04

NYC POLICE BLACKROCK R2000 GROWTH 178 0.50 3.53 13.08 11.29 (1.30) 5.50

RUSSELL 2000 GROWTH DAILY 3.57 13.12 11.32 (1.38) 5.60

Excess (0.05) (0.04) (0.02) 0.08 (0.11)

NYC POLICE BLACKROCK R2000 VALUE 117 0.33 14.13 24.10 31.71 (7.38) 4.11

RUSSELL 2000 VALUE DAILY 14.07 24.19 31.74 (7.47) 4.22

Excess 0.06 (0.08) (0.03) 0.09 (0.11)

Brown AM - SCG 135 0.38 (0.87) 8.08 10.23 8.62 2.93

RUSSELL 2000 GROWTH DAILY 3.57 13.12 11.32 (1.38) 5.60

Excess (4.44) (5.04) (1.09) 10.00 (2.68)

Ceredex SCV 131 0.37 6.33 12.68 29.38 (4.74) 2.55


Excess (7.74) (11.51) (2.36) 2.73 (1.66)

Dalton Greiner (Value) - Small Cap 142 0.40 12.83 21.26 25.01 (3.32) 4.47


Excess (1.24) (2.93) (6.73) 4.15 0.25

DFA Small Cap 141 0.40 11.89 20.38 25.08 (3.86) 4.48

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89

Excess 3.06 1.70 3.77 0.56 (0.42)


Net Returns Through December 31, 2016



RAFI - SC Fundamental 138 0.39 11.88 21.40 27.83 (6.65) 4.72

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89

Excess 3.05 2.72 6.52 (2.23) (0.17)

State St GA S&P 400 203 0.57 7.37 11.76 19.72 (1.65) 10.09

S&P 400 MIDCAP INDEX (DAILY) 7.42 11.87 20.74 (2.18) 9.77

Excess (0.05) (0.11) (1.02) 0.52 0.32

Iridian Asset Mgmt. MCV 284 0.80 (0.62) 6.88 4.19 (3.71) 14.04

RUSSELL MIDCAP (DAILY) 3.21 7.87 13.80 (2.44) 13.22

Excess (3.83) (0.99) (9.60) (1.27) 0.82

Wellington Mgmt. MCC 237 0.67 4.51 9.20 12.30 1.76 10.93

S&P 400 MIDCAP INDEX (DAILY) 7.42 11.87 20.74 (2.18) 9.77

Excess (2.91) (2.67) (8.44) 3.93 1.16

NYC POLICE BLACKROCK R1000 GROWTH 2,880 8.11 1.00 5.62 7.15 5.60 12.91

RUSSELL 1000 GROWTH - DAILY 1.01 5.64 7.08 5.67 13.05

Excess (0.02) (0.02) 0.08 (0.07) (0.14)

NYC POLICE BLACKROCK R1000 VALUE 3,118 8.78 6.66 10.38 17.43 (4.02) 13.39

RUSSELL 1000 VALUE (DAILY) 6.68 10.39 17.34 (3.83) 13.45

Excess (0.01) (0.01) 0.09 (0.19) (0.06)

RAFI - LC Fundamental 1,106 3.11 5.26 9.10 15.73 (3.09) 12.04

RUSSELL 1000 (DAILY) 3.83 8.01 12.05 0.92 13.24

Excess 1.43 1.08 3.68 (4.01) (1.20)

VTL S&P 500 Fundamental 146 0.41 5.32 8.49 12.77 (1.26) 13.81

S&P 500 INDEX (DAILY) 3.82 7.82 11.96 1.38 13.69

Excess 1.49 0.67 0.81 (2.64) 0.12





FUND OF FUNDS

POLICE-FUND OF FUNDS 219 0.62 8.19 16.33 16.18 (6.24) 1.62

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89

Excess (0.65) (2.35) (5.13) (1.83) (3.28)

POLICE-TOTAL ATTUCKS 44 0.12 7.92 15.86 14.63 (6.62) 2.12

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89

Excess (0.92) (2.81) (6.67) (2.21) (2.77)

POLICE-TOTAL CAPITAL PROSPECTS 52 0.15 6.69 14.98 14.31 (6.51) 1.54

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89

Excess (2.14) (3.70) (6.99) (2.09) (3.35)

POLICE-TOTAL PROGRESS EQUITY 65 0.18 9.80 17.25 18.15 (7.48) 1.43

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89

Excess 0.97 (1.43) (3.16) (3.07) (3.46)

POLICE-TOTAL FIS 58 0.16 8.18 17.11 17.24 (4.25) 1.49

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89

Excess (0.66) (1.57) (4.07) 0.16 (3.40)

NON - US EQUITY

Baillie Gifford 482 1.36 (6.16) 5.21 0.70 (3.81) (6.77)

MSCI EAFE GROWTH (5.53) (0.84) (3.04) 4.09 (4.43)

Excess (0.63) 6.05 3.74 (7.90) (2.34)

Walter Scott 597 1.68 (4.50) 1.48 5.03 0.28 (3.56)

MSCI EAFE GROWTH (5.53) (0.84) (3.04) 4.09 (4.43)

Excess 1.03 2.33 8.07 (3.81) 0.87

Causeway 465 1.31 0.82 7.54 0.52 (2.39) (5.18)

MSCI EAFE VALUE NET (DAILY) 4.17 12.50 5.02 (5.68) (5.39)

Excess (3.36) (4.96) (4.51) 3.29 0.21





Sprucegrove 579 1.63 2.43 11.15 11.10 (9.44) (3.32)

MSCI EAFE VALUE NET (DAILY) 4.17 12.50 5.02 (5.68) (5.39)

Excess (1.74) (1.35) 6.08 (3.75) 2.07

Acadian 247 0.69 (1.58) 6.31 6.41 8.68 (4.92)

S&P EPAC Small Cap USD NET (3.38) 4.76 1.34 8.58 (3.43)

Excess 1.80 1.56 5.07 0.09 (1.49)

Pyramis 243 0.68 (4.12) 3.18 (0.91) 11.97 (5.60)

S&P EPAC Small Cap USD NET (3.38) 4.76 1.34 8.58 (3.43)

Excess (0.74) (1.58) (2.24) 3.38 (2.17)

SSGA 539 1.52 (0.75) 5.64 1.30 (0.54) (4.75)

MSCI EAFE (0.71) 5.67 1.00 (0.81) (4.90)

Excess (0.04) (0.03) 0.30 0.27 0.15

SSGA MSCI EAFE Small Cap Index 92 0.26 (2.83) 5.64 2.77 9.86

MSCI EAFE SMALL CAP NET (DAILY) (2.86) 5.54 2.18 9.59

Excess 0.03 0.10 0.59 0.27

Generation GE 132 0.37 (2.57) 5.69 9.79 7.04 11.39

MSCI World Index 1.86 6.81 7.51 (0.87) 4.94

Excess (4.42) (1.12) 2.28 7.91 6.45

EMERGING MARKETS

DFA 295 0.83 (1.34) 7.83 17.39 (19.39) (4.50)

MSCI EMERGING MARKETS (4.16) 4.49 11.19 (14.92) (2.19)

Excess 2.82 3.34 6.20 (4.48) (2.31)

Ballie Gifford 288 0.81 (6.66) 6.89 2.78 (8.00) 0.10


Excess (2.49) 2.41 (8.41) 6.92 2.29





PARAMETRIC EM 316 0.89 (1.61) 4.49 13.87 (15.72) (3.92)


Excess 2.55 0.00 2.68 (0.80) (1.73)

ACADIAN 308 0.87 (2.60) 7.97 12.65 (15.05) 3.79


Excess 1.57 3.48 1.46 (0.13) 5.98

Blackrock EM 892 2.51 (4.36) 4.28 11.17 (14.91) (2.29)


Excess (0.19) (0.21) (0.02) 0.01 (0.10)

REAL ESTATE SECURITIES

CONY GT SSGA REIT 181 0.51 (5.89) (4.96) 3.05 0.18 15.77

FTSE EPRA/NAREIT Devel. Liquid (5.99) (5.23) 2.37 (0.51) 14.98

Excess 0.10 0.26 0.68 0.68 0.79

FIXED INCOME SUMMARY

STRUCTURED FIXED INCOME

Blackrock - Mortgage 613 1.73 (1.78) (0.97) 2.29 1.81 6.48

CITIGROUP MORTGAGE INDEX (1.98) (1.43) 1.59 1.56 6.12

Excess 0.20 0.46 0.71 0.25 0.35

Neuberger Berman - Mortgage 97 0.27 (2.05) (1.50) 1.52 1.42 6.68


Excess (0.07) (0.07) (0.07) (0.15) 0.55

Wellington - Mortgage 4 0.01 (2.92) (2.25) 0.92 1.40 6.67


Excess (0.94) (0.83) (0.67) (0.16) 0.54





Goldman Sachs - Mortgage 117 0.33 (2.39) (1.84) 1.09 1.52 6.23


Excess (0.41) (0.41) (0.49) (0.04) 0.11

T. Rowe Price - Credit 856 2.41 (2.98) (1.35) 6.04 0.02 7.91

NYC - Investment Grade Credit (3.05) (1.72) 5.56 (0.65) 7.04

Excess 0.08 0.37 0.48 0.67 0.86

Blackrock - Credit 663 1.87 (3.03) (1.60) 5.48 (0.57) 7.55


Excess 0.02 0.12 (0.07) 0.07 0.51

Prudential - Credit 425 1.20 (2.73) (1.41) 6.05 (0.32) 7.19


Excess 0.33 0.31 0.50 0.33 0.14

Taplin Canida Habacht Credit 187 0.53 (2.08) 1.00 9.54 (3.98) 7.92


Excess 0.97 2.73 3.98 (3.34) 0.88

Pyramis - Credit 194 0.55 (2.65) (1.10) 5.80 (0.09) 7.38


Excess 0.40 0.62 0.24 0.56 0.34

Prudential-Privest - Credit 126 0.35 (2.42) (0.78) 4.24 1.63 7.20


Excess 0.64 0.95 (1.32) 2.28 0.16

State Street - Gov't 408 1.15 (7.17) (7.40) 1.62 0.49 12.13

NYC - Treasury Agency Plus Five (7.32) (7.76) 1.21 0.72 12.38

Excess 0.15 0.35 0.41 (0.24) (0.25)





Blackrock - Gov't 237 0.67 (7.34) (7.64) 1.21 0.66 11.93


Excess (0.02) 0.12 (0.00) (0.06) (0.44)

Fischer Francis - Govt 237 0.67 (7.39) (7.73) 1.34 0.51 11.36


Excess (0.07) 0.03 0.12 (0.21) (1.02)

SSGA 1-3 Treasury Index 964 2.71

NYC - Treasury Agency Plus Five

Excess

SSGA Long Duration Treasury 175 0.49

Citigroup Treasury 20+

Excess

FIXED INCOME FUND OF FUNDS

Hillswick 8 0.02 (2.80) (2.77) 2.61 0.61 7.09

BBG BARC Agg (Dly) (2.98) (2.53) 2.65 0.55 5.97

Excess 0.17 (0.24) (0.03) 0.06 1.13

Integrity 7 0.02 (2.84) (2.21)

BBG BARC Agg (Dly) (2.98) (2.53)

Excess 0.14 0.32

Ramirez Asset 19 0.05 (2.50) (1.43) 3.64 1.12

BBG BARC Agg (Dly) (2.98) (2.53) 2.65 0.55

Excess 0.47 1.11 0.99 0.57

NEW CENTURY 20 0.06 (2.78) (1.99) 2.37 (0.30) 6.53

BBG BARC Agg (Dly) (2.98) (2.53) 2.65 0.55 5.97

Excess 0.20 0.54 (0.28) (0.85) 0.56





PUGH CAP 23 0.07 (2.84) (2.02) 3.48 0.79 5.88

BBG BARC Agg (Dly) (2.98) (2.53) 2.65 0.55 5.97

Excess 0.14 0.51 0.83 0.24 (0.09)

ENHANCED YIELD

Loomis Sayles - High Yield 257 0.72 2.83 9.92 22.23 (8.58) 4.73

NYC-Loomis (BoA MLMSTII 7-03/BB&B PRIOR) 1.88 7.47 17.49 (4.64) 2.50

Excess 0.94 2.45 4.74 (3.94) 2.22

Oaktree - High Yield 201 0.56 1.55 6.53 14.91 (4.75) 1.41

BofAML HYM CONSTRAINED (DAILY) 1.88 7.47 17.49 (4.61) 2.51

Excess (0.33) (0.95) (2.58) (0.14) (1.10)

Neuberger Berman - High Yield 275 0.77 1.06 6.26 14.72 (4.00) 2.05

BofAML HIGH YIELD MASTER II (DAILY) 1.88 7.47 17.49 (4.64) 2.50

Excess (0.82) (1.21) (2.77) 0.65 (0.45)

Stone Harbor - High Yield 180 0.51 1.53 6.21 13.01 (4.47) 0.31

BofAML HIGH YIELD MASTER II (DAILY) 1.88 7.47 17.49 (4.64) 2.50

Excess (0.35) (1.26) (4.47) 0.17 (2.19)

T. Rowe Price - High Yield 309 0.87 1.17 5.76 12.36 (1.13) 2.92

CITIGROUP BB & B 1.56 6.77 15.48 (4.21) 2.78

Excess (0.39) (1.01) (3.11) 3.08 0.13

Fort Washington - High Yield 137 0.39 0.97 5.47 12.86 (4.13) 2.41

CITIGROUP BB & B 1.56 6.77 15.48 (4.21) 2.78

Excess (0.58) (1.30) (2.62) 0.08 (0.37)

Shenkman - High Yield 105 0.30 1.66 5.86 11.72 (2.65) 2.64

CITIGROUP BB & B 1.56 6.77 15.48 (4.21) 2.78

Excess 0.11 (0.91) (3.75) 1.56 (0.15)





BANK LOANS

Babson BL 237 0.67 2.11 5.00 8.44 0.12 1.99

CSFB LEVERAGED LOAN INDEX 2.25 5.42 9.88 (0.38) 2.06

Excess (0.14) (0.42) (1.43) 0.50 (0.07)

Credit Suisse BL 246 0.69 2.13 4.69 8.94 2.57 2.67


Excess (0.12) (0.73) (0.93) 2.96 0.61

Guggenheim BL 122 0.34 1.59 4.24 7.84 2.07 2.88


Excess (0.66) (1.18) (2.03) 2.45 0.83

TIPS

State Street TIPS Passive 1,110 3.13 (2.47) (1.52) 4.68 (1.35) 3.57

BBG BARC Gbl Inf-Lk: US TIPS (Dly) (2.41) (1.47) 4.68 (1.44) 3.64

Excess (0.06) (0.05) (0.00) 0.09 (0.07)

Blackrock TIPS 370 1.04 (2.43) (1.49) 4.66 (1.24) 3.74

BBG BARC Gbl Inf-Lk: US TIPS (Dly) (2.41) (1.47) 4.68 (1.44) 3.64

Excess (0.03) (0.02) (0.02) 0.20 0.10

CONVERTIBLE BONDS

Advent Conv Bonds 115 0.32 (0.53) 4.24 7.15 (1.38) 4.65

BofA ML U.S. Convertible Yield Alternative 0.47 5.90 9.96 (8.77) 2.75

Excess (1.00) (1.66) (2.81) 7.40 1.91

Victory Conv Bonds 114 0.32 1.76 4.40 6.46 (0.24) 13.76

BofA Merrill Lynch US Investment Grade Convertible Bond Index 4.36 9.70 14.23 1.68 15.69

Excess (2.60) (5.29) (7.77) (1.92) (1.94)





CORE FIXED INCOME

LM Capital 35 0.10 (2.64) (1.65) 3.38 1.02 5.57

BBG BARC Agg (Dly) (2.98) (2.53) 2.65 0.55 5.97

Excess 0.33 0.88 0.74 0.47 (0.39)

GIA 36 0.10 (2.42) (1.45) 3.93

BBG BARC Agg (Dly) (2.98) (2.53) 2.65

Excess 0.55 1.08 1.29

ECONOMICALLY TARGETED INVESTMENTS

AFL-CIO HOUSING INV TRUST 154 0.43 (3.00) (2.47) 1.94 1.13 6.10

BBG BARC Agg (Dly) (2.98) (2.53) 2.65 0.55 5.97

Excess (0.02) 0.06 (0.71) 0.58 0.14

ACCESS RBC 53 0.15 (2.13) (1.72) 1.61 1.83 6.66

Access RBC Benchmark (2.04) (1.76) 1.52 1.40 5.08

Excess (0.09) 0.04 0.09 0.43 1.58

CPC CONST FACILITY 4 0.01 (2.82) (0.66) (3.95) 12.90

CPC CONST BENCHMARK 0.79 1.57 3.12 2.90

Excess (3.61) (2.23) (7.07) 10.01

BOA-PPAR (FNMA) 7 0.02 (8.23) (6.76) 4.07 42.03 13.31

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (6.28) (5.56) 1.69 39.53 6.19

BOA-PPAR (GNMA) 6 0.02 (7.15) (6.32) 3.13 8.04 15.61

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (5.75) (5.60) 0.85 6.03 8.96

CCD-PPAR (FNMA) 2 0.01 (7.15) (5.74) 3.71 6.69 25.71

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (5.20) (4.54) 1.33 4.20 18.58





CCD-PPAR (GNMA) 3 0.01 (6.47) (5.69) 2.78 5.08 15.37

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (5.07) (4.98) 0.50 3.06 8.72

CFSB-PPAR (GNMA) 1 0.00 (6.43) (5.66) 3.21 5.90 15.34

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (5.03) (4.94) 0.93 3.88 8.69

CPC-PPAR (FNMA) 41 0.12 (6.10) (5.04) 6.15 8.96 13.91

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (4.15) (3.84) 3.77 6.46 6.78

CPC - PPAR (GNMA) 67 0.19 (5.22) (5.10) 2.21 5.24 9.23

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (3.82) (4.39) (0.07) 3.23 2.58

JPMC - PPAR (FNMA) 13 0.04 (7.77) (2.85) 7.94 6.18 12.08

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (5.83) (1.65) 5.56 3.68 4.96

LIIF-PPAR (FNMA) 4 0.01 (7.19) (12.14) 5.03 6.29 38.12

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (5.24) (10.94) 2.65 3.79 30.99

LIIF-PPAR (GNMA) 2 0.00 (2.70) (2.78) 3.88 3.92 9.74

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (1.30) (2.06) 1.61 1.91 3.09

NCBCI-PPAR (FNMA) 0 0.00 (5.34) (5.12) 3.46 4.97 14.93

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (3.39) (3.92) 1.07 2.47 7.81





NCBCI-PPAR (GNMA) 1 0.00 (5.99) (5.32) 3.51 5.53 16.66

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (4.59) (4.61) 1.23 3.52 10.01

NHS-PPAR (GNMA) 1 0.00 (4.54) (4.31) 3.58 4.90 13.73

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (3.14) (3.59) 1.30 2.89 7.08

WELLS FARGO-PPAR MTA 2013 (FNMA) 0 0.00

FNMA Plus 85bps

Excess

CASH

POLICE SHORT TERM 429 1.21 0.16 0.26 0.89 0.47 0.23

91 DAY T-BILL 0.09 0.18 0.33 0.05 0.02

Excess 0.08 0.07 0.56 0.42 0.21

C/D - Fail Float Earnings 1 0.00

SECURITY LENDING 7 0.02





Appendix C

Alternative Assets Manager Performance Detail


Vintage Year

(Cash Flow) Commitments Contributions Distributions Market Value

Investment

Multiple ITD IRR% TOTAL PRIVATE EQUITY 5,041,887,522 4,184,723,306 3,442,301,431 2,366,935,062 1.39 10.1%

TOTAL ACTIVE 4,827,305,861 3,950,869,142 3,151,327,795 2,366,935,062 1.40 10.3%

Cypress Merchant Banking Partners II, L.P. 1999 45,172,972 53,970,573 50,537,286 129,423 0.94 -1.2%FdG Capital Partners LLC 1999 50,000,000 57,908,408 97,563,862 1,329,874 1.71 14.8%Lincolnshire Equity Fund II, L.P. 1999 11,038,409 11,556,880 21,877,852 621,939 1.95 24.6%Solera Partners, L.P. 2000 9,999,888 13,245,273 20,817,577 1,840,522 1.71 8.4%SCP Private Equity Partners II, L.P. 2000 25,000,000 28,057,160 10,166,299 4,539,780 0.52 -7.8%Apollo Investment Fund V, L.P. 2001 35,000,000 54,534,624 107,300,827 1,089,043 1.99 38.8%CVC European Equity Partners III, L.P. 2001 25,000,000 28,947,553 74,439,614 684,287 2.60 41.1%Coller International Partners IV, L.P. 2002 26,100,000 26,761,761 35,449,887 714,781 1.35 11.5%Landmark Equity Partners XI, L.P. 2002 30,000,000 28,518,970 42,043,251 2,058,648 1.55 23.5%FS Equity Partners V, L.P. 2003 15,000,000 12,839,447 25,051,276 1,376,467 2.06 15.6%Blackstone Capital Partners IV, L.P. 2003 46,253,267 57,120,726 126,504,843 12,013,552 2.43 36.4%Ares Corporate Opportunities Fund, L.P. 2003 35,000,000 41,988,154 61,414,834 3,646,882 1.55 13.6%Markstone Capital Partners, LP 2004 10,000,000 11,724,772 4,955,651 488,982 0.46 -33.3%Euro Choice II (Delaware) L.P. 2004 20,254,923 20,142,503 27,880,930 1,441,597 1.46 7.1%FdG Capital Partners II LP 2004 25,000,000 26,874,461 30,356,466 1,761,951 1.20 3.6%Paladin Homeland Security Fund (NY City), L.P. 2004 30,000,000 32,917,117 12,041,510 1,340,092 0.41 -13.0%Lincolnshire Equity Fund III, L.P. 2004 15,000,000 14,782,030 18,945,592 7,319,953 1.78 29.7%Yucaipa American Alliance Fund I, LP 2004 20,000,000 29,967,488 25,901,853 7,152,860 1.10 2.9%Aurora Equity Partners III L.P. 2004 15,000,000 16,236,943 25,918,608 1,649,318 1.70 14.3%Trilantic Capital Partners III L.P. 2004 20,000,000 18,079,250 29,208,586 427,682 1.64 14.6%Medica III Investments (International) L.P. 2004 10,000,000 10,000,000 4,237,089 3,960,000 0.82 -4.5%Celtic Pharmaceutical Holdings L.P. 2004 10,000,000 10,160,838 160,838 1,590,407 0.17 -18.3%Palladium Equity Partners III, L.P. 2005 25,000,000 26,789,577 37,404,695 12,958,689 1.88 15.6%New Mountain Partners II, L.P. 2005 7,741,935 6,963,466 13,477,943 114,045 1.95 13.7%VSS Communications Partners IV, L.P. 2005 12,345,176 14,215,032 9,510,398 1,024,364 0.74 -5.2%Carlyle Partners IV, L.P. 2005 50,000,000 51,531,593 100,493,030 1,866,850 1.99 13.1%Levine Leichtman Capital Partners Deep Value Fund, L.P. 2005 20,000,000 24,978,381 23,048,497 2,615,628 1.03 0.7%Prism Venture Partners V-A, L.P. 2005 20,000,000 20,508,481 11,142,526 2,807,631 0.68 -7.6%Arlington Capital Partners II, L.P. 2005 20,000,000 20,224,665 31,178,301 3,030,489 1.69 11.0%Quadrangle Capital Partners II LP 2005 22,663,116 23,617,633 27,174,641 1,972,204 1.23 4.3%Snow Phipps Group, L.P. 2005 10,000,000 11,582,385 9,035,666 6,072,314 1.30 6.9%GI Partners Fund II L.P. 2005 12,500,000 12,661,967 14,945,807 5,100,843 1.58 7.5%Blackstone Mezzanine Partners II, L.P. 2005 14,000,000 13,356,144 17,644,741 267,634 1.34 7.9%

Information provided by the New York City Police Retirement System Consultants


Through September 30, 2016

New York City Police Pension Fund, Subchapter Two 47Performance Overview as of September 30, 2016

Vintage Year


Investment

Multiple ITD IRR%Psilos Group Partners III, L.P. 2005 12,500,000 13,287,792 6,410,270 9,634,801 1.21 3.6%FirstMark Capital I, L.P. (fka FirstMark IV) 2005 10,000,000 10,927,097 25,631,641 39,355,044 5.95 37.9%USPF II Institutional Fund, L.P. 2005 20,000,000 26,379,750 18,581,412 18,382,700 1.40 6.3%Bridgepoint Europe III 2005 15,662,692 14,480,947 9,262,145 6,811,187 1.11 1.5%JP Morgan Fleming (Tranche A) 2005 40,000,000 38,970,143 28,422,496 23,332,156 1.33 6.1%Aisling Capital II, LP 2006 2,500,000 2,948,127 2,070,599 667,058 0.93 -1.5%InterMedia Partners VII, L.P. 2006 12,500,000 14,562,257 9,040,519 12,391,274 1.47 5.7%Falconhead Capital Partners II, L.P. 2006 15,000,000 16,747,713 13,925,346 4,760,285 1.12 2.4%Terra Firma Capital Partners III, L.P. 2006 15,529,086 15,764,303 1,591,594 6,137,146 0.49 -10.6%Fenway Partners Capital Fund III, L.P. 2006 15,000,000 16,976,091 13,756,197 5,315,631 1.12 2.4%Blackstone Capital Partners V, L.P. 2006 42,087,697 44,704,063 60,307,634 11,703,528 1.61 8.0%Avista Capital Partners, L.P. 2006 20,000,000 26,203,514 23,723,520 9,972,555 1.29 5.5%GSC Recovery III, L.P. 2006 5,000,000 5,635,384 5,939,453 527,368 1.15 3.6%Apollo Investment Fund VI, L.P. 2006 45,000,000 57,919,123 72,655,611 13,041,243 1.48 8.8%Landmark Equity Partners XIII, L.P. 2006 10,000,000 9,599,442 9,083,357 3,145,499 1.27 5.4%Ares Corporate Opportunities Fund II, L.P. 2006 15,000,000 16,428,261 26,480,331 1,712,988 1.72 13.7%Atlantic Equity Partners IV, L.P. 2006 25,124,928 21,894,132 - 13,293,545 0.61 -7.2%CCMP Capital Investors II, L.P. 2006 20,000,000 22,008,129 28,576,394 8,614,157 1.69 13.6%Capital Partners Private Equity Income Fund, L.P. 2006 15,000,000 14,427,704 27,163,959 4,649,496 2.21 21.1%CLP 2014 (fka Perseus Partners VII) 2006 15,000,000 17,507,724 6,381,118 197,279 0.38 -22.7%NB Co-Investment Partners LP 2006 60,000,000 60,465,577 81,988,963 5,742,898 1.45 8.8%Euro Choice III L.P. 2006 26,748,273 26,386,304 22,604,114 7,627,741 1.15 2.9%Thomas, McNerney & Partners II, L.P. 2006 10,000,000 9,939,667 18,692,335 3,760,312 2.26 17.3%Catterton Partners VI, L.P. 2006 20,000,000 22,316,024 27,716,915 13,821,763 1.86 12.8%First Reserve Fund XI, L.P. 2006 20,000,000 21,253,053 12,378,233 2,073,861 0.68 -9.4%Permira IV, L.P. 2006 16,124,577 17,323,598 21,684,796 4,565,345 1.52 8.5%Arsenal Capital Partners II, LP 2006 10,000,000 11,980,340 15,794,212 4,216,492 1.67 10.8%RRE Ventures IV, L.P. 2006 15,000,000 18,661,640 9,019,243 19,335,746 1.52 7.7%Coller International Partners V, L.P. 2006 10,000,000 8,677,544 9,857,318 2,491,562 1.42 8.6%MidOcean Partners III, L.P. 2006 40,000,000 45,636,853 35,026,869 39,819,735 1.64 10.3%GF Capital Private Equity Fund, L.P. 2006 10,000,000 10,437,343 11,523,375 6,870,314 1.76 13.8%The Fourth Cinven Fund 2006 13,927,457 14,218,057 18,359,161 1,320,249 1.38 6.7%Pegasus Partners IV, L.P. 2007 15,000,000 17,812,789 10,692,339 6,914,834 0.99 -0.3%Olympus Capital Asia III, L.P. 2007 20,000,000 23,404,664 10,227,177 15,053,822 1.08 2.1%FTVentures III, LP 2007 7,500,000 8,222,068 10,823,681 6,261,711 2.08 16.3%Highland Consumer Fund I LP 2007 10,000,000 9,716,060 2,943,522 4,898,121 0.81 -3.5%





Vintage Year


Investment

Multiple ITD IRR%Montreux Equity Partners IV, L.P. 2007 10,000,000 10,000,000 5,522,350 8,794,585 1.43 7.1%Gleacher Mezzanine Fund II, L.P. 2007 10,000,000 9,190,269 11,442,438 697,573 1.32 10.4%Quaker BioVentures II, L.P. 2007 15,000,000 13,544,055 8,578,954 9,590,043 1.34 7.3%SCP Vitalife Partners II Fund 2007 15,000,000 15,074,774 1,184 9,487,065 0.63 -8.2%Comvest Investment Partners III, L.P. 2007 15,000,000 19,347,731 11,687,799 10,426,981 1.14 3.8%Constellation Venture Capital III, L.P. 2007 15,000,000 16,296,009 3,405,627 8,912,550 0.76 -5.3%United States Power Fund III, L.P. 2007 15,000,000 16,547,716 8,075,883 15,237,280 1.41 6.7%Carlyle Partners V, L.P. 2007 50,000,000 50,960,693 65,066,727 19,165,512 1.65 13.1%PCG Clean Energy & Technology Fund (East), LLC 2007 40,000,000 35,578,057 4,435,816 16,682,543 0.59 -9.2%GSO Capital Opportunities Fund LP 2007 17,500,000 26,152,888 36,667,384 1,090,401 1.44 17.7%New Mountain Partners III, L.P. 2007 35,000,000 34,577,731 28,450,539 32,460,914 1.76 12.9%Vista Equity Partners Fund III, L.P. 2007 20,000,000 21,264,659 45,248,726 9,420,823 2.57 28.2%Trilantic Capital Partners IV L.P. 2007 45,856,523 47,523,753 64,628,215 8,768,842 1.54 13.8%Pine Brook Capital Partners, L.P. 2007 15,000,000 15,857,669 9,260,515 9,550,131 1.19 5.5%Paladin III (NY City), L.P. 2008 30,000,000 37,486,156 17,846,948 30,622,595 1.29 7.2%Relativity Fund, L.P. 2008 8,158,371 8,080,212 1,726,554 2,566,159 0.53 -10.8%Apollo Investment Fund VII, L.P. 2008 50,000,000 59,013,843 88,540,231 14,020,721 1.74 24.0%NGN BioMed Opportunity II, L.P. 2008 10,000,000 9,575,911 1,973,105 4,873,659 0.71 -7.1%Carpenter Community BancFund-A, L.P. 2008 15,000,000 14,639,741 8,743,840 14,363,619 1.58 8.1%Riverstone/Carlyle Global Energy & Power Fund IV, L.P. 2008 15,000,000 16,553,054 11,269,151 7,161,390 1.11 3.6%Yucaipa American Alliance Fund II, LP 2008 50,000,000 68,226,790 40,539,046 53,125,491 1.37 8.3%Milestone Partners III, L.P. 2008 15,000,000 16,041,868 8,551,738 6,430,277 0.93 -1.5%Levine Leichtman Capital Partners IV, L.P. 2008 10,000,000 10,040,438 14,921,689 2,755,208 1.76 20.2%Lee Equity Partners Fund, L.P. 2008 17,534,865 23,773,661 28,901,301 132,452 1.22 6.4%Coral's 2007 Institutional Momentum Fund, L.P. 2008 10,000,000 9,492,863 2,951,671 1,373,321 0.46 -12.6%Yucaipa Corporate Initiatives Fund II, LP 2008 14,030,930 13,674,863 4,223,223 8,298,901 0.92 -1.9%CVC European Equity Partners V, L.P. 2008 34,235,819 36,082,338 35,760,981 19,731,156 1.54 13.1%GI Partners Fund III L.P. 2008 17,500,000 18,776,388 19,126,496 8,408,407 1.47 12.5%Ares Corporate Opportunities Fund III, L.P. 2008 25,000,000 29,898,610 32,087,014 22,223,800 1.82 20.7%GCM Grosvenor NYCPPF Emerging Manager Co-Investment Fund, L.P. 2008 4,457,094 5,205,379 9,111,656 26,031 1.76 13.8%GCM Grosvenor NYCPPF Emerging Manager Fund, L.P. 2008 59,909,091 66,220,525 45,699,726 43,300,985 1.34 11.0%First Reserve Fund XII, L.P. 2008 20,000,000 21,848,895 9,561,261 6,298,156 0.73 -8.8%Landmark Equity Partners XIV, L.P. 2008 27,250,000 25,554,119 21,509,134 11,649,663 1.30 11.0%Crestview Partners II, L.P. 2008 22,500,000 24,562,425 20,497,395 17,904,724 1.56 13.7%NB New York City Growth Fund IA 2008 4,835,960 4,835,960 1,670,495 1,549,781 0.67 -6.5%Euro Choice IV L.P. 2008 19,418,524 17,198,379 5,949,216 15,180,551 1.23 5.8%





Vintage Year


Investment

Multiple ITD IRR%Avista Capital Partners II, L.P. 2008 35,000,000 43,079,137 55,177,135 23,254,443 1.82 17.4%Blue Wolf Capital Fund II, L.P. 2008 15,000,000 16,300,742 7,500,716 12,380,483 1.22 6.0%Bridgepoint Europe IV 2008 13,338,254 13,183,378 11,530,309 7,283,299 1.43 10.2%Aisling Capital III, LP 2008 7,000,000 7,650,414 7,267,618 5,052,360 1.61 20.6%Onex Partners III LP 2008 15,000,000 16,205,396 11,845,771 13,283,859 1.55 13.1%NorthBound Emerging Manager Custom Fund LP 2009 20,000,000 16,778,548 12,932,090 15,793,049 1.71 16.3%Welsh, Carson, Anderson & Stowe XI, L.P. 2009 22,500,000 21,886,338 18,104,365 14,882,943 1.51 12.6%Scale Venture Partners III, LP 2009 10,000,000 9,787,455 11,452,912 10,489,299 2.24 22.5%FS Equity Partners VI, L.P. 2009 20,000,000 19,284,165 14,990,562 20,989,804 1.87 18.0%Lincolnshire Equity Fund IV, L.P. 2009 7,500,000 7,706,136 2,628,781 7,147,288 1.27 8.2%Lexington Capital Partners VII, L.P. 2009 20,000,000 17,067,528 16,274,735 9,174,361 1.49 15.0%Snow Phipps II, L.P. 2010 17,500,000 17,708,181 8,353,557 18,424,528 1.51 17.1%Trident V, L.P. 2010 40,000,000 42,912,952 11,923,760 44,779,167 1.32 9.1%Comvest Investment Partners IV, L.P. 2010 45,000,000 43,800,411 54,539,724 21,649,160 1.74 34.0%Blackstone Capital Partners VI, L.P. 2011 35,000,000 33,729,376 7,892,448 34,228,230 1.25 10.6%Ampersand 2011 2011 12,500,000 12,062,500 4,347,071 20,462,823 2.06 20.3%BDCM Opportunity Fund III, L.P. 2011 20,000,000 25,513,911 9,212,561 20,817,860 1.18 7.6%AXA Secondary Fund V B L.P. 2011 80,000,000 63,481,442 46,867,244 49,949,816 1.53 16.7%Wellspring Capital Partners V, L.P. 2011 22,500,000 20,180,690 2,760,861 26,676,916 1.46 16.3%EQT VI, L.P. 2011 48,612,427 47,807,272 6,285,469 52,891,853 1.24 8.5%Pegasus Partners V, L.P. 2011 14,552,940 11,997,996 2,853,229 15,841,538 1.56 15.0%BC European Capital IX 2011 66,041,060 58,729,556 23,691,460 51,949,546 1.29 10.6%American Securities Partners VI, L.P. 2011 50,000,000 53,033,511 16,367,629 61,701,597 1.47 19.5%Vista Equity Partners Fund IV, L.P. 2011 70,000,000 69,641,973 34,161,972 88,771,509 1.77 21.3%Warburg Pincus Private Equity XI, L.P. 2012 80,000,000 75,115,264 15,552,880 80,648,820 1.28 12.7%Summit Partners Growth Equity Fund VIII-A, L.P. 2012 75,000,000 70,718,018 21,243,297 74,963,901 1.36 18.0%NYCPPF - 2012 Emerging Manager Program 2012 50,000,000 30,472,741 3,546,471 31,358,046 1.15 9.6%Trilantic Capital Partners V L.P. 2012 50,000,000 28,949,186 2,577,450 29,099,194 1.09 5.1%Palladium Equity Partners IV, L.P. 2012 35,000,000 19,790,211 1,985,088 19,721,512 1.10 5.1%Ares Corporate Opportunities Fund IV, L.P. 2012 50,000,000 40,968,421 7,740,801 43,912,982 1.26 12.7%Green Equity Investors VI, L.P. 2012 55,000,000 54,997,382 7,570,068 58,026,934 1.19 11.5%Platinum Equity Capital Partners III, L.P. 2012 50,000,000 36,108,506 28,262,725 31,459,112 1.65 47.5%Neuberger Berman Strategic Co-Investment II LP 2012 60,000,000 54,460,517 18,947,517 58,843,284 1.43 21.5%Carlyle Partners VI, L.P. 2013 60,000,000 31,223,379 7,010,554 28,813,054 1.15 8.8%Carlyle Partners VI, L.P. (Side Car) 2014 3,654,000 3,580,525 - 3,340,965 0.93 -5.3%Landmark Equity Partners XV, L.P. 2013 67,000,000 25,306,190 10,913,440 18,664,003 1.17 10.9%





Vintage Year


Investment

Multiple ITD IRR%Landmark - NYC Fund I, L.P. 2013 23,000,000 10,535,017 3,921,724 9,558,755 1.28 15.9%Apollo Investment Fund VIII, L.P. 2013 100,000,000 56,373,280 4,400,246 58,477,036 1.12 12.0%CVC Capital Partners VI, L.P. 2013 87,324,679 31,368,395 592,149 30,583,115 0.99 -0.5%Crestview Partners III, L.P. 2013 45,000,000 10,303,737 170,137 9,504,845 0.94 NMCrestview Partners III (Co-Investment B), L.P. 2013 15,000,000 5,028,324 205,453 4,980,675 1.03 NMOlympus Growth Fund VI, L.P. 2014 35,000,000 17,816,102 2,699,285 20,865,990 1.32 35.1%ASF VI B L.P. 2014 60,000,000 31,550,965 2,010,746 36,311,723 1.21 14.5%ASF VI B NYC Co-Invest L.P. 2014 20,000,000 12,615,736 2,826,065 13,547,321 1.30 17.5%Vista Equity Partners Fund V, L.P. 2014 85,000,000 82,607,872 15,003,458 76,947,927 1.11 9.7%Lexington Capital Partners VIII, L.P. 2014 80,000,000 17,703,544 5,224,497 17,387,163 1.28 NMSiris Partners III, L.P. 2015 15,000,000 6,487,707 11,565 6,240,718 0.96 NMCenterbridge Capital Partners III, L.P. 2015 11,100,000 2,955,686 117,014 3,363,708 1.18 NMWelsh, Carson, Anderson & Stowe XII, L.P. 2015 37,000,000 10,417,440 - 11,055,349 1.06 NMWarburg Pincus Private Equity XII, L.P. 2015 97,000,000 10,734,512 - 9,389,464 0.87 NMASF VII B L.P. 2015 44,500,000 3,340,418 11,738 3,897,810 1.17 NMASF VII B NYC Co-Invest L.P. 2015 22,000,000 2,200 - 2,200 1.00 NMEQT VII, L.P. 2015 75,983,382 14,175,518 - 12,404,648 0.88 NMAmerican Securities Partners VII, L.P. 2015 37,000,000 3,016,466 - 2,831,509 0.94 NMBridgepoint Europe V L.P. 2015 29,157,249 8,153,513 - 8,265,032 1.01 NMBridgepoint Europe V Co-Invest 2015 7,855,023 1,546,441 - 1,541,004 1.00 NMNYCPPF - 2015 Emerging Manager Program 2015 60,000,000 1,636,030 20,798 1,604,393 0.99 NMVista Equity Partners Fund VI, L.P. 2016 75,000,000 15,994,941 - 16,135,246 1.01 NMApax IX USD, L.P. 2016 60,000,000 - - (398,575) - N/AAres Corporate Opportunities Fund V, L.P. 2017 44,000,000 - - - - N/ABC European Capital X 2017 41,589,480 - - - - N/ABCEC X Co-Investment 2017 16,635,792 - - - - N/AGreen Equity Investors VII, L.P. 2017 44,000,000 - - - - N/A





Vintage Year


Investment

Multiple ITD IRR%

TOTAL LIQUIDATED 214,581,661 233,854,163 290,973,636 - 1.24 7.5%

AEA Investors 2006 Fund L.P. 2006 11,446,883 13,008,112 15,421,443 - 1.19 7.8%Carlyle Partners III, L.P. 2000 22,989,887 28,296,807 60,015,870 - 2.12 23.3%Clayton, Dubilier & Rice Fund VII, L.P. 2005 18,252,189 20,710,263 23,297,634 - 1.12 2.5%Clayton, Dubilier & Rice Fund VIII, L.P. 2009 13,159,676 15,837,782 18,107,624 - 1.14 6.2%DMR Mortgage Opportunity Companion Fund 2008 12,000,000 12,000,000 16,148,533 - 1.35 45.3%Emerald Infrastructure Development Fund 2008 797,444 797,444 4,486 - 0.01 -99.4%HM 2006 Sector Performance Fund 2007 13,911,005 15,884,647 11,180,373 - 0.70 -12.0%New Mountain Partners, L.P. 2001 13,606,449 12,842,716 18,682,465 - 1.45 12.3%NewSpring Growth Capital II, L.P. 2006 10,800,000 10,875,288 16,146,638 - 1.48 11.7%Prism Venture Partners IV, L.P. 2001 25,000,000 25,037,757 18,392,887 - 0.73 -6.5%Silver Lake Partners II, L.P. 2004 10,365,500 11,864,813 16,916,905 - 1.43 9.1%Silver Lake Partners III, L.P. 2007 12,729,683 15,250,560 20,716,538 - 1.36 16.6%Tailwind Capital Partners, L.P. 2007 13,028,645 14,826,999 15,061,359 - 1.02 0.7%VS&A Communications Partners III, L.P. 1998 20,000,000 20,099,362 27,624,880 - 1.37 6.3%





Vintage Year Style Sector

Original

Commitment

Total

Contributions

Total

Distrubutions Market Value

Total Value

Multiple Net IRR% TOTAL REAL ASSETS 2,671,703,696 2,062,517,950 1,045,534,508 1,715,683,500 1.34 8.5% TOTAL PRIVATE REAL ESTATE 2,379,703,696 1,922,905,991 1,039,088,859 1,566,256,427 1.35 10.3% TOTAL LIQUIDATED PRIVATE REAL ESTATE 25,000,000 25,469,178 30,508,425 - TOTAL INFRASTRUCTURE 292,000,000 139,611,959 6,445,649 149,427,073 1.12 8.3%

TOTAL PRIVATE REAL ESTATE

PRISA SA 2006 Core / Core Plus Portfolio 21,000,000 22,590,656 5,960,880 27,383,517 1.48 4.3%Prologis Targeted U.S. Logistics Fund 2006 Core / Core Plus Portfolio 10,000,000 13,078,890 3,194,909 12,890,292 1.23 2.7%RREEF America REIT II 2006 Core / Core Plus Portfolio 21,000,000 27,724,347 12,207,596 27,552,700 1.43 4.9%UBS Trumbull Property Fund 2006 Core / Core Plus Portfolio 61,000,000 83,013,301 17,651,958 103,248,284 1.46 7.2%Colony Realty Partners II 2007 Core / Core Plus Portfolio 20,000,000 21,420,211 666,108 4,444,500 0.24 -15.5%Heitman HART 2007 Core / Core Plus Portfolio 28,000,000 39,429,484 11,429,484 52,946,089 1.63 8.3%JP Morgan Special Situation Property Fund 2007 Core / Core Plus Portfolio 15,000,000 17,219,449 4,558,328 18,984,376 1.37 3.9%JP Morgan Strategic Property Fund 2007 Core / Core Plus Portfolio 56,000,000 61,244,587 - 109,049,141 1.78 8.5%PRISA II 2007 Core / Core Plus Portfolio 60,278,867 63,729,327 13,885,896 81,208,576 1.49 5.4%RREEF America REIT III - 1410 2007 Core / Core Plus Portfolio 15,000,000 15,000,000 8,425,717 108,543 0.57 -7.6%LaSalle Property Fund 2010 Core / Core Plus Portfolio 50,000,000 50,000,000 11,027,538 68,212,833 1.58 12.2%Almanac Realty Securities VI 2012 Core / Core Plus Portfolio 50,000,000 33,006,980 21,973,137 22,025,548 1.33 16.8%Almanac Realty Securities VI (Sidecar II) 2012 Core / Core Plus Portfolio 15,000,000 5,646,099 2,704,818 5,642,048 1.48 28.5%NYC Asset Investor #2 LLC 2013 Core / Core Plus Portfolio 60,000,000 54,727,180 7,734,896 59,565,266 1.23 13.6%MetLife Core Property Fund 2014 Core / Core Plus Portfolio 40,000,000 40,000,000 3,260,589 45,862,264 N/A N/AAlmanac Realty Securities VII 2015 Core / Core Plus Portfolio 50,000,000 13,885,060 399,581 14,736,239 N/A N/AAlmanac Realty Securities VII (Sidecar II) 2016 Core / Core Plus Portfolio 20,000,000 3,151,212 - 3,499,234 N/A N/AExeter Industrial Core Club Fund II 2016 Core / Core Plus Portfolio 19,000,000 3,211,667 - 3,270,771 N/A N/A

Jamestown Premier Property Fund 2016 Core / Core Plus Portfolio 26,000,000 26,458,635 2,112,515 25,269,249 N/A N/ANYCRS Artemis Co-Investment 2016 Core / Core Plus Portfolio 35,000,000 3,868,400 - 5,281,456 N/A N/AUSAA Eagle Real Estate Fund 2016 Core / Core Plus Portfolio 40,000,000 26,279,745 - 28,688,979 N/A N/AOCM Real Estate Opportunities Fund III 2003 Non-Core Portfolio 15,000,000 15,000,000 25,112,239 299,415 1.69 11.3%Blackstone Fund IV 2004 Non-Core Portfolio 15,000,000 19,220,353 23,760,790 3,142,627 1.40 10.5%The City Investment Fund I 2004 Non-Core Portfolio 70,000,000 69,030,360 69,717,861 207,251 1.01 0.3%Canyon Johnson Urban Fund II 2005 Non-Core Portfolio 20,000,000 17,977,405 7,642,638 358,413 0.45 -10.5%AREA Real Estate Investment Fund V, LP 2006 Non-Core Portfolio 5,000,000 5,000,004 2,618,045 2,205,354 0.96 -0.5%Blackstone Real Estate Partners VI 2007 Non-Core Portfolio 40,000,000 44,491,298 63,942,353 19,747,341 1.88 12.8%Carlyle Realty Partners V 2007 Non-Core Portfolio 20,000,000 25,041,022 28,314,182 6,271,542 1.38 8.5%Colony Investors VIII 2007 Non-Core Portfolio 20,000,000 21,249,679 5,949,393 3,743,050 0.46 -11.9%Metropolitan Workforce Housing Fund 2007 Non-Core Portfolio 7,000,000 7,006,513 6,082,622 2,511,260 1.23 4.2%AG Realty Fund VII 2008 Non-Core Portfolio 25,000,000 23,500,000 32,304,572 3,649,637 1.53 13.3%American Value Partners Fund I 2008 Non-Core Portfolio 15,000,000 11,355,858 8,574,389 3,351,976 1.05 1.0%ARA Asia Dragon Fund 2008 Non-Core Portfolio 10,000,000 9,284,000 11,886,344 42,492 1.28 7.1%AREA European Real Estate Fund III, LP 2008 Non-Core Portfolio 30,000,000 30,487,500 30,737,500 5,504,558 1.19 4.4%Fidelity Real Estate Growth Fund III 2008 Non-Core Portfolio 15,000,000 13,388,046 16,144,453 1,795,578 1.34 7.7%






Original

Commitment

Total

Contributions

Total


Total Value

Multiple Net IRR%

PRISA III 2008 Non-Core Portfolio 30,000,000 34,999,376 - 77,036,697 2.20 13.1%Silverpeak Legacy Partners III 2008 Non-Core Portfolio 30,000,000 13,301,089 1,873,126 3,408,177 0.40 -12.0%Stockbridge Real Estate Fund III 2008 Non-Core Portfolio 27,000,000 26,998,145 16,829,753 16,888,211 1.25 3.9%Westbrook Real Estate Fund VII 2008 Non-Core Portfolio 10,000,000 11,104,267 9,618,184 3,570,258 1.19 3.2%Thor Urban Property Fund II 2009 Non-Core Portfolio 20,000,000 25,878,333 27,390,625 11,687,043 1.51 12.4%Walton Street Real Estate Fund VI 2009 Non-Core Portfolio 30,000,000 26,594,360 25,469,507 13,903,175 1.48 9.4%

Blackstone Real Estate Partners Europe III (USD Vehicle) 2010 Non-Core Portfolio 35,000,000 35,892,683 25,707,658 23,932,957 1.38 11.1%Canyon Johnson Urban Fund III 2010 Non-Core Portfolio 15,000,000 14,793,490 19,793,332 381,997 1.36 12.2%Westbrook Real Estate Fund VIII 2010 Non-Core Portfolio 35,000,000 41,528,314 47,461,062 6,934,164 1.31 12.3%Carlyle Realty Partners VI 2011 Non-Core Portfolio 40,000,000 37,438,985 42,289,887 21,275,234 1.70 28.4%H/2 Special Opportunities Fund II 2011 Non-Core Portfolio 25,000,000 25,000,000 17,691,340 18,320,363 1.44 15.5%Blackstone Real Estate Partners VII 2012 Non-Core Portfolio 100,000,000 117,656,062 81,852,015 96,211,391 1.51 20.7%Brookfield Strategic Real Estate Partners 2012 Non-Core Portfolio 60,000,000 62,227,575 20,372,812 68,437,851 1.43 17.5%Divco West Fund III 2012 Non-Core Portfolio 70,000,000 68,667,971 97,570,008 19,338,869 1.70 25.1%Taconic New York City Investment Fund LP 2012 Non-Core Portfolio 40,000,000 16,545,454 12,636,364 15,109,190 1.68 16.3%KTR Industrial Fund III 2013 Non-Core Portfolio 30,000,000 13,109,606 20,690,514 56,632 1.58 40.5%NYC Asset Investor #1 LLC 2013 Non-Core Portfolio 30,000,000 32,158,026 4,185,071 35,934,280 1.25 14.0%NYC Asset Investor #3 LLC 2013 Non-Core Portfolio 40,000,000 16,630,386 156,538 16,742,474 1.02 1.2%Blackstone Real Estate Partners Europe IV (USD Vehicle) 2014 Non-Core Portfolio 97,500,000 86,181,359 12,684,090 83,363,592 N/A N/ACarlyle Realty Partners VII 2014 Non-Core Portfolio 60,000,000 29,353,934 210,411 32,936,040 N/A N/ADivco West Fund IV 2014 Non-Core Portfolio 70,000,000 67,974,450 33,131,822 71,696,220 N/A N/ALone Star Real Estate Fund III 2014 Non-Core Portfolio 75,000,000 69,578,920 26,225,726 62,403,368 N/A N/AAvanath Affordable Housing Fund II 2015 Non-Core Portfolio 5,000,000 4,879,165 - 7,081,898 N/A N/ABlackstone Real Estate Partners VIII 2015 Non-Core Portfolio 101,000,000 39,822,105 3,299,850 42,687,417 N/A N/A

H/2 Special Opportunities Fund III 2015 Non-Core Portfolio 40,000,000 29,690,932 670,375 33,214,032 N/A N/ADivco West Fund V 2016 Non-Core Portfolio 40,000,000 - - (199,548) N/A N/AEuropean Property Investors Special Opportunities IV (EPISO IV) 2016 Non-Core Portfolio 32,413,099 4,746,821 789,033 4,114,653 N/A N/ALone Star Real Estate Fund V 2016 Non-Core Portfolio 92,700,000 - - (604,260) N/A N/APW Real Estate Fund III LP 2016 Non-Core Portfolio 30,811,730 6,704,579 - 6,375,072 N/A N/AWestbrook Real Estate Fund X 2016 Non-Core Portfolio 24,000,000 1,263,158 - 1,318,581 N/A N/A






Original

Commitment

Total

Contributions

Total


Total Value

Multiple Net IRR% TOTAL LIQUIDATED PRIVATE REAL ESTATE

Canyon Johnson Urban Fund 2003 Non-Core Portfolio 10,000,000 9,060,242 10,582,954 - 1.17 10.2%Carbon Capital III 2009 Non-Core Portfolio 15,000,000 16,408,936 19,925,471 - 1.21 8.5%

TOTAL INFRASTRUCTURE INVESTMENTS

Brookfield Infrastructure Fund II 2013 60,000,000 46,256,830 4,558,661 51,542,039 1.21 15.0%

IFM Global Infrastructure Fund 2014 60,000,000 61,403,333 1,403,333 66,131,765 N/A N/AFirst Reserve Energy Infrastructure Fund II, L.P. 2014 40,000,000 9,186,768 325,300 9,499,962 N/A N/AGlobal Infrastructure Partners III-A/B, L.P. 2016 71,000,000 13,490,019 146 12,083,407 N/A N/ABrookfield Infrastructure Fund III, L.P. 2016 61,000,000 9,275,009 158,209 10,169,900 N/A N/A





Vintage Year

Commitment -

Closing (Base)

Contributions

Cumulative (Local)

Distributions

Cumulative

Final Market

Value

3 Month

Base%

Inception

IRR% TOTAL OPPORTUNISTIC FIXED INCOME 1,193,203,939 1,127,927,514 386,275,989 992,909,235 3.32% 7.73%

Avenue Special Situations Fund V, L.P. 2007 20,209,326 20,520,314 26,593,239 225,651 0.00% NMAvenue Europe Special Sit. Fund, L.P. 2008 14,369,613 13,775,563 26,740,991 141,671 -6.14% NMTorchlight Debt Oppy Fund III, LLC 2009 35,000,000 37,314,271 49,884,871 4,938,062 3.46% 13.35%AG GECC PPIP Fund, L.P. 2010 27,000,000 27,052,129 41,724,862 50,500 20.19%Avenue Special Situations Fund VI L.P. 2011 45,000,000 46,135,636 33,627,010 21,741,809 0.00% 2.48%Golden Tree - 2011 88,000,000 82,502,006 - 117,013,918 2.14% 8.25%Marathon Centre Street Partnership, L.P. 2011 140,625,000 149,625,000 22,500,000 182,132,287 7.82% 9.17%AG Centre Street Partnership, L.P. 2012 105,000,000 82,950,000 14,131,909 89,518,396 3.02% 6.52%Apollo Centre Street Partnership, L.P 2012 162,500,000 147,914,633 46,636,178 104,043,814 2.22% 2.26%FCO MA Centre Street L.P. 2012 90,000,000 116,219,274 45,772,560 88,678,345 0.00% 7.82%OHA Centre Street Partnership, L.P. 2012 112,500,000 109,750,261 27,426,143 106,816,243 4.69% 6.98%Contrarian Partnership, L.P 2013 55,000,000 49,500,000 - 55,151,156 5.02% 5.47%Lone Star Fund VIII(U.S.), L.P. 2013 70,000,000 62,953,631 48,519,797 32,537,052 0.00% 20.03%Oaktree Opportunities Fund IX, L.P. 2013 70,000,000 70,000,000 - 71,751,594 3.51% 0.94%Ares Centre Street LP 2014 90,000,000 82,360,975 - 93,158,688 1.26% 9.70%Brightwood Capital Fund III, L.P. 2015 22,000,000 17,853,821 2,718,429 15,190,909 0.00% 2.94%Torchlight Debt Opportunity Fund V, LP 2015 46,000,000 11,500,000 - 9,819,139 2.01% 9.07%

Information provided by Alpha Frontier

Above data is not final and subject to change




Market Value MTD Return%

3 Month

Return%

24 Month

Return% FYTD Return% YTD Return%

1 Year

Return%

3 Year

Return%

ITD

Return%

ITD Cumulative

Return% TOTAL HEDGE FUNDS 1,688,303,263 1.09% 2.66% 0.68% 3.48% 3.00% 3.00% 2.20% 2.84% 16.68% TOTAL DIRECT HEDGE FUNDS 1,533,869,047 1.04% 2.64% 0.75% 3.43% 2.80% 2.80% 2.37% 4.02% 21.80% TOTAL FUND OF FUNDS HEDGE FUNDS 154,434,216 1.50% 2.83% 0.46% 3.98% 4.58% 4.58% 1.34% 2.37% 13.77%

TOTAL DIRECT HEDGE FUNDS

DE Shaw Composite Fund LLC 210,532,356 -1.04% 0.87% 10.52% 3.28% 6.57% 6.57% 12.45% 13.68% 89.89%

Multi-Strategy 210,532,356 -1.04% 0.87% 9.22% 3.28% 6.57% 6.57% 10.28% 12.47% 79.93%

Brevan Howard LP 127,381,277 0.24% 6.55% 1.13% 4.34% 3.52% 3.52% 0.75% 1.71% 8.87%

Systematica BlueTrend Fund LP 94,637,401 1.28% -4.05% -3.59% -10.80% -10.55% -10.55% 1.55% -0.89% -3.92%

CCP Quantitative Fund Onshore (Euler 20% Class) 60,831,477 1.39% -9.15% -5.69% -12.61% -6.65% -6.65% 7.68% -2.80% -10.54%

Pharo Macro Fund Ltd 151,151,640 2.10% -1.27% 5.50% 2.78% 7.47% 7.47% 6.40% 8.34% 32.38%

Pharo Gaia Fund Ltd 136,602,176 4.81% -0.43% 14.11% 5.35% 13.90% 13.90% 14.11% 14.11% 15.37%

Tactical Trading 570,603,971 2.10% -0.84% 0.70% -1.69% 0.94% 0.94% 4.03% 1.43% 7.35%

Caspian Select Credit Fund LP 160,130,656 2.02% 4.30% -1.20% 8.75% 8.92% 8.92% 0.21% 3.60% 17.97%

Fir Tree Value Fund LP 57,693,860 1.22% 2.77% -3.90% 5.01% 1.02% 1.02% -3.21% 1.04% 4.12%

Perry Partners LP 17,419,668 -0.93% 11.13% -3.28% 11.05% 7.92% 7.92% -3.61% -1.28% -4.51%

Standard General Fund LP 42,459,432 -4.28% -2.43% 3.87% 3.77% 10.78% 10.78% 4.39% 4.39% 11.74%

Luxor Capital Partners LP (excl side pockets) 136,601,912 2.16% 14.29% -5.26% 19.72% 10.40% 10.40% -8.35% -8.35% -20.18%

JMB Capital Partners LP 36,359,504 -0.86% -2.34% -1.93% -4.17% -1.93% -1.93% -1.93% -1.93% -1.93%

Event Driven 450,665,033 0.98% 5.36% -3.84% 8.05% 4.95% 4.95% -3.59% 1.72% 8.26%

Cash 0.00% 0.01% 0.00% 0.01% 0.01% 0.01% 0.01% 0.01%

Cash 0.00% 0.01% 0.00% 0.01% 0.01% 0.01% 0.01% 0.01%

SRS Partners US LP 114,733,094 -0.41% 4.25% 5.58% 8.41% -2.84% -2.84% 5.58% 5.58% 11.48%

Gotham Targeted Neutral LP 38,411,526 0.72% 5.50% -0.79% 5.04% 6.40% 6.40% -0.79% -0.79% -1.51%

Turiya Fund LP 108,097,206 2.23% 6.46% -4.59% 0.56% -9.31% -9.31% -4.59% -4.59% -6.80%

Altimeter Partners Fund LP 40,825,862 -0.44% 15.29% 7.34% 29.56% 7.34% 7.34% 7.34% 7.34% 7.34%

Long/Short Equity 302,067,688 0.66% 6.58% -0.98% 7.00% -2.70% -2.70% -0.98% -0.98% -1.96%

TOTAL FUND OF FUNDS HEDGE FUNDS

Fund of Funds Hedge Funds 154,434,216 1.50% 2.83% 0.46% 3.98% 4.58% 4.58% 1.34% 2.37% 13.77%






Appendix D

Footnotes


•The Barclays Capital Aggregate (then known as the Lehman Brothers Aggregate) was used prior to 1/1/89. Effective 1/1/89, in the Government Sector, maturities of less than 5

years were dropped from the Salomon and Lehman indices. From that date until 7/1/99 the benchmark was the NYC Core + 5, from Lehman.

•Effective 7/1/94, the NYC Core + 5 Index includes BBB rated securities.

•Effective 7/1/99, the basis of the NYC Index was changed from Lehman Brothers to Salomon. Also effective 7/1/99, only Salomon indices have been used to compare all fixed

income managers.

•Effective 4/1/03, the name of the benchmark provider was changed from Salomon to Citigroup.

•Effective 7/1/03, the “NYC-Loomis” benchmark index for the Loomis Sayles Enhanced Yield portfolio reflects a change from the Citigroup BB&B Index to the more appropriate

Merrill Lynch High Yield Master II Index.

•Effective 7/1/09, the Core+5 program was restructured.

•The U.S. Gov’t sector benchmark Index was changed from the Citigroup Core+5 Treasury/Gov’t Sponsored Index to the Citigroup Core+5 Treasury/Agency Index.

•The Corporate and Yankee sectors were combined to form the new Investment Grade Credit sector. The benchmark for the new combined sector is the customized Citigroup

Credit Index. For historical performance purposes, the old Corporate sector Index is linked to the new Credit sector Index.

•There were no changes to the Mortgage sector Index.

Footnotes



General Notes • Estimated management fees for public market investments are calculated on an accrual basis without adjustment for management fee

caps. Alternative investment fees are recorded on a cash basis. Since not all alternative managers currently provide detailed fee disclosure, the alternative investment fees noted here are not comprehensive.

• Public Market returns are Net of Manager Fees for periods after January 2014 and Gross of investment advisory fees for other periods unless otherwise indicated.

• Public market excess returns for periods prior to 2014 are based on Gross performance. Page Specific Pages 10 & 11 - Portfolio Asset Allocation

• Rebalancing Ranges: the minimum and maximum weights that actual Asset Allocation may reach before rebalancing between Asset Classes is necessary.

Pages 12 - 14 - Performance Attribution: Total Plan • Plan Return at Policy Weights: the return of the Total Plan assuming actual Asset Class results were maintained at target (Adjusted

Policy) weights. Figure = (Return of Asset Class 1* Target Weight) plus (Return Of Asset Class 2* Target Weight) plus (……)

• Allocation Effect = Total Plan Return minus Plan Return At Adjusted Policy Weights. Allocation is the Contribution to Performance resulting from an overweight or underweight to an asset class. E.g. an underweight to an Asset Class that under-performs results in a positive Allocation Effect and vice versa.

• Selection Effect = Equal to the Custom Benchmark (Adjusted Policy Index) Return minus Plan Return at Adjusted Policy Weights. This illustrates how the Managers have added or removed value based on their Security Selection decisions, e.g., If the manager’s Actual Returns are higher than the Implied Return there will be a positive Selection Effect.

• Policy Index = Custom Benchmark

The “policy index” is a custom benchmark representing the weighted average return of the weighted benchmark indexes for each major investment program. Weights may reflect an adjustment of actual policy for outstanding commitments for new or revised programs, such as for private market programs, which are invested gradually, or for any new or updated program requiring the completion of RFPs and contracts. The policy index/custom benchmark is calculated monthly based on adjusted policy weights at the beginning of each month.

Glossary of Terms


New York City Police Pension Fund, Subchapter Two 60Performance Overview as of December 31, 201603/08/2017 05:54:16 PM

The indexes and most recent policy weights are as follows:

U.S. Equity: Russell 3000 * 33.47%

International Developed (EAFE) Markets: MSCI EAFE IMI Net * 9.48%

Emerging Markets: MSCI Emerging Markets * 6.13%

REITs: Dow Jones Real Estate Securities * 0.00%

Private Equity: Russell 3000 + 300 b.p. per annum * 6.63%

Private Real Estate - Core: NFI - ODCE Net * 4.56%

Private Real Estate – Non Core: NFI - ODCE Net * 0.00%

Infrastructure: CPI + 4% * 0.43%

Hedge Funds: HFRI Fund of Funds Composite Index plus 1% * 4.89%

US Treasury Short Term: Citigroup USBIG Treasury 1-3Y * 0.00%

US Treasury Intermediate Long: NYC Treasury Agency + 5 * 0.00%

US Treasury Long Duration: Citigroup Treasury 20+ * 8.82%

Core Fixed Income: BBG Barc Agg * 0.00%

Progress Fixed: BBG Barc Agg * 0.00%

Mortgage: Citigroup Mortgage Index * 3.12%

ETI: ETI Custom Benchmark * 1.03%

Investment Grade Credit: NYC – Investment Grade Credit * 4.15%

Enhanced Yield: Citigroup BB&B * 8.10%

Bank Loans: Credit Suisse Leveraged Loan * 2.00%

Glossary of Terms



TIPS: Lehman U.S. TIPS * 4.39%

Convertible Bonds: BofAML All Convertibles Ex Mandatory * 0.00%

Opportunistic Fixed: OFI - JPMGHY / CSFB 50/50 Blend Plus 300 b.p. per annum * 2.80%

Page 15 – Allocation and Selection Effects - Asset Class Breakdown • This chart aims to break down the Allocation and Selection Effects shown on the Performance Attribution pages. The aim of the Page is

to show the asset classes where Managers are either out performing or under performing their benchmark and to show the basis point effect that this is having on Plan performance.

Glossary of Terms



new york city police pension fund, subchapter two ... · 4q16 performance commentary total plan ±...

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