monthly performance review february 2017...market indicator report february 28, 2017 *ncreif nfi -...

Monthly Performance Review

February 2017

Prepared for the New York City

Teachers’ Retirement System

04.2017

THE CITY OF NEW YORK

OFFICE OF THE COMPTROLLER

TABLE OF CONTENTS

Market Indicators for February & March .............................................................................................................................. 1

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

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

Classification of Investments. .............................................................................................................................................. 13

Teachers’ Market Values 2016-2017 ................................................................................................................................. 17

Teachers’ Market Values 2007-2017 ................................................................................................................................. 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

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

S&P 500 3.97 8.04 14.23 24.98 8.28 10.63 14.01 7.62S&P 400 2.62 6.63 16.73 31.73 8.89 9.64 13.83 9.15RUSSELL 1000 3.87 7.95 14.45 25.53 7.92 10.19 13.94 7.69RUSSELL 2000 1.93 5.20 21.45 36.11 7.58 6.93 12.89 7.22RUSSELL 3000 3.72 7.73 14.96 26.29 7.88 9.92 13.85 7.64RUSSELL 3000 GROWTH 4.02 8.73 14.03 22.77 7.43 10.06 13.67 8.98RUSSELL 3000 VALUE 3.42 6.77 15.89 30.02 8.33 9.77 13.97 6.21

MSCI EAFE NET 1.43 7.94 10.30 15.75 (0.91) (0.62) 5.16 1.03MSCI EMF NET 3.06 8.94 13.58 29.46 (0.43) 1.35 (0.37) 2.86FTSE CUSTOM TEACHERS 3.63 10.61 12.80 30.09 0.29 2.18 (0.09)MSCI WORLD NET 2.77 7.77 12.42 21.26 3.89 5.20 9.41 4.29MSCI EUROPE SMID CAP NET 1.32 9.08 10.49 11.98 0.93 (1.02) 8.31 2.02MSCI AC WORLD ex US NET 1.59 7.88 11.05 19.31 (0.71) (0.19) 3.55 1.38

1 Year Treasury Bill Yield + 4% 0.37 1.20 3.00 4.84 4.62 4.50 4.42 5.39HFRI Fund of Funds Composite Index + 1% 0.99 3.07 5.83 7.56 1.16 2.43 4.16 2.30

NYC - TREASURY AGENCY PLUS FIVE 0.98 1.00 (6.58) (2.85) 0.67 3.81 2.34 5.52Citigroup USBIG Treasury 1-3 Y Index 0.10 0.26 (0.30) 0.39 0.66 0.66 0.60 2.00Citigroup USBIG Treasury/Agency 1-10 y 0.29 0.46 (1.92) (0.52) 0.99 1.38 1.11 3.37Citigroup Treasury 10+ 1.58 1.44 (10.47) (4.50) (0.40) 6.40 3.42 6.69

CITY OF NEW YORK NYC Teachers' Retirement System

Market Indicator ReportFebruary 28, 2017

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

1


CITIGROUP MORTGAGE 0.50 0.46 (0.97) 0.35 1.46 2.55 2.02 4.22

NYC - INVESTMENT GRADE CREDIT 1.05 1.93 (0.30) 5.74 2.28 3.54 3.55 5.07CITIGROUP BROAD INVESTMENT GRADE 0.68 1.02 (1.69) 1.49 1.47 2.63 2.23 4.36

NYC - CORE PLUS FIVE 0.84 1.22 (1.91) 1.95 1.65 3.20 2.71 4.92BARCLAYS CAPITAL AGGREGATE 0.67 1.01 (1.68) 1.42 1.46 2.64 2.24 4.28

CITIGROUP BB & B 1.25 4.10 9.34 19.18 4.84 4.27 6.20 6.05CITIGROUP BB & B CAPPED 1.23 4.03 9.14 18.82 4.68 4.18 6.06 6.36BofA ML HIGH YIELD MASTER II 1.56 4.95 10.62 22.30 5.76 4.78 6.87 7.39 BofAML HYM CONSTRAINED (DAILY) 1.56 4.95 10.61 22.30 5.78 4.79 6.87 7.49

CSFB LEVERAGED LOAN 0.59 2.28 6.60 12.55 4.34 3.82 5.01 4.28

BARCLAYS GLOBAL US TIPS 0.47 1.22 (0.17) 3.36 1.28 1.89 0.77 4.27

BofA ML U.S. Convertible – Yield Alternative 1.41 3.72 9.20 19.50 0.82 0.87 4.41 4.17BofA ML US Invt Grade Conv Bond Index 2.02 7.01 14.37 23.39 9.16 9.87 12.05 5.94BofA ML ALL CONVERTIBLES EX MANDATORY 1.85 6.06 15.40 25.50 4.99 5.39 10.39 7.24

DJ US SELECT REAL ESTATE 3.50 7.43 (1.22) 15.06 5.37 11.30 11.15 4.14NCREIF NFI - ODCE NET* 0.00 1.88 3.75 7.79 10.83 11.04 11.16 4.84




2


CPI + 4% 0.45 1.95 4.69 7.05 6.05 5.34

91 DAY TREASURY BILL 0.04 0.13 0.27 0.39 0.23 0.16 0.14 0.73




3


S&P 500 0.12 6.07 14.36 17.17 9.21 10.37 13.30 7.51S&P 400 (0.39) 3.94 16.28 20.92 7.97 9.36 13.32 8.96RUSSELL 1000 0.06 6.03 14.52 17.43 8.64 9.99 13.26 7.58RUSSELL 2000 0.13 2.47 21.60 26.22 6.72 7.22 12.35 7.12RUSSELL 3000 0.07 5.74 15.04 18.07 8.47 9.76 13.18 7.54RUSSELL 3000 GROWTH 1.16 8.63 15.35 16.27 8.55 10.90 13.22 9.04RUSSELL 3000 VALUE (1.01) 2.99 14.73 19.97 8.40 8.58 13.08 5.94

MSCI EAFE NET 2.75 7.25 13.33 11.67 1.21 0.50 5.83 1.05MSCI EMF NET 2.52 11.44 16.44 17.21 1.55 1.18 0.81 2.72FTSE CUSTOM TEACHERS 2.79 12.31 15.94 17.38 3.06 1.45 0.97MSCI WORLD NET 1.07 6.38 13.62 14.77 5.26 5.52 9.37 4.21MSCI EUROPE SMID CAP NET 3.48 8.47 14.34 7.13 4.04 0.57 9.00 1.88MSCI AC WORLD ex US NET 2.54 7.86 13.87 13.13 1.36 0.56 4.36 1.35

1 Year Treasury Bill Yield + 4% 0.26 1.08 3.27 4.65 4.58 4.47 4.41 5.34HFRI Fund of Funds Composite Index + 1% 0.15 2.28 6.06 6.91 0.89 2.70 4.18 2.21

NYC - TREASURY AGENCY PLUS FIVE (0.18) 1.09 (6.75) (3.06) 0.11 3.83 2.73 5.55Citigroup USBIG Treasury 1-3 Y Index 0.04 0.27 (0.26) 0.26 0.56 0.70 0.62 1.97Citigroup USBIG Treasury/Agency 1-10 y 0.05 0.53 (1.88) (0.66) 0.75 1.52 1.21 3.35Citigroup Treasury 10+ (0.55) 1.42 (10.97) (5.01) (1.22) 5.96 4.10 6.76


Market Indicator ReportMarch 31, 2017


4


CITIGROUP MORTGAGE (0.03) 0.43 (1.00) 0.06 1.21 2.67 2.00 4.19

NYC - INVESTMENT GRADE CREDIT (0.07) 1.38 (0.37) 3.04 2.05 3.48 3.68 5.12CITIGROUP BROAD INVESTMENT GRADE (0.05) 0.85 (1.74) 0.48 1.20 2.68 2.34 4.36

NYC - CORE PLUS FIVE (0.08) 0.99 (1.99) 0.67 1.35 3.23 2.84 4.92BARCLAYS CAPITAL AGGREGATE (0.05) 0.82 (1.73) 0.44 1.20 2.68 2.34 4.27

CITIGROUP BB & B (0.13) 2.28 9.20 14.62 5.07 4.14 6.21 6.02CITIGROUP BB & B CAPPED (0.13) 2.22 9.00 14.34 4.92 4.04 6.07 6.32BofA ML HIGH YIELD MASTER II (0.21) 2.71 10.38 16.88 5.93 4.62 6.85 7.34 BofAML HYM CONSTRAINED (DAILY) (0.21) 2.71 10.38 16.87 5.95 4.64 6.85 7.43

CSFB LEVERAGED LOAN 0.08 1.20 6.69 9.74 4.18 3.72 4.88 4.24

BARCLAYS GLOBAL US TIPS (0.05) 1.26 (0.22) 1.48 1.50 2.03 0.97 4.24

BofA ML U.S. Convertible – Yield Alternative 0.59 3.73 9.84 15.77 1.38 0.96 4.40 4.26BofA ML US Invt Grade Conv Bond Index 1.20 5.52 15.75 18.96 10.40 10.85 12.09 6.04BofA ML ALL CONVERTIBLES EX MANDATORY 0.86 5.62 16.40 21.08 5.56 6.32 10.31 7.31

DJ US SELECT REAL ESTATE (2.81) (0.27) (4.00) 1.21 2.96 9.93 9.40 4.1291 DAY TREASURY BILL 0.02 0.10 0.28 0.36 0.24 0.17 0.14 0.68


Market Indicator ReportMarch 31, 2017


5

NYC Teachers' Retirement System Contribution to Return - February 2017

1 Month - Total Fund 3 Months - Total Fund FYTD - Total Fund FY Ending 6/30/16 Total FY Ending 6/30/15 Total

Return: 2.17% Return: 5.40% Return: 8.44% Return: 1.66% Return: 2.78%

(0.18) (0.14)0.05 0.25

0.42 0.36 0.08 0.14

0.45

0.24 0.49

0.04 0.10

0.23 0.07 0.24

0.47 0.12

0.15 0.22

(0.19)

1.16

0.31 0.10

0.24

0.54

0.20

0.37 1.02

1.19

(0.79)

(0.96)

0.11

0.88

1.09

(0.75)

(0.27)

1.13

2.34

4.85

0.67

2.57

DOMESTIC EQUITY

DEVELOPED EQUITY

EMERGING MARKETS

REITS

CORE + 5

TIPS

HIGH YIELD

BANK LOANS

CONVERTIBLE BONDS

OPPORTUNISTIC FIXED

TARGETED

OTHER FIXED

PRIVATE EQUITY

REAL ASSETS

RESIDUAL0.02-TIPS

0.01-BL

0.03-Conv

0.01-ETI

0.01-Oth FI

0.00-Res

Prepared by State Street

0.05-TIPS

0.05-BL

0.07-Conv

(0.00)-ETI

0.02-Oth FI

0.09-RA

(0.06)-Res

0.01-REITS

(0.01)-TIPS

0.14-BL

0.13-Conv

(0.03)-ETI

0.04-Oth FI

0.03-HY

0.05-BL

(0.02)-Conv

(0.07)-Opp FI

0.09-ETI

0.02-Oth FI

(0.05)-Res

(0.04)-TIPS

(0.02)-HY

0.09-BL

0.06-Conv

0.09-Opp FI

0.02-ETI

0.02-Oth FI

3/31/2017 5:07 PM

Limited Access

6

1.9%

-0.3%

0.9%

-0.9% -2.7% -2.5%

0.3%

3.1%1.7%

-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

$19.530.9%

Domestic US Equity Developed Markets EAFE Emerging Markets Private Equity

$7.411.7%

$6.39.9%

$3.25.1%

$3.35.3%

$0.81.3%

$1.62.5%

$1.11.7%

Private Real Estate – Non Core Opportunistic Fixed Income High Yield REITS Convertible Bonds

$63.0B Under ManagementPortfolio Asset Allocation – Growth : February 28, 2017

Asset Allocation

Note: Brackets represent rebalancing ranges versus Policy.

$2.03.1%

Teachers’ Retirement System of the City of New YorkPerformance Overview as of February 28, 2017Prepared by State Street

7

$63.0B Under ManagementPortfolio Asset Allocation – Growth : February 28, 2017

Asset Allocation


Note: On February 28, 2017 TRS' combined Fixed Income and Cash portfolioshave a duration of 5.2 years. The duration of the Barclays US Aggregate Indexwas 6 years on that date.

-1.5% -0.6%

0.9%0.0% 0.0% 0.0%

-0.9%

3.1%1.7%

-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

$19.530.9%

Domestic US Equity Developed Markets EAFE Emerging Markets Private Equity

$7.411.7%

$6.39.9%

$3.25.1%

$3.35.3%

$0.81.3%

$1.62.5%

$1.11.7%

Private Real Estate – Non Core Opportunistic Fixed Income High Yield REITS Convertible Bonds

Asset Allocation $2.03.1%


8

Asset Allocation

US Government Treasuries

$3.96.2%

-3.8%

1.2%3.8%

1.0%

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

10.00%

$2.94.7%

Mortgages Investment Grade Credit Short Term

$4.67.3%

$0.71.0%

Relative Mix to New Policy Weights

$63.0B Under ManagementPortfolio Asset Allocation – Deflation Protection : February 28, 2017


9

$63.0B Under ManagementPortfolio Asset Allocation – Deflation Protection : February 28, 2017

Asset Allocation

US Government Treasuries

-4.8%

-0.8%

1.8% 1.1%

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

10.00%

Mortgages Investment Grade Credit Short Term

Relative Mix to Adjusted Policy Weights


$3.96.2%

$2.94.7%

$4.67.3%

$0.71.0%


10

Asset Allocation

Infrastructure

$2.43.8%

-1.4%-0.2%

-2.9%

0.6%

-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

$1.42.1%

$1.72.6%

Relative Mix to New Policy Weights

$0.40.6%


$63.0B Under ManagementPortfolio Asset Allocation – Inflation Protection : February 28, 2017


11

Asset Allocation


$63.0B Under ManagementPortfolio Asset Allocation – Inflation Protection : February 28, 2017

Infrastructure

$2.43.8%

0.0%

-0.6%

0.0%0.6%

-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

$1.42.1%

$1.72.6%

Relative Mix to Adjusted Policy Weights

$0.40.6%



12

NYC TEACHERS' RETIREMENT SYSTEMCLASSIFICATION OF INVESTMENTS

(as of February 28th, 2017)ASSET CLASS ALLOCATIONS

Actual Policy Target Adjustment Adjusted Policy

TOTAL EQUITIES $40,893.8 64.9% 67.0% NA 63.5% 58.5% - 68.5%TOTAL FIXED INCOME $22,101.8 35.1% 33.0% NA 36.5% 25.5% - 47.5%TOTAL ASSETS 100.0% 100.0% NA 100.0%

Actual Policy Target % Adjustment Adjusted Policy

US Equities $19,489.4 30.9% 29.0% 4.0% 33.0% 28.0% - 38.0%Non-US Equities/EAFE $7,370.6 11.7% 12.0% 0.3% 12.3% 8.3% - 16.3%Emerging Markets $6,255.2 9.9% 9.0% 0.1% 9.1% 6.1% - 12.1%Real Estate Investment Trusts $1,962.3 3.1% 0.0% NA 0.0% 0.0% - 0.0%TOTAL PUBLIC EQUITY 55.7% 50.0% 4.3% 54.3% 49.3% - 59.3%* REAL ESTATE - CORE 2.1% 5.0% NA 2.1% 0.1% - 4.1%* REAL ESTATE - OPPORTUNISTIC 1.3% 4.0% NA 1.3% -0.7% - 3.3%* PRIVATE EQUITY 5.1% 6.0% NA 5.1% 2.1% - 8.1%

PRIVATE INFRASTRUCTURE 0.6% 2.0% NA 0.6% -0.4% - 1.6%

TOTAL EQUITIES 64.9% 67.0% NA 63.5%

Actual Policy Target % Adjustment Adjusted Policy

U.S. Treasuries – All Maturities $3,256.3 5.2% 0.0% NA 0.0% -5.0% - 5.0%U.S. Treasuries - Longer Than Twenty Years $386.1 0.6% 10.0% 0.9% 10.9% 5.9% - 15.9%Core Mortgage-Backed Securities $2,380.3 3.8% 1.5% 1.8% 3.3% 2.3% - 4.3%Credit - Investment Grade Corporates $4,581.3 7.3% 3.5% 1.8% 5.3% 4.3% - 6.3%

High Yield $3,338.3 5.3% 5.0% 1.3% 6.3% 3.3% - 9.3%Bank Loans $1,654.6 2.6% 2.0% 2.0% 1.0% - 3.0%Total High Yield & Bank Loans 7.9% 7.0% 1.3% 8.3% 3.3% - 9.3%

TIPS $2,394.8 3.8% 4.0% 0.3% 4.3% 3.3% - 5.3%Convertible Bonds $1,080.5 1.7% 0.0% NA 0.0% 0.0% - 0.0%**ETI $558.7 0.9% 2.0% NA 2.0% 1.0% - 3.0%Cash $661.1 1.0% 0.0% NA 0.0% 0.0% - 0.0%TOTAL PUBLIC FIXED INCOME 32.2% 28.0% NA 34.0% 34.0% - 34.0%* OPPORTUNISTIC FIXED INCOME $1,569.2 2.5% 5.0% NA 2.5% 0.5% - 4.5%

OTHER FIXED INCOME $240.7 0.4% 0.0% NA 0.0% 0.0% - 0.0%

TOTAL FIXED INCOME 35.1% 33.0% NA 36.5%

*

**

***

$40,893.8

In $MM

In $MM Adjusted Target

Range ***

$62,995.7

In $MM Adjusted Target

Range ***

$35,077.5

$1,354.1$843.2

$3,236.0

$383.0

Adjusted Target Range ***

$4,992.9

$20,291.9

$22,101.8

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: +/-11%; 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 20 Years: +/-5%; Mortgage Backed Securities: +/-1%; Investment Grade Corporates: +/-1%; TIPS: +/-1%; High Yield: +/-

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

13


(as of February 28th, 2017)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 Twenty Years 10.0%Adjustment: 12% of uninvested Real Estate Core 0.3%Adjustment: 8% of uninvested Real Estate Opportunistic 0.2%Adjustment: 5% of uninvested Private Infrastructure 0.1%Adjustment: 10% of uninvested Opportunistic Fixed Income 0.3%Total U.S. Treasuries - Longer Than Twenty Years 10.9%

2) Credit - Investment Grade Corporates 3.5%Adjustment: 24% of uninvested Real Estate Core 0.7%Adjustment: 16% of uninvested Real Estate Opportunistic 0.4%Adjustment: 10% of uninvested Private Infrastructure 0.1%Adjustment: 20% of uninvested Opportunistic Fixed Income 0.5%Total Credit - Investment Grade Corporates 5.3%

3) Core Mortgage-Backed Securities 1.5%Adjustment: 24% of uninvested Real Estate Core 0.7%Adjustment: 16% of uninvested Real Estate Opportunistic 0.4%Adjustment: 10% of uninvested Private Infrastructure 0.1%Adjustment: 20% of uninvested Opportunistic Fixed Income 0.5%Total Core Mortgage-Backed Securities 3.3%

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.

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.

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.

14


(as of February 28th, 2017)

4) Treasury Inflation Protected Securities 4.0%Adjustment: 25% of uninvested Private Infrastructure 0.3%Total Treasury Inflation Protected Securities 4.3%

5) High Yield Securities 5.0%Adjustment: 50% of uninvested Opportunistic Fixed Income 1.3%Adjustment: ** Existing Convertibles holdings to be placeholder for HY SecuritiesTotal High Yield Securities 6.3%

6) Domestic Equity 29.0%Adjustment: 100% of uninvested Private Equity 0.9%Adjustment: 60% of uninvested Real Estate Opportunistic 1.6%Adjustment: 27% of uninvested Private Infrastructure 0.4%Adjustment: 40% of uninvested of uninvested Real Estate Core 1.1%Total Domestic Equity 33.0%

7) Non-U.S. Equity - Developed Markets 12.0%Adjustment: 18% of uninvested Private Infrastructure 0.3%Total Non-U.S. Equity - Developed Markets 12.3%

8) Non-U.S. Equity - Emerging Markets 9.0%Adjustment: 5% of uninvested Private Infrastructure 0.1%Total Non-U.S. Equity - Emerging Markets 9.1%

15


(as of February 28th, 2017)

Note: Totals may not equal 100% due to rounding

US Equities 56%

Non-US Equities/EAFE

21%

Emerging Markets 18%

Real Estate Investment Trusts

6%

Total Public Equities

U.S. Treasuries – All Maturities

15%

U.S. Treasuries - Longer Than Twenty Years

2%

Core Mortgage-Backed Securities

11%

Credit - Investment Grade Corporates

21% High Yield 15%

Bank Loans 7%

TIPS 11%

Convertible Bonds 5%

**ETI 3%

Cash 3%

*OPPORTUNISC FIXED INCOME

7%

OTHER FIXED INCOME

1%

Total Fixed Income

16

$59,982

$60,799 $60,672

$61,649

$63,760 $63,720

$64,184

$63,521 $63,652

$61,042

$61,656

$62,996

$57,750

$58,750

$59,750

$60,750

$61,750

$62,750

$63,750

$64,750

$65,750

TEACHERS' RETIREMENT SYSTEM - MARKET VALUESMARCH 2016 - FEBRUARY 2017

17

$38,142 $35,688

$30,107

$34,690

$42,814 $44,083

$49,201

$58,257

$60,111 $61,649 $62,996

$28,000 $31,000 $34,000 $37,000 $40,000 $43,000 $46,000 $49,000 $52,000 $55,000 $58,000 $61,000 $64,000 $67,000

TEACHERS' RETIREMENT SYSTEM - MARKET VALUES2007 - 2017

THE 10 YEAR RETURN FOR TEACHERS' MV AS OF FEBRUARY 28, 2017 IS 5.64%.

18

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month FYTD CYTD

FYE06/30/16

CYE12/31/16

CYE12/31/15

CYE12/31/14

Trailing1 Year

InceptionDate

ASSET CLASS SUMMARYTRS-TOTAL DOMESTIC EQUITY 19,489.42 30.94 3.71 7.63 15.03 5.64 1.96 13.10 0.26 11.88 26.56 Dec-01-90

TRS-TOTAL DEVELOPED-ENV-ACTIVIST 7,370.59 11.70 0.91 7.95 11.26 5.13 (8.38) 3.42 (0.86) (5.11) 17.95 Apr-01-04

TRS-TOTAL EMERGING MARKETS 6,255.21 9.93 3.82 10.70 12.78 9.68 (9.56) 12.02 (18.34) (0.66) 28.89 Feb-01-11

TRS-TOTAL REAL ESTATE SECURITIES 1,962.29 3.11 3.30 7.32 0.18 3.26 16.31 4.79 2.47 30.16 14.10 Jan-01-03

TRS-TOTAL STRUCTURED 10,604.03 16.83 0.84 1.29 (1.12) 1.12 6.34 3.68 0.16 7.46 2.99 Jan-01-85

TRS-TOTAL CONVERTIBLE BONDS 1,080.46 1.72 1.61 4.11 7.76 3.07 (1.31) 5.93 (0.25) 8.09 13.45 Jul-01-08

TRS-TOTAL TIPS MANAGERS 2,394.79 3.80 0.46 1.23 (0.18) 1.35 4.31 4.65 (1.25) 3.43 3.26 Jun-01-05

TRS-TOTAL HIGH YIELD 3,338.30 5.30 1.38 4.56 9.20 2.66 0.56 13.89 (3.60) 2.10 17.46 Aug-01-98

TRS-TOTAL BANK LOANS 1,654.58 2.63 0.46 1.79 5.38 0.81 1.75 8.18 1.49 2.43 10.25 Nov-01-12

TRS-TOTAL OPPORTUNISTIC FIXED 1,569.22 2.49 1.62 3.91 9.27 3.00 (2.78) 7.10 (1.40) 8.88 12.92 Oct-01-07

TRS-TOTAL PROGRESS FIXED 120.41 0.19 0.77 1.22 (0.92) 1.05 5.86 2.97 0.65 5.83 2.02 Jun-01-12

TRS-TOTAL CORE PLUS FIX INC 120.26 0.19 0.84 1.45 (0.35) 1.13 5.71 3.79 3.17 Jun-01-15

TOTAL TEACHERS ETI (w/o cash) 558.69 0.89 0.57 (0.11) (2.84) 0.49 9.90 2.28 3.40 7.95 0.05 Dec-01-84

TRS-TOTAL PRIVATE EQUITY 3,235.97 5.14 1.50 2.61 8.89 1.91 4.74 9.71 8.66 12.62 11.70 Apr-01-04

TRS-TOTAL REAL ASSETS 2,580.36 4.10 1.17 2.14 6.55 1.68 12.30 11.34 13.85 13.95 10.83 Apr-01-04

TRS-TOTAL CASH 650.44 1.03 0.09 0.26 0.42 0.24 0.67 0.76 0.48 0.32 0.76 Apr-01-04

SECURITY LENDING 10.64 0.02 Apr-01-04

TRS-TOTAL TEACHERS 62,995.66 100.00 2.17 5.40 8.44 4.03 1.66 8.73 (0.75) 7.53 16.42 Jul-01-87

TRS-TOTAL EQUITY 33,115.22 52.57 3.09 8.22 13.85 6.23 (1.71) 11.04 (3.07) 6.73 25.26 Dec-01-90

TRS-TOTAL FIXED INCOME (MINUS SS) 21,440.74 34.04 0.94 2.12 2.09 1.58 4.02 5.86 (0.37) 6.04 6.72 Apr-01-04

TRS-TOTAL PRIVATE EQUITY 3,235.97 5.14 1.50 2.61 8.89 1.91 4.74 9.71 8.66 12.62 11.70 Apr-01-04

TRS-TOTAL REAL ASSETS 2,580.36 4.10 1.17 2.14 6.55 1.68 12.30 11.34 13.85 13.95 10.83 Apr-01-04

TRS-TOTAL REAL ESTATE SECURITIES 1,962.29 3.11 3.30 7.32 0.18 3.26 16.31 4.79 2.47 30.16 14.10 Jan-01-03

TRS-TOTAL CASH 650.44 1.03 0.09 0.26 0.42 0.24 0.67 0.76 0.48 0.32 0.76 Apr-01-04

SECURITY LENDING 10.64 0.02 Apr-01-04

TRS-TOTAL TEACHERS 62,995.66 100.00 2.17 5.40 8.44 4.03 1.66 8.73 (0.75) 7.53 16.42 Jul-01-87

Teachers Policy Benchmark 2.36 5.42 8.55 3.98 2.19 9.54 (0.70) 8.50 16.81 Jun-01-94

New York City Teachers' Retirement System

Manager / Benchmark Comparison Report

Rates of Return - Net Mgr

Periods Ending February 28, 2017

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Ending Market Value ($MM) % of Total 1 Month 3 Months FYTD CYTD 2016 2015

ASSET CLASS SUMMARY

TRS-TOTAL TEACHERS 62,996 100.00 2.17 5.40 8.44 4.03 8.73 (0.75)Teachers Policy Benchmark 2.36 5.42 8.55 3.98 9.54 (0.70)Excess (0.19) (0.01) (0.11) 0.06 (0.81) (0.05)

TRS-TOTAL EQUITY (INCL PE & RA) 40,894 64.92 2.85 7.30 12.19 5.41 10.58 (1.18)

TRS-TOTAL FIXED INCOME 22,089 35.06 0.92 2.05 2.06 1.54 5.50 (0.27)

EQUITY SUMMARY

US EQUITYState Street Global Adv R3000 7,571 12.02 3.73 7.71 14.94 5.68 12.73 0.45RUSSELL 3000 (DAILY) 3.72 7.73 14.96 5.67 12.74 0.48Excess 0.01 (0.02) (0.02) 0.01 0.00 (0.03)

BLACKROCK INST R 2000 GROWTH 199 0.32 2.50 5.59 17.87 4.17 11.26 (1.51) RUSSELL 2000 GROWTH DAILY 2.45 5.54 17.78 4.12 11.32 (1.38)Excess 0.04 0.05 0.10 0.05 (0.06) (0.13)

BLACKROCK INST R 2000 VALUE 383 0.61 1.39 4.79 24.97 0.66 31.73 (7.49) RUSSELL 2000 VALUE DAILY 1.45 4.88 25.08 0.72 31.74 (7.47)Excess (0.06) (0.09) (0.12) (0.06) (0.01) (0.02)

Brown AM - SCG 353 0.56 4.04 3.91 14.32 5.77 10.35 8.62 RUSSELL 2000 GROWTH DAILY 2.45 5.54 17.78 4.12 11.32 (1.38)Excess 1.58 (1.63) (3.45) 1.66 (0.97) 10.00

State St GA S&P 400 0 0.00 21.27 (2.24)S&P 400 MIDCAP INDEX (DAILY) 2.62 20.74 (2.18)Excess 0.53 (0.06)





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BLACKROCK INST R 1000 GROWTH 5,271 8.37 4.15 8.99 13.72 7.66 7.06 5.61RUSSELL 1000 GROWTH - DAILY 4.15 9.00 13.73 7.66 7.08 5.67Excess 0.00 (0.01) (0.02) (0.01) (0.01) (0.06)

Blackrock Inst R 1000 Value 5,348 8.49 3.59 6.94 15.17 4.33 17.41 (3.84)RUSSELL 1000 VALUE (DAILY) 3.59 6.94 15.17 4.33 17.34 (3.83)Excess 0.00 0.00 0.00 0.00 0.07 (0.01)

FUND OF FUNDSTRS-TOTAL FUND OF FUNDS 272 0.43 1.47 4.30 18.74 1.91 16.75 (5.27)RUSSELL 2000 (DAILY) 1.93 5.20 21.45 2.33 21.31 (4.41)Excess (0.46) (0.90) (2.71) (0.42) (4.56) (0.85)

TRS-TOTAL ATTUCKS 39 0.06 1.16 4.02 17.10 1.05 14.59 (6.61)RUSSELL 2000 (DAILY) 1.93 5.20 21.45 2.33 21.31 (4.41)Excess (0.77) (1.18) (4.35) (1.28) (6.72) (2.19)

TRS-TOTAL CAPITAL PROSPECTS 60 0.10 1.67 4.76 18.31 2.92 14.34 (6.49)RUSSELL 2000 (DAILY) 1.93 5.20 21.45 2.33 21.31 (4.41)Excess (0.26) (0.44) (3.13) 0.59 (6.97) (2.08)

TRS-TOTAL PIM 84 0.13 0.96 3.97 18.07 0.96 18.70 (5.17)RUSSELL 2000 (DAILY) 1.93 5.20 21.45 2.33 21.31 (4.41)Excess (0.97) (1.23) (3.37) (1.37) (2.61) (0.75)

TRS-TOTAL FIS 89 0.14 1.96 4.94 20.69 3.07 17.16 (4.22)RUSSELL 2000 (DAILY) 1.93 5.20 21.45 2.33 21.31 (4.41)Excess 0.03 (0.26) (0.75) 0.73 (4.15) 0.20

U.S. ENVIRONMENTALWalden Asset Management (ENVRN) 93 0.15 1.40 5.66 16.59 2.06 24.06 (3.32)RUSSELL 2000 (DAILY) 1.93 5.20 21.45 2.33 21.31 (4.41)Excess (0.53) 0.46 (4.85) (0.27) 2.76 1.10

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NON - US EQUITYCauseway 1,090 1.73 0.05 6.04 10.91 2.86 (0.79) (2.05) MSCI EAFE VALUE NET (DAILY) 0.68 7.89 16.06 3.16 5.02 (5.68)Excess (0.64) (1.84) (5.15) (0.30) (5.81) 3.63

Sprucegrove MTA 1,196 1.90 (0.20) 7.76 16.10 4.46 8.56 (6.95) MSCI EAFE VALUE NET (DAILY) 0.68 7.89 16.06 3.16 5.02 (5.68)Excess (0.89) (0.13) 0.04 1.29 3.53 (1.27)

Baillie Gifford MTA 1,265 2.01 1.32 10.62 13.18 8.37 2.04 (2.85)MSCI EAFE GROWTH 2.22 8.00 4.77 5.66 (3.04) 4.09Excess (0.90) 2.63 8.41 2.71 5.09 (6.94)

Walter Scott 1,144 1.82 0.95 6.48 5.56 4.66 4.37 1.60MSCI EAFE GROWTH 2.22 8.00 4.77 5.66 (3.04) 4.09Excess (1.27) (1.52) 0.80 (1.00) 7.41 (2.49)

Acadian 326 0.52 2.66 9.97 14.89 7.84 5.46 10.97S&P EPAC Small Cap USD NET 2.29 8.68 10.77 5.74 1.34 8.58Excess 0.38 1.29 4.13 2.10 4.12 2.38

Pyramis 287 0.46 1.53 7.87 8.25 4.86 (0.81) 11.69S&P EPAC Small Cap USD NET 2.29 8.68 10.77 5.74 1.34 8.58Excess (0.76) (0.81) (2.52) (0.88) (2.15) 3.11

SSGA MTA 1,625 2.58 1.17 7.65 10.01 4.07 1.34 (0.30)NYC Custom World ex US Index 1.15 7.65 9.99 4.09 1.00 (0.81)Excess 0.01 0.00 0.01 (0.01) 0.34 0.52

SSGA MSCI EAFE Small Cap Index 438 0.69 2.34 8.91 12.09 5.88 2.93 9.95MSCI EAFE SMALL CAP NET (DAILY) 2.24 8.89 11.71 5.85 2.18 9.59Excess 0.09 0.03 0.38 0.02 0.75 0.37

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EMERGING MARKETSBaillie Gifford EM Equities 1,367 2.17 3.76 10.00 11.75 10.11 4.02 (14.09)FTSE Custom NYC Teachers Emerging Index 3.63 10.61 12.80 9.26 13.91 (17.04)Excess 0.13 (0.61) (1.05) 0.85 (9.90) 2.95

DFA MTA 325 1,389 2.20 4.63 12.64 19.39 11.46 20.88 (21.72)FTSE Custom NYC Teachers Emerging Index 3.63 10.61 12.80 9.26 13.91 (17.04)Excess 1.00 2.03 6.59 2.19 6.97 (4.68)

PARAMETRIC EM 1,166 1.85 3.19 10.02 9.25 8.30 11.47 (19.97)FTSE Custom NYC Teachers Emerging Index 3.63 10.61 12.80 9.26 13.91 (17.04)Excess (0.44) (0.59) (3.55) (0.96) (2.44) (2.94)

Lazard Emerging Markets 311 0.49 4.29 10.62 8.14

FTSE Custom NYC Teachers Emerging Index 3.63 10.61 9.26

Excess 0.66 0.01 (1.12)

CONY GT TRS Blackrock-MSCI EM INDEX MTA 2,023 3.21 3.61 10.28 11.87 9.24 12.92 (17.99)MSCI CUSTOM TRS EMERGING MARKETS (NET) 3.46 10.34 11.97 8.98 13.10 (17.81)Excess 0.15 (0.06) (0.10) 0.25 (0.18) (0.17)

REAL ESTATE SECURITIESAdelante Capital Mgt. - REIT 389 0.62 3.38 8.16 (0.56) 3.11 3.90 4.81DJ US SELECT REAL ESTATE SECURITIES INDEX 3.50 7.43 (1.22) 2.62 6.65 4.46Excess (0.12) 0.73 0.66 0.50 (2.75) 0.36

Center Square Investment Mgt. - REIT 291 0.46 3.64 7.72 (0.89) 2.98 7.98 5.87DJ US SELECT REAL ESTATE SECURITIES INDEX 3.50 7.43 (1.22) 2.62 6.65 4.46Excess 0.14 0.29 0.34 0.37 1.33 1.41

Cohen & Steers - REIT 274 0.43 3.94 8.20 1.05 3.81 4.96 5.59DJ US SELECT REAL ESTATE SECURITIES INDEX 3.50 7.43 (1.22) 2.62 6.65 4.46Excess 0.43 0.77 2.27 1.20 (1.69) 1.13

Morgan Stanley - REIT 728 1.16 2.88 6.35 0.92 3.44 3.49 (1.63)Morgan Stanley Custom RESI Index 3.25 6.76 (1.73) 3.69 2.37 (1.53)Excess (0.37) (0.41) 2.65 (0.25) 1.13 (0.11)

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Security Capital - REIT 280 0.44 3.33 7.39 (0.47) 2.71 6.25 4.35DJ US SELECT REAL ESTATE SECURITIES INDEX 3.50 7.43 (1.22) 2.62 6.65 4.46Excess (0.18) (0.05) 0.75 0.10 (0.40) (0.11)

FIXED INCOME SUMMARY

STRUCTURED FIXED INCOMEBlackrock - Mortgage 1,189 1.89 0.59 0.52 (0.48) 0.56 2.17 1.76CITIGROUP MORTGAGE INDEX 0.50 0.46 (0.97) 0.46 1.59 1.56Excess 0.09 0.06 0.49 0.11 0.58 0.20

Blackrock - Special Purpose Mtge 7 0.01 (5.73) 1.00 5.49 1.30 12.34 18.20CITIGROUP MORTGAGE INDEX 0.50 0.46 (0.97) 0.46 1.59 1.56Excess (6.23) 0.55 6.46 0.84 10.75 16.64

Neuberger Berman - Mortgage 712 1.13 0.51 0.49 (1.03) 0.45 1.49 1.37CITIGROUP MORTGAGE INDEX 0.50 0.46 (0.97) 0.46 1.59 1.56Excess 0.01 0.03 (0.05) (0.01) (0.09) (0.19)

Goldman Sachs - Mortgage 0 0.00 1.08 1.59CITIGROUP MORTGAGE INDEX 0.50 1.59 1.56Excess (0.51) 0.03

Wellington - Mortgage 1 0.00 0.85 1.42CITIGROUP MORTGAGE INDEX 0.50 1.59 1.56Excess (0.73) (0.14)

Amundi Smith Breeden - Mortgage 472 0.75 0.46 0.31 (0.62) 0.42 2.02 1.68CITIGROUP MORTGAGE INDEX 0.50 0.46 (0.97) 0.46 1.59 1.56Excess (0.03) (0.15) 0.35 (0.04) 0.44 0.12

Blackrock - Credit 542 0.86 1.18 2.19 (0.01) 1.58 5.57 (0.71)NYC - Investment Grade Credit 1.05 1.93 (0.30) 1.44 5.56 (0.65)Excess 0.14 0.25 0.30 0.14 0.01 (0.06)

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Taplin Canida Habacht - Credit 1,290 2.05 1.25 2.64 2.55 1.75 9.02 (4.10)NYC - Investment Grade Credit 1.05 1.93 (0.30) 1.44 5.56 (0.65)Excess 0.20 0.71 2.85 0.31 3.46 (3.46)

T. Rowe Price - Credit 1,232 1.96 1.07 2.03 0.11 1.53 5.96 0.09NYC - Investment Grade Credit 1.05 1.93 (0.30) 1.44 5.56 (0.65)Excess 0.03 0.10 0.41 0.09 0.41 0.73

Prudential - Credit 784 1.24 1.09 2.01 (0.20) 1.41 5.84 (0.16)NYC - Investment Grade Credit 1.05 1.93 (0.30) 1.44 5.56 (0.65)Excess 0.04 0.07 0.10 (0.03) 0.28 0.49

Barrow Hanley - Credit 530 0.84 1.17 2.01 0.08 1.45 5.88 (0.11)NYC - Investment Grade Credit 1.05 1.93 (0.30) 1.44 5.56 (0.65)Excess 0.13 0.08 0.39 0.01 0.32 0.54

Prudential-Privest - Credit 203 0.32 0.86 1.65 0.79 1.58 4.24 1.63NYC - Investment Grade Credit 1.05 1.93 (0.30) 1.44 5.56 (0.65)Excess (0.19) (0.28) 1.09 0.13 (1.32) 2.28

State Street - Gov't 963 1.53 1.01 1.02 (6.22) 1.38 1.48 0.50NYC - Treasury Agency Plus Five 0.98 1.00 (6.58) 1.27 1.21 0.72Excess 0.02 0.02 0.36 0.11 0.26 (0.23)

SSgA Int Gov Bond Index 210

Citigroup USBIG Treasury/Agency 1-10 y 0.29

Excess

Blackrock - Gov't 543 0.86 1.06 1.07 (6.38) 1.35 1.25 0.69NYC - Treasury Agency Plus Five 0.98 1.00 (6.58) 1.27 1.21 0.72Excess 0.07 0.07 0.20 0.08 0.03 (0.03)

SSGA 1-3 Treasury Index 1,541 2.45 0.10 0.21

Citigroup USBIG Treasury 1-3 Y Index 0.10 0.23

Excess 0.01 (0.02)

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SSGA Long Duration Treasury 386 0.61 1.58 1.42 1.97

Citigroup Treasury 20+ 1.62 1.48 2.04

Excess (0.04) (0.05) (0.06)

HIGH YIELDLoomis Sayles - High Yield 428 0.68 1.56 5.40 11.69 3.24 18.62 (6.49)BofAML HIGH YIELD MASTER II (DAILY) 1.56 4.95 10.62 2.92 17.49 (4.64)Excess 0.00 0.46 1.07 0.32 1.13 (1.85)

Neuberger Berman - High Yield 674 1.07 1.33 4.27 9.12 2.66 14.89 (3.96)BofAML HIGH YIELD MASTER II (DAILY) 1.56 4.95 10.62 2.92 17.49 (4.64)Excess (0.24) (0.68) (1.50) (0.26) (2.60) 0.68

Oaktree - High Yield 336 0.53 1.62 4.49 9.26 2.51 14.96 (4.70) BofAML HYM CONSTRAINED (DAILY) 1.56 4.95 10.61 2.92 17.49 (4.61)Excess 0.06 (0.45) (1.35) (0.41) (2.53) (0.08)

Stone Harbor - High Yield 495 0.79 1.31 4.85 9.03 2.70 13.10 (4.47)BofA ML MST II 7-12/BB&B Prior 1.56 4.95 10.62 2.92 17.49 (4.64)Excess (0.25) (0.10) (1.59) (0.23) (4.39) 0.17

T. Rowe Price - High Yield 690 1.09 1.32 4.32 8.43 2.51 12.17 (1.17)CITIGROUP BB & B 1.25 4.10 9.34 2.41 15.48 (4.21)Excess 0.07 0.22 (0.91) 0.11 (3.30) 3.04

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Penn Capital Mgt - High Yield 200 0.32 1.28 4.81 9.76 2.68 11.96 (1.32)CITIGROUP BB & B 1.25 4.10 9.34 2.41 15.48 (4.21)Excess 0.03 0.71 0.42 0.27 (3.52) 2.89

Fort Washington - High Yield 197 0.31 1.47 4.42 8.36 2.68 12.71 (4.37)CITIGROUP BB & B 1.25 4.10 9.34 2.41 15.48 (4.21)Excess 0.21 0.32 (0.98) 0.27 (2.76) (0.16)

Shenkman - High Yield 319 0.51 1.23 4.09 8.16 2.25 11.64 (2.16)CITIGROUP BB & B 1.25 4.10 9.34 2.41 15.48 (4.21)Excess (0.03) (0.01) (1.18) (0.16) (3.83) 2.05

BANK LOANSBabson BL 409 0.65 0.48 2.03 5.95 0.91 8.47 0.12CSFB LEVERAGED LOAN INDEX 0.59 2.28 6.60 1.12 9.88 (0.38)Excess (0.11) (0.25) (0.65) (0.21) (1.41) 0.50

Credit Suisse BL 422 0.67 0.51 2.01 5.76 1.02 8.96 2.57CSFB LEVERAGED LOAN INDEX 0.59 2.28 6.60 1.12 9.88 (0.38)Excess (0.07) (0.27) (0.84) (0.10) (0.92) 2.96

Guggenheim BL 420 0.67 0.42 1.46 4.91 0.65 7.84 2.07CSFB LEVERAGED LOAN INDEX 0.59 2.28 6.60 1.12 9.88 (0.38)Excess (0.17) (0.82) (1.69) (0.48) (2.03) 2.45

Voya BL 206 0.33 0.43 1.64 5.08 0.58 7.71 1.21CSFB LEVERAGED LOAN INDEX 0.59 2.28 6.60 1.12 9.88 (0.38)Excess (0.16) (0.64) (1.53) (0.54) (2.17) 1.60

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Wells BL 199 0.32 0.44 1.71 4.75 0.71 7.18 1.17CSFB LEVERAGED LOAN INDEX 0.59 2.28 6.60 1.12 9.88 (0.38)Excess (0.14) (0.57) (1.85) (0.41) (2.70) 1.55

TIPSState Street TIPS Passive 1,797 2.85 0.47 1.23 (0.19) 1.35 4.66 (1.35)BBG BARC Gbl Inf-Lk: US TIPS (Dly) 0.47 1.22 (0.17) 1.32 4.68 (1.44)Excess 0.00 0.01 (0.02) 0.04 (0.03) 0.09

Blackrock TIPS 597 0.95 0.46 1.22 (0.17) 1.34 4.64 (1.24)BBG BARC Gbl Inf-Lk: US TIPS (Dly) 0.47 1.22 (0.17) 1.32 4.68 (1.44)Excess (0.01) 0.00 0.00 0.02 (0.05) 0.20

CONVERTIBLE BONDSF&C Conv Bonds 246 0.39 1.58 3.97 7.57 2.23 2.49 3.21UBS Global Focus Customized 1.33 3.52 6.34 1.72 0.90 4.32Excess 0.25 0.44 1.23 0.50 1.59 (1.12)

Advent Conv Bonds 503 0.80 1.25 3.27 7.33 2.91 7.34 (1.98)BofA ML U.S. Convertible Yield Alternative 1.41 3.72 9.20 3.12 9.96 (8.77)Excess (0.16) (0.45) (1.86) (0.21) (2.62) 6.80

Victory - Conv Bonds 331 0.53 2.20 5.51 8.55 3.97 6.47 (0.20)BofA Merrill Lynch US Investment Grade Convertible Bond Index 2.02 7.01 14.37 4.26 14.23 1.68Excess 0.17 (1.50) (5.82) (0.29) (7.76) (1.88)

FIXED INCOME FUND OF FUNDSHillswick 12 0.02 0.56 0.92 (1.96) 0.84 2.61 0.61BBG BARC Agg (Dly) 0.67 1.01 (1.68) 0.87 2.65 0.55Excess (0.12) (0.09) (0.27) (0.03) (0.03) 0.06

NEW CENTURY 31 0.05 0.81 1.22 (0.99) 1.01 2.37 (0.30)BBG BARC Agg (Dly) 0.67 1.01 (1.68) 0.87 2.65 0.55Excess 0.14 0.21 0.69 0.14 (0.28) (0.85)

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Ramirez Asset 30 0.05 0.69 1.05 (0.43) 1.01 3.64 1.12BBG BARC Agg (Dly) 0.67 1.01 (1.68) 0.87 2.65 0.55Excess 0.02 0.04 1.25 0.14 0.99 0.57

PUGH CAP 37 0.06 0.86 1.44 (0.87) 1.17 3.48 0.79BBG BARC Agg (Dly) 0.67 1.01 (1.68) 0.87 2.65 0.55Excess 0.19 0.43 0.81 0.30 0.84 0.24

CORE FIXED INCOMELM CAPITAL 73 0.12 0.80 1.31 (0.61) 0.97 3.50

BBG BARC Agg (Dly) 0.67 1.01 (1.68) 0.87 2.65

Excess 0.12 0.30 1.07 0.10 0.86

GIA 47 0.08 0.91 1.67 0.06 1.38 4.24

BBG BARC Agg (Dly) 0.67 1.01 (1.68) 0.87 2.65

Excess 0.24 0.66 1.74 0.51 1.59

OPPORTUNISTIC FIXED INCOMEAvenue Europe Special Sit. Fund, L.P. 0 0.0010% Annual Return

Excess

Avenue Special Situations Fund V, L.P. 0 0.0010% Annual Return

Excess

Avenue Special Situations Fund VI L.P. 26 0.0410% Annual Return

Excess

Brightwood Capital Advisors III, LP 23 0.04 (4.62) (4.62) (2.10) (4.62) 1.78

10% Annual Return 0.80 2.41 6.56 1.60 10.00

Excess (5.41) (7.03) (8.66) (6.22) (8.22)

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Brightwood Capital Advisors FD IV, LP 9 0.01 0.58 0.58 0.58

10% Annual Return 0.80 2.41 1.60

Excess (0.22) (1.83) (1.02)

Fortress Ctr St Ptnrs 135 0.21 3.48 3.54 7.04 3.48 7.63 8.1410% Annual Return 0.80 2.41 6.56 1.60 10.00 10.00Excess 2.68 1.13 0.48 1.88 (2.37) (1.86)

Lone Star Fd VIII 49 0.08 (2.50) (2.49) (6.68) (2.50) (12.42) 28.6010% Annual Return 0.80 2.41 6.56 1.60 10.00 10.00Excess (3.30) (4.91) (13.24) (4.10) (22.42) 18.60

Oaktree Opp Fd IX 103 0.16 0.00 3.51 7.17 3.51 3.89 (9.30)10% Annual Return 0.80 2.41 6.56 1.60 10.00 10.00Excess (0.80) 1.10 0.61 1.91 (6.11) (19.30)

Torchlight Debt Oppy Fund III, LLC 7 0.01 (0.39) 2.57 20.14 1.96 22.40 120.3110% Annual Return 0.80 2.41 6.56 1.60 10.00 10.00Excess (1.18) 0.16 13.58 0.36 12.40 110.31

Torchlight Debt Opp V 19 0.03 4.83 5.99 16.74 4.83 12.01

10% Annual Return 0.80 2.41 6.56 1.60 10.00

Excess 4.03 3.58 10.18 3.23 2.01

Angelo Gordon Ct St Ptnrs 157 0.25 2.40 6.16 11.11 5.56 7.38 (6.05)10% Annual Return 0.80 2.41 6.56 1.60 10.00 10.00Excess 1.61 3.75 4.55 3.96 (2.62) (16.05)

Apollo Centre Street Partnership, L.P 194 0.31 2.39 4.62 9.37 2.39 5.78 (11.35)10% Annual Return 0.80 2.41 6.56 1.60 10.00 10.00Excess 1.59 2.20 2.81 0.79 (4.22) (21.35)

Ares Centre Street 147 0.23 1.23 2.50 7.51 1.85 9.10 12.7910% Annual Return 0.80 2.41 6.56 1.60 10.00 10.00Excess 0.43 0.09 0.95 0.25 (0.90) 2.79

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Contrarian Partnership, L.P 102 0.16 3.15 5.78 17.15 6.60 16.94 (8.12)10% Annual Return 0.80 2.41 6.56 1.60 10.00 10.00Excess 2.35 3.37 10.59 5.00 6.94 (18.12)

Golden Tree OD 189 0.30 0.88 3.01 6.89 1.48 10.28 2.3310% Annual Return 0.80 2.41 6.56 1.60 10.00 10.00Excess 0.08 0.60 0.33 (0.12) 0.28 (7.67)

Marathon Centre Street Partnership, L.P. 253 0.40 1.98 5.18 12.70 3.67 8.77 (4.95)10% Annual Return 0.80 2.41 6.56 1.60 10.00 10.00Excess 1.18 2.77 6.14 2.07 (1.23) (14.95)

Oak Hill Ctr St Ptnrs 156 0.25 1.95 5.43 14.05 4.14 13.18 (4.29)10% Annual Return 0.80 2.41 6.56 1.60 10.00 10.00Excess 1.15 3.02 7.49 2.53 3.18 (14.29)

OTHER FIXED INCOMEAFL-CIO HOUSING INV TRUST 278 0.44 0.32 0.45 (1.73) 0.76 1.94 1.13BBG BARC Agg (Dly) 0.67 1.01 (1.68) 0.87 2.65 0.55Excess (0.35) (0.56) (0.04) (0.11) (0.71) 0.58

ACCESS RBC 95 0.15 0.48 0.36 (1.24) 0.49 1.61 1.83Access RBC Benchmark 0.42 0.44 (1.33) 0.43 1.52 1.40Excess 0.06 (0.08) 0.09 0.06 0.09 0.43

CPC CONST FACILITY 7 0.01 1.13 1.03 0.95 1.62 (3.95) 12.90CPC CONST BENCHMARK 0.27 0.81 2.12 0.54 3.12 2.90Excess 0.86 0.21 (1.17) 1.07 (7.07) 10.00

CPC-PPAR (FNMA) 63 0.10 1.24 (1.10) (5.52) (0.51) 6.15 8.96FNMA Plus 85bps 0.58 0.71 (0.57) 0.64 2.38 2.50Excess 0.67 (1.80) (4.95) (1.15) 3.77 6.46

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BOA-PPAR (FNMA) 9 0.01 1.37 (1.51) (6.08) 0.73 4.07 42.03FNMA Plus 85bps 0.58 0.71 (0.57) 0.64 2.38 2.50Excess 0.79 (2.22) (5.51) 0.09 1.69 39.53

CFSB-PPAR (GNMA) 2 0.00 1.08 (1.20) (5.01) 0.68 3.21 5.90GNMA Plus 65bps 0.53 0.53 (0.26) 0.46 2.28 2.02Excess 0.56 (1.73) (4.75) 0.23 0.93 3.88

CCD-PPAR (GNMA) 5 0.01 0.77 (1.48) (5.41) 0.30 2.78 5.08GNMA Plus 65bps 0.53 0.53 (0.26) 0.46 2.28 2.02Excess 0.24 (2.00) (5.15) (0.15) 0.50 3.06

CCD-PPAR (FNMA) 10 0.02 1.31 (1.50) (4.97) 0.82 3.71 6.69FNMA Plus 85bps 0.58 0.71 (0.57) 0.64 2.38 2.50Excess 0.74 (2.21) (4.40) 0.19 1.33 4.20

LIIF-PPAR (GNMA) 3 0.00 0.18 (0.37) (2.40) 0.39 3.88 3.92GNMA Plus 65bps 0.53 0.53 (0.26) 0.46 2.28 2.02Excess (0.35) (0.89) (2.14) (0.07) 1.61 1.91

LIIF-PPAR (FNMA) 7 0.01 1.37 (0.39) (11.34) 0.91 5.03 6.29FNMA Plus 85bps 0.58 0.71 (0.57) 0.64 2.38 2.50Excess 0.79 (1.09) (10.77) 0.27 2.65 3.79

NCBCI-PPAR (GNMA) 1 0.00 0.91 (1.39) (5.03) 0.31 3.51 5.53GNMA Plus 65bps 0.53 0.53 (0.26) 0.46 2.28 2.02Excess 0.38 (1.92) (4.77) (0.14) 1.23 3.52

NCBCI-PPAR (FNMA) 0 0.00 0.90 (2.05) (5.49) (0.40) 3.46 4.97FNMA Plus 85bps 0.58 0.71 (0.57) 0.64 2.38 2.50Excess 0.33 (2.75) (4.92) (1.03) 1.07 2.47

NHS-PPAR (GNMA) 1 0.00 0.86 (1.08) (4.13) 0.19 3.58 4.90GNMA Plus 65bps 0.53 0.53 (0.26) 0.46 2.28 2.02Excess 0.34 (1.60) (3.86) (0.27) 1.30 2.89

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WELLS FARGO-PPAR MTA 2013 (FNMA) 0 0.00 0.04 0.10

FNMA Plus 85bps 0.58 0.64

Excess (0.53) (0.53)

CASHTEACHERS' SHORT TERM 648 1.03 0.09 0.28 0.43 0.24 0.78 0.48

C/D - Fail Float Earnings 2 0.00 0.02 0.15 0.40 0.08 0.52 0.07

SECURITY LENDING 11 0.02

PRIVATE EQUITYTRS-TOTAL PRIVATE EQUITY 3,236 5.14 1.50 2.61 8.89 1.91 9.71 8.66

REAL ASSETSTRS-TOTAL PRIVATE REAL ESTATE 2,197 3.49 1.41 2.37 7.19 1.98 11.88 14.29

TRS-TOTAL INFRASTRUCTURE 383 0.61 (0.19) 0.83 3.06 (0.03) 8.25 10.50

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33

Teachers' Retirement System of the City of New York Private Equity Portfolio

As of September 30, 2016 (in USD)

Vintage Year Investment First

DrawdownCommitted

Capital Paid-In Capital Distributed Capital Market Value Multiple IRR2 PME Benchmark3 PME Spread4

Active Investments1999 Cypress Merchant Banking Partners II, LP 7/8/1999 50,000,000$ 53,983,573$ 50,549,863$ 129,423$ 0.94x (1.16%) 5.55% (6.71%)

1999 FdG Capital Partners, L.P. 6/2/1999 30,000,000 34,754,703 58,547,975 637,527 1.70x 14.71% 6.59% 8.12%

1999 Lincolnshire Equity Fund II, L.P. 2/26/2001 15,000,000 14,446,100 27,347,315 777,424 1.95x 24.58% 6.86% 17.72%

2000 SCP Private Equity Partners II, L.P. 1/19/2001 20,000,000 22,196,012 7,913,115 3,394,451 0.51x (8.11%) 5.99% (14.10%)

2000 Solera Partners, L.P. 7/8/2002 15,000,000 19,867,901 31,226,365 2,760,778 1.71x 8.44% 6.34% 2.10%

2001 Apollo Investment Fund V, L.P. 8/23/2001 30,000,000 46,743,989 91,972,270 933,423 1.99x 38.79% 8.32% 30.47%

2001 RRE Ventures III, L.P. 6/13/2002 20,000,000 26,221,386 33,096,729 2,739,562 1.37x 5.78% 6.55% (0.77%)

2002 BDCM Opportunity Fund, L.P. 11/10/2003 25,000,000 54,583,604 91,374,716 43,065 1.67x 23.04% 6.04% 17.00%

2002 Coller International Partnership IV, L.P. 11/6/2002 35,000,000 31,222,054 41,358,201 833,905 1.35x 11.52% 7.07% 4.45%

2002 Landmark Equity Partners XI, L.P. 9/15/2004 20,000,000 21,259,660 30,275,841 1,372,433 1.49x 23.46% 7.36% 16.10%

2002 Thomas McNerney & Partners, L.P. 11/26/2002 15,000,000 15,000,000 5,252,354 2,991,326 0.55x (11.69%) 9.87% (21.56%)

2003 Ares Corporate Opportunities Fund, L.P. 5/4/2004 15,000,000 18,004,666 26,330,386 1,562,955 1.55x 13.63% 7.40% 6.23%

2003 Blackstone Capital Partners IV L.P. 1/10/2003 30,000,000 30,690,321 74,041,685 2,857,586 2.51x 37.84% 8.16% 29.68%

2003 FS Equity Partners V, L.P. 5/30/2003 25,000,000 20,183,450 40,536,497 2,294,131 2.12x 15.64% 4.79% 10.85%

2003 Leeds Weld Equity Partners IV, L.P. 12/13/2004 15,000,000 15,356,325 17,201,020 3,234,881 1.33x 4.60% 5.31% (0.71%)

2004 Aurora Equity Partners III, L.P. 5/19/2005 20,000,000 21,707,515 34,616,403 2,199,089 1.70x 14.29% 9.82% 4.47%

2004 Celtic Pharmaceutical Holdings, L.P. 7/10/2006 15,000,000 15,241,256 241,256 13,818,472 0.92x (0.88%) 8.59% (9.47%)

2004 FdG Capital Partners II, L.P. 8/30/2004 35,000,000 37,688,035 42,562,842 2,466,730 1.19x 3.55% 6.61% (3.06%)

2004 Lincolnshire Equity Fund III, L.P. 12/23/2004 25,000,000 24,636,718 31,575,986 11,943,599 1.77x 29.59% 10.93% 18.66%

2004 Markstone Capital Partners, L.P. 7/21/2004 35,000,000 40,766,689 17,074,753 238,188 0.42x (66.69%) 10.64% (77.33%)

2004 New York/Fairview Emerging Managers (Tranche A), L.P. 10/21/2004 24,000,000 24,544,139 19,976,816 10,164,278 1.23x 3.68% 8.59% (4.91%)

2004 Paladin Homeland Security Fund (NY), L.P 10/1/2004 15,000,000 16,495,862 6,058,052 670,080 0.41x (13.04%) 6.24% (19.28%)

2004 Trilantic Capital Partners III (fka LBMB III), L.P. 9/22/2005 30,000,000 23,796,780 35,225,212 659,753 1.51x 12.42% 4.88% 7.54%

2004 Yucaipa American Alliance Fund I, L.P. 10/1/2004 55,000,000 80,828,995 69,484,670 19,735,455 1.10x 2.89% 10.14% (7.25%)

2005 Blackstone Mezzanine Partners II, L.P. 5/26/2006 20,000,000 19,325,045 25,432,109 376,125 1.34x 7.84% 3.61% 4.23%

2005 Bridgepoint Europe III, L.P. 12/6/2005 30,625,282 26,996,441 19,230,413 13,870,825 1.23x 3.06% 5.68% (2.62%)

2005 GI Partners Fund II, L.P. 6/19/2006 25,000,000 25,329,874 29,897,404 10,201,843 1.58x 7.50% 5.56% 1.94%

2005 JP Morgan Fleming (Tranche A), L.P. 12/21/2005 31,000,000 30,386,790 23,459,157 18,073,933 1.37x 6.73% 10.36% (3.63%)

2005 NB NYC Growth Fund, LLC 8/16/2005 30,000,000 26,117,536 26,157,965 - 1.00x 0.03% 3.31% (3.28%)

2005 New Mountain Partners II, L.P. 1/12/2005 23,225,800 21,337,552 40,880,962 342,142 1.93x 13.68% 4.45% 9.23%

2005 Palladium Equity Partners III, L.P. 8/10/2005 35,000,000 37,287,694 52,235,316 18,394,262 1.89x 15.86% 10.73% 5.13%

2005 Prism Venture Partners V-A, L.P. 7/14/2005 20,000,000 20,931,568 11,565,613 2,807,631 0.69x (7.55%) 8.07% (15.62%)

2005 Psilos Group Partners III, L.P. 10/17/2007 25,000,000 26,575,585 12,820,541 19,269,599 1.21x 3.61% 7.72% (4.11%)

2005 Quadrangle Capital Partners II, L.P. 2/28/2006 35,000,000 30,286,094 37,028,262 4,938,485 1.39x 6.56% 6.36% 0.20%

2005 Snow Phipps Group, L.P. 8/2/2007 15,000,000 17,278,258 13,458,181 9,108,463 1.31x 6.88% 10.34% (3.46%)

2005 USPF II Institutional Fund, L.P. 11/23/2005 35,000,000 46,164,567 32,517,476 32,169,733 1.40x 6.33% 7.21% (0.88%)

2005 VSS Communications Partners IV, L.P. 6/2/2006 10,000,000 11,369,963 7,605,327 820,411 0.74x (5.20%) 7.33% (12.53%)

2006 Aisling Capital II, L.P. 1/12/2006 4,500,000 5,105,031 3,659,357 1,192,101 0.95x (1.07%) 7.43% (8.50%)

2006 Ampersand 2006, L.P. 7/6/2007 15,000,000 15,000,000 22,298,304 11,866,856 2.28x 15.42% 7.89% 7.53%

2006 Apollo Investment Fund VI, L.P. 5/10/2006 35,000,000 45,048,207 56,509,934 10,101,840 1.48x 8.76% 7.33% 1.43%

2006 Ares Corporate Opportunities Fund II, L.P. 5/23/2006 30,000,000 32,905,774 53,009,913 3,425,980 1.72x 13.66% 3.89% 9.77%

2006 Arsenal Capital Partners II, L.P. 12/19/2006 13,500,000 16,210,975 21,359,702 5,692,263 1.67x 10.75% 11.57% (0.82%)

2006 Avista Capital Partners, L.P. 8/11/2006 30,000,000 39,420,589 35,700,608 14,958,821 1.29x 5.45% 6.09% (0.64%)

2006 BDCM Opportunity Fund II, L.P. 12/28/2006 25,000,000 36,514,340 36,662,202 35,368,179 1.97x 16.25% 10.83% 5.42%

2006 Blackstone Capital Partners V, L.P. 4/13/2006 75,600,000 76,339,096 107,203,881 18,933,956 1.65x 8.40% 8.18% 0.22%

2006 Catterton Partners VI, L.P. 12/14/2006 30,000,000 33,611,987 41,713,320 20,732,647 1.86x 12.75% 8.27% 4.48%

2006 CCMP Capital Investors II, L.P. 5/22/2007 20,000,000 21,898,169 28,466,434 8,614,157 1.69x 13.59% 10.23% 3.36%

2006 Cinven Fourth Fund 1/22/2007 43,956,298 45,601,948 58,885,142 4,227,807 1.38x 6.74% 7.41% (0.67%)

2006 CLP 2014 (fka Perseus VII) 8/6/2007 381,908 22,622,284 7,786,818 263,041 0.36x (22.73%) 12.29% (35.02%)

2006 Fairview Ventures Fund III, L.P. 7/13/2007 20,000,000 20,636,759 16,249,442 22,552,691 1.88x 14.98% 11.91% 3.07%

2006 First Reserve Fund XI, L.P. 12/22/2006 30,000,000 34,241,400 20,365,682 3,115,856 0.69x (9.90%) 6.18% (16.08%)

2006 GF Capital Private Equity Fund, L.P. 3/20/2008 15,000,000 15,479,430 16,924,166 10,305,465 1.76x 14.06% 12.13% 1.93%

2006 GSC Recovery III, L.P. 5/4/2006 10,000,000 11,239,908 11,848,063 1,054,733 1.15x 3.59% 6.51% (2.92%)

2006 InterMedia Partners VII, L.P. 6/8/2006 25,000,000 29,124,516 18,081,038 24,780,817 1.47x 5.66% 9.65% (3.99%)

2006 Landmark Equity Partners XIII, L.P. 5/15/2006 25,000,000 23,654,752 20,591,707 9,492,891 1.27x 4.95% 6.11% (1.16%)

2006 MidOcean Partners III, L.P. 6/19/2007 40,000,000 45,699,263 35,089,279 39,819,735 1.64x 10.32% 9.20% 1.12%

2006 RRE Ventures IV, L.P. 10/25/2006 25,000,000 31,100,259 15,029,594 32,226,246 1.52x 7.70% 10.40% (2.70%)

2006 Terra Firma Capital Partners III, L.P. 2/26/2007 31,058,013 31,502,393 3,143,171 12,254,980 0.49x (10.66%) 9.19% (19.85%)

2006 Thomas, McNerney & Partners II, L.P. 11/30/2006 15,000,000 14,567,607 27,696,609 5,640,469 2.29x 17.33% 11.31% 6.02%

2007 Carlyle Partners V, L.P. 9/28/2007 50,000,000 49,829,570 62,257,194 19,713,681 1.65x 12.67% 10.57% 2.10%

2007 Co-Investment Partners Europe, L.P. 12/5/2008 26,427,859 29,016,283 24,740,793 11,722,114 1.26x 4.83% 15.09% (10.26%)

2007 Constellation Ventures III, L.P. 11/20/2008 15,000,000 16,296,009 3,405,627 8,912,550 0.76x (5.36%) 15.78% (21.14%)

2007 Craton Equity Investors I, L.P. 3/11/2008 10,000,000 9,266,168 1,076,950 1,545,507 0.28x (19.24%) 13.24% (32.48%)

2007 FTVentures III, L.P. 3/1/2007 14,081,947 14,882,466 15,701,436 10,660,028 1.77x 11.38% 9.82% 1.56%

2007 GSO Capital Opportunities Fund, L.P. 8/15/2008 30,000,000 48,206,650 66,231,466 1,869,264 1.41x 17.70% 10.13% 7.57%

2007 Halyard Capital Fund II, L.P. 11/2/2007 15,000,000 12,829,696 13,437,397 5,328,838 1.46x 7.43% 9.53% (2.10%)

2007 Montreux Equity Partners IV, L.P. 3/27/2007 15,000,000 14,930,359 11,239,048 13,191,838 1.64x 10.93% 9.93% 1.00%

2007 Nautic Partners VI, L.P. 6/30/2008 20,000,000 21,437,126 40,944,528 8,496,822 2.31x 18.87% 11.84% 7.03%

2007 New Mountain Partners III, L.P. 9/25/2007 35,000,000 34,874,112 28,746,920 32,460,914 1.76x 12.92% 12.20% 0.72%

2007 PCG Clean Energy & Technology Fund East, L.P. 4/25/2008 60,000,000 50,943,959 6,653,741 22,600,670 0.57x (9.97%) 12.55% (22.52%)

2007 Pegasus Partners IV, L.P. 10/9/2007 20,000,000 25,195,058 15,701,117 9,219,577 0.99x (0.25%) 11.04% (11.29%)

2007 Pine Brook Capital Partners, L.P. 4/7/2008 22,500,000 23,139,843 13,811,622 15,131,532 1.25x 6.95% 11.15% (4.20%)

2007 Quaker BioVentures II, L.P. 4/18/2008 15,000,000 14,002,775 9,037,673 9,590,041 1.33x 7.26% 12.12% (4.86%)

2007 RLJ Equity Partners Fund I, L.P. 4/14/2009 15,000,000 14,760,981 7,586,667 17,709,447 1.71x 14.23% 13.32% 0.91%

2007 SCP Vitalife Partners II, L.P. 1/10/2008 15,000,000 15,074,774 1,184 9,487,065 0.63x (8.23%) 11.79% (20.02%)

2007 StarVest Partners II, L.P. 12/8/2008 20,000,000 19,934,407 912,803 17,518,370 0.92x (1.67%) 13.34% (15.01%)

2007 Trilantic Capital Partners IV L.P. 10/22/2007 53,311,339 55,500,211 75,821,167 10,478,052 1.55x 14.15% 10.99% 3.16%

2007 USPF III Institutional Fund, L.P. 7/10/2007 30,000,000 33,095,437 16,151,766 30,474,564 1.41x 6.69% 8.64% (1.95%)

2007 Vista Equity Partners Fund III, L.P. 11/30/2007 25,000,000 26,617,905 56,597,987 11,776,020 2.57x 28.18% 9.71% 18.47%

2008 Aisling Capital III, L.P. 11/20/2008 10,500,000 11,476,041 11,052,941 7,578,579 1.62x 21.04% 14.58% 6.46%

2008 Apollo Investment Fund VII, L.P. 4/16/2008 50,000,000 58,836,770 89,469,773 14,021,795 1.76x 24.59% 13.51% 11.08%

34

Teachers' Retirement System of the City of New York Private Equity Portfolio

As of September 30, 2016 (in USD)

Vintage Year Investment First

DrawdownCommitted

Capital Paid-In Capital Distributed Capital Market Value Multiple IRR2 PME Benchmark3 PME Spread4

2008 Ares Corporate Opportunities Fund III, L.P. 7/30/2008 60,000,000 69,702,844 76,730,905 53,430,264 1.87x 21.44% 11.57% 9.87%

2008 Avista Capital Partners II, L.P. 12/31/2008 50,000,000 61,749,059 79,031,885 33,220,635 1.82x 17.42% 14.47% 2.95%

2008 Blue Wolf Capital Fund II, L.P. 11/14/2008 20,000,000 21,734,323 10,000,955 16,507,307 1.22x 6.04% 15.07% (9.03%)

2008 Bridgepoint Europe IV, L.P. 9/30/2008 26,558,305 24,004,965 20,769,276 13,951,840 1.45x 10.13% 14.80% (4.67%)

2008 Carpenter Community BancFund-A, L.P. 6/5/2008 15,000,000 14,639,741 8,743,840 14,363,619 1.58x 8.10% 14.61% (6.51%)

2008 First Reserve Fund XII, L.P. 11/14/2008 30,000,000 31,821,183 14,866,750 8,182,053 0.72x (9.12%) 15.94% (25.06%)

2008 GCM Grosvenor TRSCNY Emerging Manager Co-Investment Fund, L.P. 8/22/2008 12,626,263 7,175,280 12,687,551 18,915 1.77x 13.95% 11.40% 2.55%

2008 GCM Grosvenor TRSCNY Emerging Manager Fund, L.P. 8/22/2008 59,373,737 64,412,196 43,087,828 42,955,881 1.34x 10.89% 12.91% (2.02%)

2008 GI Partners III, L.P. 7/29/2008 30,000,000 32,182,807 32,782,968 14,414,434 1.47x 12.46% 15.08% (2.62%)

2008 Landmark Equity Partners XIV, L.P. 9/19/2008 50,000,000 47,289,846 38,169,351 22,156,753 1.28x 10.27% 12.47% (2.20%)

2008 Lee Equity Partners, L.P. 4/23/2008 30,000,000 35,293,165 42,970,110 198,716 1.22x 6.35% 13.13% (6.78%)

2008 Leeds Equity Partners V, L.P. 7/28/2008 40,000,000 41,438,260 37,118,527 28,596,884 1.59x 15.82% 13.48% 2.34%

2008 Levine Leichtman Capital Partners IV, L.P. 9/22/2008 25,000,000 24,968,674 37,169,914 6,888,023 1.76x 20.19% 14.29% 5.90%

2008 New York/Fairview Emerging Managers (Tranche B), L.P. 5/28/2008 35,000,000 32,709,147 19,653,831 31,329,111 1.56x 14.07% 12.66% 1.41%

2008 NGN BioMed Opportunity II, L.P. 10/31/2008 15,000,000 14,363,866 2,959,657 7,310,489 0.71x (7.14%) 14.54% (21.68%)

2008 Onex Partners III, L.P. 3/31/2009 40,000,000 43,219,704 31,594,042 35,423,656 1.55x 13.12% 14.64% (1.52%)

2008 Paladin III (HR), L.P. 1/8/2008 20,000,000 23,833,079 12,043,302 18,446,008 1.28x 7.12% 11.20% (4.08%)

2008 Relativity Fund, L.P. 1/17/2008 15,000,000 8,181,270 1,827,612 2,581,547 0.54x (10.69%) 11.19% (21.88%)

2008 Riverstone/Carlyle Global Energy & Power Fund IV 9/29/2008 32,500,000 34,030,139 24,282,611 13,859,896 1.12x 3.82% 13.47% (9.65%)

2008 Yucaipa American Alliance Fund II, L.P. 3/28/2008 75,000,000 102,882,362 70,305,991 79,688,245 1.46x 10.30% 12.01% (1.71%)

2008 Yucaipa Corporate Initiatives Fund II, L.P. 6/23/2008 35,000,000 31,919,929 9,866,113 19,364,102 0.92x (1.85%) 11.57% (13.42%)

2009 Lincolnshire Equity Fund IV, L.P. 8/7/2009 12,500,000 12,207,333 3,745,074 11,912,147 1.28x 8.21% 12.90% (4.69%)

2009 Welsh, Carson, Anderson & Stowe XI, L.P. 2/10/2009 30,000,000 29,181,781 24,139,149 19,843,919 1.51x 12.56% 14.33% (1.77%)

2010 JP Morgan Fleming (Tranche B), L.P. 3/31/2008 10,000,000 9,506,320 3,760,620 9,587,345 1.40x 10.96% 12.76% (1.80%)

2010 Trident V, L.P. 12/30/2010 35,000,000 37,748,678 10,633,135 39,181,770 1.32x 9.12% 11.39% (2.27%)

2011 American Securities Partners VI, L.P. 1/10/2012 100,000,000 106,067,020 32,735,252 123,403,196 1.47x 19.46% 11.51% 7.95%

2011 Ampersand 2011, L.P. 3/11/2011 17,500,000 16,887,500 6,085,900 28,652,244 2.06x 20.29% 12.39% 7.90%

2011 AXA Secondary Fund V L.P. 8/11/2011 160,000,000 82,588,768 58,807,328 61,035,040 1.45x 13.80% 14.96% (1.16%)

2011 BC European Capital IX, L.P. 9/19/2011 65,699,691 59,196,622 24,180,274 51,867,811 1.28x 10.59% 12.76% (2.17%)

2011 Blackstone Capital Partners VI, L.P. 1/24/2011 60,000,000 54,076,842 12,351,953 54,348,774 1.23x 9.94% 11.19% (1.25%)

2011 EQT VI, L.P. 8/1/2011 48,418,492 48,110,541 6,749,586 52,808,635 1.24x 8.60% 10.77% (2.17%)

2011 Pegasus Partners V, L.P. 8/16/2011 20,789,916 16,102,082 4,109,095 18,095,362 1.38x 11.73% 13.93% (2.20%)

2011 Vista Equity Partners IV, L.P. 11/30/2011 100,000,000 96,068,086 45,451,786 126,816,452 1.79x 21.19% 12.96% 8.23%

2012 Green Equity Investors VI, L.P. 11/30/2012 100,000,000 100,909,180 14,677,691 105,503,516 1.19x 11.53% 9.29% 2.24%

2012 Ares Corporate Opportunities Fund IV, L.P. 11/5/2012 105,000,000 90,792,195 21,014,191 92,217,264 1.25x 12.69% 8.32% 4.37%

2012 Platinum Equity Capital Partners III, L.P. 1/14/2013 115,000,000 91,122,040 73,076,730 72,355,959 1.60x 47.48% 12.34% 35.14%

2012 Trilantic Capital Partners V (North America), L.P. 9/20/2012 70,000,000 38,512,803 1,592,372 40,738,872 1.10x 5.13% 9.60% (4.47%)

2012 Warburg Pincus Private Equity XI, L.P. 5/24/2012 175,000,000 148,314,215 11,678,325 147,999,587 1.08x 4.05% 11.18% (7.13%)

2012 NYCTRS - 2012 Emerging Manager Program* 2/7/2013 175,000,000 107,529,207 13,093,502 110,398,259 1.15x 9.89% 7.59% 2.30%

2013 Apollo Investment Fund VIII, L.P. 12/11/2013 200,000,000 113,127,431 9,181,361 116,954,072 1.11x 12.00% 6.72% 5.28%

2013 Carlyle Partners VI, L.P. 7/3/2013 125,000,000 60,878,306 14,848,500 54,416,580 1.14x 8.01% 7.42% 0.59%

2013 CVC Capital Partners VI, L.P. 2/18/2014 174,356,285 62,736,790 1,184,297 61,069,994 0.99x (0.63%) 7.97% (8.60%)

2013 Landmark Equity Partners XV, L.P. 10/30/2013 113,000,000 39,864,280 16,838,305 29,834,131 1.17x 11.02% 9.21% 1.81%

2013 Landmark Equity Partners XV, L.P. - Side Car 12/24/2013 37,000,000 12,274,291 4,442,691 12,852,316 1.41x 23.83% 5.65% 18.18%

2013 Crestview Partners III, L.P. 3/3/2015 75,000,000 17,172,895 283,562 15,841,407 0.94x N/M N/M N/M

2013 Crestview Partners III (Co-Investment B), L.P. 12/17/2015 25,000,000 8,389,282 351,165 8,301,123 1.03x N/M N/M N/M

2014 Carlyle Partners VI, L.P. - Side Car 9/23/2014 13,750,000 7,459,264 2 6,960,192 0.93x (5.30%) 6.99% (12.29%)

2014 Olympus Growth Fund VI, L.P. 1/21/2014 100,000,000 50,903,148 7,712,246 59,617,109 1.32x 35.09% 11.79% 23.30%

2014 ASF VI, L.P. 5/9/2014 112,000,000 56,949,977 3,447,860 65,133,741 1.20x 13.88% 7.07% 6.81%

2014 ASF VI NYC Co-Invest, L.P. 5/9/2014 38,000,000 23,294,480 5,259,200 24,323,334 1.27x 15.71% 3.41% 12.30%

2014 Lexington Capital Partners VIII, L.P. 1/8/2015 150,000,000 33,194,146 9,795,927 32,600,930 1.28x N/M N/M N/M

2014 Vista Equity Partners Fund V, L.P. 9/8/2014 125,000,000 121,577,668 22,159,407 113,158,722 1.11x 9.73% 6.28% 3.45%

2015 Centerbridge Capital Partners III, L.P. 5/21/2015 33,500,000 8,920,310 353,151 10,151,712 1.18x N/M N/M N/M

2015 Siris Partners III, L.P. 5/4/2015 45,000,000 19,463,121 34,696 18,722,146 0.96x N/M N/M N/M

2015 American Securities Partners VII, L.P. 7/8/2016 111,000,000 10,063,933 1,014,536 8,494,527 0.94x N/M N/M N/M

2015 ASF VII, L.P. 12/29/2015 134,000,000 10,933,243 909,801 11,675,195 1.15x N/M N/M N/M

2015 ASF VII B NYC Co-Invest, L.P. 12/29/2015 67,000,000 6,700 - 6,700 1.00x N/M N/M N/M

2015 Bridgepoint Europe V, L.P. 2/8/2016 86,532,486 24,225,342 - 24,353,697 1.01x N/M N/M N/M

2015 NYCTRS - 2015 Emerging Manager Program** 2/22/2016 200,000,000 5,389,287 68,517 5,285,046 0.99x N/M N/M N/M

2015 Welsh, Carson, Anderson & Stowe XII, L.P. 8/26/2015 110,500,000 31,111,538 - 33,016,661 1.06x N/M N/M N/M

2015 Bridgepoint Europe V Co-Invest 8/16/2016 24,387,781 4,816,956 - 4,780,586 0.99x N/M N/M N/M

2016 Vista Equity Partners Fund VI, L.P. 6/28/2016 223,000,000 47,769,556 211,263 47,975,463 1.01x N/M N/M N/M

2016 Apax IX USD, L.P. N/A 178,000,000 - - - N/A N/A N/A N/A

2017 Ares Corporate Opportunities Fund V, L.P. N/A 134,000,000 - - - N/A N/A N/A N/A

2017 Green Equity Investors VII, L.P. N/A 134,000,000 - - - N/A N/A N/A N/A

2017 BC European Capital X, L.P. N/A 124,572,134 - - - N/A N/A N/A N/A

2017 BC European Capital X Metro Co-Investment L.P. N/A 49,828,854 - - - N/A N/A N/A N/A

Total Portfolio1 7,232,062,391$ 5,312,289,779$ 3,938,815,665$ 3,200,120,678$ 1.34x 9.16% 9.44% (0.28%)

Vintage Year

Investment First Drawdown Committed Capital

Net Contributed Capital

Net Distributed Capital Market Value Multiple IRR2 PME Benchmark3 PME Spread4

Commitments Closed Subsequent to as of DateTotal Commitments Closed Subsequent to as of Date

Note: Where available, September 30, 2016 reported valuations were used. In the absense of September 30, 2016 reported values, market values have been adjusted forward using interim cashflows through September 30, 2016. The IRR calculated in the early years of a fund is not meaningful given the j-curve effect. The aggregate portfolio performance figures for IRR and multiple are as of September 30, 2016.

1Please note that the Total Portfolio is inclusive of liquidated investments in the TRS Portfolio and include sales proceeds from the 2012 Secondary Sale Partnerships.

*Please note that the NYCTRS - 2012 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $165.1 million has been committed as of September 30, 2016.

4PME Spread is the percentage difference between the IRR and PME Benchmark for each respective partnership.

**Please note that the NYCTRS - 2015 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $52 million has been committed as of September 30, 2016.

2Performance for funds with less than 8 quarters of activity is not yet meaningful.3 The total PME is the Russell 3000 Total Return Index and incorporates the PME + methodology for all partnerships where distributions have occurred, and incorporates the PME methodologies for those partnerships that have not yet had any distributions to date. The fund PME is the Russell 3000 Total Return Index and incorporates the PME II methodology for all partnerships where distributions have occurred.

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($ m

m)

NYC Teachers Monthly PE Cash Flow Summary(as of February 28, 2017)

Contributions Distributions Net Cash Flow

36

Vintage Year Fund Name Style Sector Capital Committed Contributions Distributions Market Value Equity Multiple Net IRR

2012 Almanac Realty Securities VI Core / Core Plus Portfolio 100,000,000 66,013,962 -43,946,268 44,051,128 1.3 16.8

2012 Almanac Realty Securities VI (Sidecar III) Core / Core Plus Portfolio 35,000,000 11,293,187 -5,561,270 11,284,477 1.5 29.5

2015 Almanac Realty Securities VII Core / Core Plus Portfolio 65,000,000 18,050,578 -519,458 19,157,107 1.1 9.5

2016 Almanac Realty Securities VII (Sidecar III) Core / Core Plus Portfolio 20,000,000 3,151,212 0 3,499,234 1.1 15.7

2007 Colony Realty Partners II Core / Core Plus Portfolio 15,000,000 16,065,058 -499,580 3,333,300 0.2 -15.5

2016 Exeter Industrial Core Club Fund II Core / Core Plus Portfolio 37,000,000 6,254,298 0 6,369,397 1.0 4.8

2007 Heitman HART Core / Core Plus Portfolio 48,000,000 67,593,409 -19,593,365 90,764,605 1.6 8.3

2016 Jamestown Premier Property Fund Core / Core Plus Portfolio 52,000,000 52,917,271 -4,225,030 50,538,498 1.0 10.2

2007 JP Morgan Special Situation Property Fund Core / Core Plus Portfolio 15,000,000 17,219,303 -4,558,328 18,984,376 1.4 3.9

2007 JP Morgan Strategic Property Fund Core / Core Plus Portfolio 86,000,000 94,119,552 0 166,737,213 1.8 8.2

2010 LaSalle Property Fund Core / Core Plus Portfolio 50,000,000 50,000,000 -11,027,538 68,212,833 1.6 12.2

2014 MetLife Core Property Fund Core / Core Plus Portfolio 80,000,000 80,000,000 -6,521,172 91,724,533 1.2 14.1

2013 NYC Asset Investor #2 LLC Core / Core Plus Portfolio 145,000,000 132,257,352 -18,692,663 143,949,396 1.2 13.6

2016 NYCRS Artemis Co-Investment Core / Core Plus Portfolio 70,000,000 7,736,801 0 10,562,914 1.4 69.9

2007 PRISA II Core / Core Plus Portfolio 63,374,139 67,228,134 -14,598,784 85,377,761 1.5 5.4

2006 PRISA SA Core / Core Plus Portfolio 36,000,000 38,812,730 -10,218,651 46,943,171 1.5 4.3

2006 Prologis Targeted U.S. Logistics Fund Core / Core Plus Portfolio 10,000,000 13,078,885 -3,194,909 12,890,292 1.2 2.7

2006 RREEF America REIT II Core / Core Plus Portfolio 36,000,000 47,527,452 -20,927,304 47,233,199 1.4 4.9

2007 RREEF America REIT III - 1410 Core / Core Plus Portfolio 15,000,000 14,836,751 -8,262,469 108,543 0.6 -7.6

2006 UBS Trumbull Property Fund Core / Core Plus Portfolio 106,000,000 144,141,511 -30,585,674 179,306,774 1.5 7.2

2016 USAA Eagle Real Estate Fund Core / Core Plus Portfolio 78,000,000 51,245,502 0 55,944,431 1.1 13.0

Core / Core Plus Portfolio 1,162,374,139 999,542,948 -202,932,464 1,156,973,182 1.4 6.8

2008 American Value Partners Fund I Non-Core Portfolio 25,000,000 17,872,806 -14,847,262 6,403,322 1.2 3.9

2006 AREA Real Estate Investment Fund V, LP Non-Core Portfolio 5,000,000 5,000,001 -2,618,045 2,205,354 1.0 -0.5

2015 Avanath Affordable Housing Fund II Non-Core Portfolio 10,000,000 9,371,379 0 12,348,019 1.3 28.4

2004 Blackstone Fund IV Non-Core Portfolio 25,000,000 32,033,922 -39,601,313 5,237,716 1.4 10.5

2010 Blackstone Real Estate Partners Europe III (USD Vehicle) Non-Core Portfolio 50,000,000 40,448,504 -37,414,372 22,557,644 1.5 13.4

2007 Blackstone Real Estate Partners VI Non-Core Portfolio 50,000,000 54,115,252 -80,714,396 22,772,345 1.9 13.2

2012 Brookfield Strategic Real Estate Partners Non-Core Portfolio 125,000,000 114,512,698 -48,065,164 107,192,822 1.4 15.9

2003 Canyon Johnson Urban Fund Non-Core Portfolio 15,000,000 13,590,364 -15,874,432 0 1.2 10.2

2005 Canyon Johnson Urban Fund II Non-Core Portfolio 30,000,000 26,966,112 -11,463,957 537,618 0.4 -10.5

2010 Canyon Johnson Urban Fund III Non-Core Portfolio 25,000,000 24,655,816 -32,988,887 636,661 1.4 12.2

2008 Capri Urban Investors Non-Core Portfolio 40,000,000 39,987,138 -10,513,450 25,789,610 0.9 -1.6

2009 Carbon Capital III Non-Core Portfolio 40,000,000 43,757,162 -53,134,591 0 1.2 8.5

2007 Carlyle Realty Partners V Non-Core Portfolio 15,000,000 18,476,120 -21,235,635 4,472,773 1.4 8.7

2011 Carlyle Realty Partners VI Non-Core Portfolio 70,000,000 65,518,219 -74,007,299 37,231,656 1.7 28.4

2014 Carlyle Realty Partners VII Non-Core Portfolio 120,000,000 58,707,868 -420,821 65,872,080 1.1 14.6

2014 Divco West Fund IV Non-Core Portfolio 25,000,000 24,276,592 -11,832,794 25,605,800 1.5 29.3

2016 Divco West Fund V Non-Core Portfolio 78,000,000 0 0 -389,120 n/a n/a

2014 DRA Growth and Income Fund VIII Non-Core Portfolio 75,000,000 75,839,321 -17,254,948 66,614,110 1.1 13.0

2016 European Property Investors Special Opportunities IV (EPISO IV) Non-Core Portfolio 64,826,199 9,493,644 -1,578,066 8,229,309 1.0 7.1

2011 H/2 Special Opportunities Fund II Non-Core Portfolio 40,000,000 39,999,999 -28,306,142 29,312,580 1.4 15.5

2015 H/2 Special Opportunities Fund III Non-Core Portfolio 65,000,000 48,247,765 -1,089,360 53,972,801 1.1 19.9

2009 JP Morgan Urban Renaissance Property Fund Non-Core Portfolio 16,360,625 4,206,523 -4,206,523 0 1.0 0.0

2013 KTR Industrial Fund III Non-Core Portfolio 70,000,000 30,589,081 -48,277,889 132,003 1.6 40.5

2014 Lone Star Real Estate Fund III Non-Core Portfolio 190,000,000 176,266,598 -66,438,507 158,088,533 1.3 19.7

2007 Metropolitan Workforce Housing Fund Non-Core Portfolio 10,500,000 10,509,770 -9,123,952 3,766,117 1.2 4.2

2013 NYC Asset Investor #1 LLC Non-Core Portfolio 60,000,000 64,316,053 -8,370,140 71,868,560 1.2 14.0

2013 NYC Asset Investor #3 LLC Non-Core Portfolio 96,000,000 39,912,927 -375,692 40,181,939 1.0 1.2

2003 OCM Real Estate Opportunities Fund IIIA Non-Core Portfolio 15,000,000 15,000,000 -23,027,038 598,747 1.6 9.9

2016 PW Real Estate Fund III LP Non-Core Portfolio 61,623,459 13,409,158 0 12,750,144 n/a n/a

2008 Silverpeak Legacy Partners III Non-Core Portfolio 30,000,000 11,748,148 -3,315,341 2,139,272 0.5 -14.3

2008 Stockbridge Real Estate Fund III Non-Core Portfolio 22,500,000 22,498,458 -14,024,794 14,073,516 1.2 3.9

2012 Taconic New York City Investment Fund LP Non-Core Portfolio 70,000,000 28,954,546 -22,113,636 26,441,079 1.7 16.3

2004 The City Investment Fund I Non-Core Portfolio 120,000,000 118,337,757 -119,516,336 355,325 1.0 0.3

2009 Thor Urban Property Fund II Non-Core Portfolio 12,500,000 16,173,958 -17,119,140 7,304,402 1.5 12.4

2004 Tishman Speyer Separate Account (TRS) Non-Core Portfolio 100,000,000 72,402,952 -250,146,943 0 3.5 57.5

2007 UrbanAmerica II Non-Core Portfolio 11,000,000 10,218,031 -1,122,775 11,107 0.1 -25.3

2010 Westbrook Real Estate Fund VIII Non-Core Portfolio 50,000,000 59,326,162 -67,801,514 9,905,957 1.3 12.3

2016 Westbrook Real Estate Fund X Non-Core Portfolio 47,000,000 2,473,684 0 2,582,219 1.0 23.6

Non-Core Portfolio 1,975,310,283 1,459,214,490 -1,157,941,154 846,802,019 1.4 14.0

Small Emerging Manager 126,500,000 55,708,787 -25,093,989 33,091,479 1.0 1.1

Teachers’ Retirement System of the City of New York 3,137,684,422 2,458,757,438 -1,360,873,618 2,003,775,201 1.4 9.9

Teachers’ Retirement System of the City of New York as of September 30, 2016.

Source: PCG historical cash flow data. TTG cash flow data from Fund Managers, effective 2005. Note: The equity multiples and IRRs contained in this report are interim calculations based upon information provided by the investment managers of the New York City Retirement Systems, including cash flows and quarterly unaudited, or audited, valuations. The IRR calculated in early years of a fund life is not meaningful given the J-curve effect and can be significantly impacted by the timing of cash flows, investment strategy, investment pacing, and fund life. The calculations are not necessarily indicative of total fund performance, which can only be determined after the fund is liquidated and all capital contributed and earnings have been distributed to the investor. All data supplied is as of September 30, 2016. Note: The General Partner of the JPMorgan Urban Renaissance Fund terminated the Fund on February 23, 2010 and all capital contributed, including management fees, was returned to investors.

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ntTRS Monthly Real Estate Cash Flow Summary

(as of February 28, 2017)

Contributions Distributions Net Cash Flow

38

monthly performance review february 2017...market indicator report february 28, 2017 *ncreif nfi -...

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