monthly performance review july 2021

Monthly Performance ReviewJuly 2021

Prepared for the New York City Board of Education Retirement System

09.2021

THE CITY OF NEW YORKOFFICE OF THE COMPTROLLER

TABLE OF CONTENTS

Market Indicators for July & August ...................................................................................................................................... 1

Contribution to Returns .......................................................................................................................................................... 5

Asset Allocation: Growth, Deflation, Inflation; New Policy Weights & Adjusted Policy Weight Mixes ............................... 6

Classification of Investments. ............................................................................................................................................... 12

BERS’ Market Values 2020-2021 ...................................................................................................................................... 15

BERS’ Market Values 2012-2021. ..................................................................................................................................... 16

Manager / Benchmark Comparison Report ......................................................................................................................... 17

Private Equity Fund Supplemental Details .......................................................................................................................... 31

Private Equity Cash Flow Tracker ....................................................................................................................................... 32

Real Estate Fund Supplemental Details ............................................................................................................................... 33

Real Estate Cash Flow Tracker ............................................................................................................................................ 34

Infrastructure Fund Supplemental Details ........................................................................................................................... 35 Infrastructure Cash Flow Tracker………………………………………………………………………………………………………………………..36

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

S&P 500 2.38 5.50 2.38 36.45 23.60 18.16 17.35 15.35S&P 400 MIDCAP 0.35 (0.49) 0.35 46.99 19.07 12.64 13.42 12.85RUSSELL 1000 2.08 5.13 2.08 37.97 24.33 18.63 17.60 15.39RUSSELL 2000 (3.61) (1.54) (3.61) 51.97 20.41 11.49 14.28 12.34RUSSELL 3000 1.69 4.67 1.69 38.73 24.05 18.10 17.36 15.16RUSSELL 3000 GROWTH 2.82 7.55 2.82 36.83 32.47 24.47 22.83 18.02RUSSELL 3000 VALUE 0.50 1.76 0.50 40.72 14.60 11.03 11.43 11.98

MSCI EAFE NET 0.75 2.87 0.75 30.31 13.19 7.66 9.35 6.14MSCI EMF NET (6.73) (4.40) (6.73) 20.64 13.38 7.93 10.37 3.61MSCI WORLD NET 1.79 4.80 1.79 35.07 20.35 14.49 14.29 11.05MSCI EUROPE SMID CAP NET 3.33 4.55 3.33 43.14 21.59 10.73 12.51 9.10MSCI AC WORLD ex US NET (1.65) 0.77 (1.65) 27.78 13.41 7.92 9.65 5.42 FTSE ALL WORLD EX US (1.52) 0.98 (1.52) 29.09 14.38 8.65 10.23 6.06MSCI World ex USA IMI NR 0.80 2.97 0.80 32.15 14.19 8.13 9.66 6.21

NYC - TREASURY AGENCY PLUS FIVE 2.37 4.94 2.37 (6.48) 5.86 7.66 2.98 4.50FTSE USBIG Treasury 1-3 Y Index 0.17 0.09 0.17 0.15 2.18 2.74 1.64 1.18FTSE USBIG Treasury/Agency 1-10 y 0.71 1.01 0.71 (0.70) 3.33 4.25 2.08 2.06FTSE Treasury 10+ 3.48 7.88 3.48 (11.14) 7.69 9.82 3.40 6.64

FTSE MORTGAGE INDEX 0.55 0.26 0.55 (0.06) 2.76 4.13 2.41 2.63

NYC - INVESTMENT GRADE CREDIT 1.27 3.50 1.27 1.41 6.57 7.72 4.68 4.80

CITY OF NEW YORKNYC Board of Education Retirement System

Market Indicator ReportJuly 31, 2021

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

1


FTSE BIG (DAILY) 1.07 2.17 1.07 (0.69) 4.69 5.84 3.19 3.38

NYC - CORE PLUS FIVE 1.27 2.69 1.27 (0.85) 5.27 6.58 3.60 3.98BLOOMBERG U.S. AGGREGATE 1.12 2.16 1.12 (0.70) 4.57 5.73 3.13 3.35

FTSE BB & B 0.43 1.93 0.43 9.00 6.53 6.84 6.53 6.19FTSE BB & B CAPPED 0.41 1.82 0.41 8.80 6.02 6.47 6.27 6.02ICE BofA US High Yield Index 0.36 2.02 0.36 10.74 6.85 6.88 6.84 6.41

CSFB LEVERAGED LOAN (0.00) 0.93 (0.00) 9.60 4.06 4.07 4.75 4.50

BLOOMBERG GLOBAL US TIPS 2.67 4.54 2.67 6.90 8.62 7.65 4.54 3.28

BofA ML U.S. Convertible – Yield Alternative (0.47) 1.84 (0.47) 17.00 11.51 9.41 8.76 6.09ICE BofA All IG US Convertibles 0.91 0.09 0.91 16.16 10.31 10.18 12.79 11.54ICE BofA All US Conv Ex Mandatory (1.23) 0.07 (1.23) 36.30 29.95 22.77 19.25 13.86

DJ US SELECT REAL ESTATE 5.32 8.71 5.32 42.67 9.28 9.81 5.35 8.99NCREIF NFI - ODCE NET* 0.00 3.68 0.00 7.09 4.17 4.60 5.62 8.60CPI + 4% 0.80 3.04 0.80 9.44 7.23 6.79 6.65

91 DAY TREASURY BILL 0.01 0.00 0.01 0.08 0.77 1.29 1.17 0.63


Market Indicator ReportJuly 31, 2021


2


S&P 500 3.04 7.95 5.49 31.17 26.47 18.07 18.02 16.34S&P 400 MIDCAP 1.95 1.25 2.30 44.77 22.83 12.18 13.74 13.90RUSSELL 1000 2.89 7.66 5.03 32.25 27.28 18.42 18.24 16.40RUSSELL 2000 2.24 0.45 (1.45) 47.08 24.87 10.75 14.38 13.62RUSSELL 3000 2.85 7.17 4.59 33.04 27.11 17.85 17.97 16.20RUSSELL 3000 GROWTH 3.62 13.11 6.54 28.81 35.52 23.71 23.80 19.11RUSSELL 3000 VALUE 2.03 1.41 2.54 37.78 17.60 11.21 11.68 12.95

MSCI EAFE NET 1.76 1.38 2.53 26.12 15.70 9.00 9.72 7.34MSCI EMF NET 2.62 (4.12) (4.29) 21.12 17.76 9.87 10.40 4.85MSCI WORLD NET 2.49 5.88 4.32 29.76 23.10 14.96 14.83 12.14MSCI EUROPE SMID CAP NET 1.92 2.76 5.32 36.86 24.26 11.80 12.76 10.44MSCI AC WORLD ex US NET 1.90 (0.43) 0.22 24.87 16.30 9.37 9.92 6.57 FTSE ALL WORLD EX US 1.98 (0.21) 0.43 26.05 17.26 10.12 10.54 7.23MSCI World ex USA IMI NR 1.77 1.45 2.58 27.53 16.62 9.39 10.06 7.33

NYC - TREASURY AGENCY PLUS FIVE (0.25) 4.19 2.11 (4.50) 2.58 7.14 3.10 3.92FTSE USBIG Treasury 1-3 Y Index (0.01) (0.00) 0.16 0.15 1.78 2.63 1.67 1.15FTSE USBIG Treasury/Agency 1-10 y (0.13) 0.58 0.58 (0.63) 2.35 4.01 2.15 1.88FTSE Treasury 10+ (0.22) 7.27 3.25 (7.34) 2.32 9.17 3.55 5.72

FTSE MORTGAGE INDEX (0.15) 0.36 0.40 (0.23) 2.21 3.87 2.35 2.48

NYC - INVESTMENT GRADE CREDIT (0.18) 2.72 1.09 2.63 4.84 7.45 4.58 4.74


Market Indicator ReportAugust 31, 2021


3


FTSE BIG (DAILY) (0.16) 1.75 0.91 0.04 3.25 5.55 3.17 3.21

NYC - CORE PLUS FIVE (0.18) 2.23 1.08 0.09 3.57 6.26 3.56 3.77BLOOMBERG U.S. AGGREGATE (0.19) 1.63 0.93 (0.08) 3.14 5.43 3.11 3.18

FTSE BB & B 0.56 2.31 0.99 8.67 6.54 6.79 6.21 6.61FTSE BB & B CAPPED 0.54 2.17 0.95 8.38 6.04 6.42 5.95 6.44ICE BofA US High Yield Index 0.55 2.28 0.90 10.26 6.93 6.82 6.49 6.90

CSFB LEVERAGED LOAN 0.49 0.89 0.48 8.50 4.46 4.10 4.69 5.00

BLOOMBERG GLOBAL US TIPS (0.18) 3.11 2.48 5.56 7.26 7.33 4.60 3.17

BofA ML U.S. Convertible – Yield Alternative 0.42 2.21 (0.06) 13.65 11.66 9.07 8.57 6.47ICE BofA All IG US Convertibles 0.75 1.25 1.68 14.84 9.86 9.96 12.87 12.10ICE BofA All US Conv Ex Mandatory 1.85 3.91 0.60 26.78 32.13 22.00 19.48 14.69

DJ US SELECT REAL ESTATE 1.75 9.63 7.17 44.17 8.94 9.38 6.44 9.82NCREIF NFI - ODCE NET* 0.00 3.68 0.00 7.09 4.17 4.60 5.62 8.60CPI + 4% 0.60 2.66 1.41 9.34 7.34 6.83 6.66

91 DAY TREASURY BILL 0.00 0.01 0.01 0.08 0.67 1.23 1.17 0.63


Market Indicator ReportAugust 31, 2021


4

NYC Board of Education Retirement System Contribution to Return - July 2021

1 Month - Total Fund 3 Months - Total Fund FYTD - Total Fund FY Ending 6/30/21 Total FY Ending 6/30/20 Total Return: 0.92% Return: 3.50% Return: 0.92% Return: 27.97% Return: 5.72%

(1.24) (0.21)0.14 0.24 0.14

0.14

0.92

0.14 3.73

0.24

0.17

1.11 0.09

0.16

0.09

0.39

0.21

0.41

0.21 2.24

0.85

0.27 (0.28)

(0.19)

(0.28)

2.47

(0.40)(0.10) (0.10)

4.94

0.73

0.63 1.53 0.63 14.70

2.21

DOMESTIC EQUITY

WORLD EX-USA

EMERGING MARKETS

INTL FOF

GLOBAL EQUITY

CORE + 5

TIPS

HIGH YIELD

BANK LOANS

OPPORTUNISTIC FIXED

TARGETED

OTHER FIXED

PRIVATE EQUITY

PRIVATE REAL ESTATE

INFRASTRUCTURE

RESIDUAL

(0.01)-Intl FoF0.02-Global Eq0.03-HY0.00-BL0.02-Opp FI0.01-ETI0.00-Oth FI0.02-Infra0.00-Res

0.05-World ex0.03-Intl FoF0.08-Global Eq0.00-BL0.06-Opp FI0.01-ETI0.00-Oth FI0.09-Infra(0.05)-Res

(0.01)-Intl FoF0.02-Global Eq0.03-HY0.00-BL0.02-Opp FI0.01-ETI0.00-Oth FI0.02-Infra0.00-Res

0.37-Intl FoF(0.10)-Core+50.25-TIPS0.00-BL0.00-ETI0.00-Oth FI0.50-RE0.38-Infra

(0.02)-Intl FoF0.04-HY(0.06)-BL0.05-ETI0.03-Oth FI0.06-RE0.14-Infra

Information Classification: General

5

2.4%0.0%

-0.3% -0.9% -1.9%-3.9%

0.9% 0.9% 2.1%

-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

$2.933.4%

Domestic US Equity World ex-USA Emerging Markets Private Equity

$0.910.0%

$0.55.7%

$0.78.1%

$0.88.9%$0.2

2.1%

Private Real Estate– Non Core

$8.8B Under ManagementPortfolio Asset Allocation – Growth : July 31, 2021

Asset Allocation

Note: Brackets represent rebalancing ranges versus Policy.

New York City Board of Education Retirement SystemPerformance Overview as of July 31, 2021Prepared by State Street

High Yield Int’l Emerging Managers FoF Global Equity

$0.22.1%

$0.10.9%

Opportunistic FI

$0.11.1%

6

s

$8.8B Under ManagementPortfolio Asset Allocation – Growth : July 31, 2021

Asset Allocation


0.5% 0.9% -0.1%0.0% 0.0% 0.0%

-1.1%

0.0%0.4%

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

10.00%Relative Mix to Adjusted Policy Weights


Note: On July 30, 2021 BERS' combined Fixed Income and Cashportfolios have a duration of 5.4 years. The duration of the Barclays USAggregate Index was 6.6 years on that date.

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

High Yield Int’l Emerging Managers FoF Global Equity

Opportunistic FI

$2.933.4%

$0.910.0%

$0.55.7%

$0.78.1%

$0.88.9%$0.2

2.1%$0.22.1%

$0.10.9%

$0.11.1%

7

Asset Allocation

US Government Treasuries

1.5%0.1% 0.0% 0.4% 1.0%

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

10.00%

Mortgages Investment Grade Corporate Short Term

Relative Mix to New Policy Weights

$8.8B Under ManagementPortfolio Asset Allocation – Deflation Protection : July 31, 2021

$0.11.0%


Core Fixed Income-Developing Managers

$0.11.5%

$0.66.6%

$0.45.0%

$0.44.8%

8

$8.8B Under Management

Asset Allocation

Relative Mix to Adjusted Policy Weights


Portfolio Asset Allocation – Deflation Protection : July 31, 2021

1.5%

-1.4% -1.1% -0.7%

1.0%

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

10.00%

US Government Treasuries Mortgages Investment Grade Corporate Short Term

Core Fixed Income-Developing Managers

$0.11.0% $0.1

1.5%

$0.66.6%

$0.45.0%

$0.44.8%


9

Asset Allocation

Infrastructure US TIPS Real Estate - Core Bank Loans

Relative Mix to New Policy Weights


$8.8B Under ManagementPortfolio Asset Allocation – Inflation Protection : July 31, 2021

$0.33.6%

$0.33.5%

$0.00.0%

$0.21.9%


-2.1%

0.6%

-0.5%

0.0%

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

10.00%

10

Asset Allocation

Infrastructure

0.0%0.0%

0.0%0.0%

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

10.00%

US TIPS Real Estate - Core Bank Loans

Relative Mix to Adjusted Policy Weights


$8.8B Under ManagementPortfolio Asset Allocation – Inflation Protection : July 31, 2021


$0.33.6%

$0.33.5%

$0.00.0%

$0.21.9%


11

NEW YORK CITY BOARD OF EDUCATION RETIREMENT SYSTEMCLASSIFICATION OF INVESTMENTS

(as of July 31st, 2021)

Information Classification: General “The 2020 Policy Targets are reflected in this report. However the recently approved parking places and ranges have not yet been integrated in this report.”

ASSET CLASS ALLOCATIONSActual Policy Target Adjustment Adjusted Policy

TOTAL EQUITIES $5,961.7 67.6% 68.0% NA 65.9% 60.9% - 70.9%TOTAL FIXED INCOME $2,851.8 32.4% 32.0% NA 23.2% 18.2% - 28.2%TOTAL ASSETS 100.0% 100.0% NA 89.1%

Actual Policy Target Adjustment Adjusted Policy

US Equities $2,943.8 33.4% 31.0% 2.8% 33.8% 28.8% - 38.8%Non-US Equities/EAFE $879.6 10.0% 10.0% 0.1% 10.1% 6.1% - 14.1%Emerging Markets $500.7 5.7% 6.0% 0.4% 6.4% 3.4% - 9.4%Non-US Emerging Mgrs. FoF $83.6 0.9% 0.0% NA 0.0% -Global Equity $182.3 2.1% 0.0% NA 0.0% -TOTAL PUBLIC EQUITY 52.1% 47.0% 3.3% 50.3%* REAL ESTATE - CORE 3.5% 4.0% NA 3.5% 1.5% - 5.5%* REAL ESTATE - OPPORTUNISTIC 2.1% 4.0% NA 2.1% 0.1% - 4.1%* PRIVATE EQUITY 8.1% 9.0% NA 8.1% 4.1% - 12.1%

PRIVATE INFRASTRUCTURE 1.9% 4.0% NA 1.9% -0.1% - 3.9%

TOTAL EQUITIES 67.6% 68.0% NA 65.9% 60.9% - 70.9%

Actual Policy Target Adjustment Adjusted Policy

U.S. Treasuries - Short $147.8 1.7% 2.0%U.S. Treasuries - Intermediate $228.8 2.6% 2.3%U.S. Treasuries - Long Intermediate $141.2 1.6% 1.6%U.S. Treasuries – All Maturities $517.8 5.9% 5.9% NA 0.0% -5.0% - 5.0%U.S. Treasuries - Long $61.9 0.7% 0.7% 0.3% 1.0% -4.0% - 6.0%Core Mortgage-Backed Securities $373.9 4.2% 2.8% 0.6% 3.4% 2.4% - 4.4%Investment Grade Corporates 5.0% 4.7% 0.6% 5.3% 4.3% - 6.3%

High Yield $782.8 8.9% 8.0% NA 8.0% 5.0% - 11.0%Bank Loans $0.5 0.0% 0.0% NA 0.0% -1.0% - 1.0%Total High Yield & Bank Loans 8.9% 8.0% 0.0% 8.0% 5.0% - 11.0%

TIPS $313.2 3.6% 3.0% 0.5% 3.5% 2.5% - 4.5%**ETI $45.0 0.5% 2.0% NA 2.0% 1.0% - 3.0%Cash $88.2 1.0% 0.0% NA 0.0% 0.0% - 0.0%TOTAL PUBLIC FIXED INCOME 29.8% 27.0% NA 23.2%

OPPORTUNISTIC FIXED INCOME 1.1% 5.0%

OTHER FIXED INCOME 1.5% 0.0%

TOTAL FIXED INCOME 32.4% 32.0% NA 23.2% 18.2% - 28.2%

***

***

$5,961.7

In $MM

In $MM Adjusted Target

Range ***

$8,813.5

In $MM Adjusted Target

Range ***

$4,590.1

$306.5$183.4

$712.7

$169.1

Adjusted Target Range ***

$444.6

$783.3

$2,627.9

$2,851.8

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.

$94.1

$129.8

Adjusted Target Ranges are calculated as follows: Total Equities: +/-5%; Total Fixed Income: +/-5%; US Equities: +/-5%; Non-US Equities/EAFE: +/-4%; Emerging Markets: +/-3%; Real Estate Core: +/-2%; Real Estate Opportunistic: +/-2%; Private Equity: +/-4%; US Treasuries All Maturities: +/-5%; US Treasuries Long: +/-5%; Mortgage Backed Securities: +/-1%; Investment Grade Corporates: +/-1%; TIPS: +/-1%; High Yield: +/-3%; Bank Loans:

+/-1%.

Adjusted Policy and Target Ranges are based on the 2016 AA polices

12




Adjustments to Long-Term Asset Allocation

1) Private Equity

2) Real Estate Core

3) Real Estate Opportunistic

4) Infrastructure

Impact of Adjustments

1) U.S. Treasuries - Long 0.7%12% of uninvested Real Estate Core 0.1%8% of uninvested Real Estate Opportunistic 0.2%5% of uninvested Private Infrastructure 0.1%Total U.S. Treasuries - Long 1.0%

2) Investment Grade Corporates 4.7%24% of uninvested Real Estate Core 0.1%16% of uninvested Real Estate Opportunistic 0.3%10% of uninvested Private Infrastructure 0.2%Total - Investment Grade Corporates 5.3%

3) Core Mortgage-Backed Securities 2.8%24% of uninvested Real Estate Core 0.1%16% of uninvested Real Estate Opportunistic 0.3%10% of uninvested Private Infrastructure 0.2%Total Core Mortgage-Backed Securities 3.4%

4) Domestic Equity 31.0%100% of uninvested Private Equity 0.9%40% of uninvested of uninvested Real Estate Core 0.2%60% of uninvested Real Estate Opportunistic 1.2%27% of uninvested Private Infrastructure 0.6%Total Domestic Equity 33.8%

5) Treasury Inflation Protected Securities 3.0%25% of uninvested Private Infrastructure 0.5%Total Treasury Inflation Protected Securities 3.5%

60% of uninvested commitments will be invested in US Equity, 8% of uninvested commitments will be invested in US Treasuries, 16% of uninvested commitments will be invested in Investment Grade Corporates, and 16% of uninvested commitments will be invested in Mortgage Backed Securities.

27% of uninvested commitments will be invested in US Equity, 18% of uninvested commitments will be invested in Developed Ex-US Equity, 5% of uninvested commitments will be invested in Emerging Markets Equity, 5% of uninvested commitments will be invested in US Treasuries, 10% of uninvested commitments will be invested in Investment Grade Corporates, 10% of uninvested commitments will be invested in Mortgage Backed Securities, and 25% of uninvested commitments will be invested in TIPS.

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.

13




6) Non-U.S. Equity - Emerging Markets 6.0%5% of uninvested Private Infrastructure 0.1%Total Non-U.S. Equity - Emerging Markets 6.1%

7) Non-U.S. Equity - Developed Mkts. 10.0%18% of uninvested Private Infrastructure 0.4%Total Non-U.S. Equity 10.4%

Note: Totals may not equal 100% due to rounding

US Equities64%

Non-US Equities/EAFE

19%

Emerging Markets

11%

Non-US Emerging Mgrs. FoF

2%

Global Equity4%

Total Public Equities

U.S. Treasuries -Short

5%U.S. Treasuries -

Intermediate8%

U.S. Treasuries -Long Intermediate

5%

U.S. Treasuries -Long2%

Core Mortgage-Backed Securities

13%

Investment Grade Corporates

16%

High Yield27%

Bank Loans0%

TIPS11%

**ETI2%

Cash3%

OPPORTUNISTIC FIXED INCOME

3%

OTHER FIXED INCOME

5%

Total Fixed Income

14

$7,369 $7,261

$7,240

$7,756

$8,039 $8,066 $8,167

$8,283 $8,540

$8,644 $8,713 $8,813

$6,850$7,000$7,150$7,300$7,450$7,600$7,750$7,900$8,050$8,200$8,350$8,500$8,650$8,800$8,950$9,100

BERS Market ValuesAugust 2020 - July 2021

15

$2,949 $3,458

$4,179 $4,408

$4,495 $5,303

$5,992 $6,447

$6,827

$8,713 $8,813

$1,600$2,000$2,400$2,800$3,200$3,600$4,000$4,400$4,800$5,200$5,600$6,000$6,400$6,800$7,200$7,600$8,000$8,400$8,800$9,200$9,600

$10,000

16

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month FYTD CYTD FYE 6/30/21

FYE 6/30/20

CYE12/31/18

CYE12/31/19

Trailing1 Year

Trailing3 Year

InceptionDate

ASSET CLASS SUMMARY

BERS-TOTAL DOMESTIC EQUITY 2,943.80 33.40 1.90 4.55 1.90 16.77 43.79 6.89 (4.64) 31.04 38.49 18.21 Sep-01-91

BERS-TOTAL WORLD ex-USA 879.64 9.98 (0.94) 0.50 (0.94) 7.62 47.71 6.18 (14.88) 26.16 39.26 14.82 Nov-01-92

BERS-TOTAL EMERGING MARKETS 500.74 5.68 (4.59) (3.18) (4.59) 4.10 39.44 (6.16) (16.34) 16.63 23.74 6.81 Nov-01-97

BERS-TOTAL INTL FOF 83.56 0.95 (0.71) 2.70 (0.71) 9.03 40.05 (2.34) (14.53) 22.25 32.42 10.17 May-01-17

BERS-TOTAL GLOBAL EQUITY 182.34 2.07 0.99 3.91 0.99 10.23 42.28 15.96 35.91 33.86 22.57 Jun-01-18

BERS-TOTAL STRUCTURED 1,398.19 15.86 1.21 2.38 1.21 (0.45) (0.59) 11.47 (0.40) 9.12 (0.78) 6.71 Jan-01-85

BERS-TOTAL TIPS MANAGERS 313.22 3.55 2.62 4.54 2.62 4.41 6.50 8.36 (1.29) 8.44 6.86 7.65 Jun-01-05

BERS-TOTAL HIGH YIELD 782.78 8.88 0.29 1.91 0.29 4.48 16.03 0.94 (1.94) 13.71 11.50 7.72 Aug-01-97

BERS-TOTAL BANK LOANS 0.49 0.01 (3.08) 0.38 7.82 Dec-01-12

BERS-TOTAL OPPORTUNISTIC FIXED 94.13 1.07 1.41 5.65 1.41 12.89 19.73 Aug-01-20

BERS-TOTAL CORE FI- DEVELOPING MGRS 129.82 1.47 1.07 2.31 1.07 (0.19) Sep-01-20

TOTAL BOE ETI (w/o cash) 44.97 0.51 1.37 2.48 1.37 0.36 0.42 8.15 0.83 9.66 0.22 6.32 Dec-01-84

BERS-TOTAL PRIVATE EQUITY 712.66 8.09 1.71 11.72 1.71 26.53 52.48 3.52 19.69 12.66 51.48 22.72 Jul-01-06

BERS-TOTAL PRIVATE REAL ESTATE 489.85 5.56 2.59 4.43 2.59 10.33 9.46 1.00 11.40 6.90 12.36 7.08 Dec-01-10

BERS-TOTAL INFRASTRUCTURE 169.06 1.92 1.08 4.54 1.08 10.15 19.45 7.01 13.70 12.17 19.74 12.91 Dec-01-13

BERS-TOTAL CASH 88.22 1.00 0.01 0.03 0.01 0.11 0.21 2.64 1.04 2.17 0.19 1.29 Apr-01-04

SECURITY LENDING 0.00 0.00 Apr-01-04

BERS-TOTAL BOARD OF ED. 8,813.48 100.00 0.92 3.50 0.92 10.16 27.97 5.72 (2.98) 19.06 24.32 12.94 Jul-01-87

BERS-TOTAL EQUITY 4,590.08 52.08 0.52 2.80 0.52 13.27 44.06 5.11 (9.41) 27.91 36.74 16.03 Apr-01-04

BERS-TOTAL FIXED INCOME (MINUS SS) 2,763.60 31.36 1.10 2.58 1.10 1.69 4.40 8.43 (0.50) 9.56 3.46 7.08 Apr-01-04

BERS-TOTAL PRIVATE EQUITY 712.66 8.09 1.71 11.72 1.71 26.53 52.48 3.52 19.69 12.66 51.48 22.72 Jul-01-06

BERS-TOTAL PRIVATE REAL ESTATE 489.85 5.56 2.59 4.43 2.59 10.33 9.46 1.00 11.40 6.90 12.36 7.08 Dec-01-10

BERS-TOTAL INFRASTRUCTURE 169.06 1.92 1.08 4.54 1.08 10.15 19.45 7.01 13.70 12.17 19.74 12.91 Dec-01-13

BERS-TOTAL CASH 88.22 1.00 0.01 0.03 0.01 0.11 0.21 2.64 1.04 2.17 0.19 1.29 Apr-01-04

SECURITY LENDING 0.00 0.00 Apr-01-04

BERS-TOTAL BOARD OF ED. 8,813.48 100.00 0.92 3.50 0.92 10.16 27.97 5.72 (2.98) 19.06 24.32 12.94 Jul-01-87

Board of Education Policy Benchmark 1.05 3.75 1.05 10.02 27.47 4.29 (3.19) 19.07 23.04 12.34 Jun-01-94

Periods Ending July 31, 2021

New York City Board of Education Retirement System

Manager / Benchmark Comparison Report

Rates of Return - Net Mgr

17

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month

Trailing1 Year FYTD CYTD FYE 6/30/21 FYE 6/30/20

CYE12/31/19

CYE12/31/18

Inception Date

ASSET CLASS SUMMARY

BERS-TOTAL BOARD OF ED. 8,813 100.00 0.92 3.50 24.32 0.92 10.16 27.97 5.72 19.06 (2.98) 07/01/1987

Board of Education Policy Benchmark 1.05 3.75 23.04 1.05 10.02 27.47 4.29 19.07 (3.19) 07/01/1987

Excess (0.13) (0.25) 1.28 (0.13) 0.14 0.50 1.44 (0.01) 0.21

BERS-TOTAL EQUITY (INCL ALTS) 5,962 67.64 0.84 3.95 35.67 0.84 14.34 41.10 4.54 23.99 (4.61) 08/01/1993

BERS-TOTAL FIXED INCOME 2,852 32.36 1.08 2.52 3.39 1.08 1.78 4.24 8.15 9.36 (0.42) 02/01/1980

EQUITY SUMMARY

BERS-TOTAL DOMESTIC EQUITY 2,944 33.40 1.90 4.55 38.49 1.90 16.77 43.79 6.89 31.04 (4.64) 09/01/1991

RUSSELL 3000 (DAILY) 1.69 4.67 38.73 1.69 17.06 44.16 6.53 31.02 (5.24) 09/01/1991

Excess 0.21 (0.12) (0.24) 0.21 (0.29) (0.37) 0.36 0.02 0.60

BlackRock US SCG R2000 0 0.00 (3.61) (1.98) 41.12 (3.61) 5.35 51.45 3.50 28.39 (9.14) 10/01/2013

RUSSELL 2000 GROWTH DAILY (3.64) (2.00) 41.00 (3.64) 5.01 51.36 3.48 28.48 (9.31) 10/01/2013

Excess 0.03 0.02 0.12 0.03 0.33 0.09 0.02 (0.09) 0.17

Wasatch-US SCG 113 1.28 1.66 2.12 45.33 1.66 15.07 52.70 01/01/2020

RUSSELL 2000 GROWTH DAILY (3.64) (2.00) 41.00 (3.64) 5.01 51.36 01/01/2020

Excess 5.31 4.13 4.33 5.31 10.05 1.34

BlackRock US SCV R2000 86 0.97 (3.56) (1.27) 63.81 (3.56) 22.07 73.35 (17.27) 22.60 (12.79) 10/01/2013

RUSSELL 2000 VALUE DAILY (3.58) (1.18) 63.70 (3.58) 22.16 73.28 (17.48) 22.39 (12.86) 10/01/2013

Excess 0.02 (0.09) 0.11 0.02 (0.09) 0.07 0.21 0.20 0.08

Wellington US MCC 273 3.10 0.25 (0.56) 35.63 0.25 8.64 43.43 (0.12) 32.68 (7.37) 10/01/2010

S&P MID CAP 400 0.35 (0.49) 46.99 0.35 18.00 53.24 (6.70) 26.20 (11.08) 10/01/2010

Excess (0.10) (0.07) (11.35) (0.10) (9.36) (9.80) 6.58 6.48 3.71





Information Classification: Limited Access

18

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month


CYE12/31/19

CYE12/31/18

Inception Date





SSGA US LMC Top 200 Core 698 7.92 2.56 5.86 36.36 2.56 17.41 40.72 11.25 31.66 05/01/2018

RUSSELL TOP 200 INDEX (DAILY) 2.57 5.91 36.44 2.57 17.44 40.81 11.20 31.75 05/01/2018

Excess (0.01) (0.05) (0.08) (0.01) (0.03) (0.09) 0.05 (0.09)

BlackRock US LMC R1000 Core 1,756 19.92 2.23 5.34 38.29 2.23 17.64 43.19 7.48 31.36 04/01/2018

RUSSELL 1000 (DAILY) 2.08 5.13 37.97 2.08 17.34 43.07 7.48 31.43 04/01/2018

Excess 0.16 0.21 0.33 0.16 0.30 0.11 0.00 (0.07)

FUND OF FUNDS

Altravue US SCV - Legato 3 0.04 1.39 3.87 61.94 1.39 24.21 69.02 (9.25) 20.03 (10.02) 05/01/2017


Excess 4.97 5.05 (1.76) 4.97 2.05 (4.26) 8.22 (2.37) 2.85

Ballast-US SCV - Legato 2 0.02 (1.88) 0.37 (1.88) 05/01/2021

RUSSELL 2000 VALUE DAILY (3.58) (1.18) (3.58) 05/01/2021

Excess 1.70 1.55 1.70

Bowling US SCV - Legato (21.86)

RUSSELL 2000 VALUE DAILY (3.58) (1.18) 63.70 (3.58) 22.16 73.28 (17.48) 22.39 (12.86)

Excess (4.39)

Bridge City US SCG - Legato 2 0.02 (0.34) 1.00 48.55 (0.34) 16.78 55.34 (1.93) 24.50 0.88 05/01/2017


Excess 3.30 3.01 7.55 3.30 11.76 3.98 (5.41) (3.98) 10.18

Dean US SCV - Legato 4 0.04 0.00 1.45 59.15 0.00 23.62 62.66 (19.33) 21.85 (12.50) 05/01/2017


Excess 3.58 2.63 (4.55) 3.58 1.46 (10.62) (1.86) (0.54) 0.36


19

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month


CYE12/31/19

CYE12/31/18

Inception Date





Essex US SCG - Legato 3 0.03 (2.20) 4.53 77.12 (2.20) 30.45 93.79 (7.10) 26.78 (5.25) 05/01/2017


Excess 1.44 6.53 36.12 1.44 25.43 42.43 (10.58) (1.70) 4.06

Lisanti US SCG - Legato 3 0.03 (3.29) (2.25) 41.43 (3.29) 6.50 55.98 7.81 27.56 03/01/2018

RUSSELL 2000 GROWTH DAILY (3.64) (2.00) 41.00 (3.64) 5.01 51.36 3.48 28.48 03/01/2018

Excess 0.35 (0.24) 0.43 0.35 1.49 4.62 4.33 (0.93)

Nicholas Investment-US SCG - Legato 1 0.01 (0.09) 2.48 (0.09) 05/01/2021

RUSSELL 2000 GROWTH DAILY (3.64) (2.00) (3.64) 05/01/2021

Excess 3.55 4.49 3.55

Legato Transition US 0 0.00 02/01/2018

BERS-TOTAL WORLD ex-USA 880 9.98 (0.94) 0.50 39.26 (0.94) 7.62 47.71 6.18 26.16 (14.88) 11/01/1992

NYC Developed Equity Benchmark 0.80 2.97 32.15 0.80 10.79 34.82 (5.11) 22.91 (14.68) 11/01/1992

Excess (1.73) (2.47) 7.11 (1.73) (3.17) 12.89 11.29 3.26 (0.19)

Sprucegrove WorldxUS LMCC 368 4.18 (0.49) 1.05 41.49 (0.49) 9.92 45.61 (16.97) 17.55 (13.67) 08/01/2004

NYC Developed Value Benchmark 0.66 3.10 31.00 0.66 10.65 33.60 (5.42) 22.49 (14.09) 08/01/2004

Excess (1.16) (2.06) 10.49 (1.16) (0.73) 12.00 (11.54) (4.94) 0.42

Baillie Gifford WorldxUS LMCC 362 4.11 (2.28) (1.13) 33.09 (2.28) 1.68 46.11 31.65 36.64 (15.35) 08/01/2007

NYC Developed Growth Benchmark 0.66 3.10 31.00 0.66 10.65 33.60 (5.42) 22.49 (14.09) 08/01/2007

Excess (2.94) (4.23) 2.09 (2.94) (8.97) 12.51 37.08 14.15 (1.26)

Acadian WorldxUS SCC 112 1.27 1.29 3.48 46.67 1.29 19.46 51.87 (2.52) 21.82 (19.22) 05/01/2013

S&P EPAC Small Cap USD NET 0.89 1.91 37.00 0.89 10.13 42.23 (4.00) 23.71 (18.58) 05/01/2013

Excess 0.40 1.58 9.67 0.40 9.33 9.64 1.47 (1.89) (0.65)


20

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month


CYE12/31/19

CYE12/31/18

Inception Date





Algert EAFE SCC 36 0.41 1.53 1.93 37.06 1.53 13.03 40.41 (4.49) 02/01/2019

MSCI EAFE SMALL CAP NET (DAILY) 1.70 2.02 38.72 1.70 10.90 40.98 (3.52) 02/01/2019

Excess (0.17) (0.09) (1.65) (0.17) 2.14 (0.58) (0.97)

BERS-TOTAL EMERGING MARKETS 501 5.68 (4.59) (3.18) 23.74 (4.59) 4.10 39.44 (6.16) 16.63 (16.34) 11/01/1997

MSCI EMERGING MARKETS (6.73) (4.40) 20.64 (6.73) 0.22 40.90 (3.39) 18.42 (14.57) 11/01/1997

Excess 2.14 1.22 3.10 2.14 3.89 (1.46) (2.77) (1.79) (1.77)

Acadian EM 349 3.96 (4.04) (3.66) 26.33 (4.04) 6.84 40.79 (7.21) 15.71 (17.27) 03/01/2013


Excess 2.69 0.75 5.69 2.69 6.62 (0.12) (3.82) (2.71) (2.70)

JP Morgan AM-EM ACG 149 1.70 (5.82) (1.85) (5.82) 03/01/2021

MSCI EMERGING MARKETS (6.73) (4.40) (6.73) 03/01/2021

Excess 0.91 2.55 0.91

BlackRock MSCI EM Core 2 0.02 (6.58) (4.33) 20.83 (6.58) 0.67 40.66 (3.72) 18.76 (14.45) 01/01/2017


Excess 0.15 0.08 0.19 0.15 0.45 (0.24) (0.34) 0.34 0.12

BERS-TOTAL INTL FOF 84 0.95 (0.71) 2.70 32.42 (0.71) 9.03 40.05 (2.34) 22.25 (14.53) 05/01/2017

MSCI ACWI ex USA IMI Net (1.30) 1.03 29.53 (1.30) 8.16 37.18 (4.74) 21.63 (14.76) 05/01/2017

Excess 0.59 1.68 2.89 0.59 0.87 2.87 2.39 0.62 0.23

Martin-EAFE ACG - Xponance 10 0.11 2.88 7.79 26.79 2.88 14.19 28.98 0.62 02/01/2019

Custom Xponance Benchmark 0.66 3.10 31.49 0.66 10.65 33.67 (5.13) 02/01/2019

Excess 2.22 4.69 (4.70) 2.22 3.54 (4.69) 5.75

Redwood-EAFE ACG - Xponance 8 0.10 1.08 3.62 33.95 1.08 12.85 41.40 5.85 02/01/2019

MSCI EAFE + Canada Net Index 0.66 3.10 31.00 0.66 10.65 33.60 (5.42) 02/01/2019

Excess 0.42 0.51 2.95 0.42 2.21 7.80 11.27


21

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month


CYE12/31/19

CYE12/31/18

Inception Date





Osmosis-EAFE ACV - Xponance 10 0.11 1.20 5.15 34.41 1.20 13.91 35.92 (4.73) 17.72 (15.03) 05/01/2017

Custom Xponance Benchmark 0.66 3.10 31.49 0.66 10.65 33.67 (5.13) 22.01 (13.79) 05/01/2017

Excess 0.53 2.05 2.91 0.53 3.26 2.25 0.40 (4.29) (1.24)

Metis-EAFE ACV - Xponance 0 0.00 (10.77) 19.93 (17.69) 05/01/2017

MSCI EAFE 0.75 32.35 (5.13) 22.01 (13.79) 05/01/2017

Excess (5.63) (2.08) (3.90)

North of South-EM ACV - Xponance 10 0.11 (3.65) (0.54) (3.65) 05/01/2021

MSCI EMERGING MARKETS (6.73) (4.40) (6.73) 05/01/2021

Excess 3.08 3.86 3.08

Dundas-EAFE ACG - Xponance 10 0.11 3.49 9.99 31.92 3.49 14.51 35.76 7.03 29.66 (10.04) 05/01/2017

MSCI EAFE + Canada Net Index 0.66 3.10 31.00 0.66 10.65 33.60 (5.42) 22.49 (14.09) 05/01/2017

Excess 2.83 6.89 0.92 2.83 3.86 2.16 12.45 7.17 4.05

Foresight-EAFE LMCV - Xponance 11 0.12 (1.25) 0.21 22.27 (1.25) 4.46 08/01/2020

MSCI EAFE + Canada Net Index 0.66 3.10 31.00 0.66 10.65 08/01/2020

Excess (1.92) (2.90) (8.73) (1.92) (6.19)

Denali-EAFE ACV - Xponance 0 0.00 (20.53) 11.57 (11.56) 05/01/2017

MSCI EAFE + Canada Net Index 0.66 33.60 (5.42) 22.49 (14.09) 05/01/2017

Excess (15.11) (10.92) 2.53

Change Global-EM ACV - Xponance 0 0.00 (17.22) 14.36 (17.34) 05/01/2017

MSCI EMERGING MARKETS (6.73) 40.90 (3.39) 18.42 (14.57) 05/01/2017

Excess (13.83) (4.06) (2.77)


22

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month


CYE12/31/19

CYE12/31/18

Inception Date





Aubrey-EM ACG - Xponance 12 0.14 (5.30) 0.23 32.49 (5.30) 0.16 51.45 15.80 29.41 (18.33) 05/01/2017


Excess 1.43 4.63 11.85 1.43 (0.06) 10.54 19.19 10.98 (3.76)

ARGA-WorldxUS LMCV - Xponance 13 0.15 (1.65) (1.29) 57.12 (1.65) 14.11 08/01/2020

MSCI AC WORLD ex US (NET) (1.65) 0.77 27.78 (1.65) 7.36 08/01/2020

Excess (0.01) (2.06) 29.33 (0.01) 6.75

Ativo-EAFE ACG - Xponance 0 0.00 (8.09) 22.80 (12.43) 05/01/2017

MSCI EAFE + Canada Net Index 0.66 33.60 (5.42) 22.49 (14.09) 05/01/2017

Excess (2.67) 0.31 1.66

Xponance Transition-WorldxUS 0 0.00 04/01/2017

BERS-TOTAL GLOBAL EQUITY 182 2.07 0.99 3.91 33.86 0.99 10.23 42.28 15.96 35.91 06/01/2018

MSCI AC WORLD (Daily Const) 0.69 3.60 33.18 0.69 13.08 39.26 2.11 26.60 06/01/2018

Excess 0.30 0.31 0.68 0.30 (2.84) 3.02 13.85 9.31

Morgan Stanley-Global 94 1.07 (2.54) (0.91) 29.57 (2.54) 3.17 42.76 27.30 38.03 06/01/2018

MSCI AC WORLD (Daily Const) 0.69 3.60 33.18 0.69 13.08 39.26 2.11 26.60 06/01/2018

Excess (3.23) (4.51) (3.61) (3.23) (9.90) 3.50 25.19 11.44

Fiera-Global 88 1.00 5.05 9.60 38.77 5.05 18.92 41.73 5.25 33.97 08/01/2018

MSCI World Index 1.79 4.80 35.07 1.79 15.07 39.04 2.84 27.67 08/01/2018

Excess 3.26 4.80 3.70 3.26 3.85 2.68 2.41 6.30


23

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month


CYE12/31/19

CYE12/31/18

Inception Date





FIXED INCOME SUMMARYBERS-TOTAL STRUCTURED 1,398 15.86 1.21 2.38 (0.78) 1.21 (0.45) (0.59) 11.47 9.12 (0.40) 01/01/1985

NYC Custom Structured Index-BERS 1.09 2.20 (0.72) 1.09 (0.47) (0.42) 13.00 10.27 (0.21) 01/01/1985

Excess 0.11 0.17 (0.05) 0.11 0.03 (0.17) (1.53) (1.15) (0.19)

BlackRock Mortgages 374 4.24 0.65 0.53 0.55 0.65 0.02 0.14 5.90 6.93 1.00 01/01/2015

NYC Custom Mortgage Benchmark 0.63 0.41 0.01 0.63 (0.15) (0.48) 5.96 6.68 1.01 01/01/2015

Excess 0.03 0.12 0.54 0.03 0.17 0.62 (0.06) 0.25 (0.01)

Prudential Corporate 0 0.00 9.25 13.63 (1.95) 08/01/2009

NYC - Investment Grade Credit 1.27 3.28 9.26 13.40 (1.90) 08/01/2009

Excess (0.01) 0.24 (0.05)

Taplin Corporate

NYC Custom IGC Benchmark 1.37 3.81 1.57 1.37 0.28 3.34 9.26 13.40 (1.90)Excess

T Rowe Price-Corporate 444 5.04 1.52 3.94 1.52 03/01/2021

Bloomberg U.S. Corporate Inv Grade 1.37 3.81 1.37 03/01/2021

Excess 0.15 0.13 0.15

SSGA LI Treasury 141 1.60 2.50 5.03 (5.91) 2.50 (2.42) (6.27) 17.01 10.57 (0.18) 01/01/1993

NYC - Treasury Agency Plus Five 2.37 4.94 (6.48) 2.37 (2.79) (6.52) 17.08 10.40 (0.05) 01/01/1993

Excess 0.12 0.09 0.56 0.12 0.37 0.24 (0.07) 0.17 (0.12)

SSGA IT Treasury 1-10Y 229 2.60 0.77 1.04 (0.59) 0.77 (0.36) (1.14) 7.02 03/01/2019

FTSE USBIG Treasury/Agency 1-10 y 0.71 1.01 (0.70) 0.71 (0.36) (1.09) 6.99 03/01/2019

Excess 0.05 0.02 0.10 0.05 0.00 (0.05) 0.03

SSGA ST Treasury 1-3Y 148 1.68 0.18 0.10 0.16 0.18 0.08 0.08 4.00 3.56 1.51 01/01/2017

FTSE USBIG Treasury 1-3 Y Index 0.17 0.09 0.15 0.17 0.09 0.07 4.06 3.56 1.56 01/01/2017

Excess 0.01 0.01 0.01 0.01 (0.01) 0.02 (0.06) 0.00 (0.05)


24

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month


CYE12/31/19

CYE12/31/18

Inception Date





SSGA LT Treasury 10Y Plus 62 0.70 3.61 8.07 3.61 02/01/2021

FTSE Treasury 10+ 3.48 7.88 3.48 02/01/2021

Excess 0.13 0.18 0.13

BERS-TOTAL HIGH YIELD 783 8.88 0.29 1.91 11.50 0.29 4.48 16.03 0.94 13.71 (1.94) 08/01/1997

High Yield Custom Benchmark 0.38 2.02 10.62 0.38 4.00 15.34 0.00 14.32 (2.34) 08/01/1997

Excess (0.08) (0.10) 0.88 (0.08) 0.48 0.69 0.94 (0.61) 0.40

Mackay Shields High Yield 390 4.43 0.41 1.89 9.40 0.41 3.88 13.46 2.55 13.85 12/01/2018

Bloomberg U.S. HY - 2% Issuer Cap 0.38 2.02 10.62 0.38 4.00 15.34 0.00 14.32 12/01/2018

Excess 0.03 (0.13) (1.22) 0.03 (0.12) (1.88) 2.56 (0.47)

Nomura High Yield 392 4.45 0.18 1.94 13.66 0.18 5.08 18.70 (0.69) 13.74 12/01/2018

Bloomberg U.S. HY - 2% Issuer Cap 0.38 2.02 10.62 0.38 4.00 15.34 0.00 14.32 12/01/2018

Excess (0.20) (0.08) 3.04 (0.20) 1.08 3.36 (0.69) (0.58)

Transition High Yield

BERS-TOTAL BANK LOANS 0 0.01 (3.08) 7.82 0.38 12/01/2012

CSFB LEVERAGED LOAN INDEX 0.00 11.67 (2.27) 8.17 1.14 12/01/2012

Excess (0.81) (0.36) (0.76)

Barings Bank Loans 0 0.01 (3.08) 7.82 0.38 12/01/2012

CSFB LEVERAGED LOAN INDEX 0.00 11.67 (2.27) 8.17 1.14 12/01/2012

Excess (0.81) (0.36) (0.76)

BERS-TOTAL TIPS MANAGERS 313 3.55 2.62 4.54 6.86 2.62 4.41 6.50 8.36 8.44 (1.29) 06/01/2005

Bloomberg Global Infl-Linked: U.S. TIPS 2.67 4.54 6.90 2.67 4.44 6.51 8.28 8.43 (1.26) 06/01/2005

Excess (0.04) 0.01 (0.03) (0.04) (0.03) (0.02) 0.08 0.02 (0.03)


25

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month


CYE12/31/19

CYE12/31/18

Inception Date





SSGA TIPS 313 3.55 2.62 4.54 6.86 2.62 4.41 6.50 8.36 8.44 (1.29) 04/01/2015

Bloomberg Global Infl-Linked: U.S. TIPS 2.67 4.54 6.90 2.67 4.44 6.51 8.28 8.43 (1.26) 04/01/2015

Excess (0.04) 0.01 (0.03) (0.04) (0.03) (0.02) 0.08 0.02 (0.03)

BERS-TOTAL CORE FI- DEVELOPING MGRS 130 1.47 1.07 2.31 1.07 (0.19) 09/01/2020

Bloomberg U.S. Aggregate 1.12 2.16 1.12 (0.50) 09/01/2020

Excess (0.05) 0.15 (0.05) 0.31

Pugh-CorePlus 130 1.47 1.07 2.31 1.07 (0.19) 09/01/2020

Bloomberg U.S. Aggregate 1.12 2.16 1.12 (0.50) 09/01/2020

Excess (0.05) 0.15 (0.05) 0.31

BERS-TOTAL OPPORTUNISTIC FIXED 94 1.07 1.41 5.65 19.73 1.41 12.89 08/01/2020

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.28 2.02 13.94 0.28 5.55 08/01/2020

Excess 1.14 3.63 5.79 1.14 7.34

KKR NYC Credit C 7 0.08 0.00 4.01 0.00 23.77 09/01/2020

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.28 2.02 0.28 5.55 09/01/2020

Excess (0.28) 1.99 (0.28) 18.22

Oak Hill Centre Street Partnership 44 0.50 1.31 3.25 20.82 1.31 10.78 08/01/2020

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 0.28 2.02 13.94 0.28 5.55 08/01/2020

Excess 1.04 1.23 6.88 1.04 5.22

Apollo Centre Street Partnership 11 0.13 0.00 1.37 0.00 6.58 12/01/2020


Excess (0.28) (0.65) (0.28) 1.02


26

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month


CYE12/31/19

CYE12/31/18

Inception Date





Marathon Centre Street Partnership 25 0.28 3.05 13.39 3.05 22.41 10/01/2020


Excess 2.77 11.37 2.77 16.86

TOTAL BOE ETI (w/o cash) 45 0.51 1.37 2.48 0.22 1.37 0.36 0.42 8.15 9.66 0.83 12/01/1984

BERS Custom Benchmark (No Cash) 0.83 1.23 0.00 0.83 (0.15) (0.05) 7.37 7.67 0.85 12/01/1984

Excess 0.55 1.26 0.23 0.55 0.51 0.47 0.78 1.99 (0.02)

AFL-CIO Housing Investment Trust 18 0.21 0.88 1.63 0.18 0.88 0.14 0.12 7.03 7.78 0.16 12/01/2006

Bloomberg U.S. Aggregate 1.12 2.16 (0.70) 1.12 (0.50) (0.33) 8.74 8.72 0.01 12/01/2006

Excess (0.23) (0.53) 0.88 (0.23) 0.65 0.45 (1.70) (0.94) 0.15

RBC Access MBS 11 0.12 0.93 1.51 0.37 0.93 0.11 0.08 7.55 7.21 0.49 03/01/2007

Access RBC Benchmark 0.63 0.56 (0.38) 0.63 (0.37) (0.76) 6.29 6.05 1.17 03/01/2007

Excess 0.31 0.95 0.75 0.31 0.48 0.84 1.26 1.16 (0.69)

CPC Construction Facility 2 0.03 0.80 1.13 3.37 0.80 3.08 2.65 6.19 8.12 4.14 08/01/2014

CPC CONST BENCHMARK 0.20 0.60 2.44 0.20 1.41 2.45 3.44 4.09 3.99 08/01/2014

Excess 0.60 0.53 0.93 0.60 1.67 0.20 2.76 4.03 0.15

CFSB PPAR GNMA 0 0.00 1.32 1.98 1.88 1.32 1.14 2.07 5.97 5.91 0.99 10/01/2006

GNMA Plus 65bps 0.30 (0.10) 0.32 0.30 (0.36) (0.14) 6.00 6.73 1.63 10/01/2006

Excess 1.02 2.08 1.56 1.02 1.50 2.22 (0.03) (0.82) (0.65)

Citibank PPAR GNMA 0 0.00 1.45 2.25 1.85 1.45 1.21 2.05 5.89 5.33 1.90 12/01/2006

GNMA Plus 65bps 0.30 (0.10) 0.32 0.30 (0.36) (0.14) 6.00 6.73 1.63 12/01/2006

Excess 1.15 2.35 1.53 1.15 1.57 2.19 (0.10) (1.41) 0.27

Citibank PPAR FNMA 3 0.03 2.62 4.98 (2.13) 2.62 0.37 (0.97) 15.33 19.71 2.63 12/01/2013

FNMA Plus 85bps 0.69 0.60 0.88 0.69 0.26 0.51 7.21 7.80 1.86 12/01/2013

Excess 1.93 4.38 (3.01) 1.93 0.11 (1.48) 8.12 11.91 0.77


27

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month


CYE12/31/19

CYE12/31/18

Inception Date





CPC PPAR FNMA 1 0.01 2.52 5.06 0.32 2.52 1.87 1.54 7.80 13.18 2.31 08/01/2013

FNMA Plus 85bps 0.69 0.60 0.88 0.69 0.26 0.51 7.21 7.80 1.86 08/01/2013

Excess 1.83 4.46 (0.56) 1.83 1.61 1.03 0.60 5.38 0.45

ECLF PPAR FNMA 0 0.00 2.86 5.63 (1.16) 2.86 0.31 (0.03) 06/01/2020

FNMA Plus 85bps 0.69 0.60 0.88 0.69 0.26 0.51 06/01/2020

Excess 2.18 5.03 (2.05) 2.18 0.06 (0.55)

JPMC PPAR FNMA 4 0.05 2.57 4.79 (1.59) 2.57 0.16 (0.50) 10.58 14.68 1.68 09/01/2013

FNMA Plus 85bps 0.69 0.60 0.88 0.69 0.26 0.51 7.21 7.80 1.86 09/01/2013

Excess 1.88 4.19 (2.48) 1.88 (0.10) (1.02) 3.37 6.88 (0.18)

BOA PPAR FNMA 1 0.01 2.50 4.70 (2.29) 2.50 0.13 (1.21) 9.05 13.54 2.33 12/01/2013

FNMA Plus 85bps 0.69 0.60 0.88 0.69 0.26 0.51 7.21 7.80 1.86 12/01/2013

Excess 1.81 4.10 (3.17) 1.81 (0.13) (1.72) 1.85 5.74 0.47

CFSB PPAR FNMA 0 0.00 2.84 5.49 2.84 0.06 10/01/2020

FNMA Plus 85bps 0.69 0.60 0.69 0.26 10/01/2020

Excess 2.16 4.89 2.16 (0.20)

LIIF PPAR GNMA 0 0.00 0.83 1.36 1.95 0.83 1.26 2.04 5.68 5.54 2.53 08/01/2009

GNMA Plus 65bps 0.30 (0.10) 0.32 0.30 (0.36) (0.14) 6.00 6.73 1.63 08/01/2009

Excess 0.54 1.46 1.63 0.54 1.62 2.18 (0.32) (1.19) 0.89

NCBCI PPAR GNMA 0 0.00 1.06 1.60 2.98 1.06 1.71 3.07 5.39 3.69 1.23 08/01/2009

GNMA Plus 65bps 0.30 (0.10) 0.32 0.30 (0.36) (0.14) 6.00 6.73 1.63 08/01/2009

Excess 0.76 1.70 2.66 0.76 2.07 3.21 (0.61) (3.04) (0.41)

LIIF PPAR FNMA 2 0.02 2.55 4.73 (2.15) 2.55 0.18 (1.01) 11.85 16.35 2.27 11/01/2013

FNMA Plus 85bps 0.69 0.60 0.88 0.69 0.26 0.51 7.21 7.80 1.86 11/01/2013

Excess 1.86 4.13 (3.03) 1.86 (0.08) (1.52) 4.64 8.55 0.41


28

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month


CYE12/31/19

CYE12/31/18

Inception Date





LISC PPAR FNMA 0 0.00 2.84 5.62 16.38 2.84 0.32 17.94 14.27 14.95 11/01/2018

FNMA Plus 85bps 0.69 0.60 0.88 0.69 0.26 0.51 7.21 7.80 11/01/2018

Excess 2.15 5.02 15.50 2.15 0.06 17.42 7.06 7.15

NCBCI PPAR FNMA 0 0.00 1.18 1.77 1.08 1.18 1.55 2.86 6.88 4.08 2.00 11/01/2013

FNMA Plus 85bps 0.69 0.60 0.88 0.69 0.26 0.51 7.21 7.80 1.86 11/01/2013

Excess 0.49 1.17 0.20 0.49 1.30 2.35 (0.33) (3.72) 0.15

Wells Fargo PPAR FNMA 1 0.01 2.92 5.53 18.29 2.92 0.24 19.77 9.39 21.71 01/01/2017

FNMA Plus 85bps 0.69 0.60 0.88 0.69 0.26 0.51 7.21 7.80 1.86 01/01/2017

Excess 2.23 4.93 17.41 2.23 (0.02) 19.25 2.18 13.91

BERS-TOTAL CASH 88 1.00 0.01 0.03 0.19 0.01 0.11 0.21 2.64 2.17 1.04 04/01/2004

ICE BofA US 3-Month Treasury Bill 0.01 0.00 0.08 0.01 0.03 0.09 1.63 2.28 1.87 04/01/2004

Excess 0.00 0.03 0.11 0.00 0.08 0.11 1.01 (0.11) (0.83)

Short Term BERS 88 1.00 0.01 0.02 0.14 0.01 0.08 0.15 1.36 2.00 1.92 10/01/2000

ICE BofA US 3-Month Treasury Bill 0.01 0.00 0.08 0.01 0.03 0.09 1.63 2.28 1.87 10/01/2000

Excess 0.00 0.02 0.06 0.00 0.05 0.06 (0.27) (0.28) 0.05

Cash Account 0 0.00 04/01/2004

Securities Lending 0 0.00 04/01/2004

PRIVATE EQUITYBERS-TOTAL PRIVATE EQUITY 713 8.09 1.71 11.72 51.48 1.71 26.53 52.48 3.52 12.66 19.69 07/01/2006

BERS-TOTAL PRIVATE REAL ESTATE 490 5.56 2.59 4.43 12.36 2.59 10.33 9.46 1.00 6.90 11.40 12/01/2010


29

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month


CYE12/31/19

CYE12/31/18

Inception Date





BERS-TOTAL INFRASTRUCTURE 169 1.92 1.08 4.54 19.74 1.08 10.15 19.45 7.01 12.17 13.70 12/01/2013

08/31/2021 06:34:53 AM


30

Board of Education Retirement System of the City of New YorkPrivate EquityStatus Report

($ in millions)

Aksia TorreyCove Partners LLC Exhibit II Confidential

Vintage Year Partnership Investment

Initial Investment

Date Committed Capital Total Contributions Total Distributions Market Value Multiple1Current

Quarter IRR2 PME PME Spread3

2005 Mesirow Financial Private Equity Partnership Fund III 7/20/2006 57,000,000 55,663,273 85,809,616 9,857,335 1.72x 8.4% 8.8% (0.4%)2006 Mesirow Financial Private Equity Partnership Fund IV 3/31/2008 25,000,000 24,217,233 36,341,368 10,351,348 1.93x 11.3% 12.6% (1.3%)2006 New York Fairview Private Equity Fund 7/14/2006 19,000,000 17,700,307 21,210,778 2,783,416 1.36x 5.4% 9.5% (4.1%)2008 Mesirow Financial Private Equity Partnership Fund V 3/7/2011 45,000,000 42,314,326 57,284,625 41,968,229 2.35x 18.1% 14.1% 4.0%2011 Platinum Equity Capital Partners III 1/14/2013 15,000,000 14,642,373 25,837,949 4,222,967 2.20x 36.9% 13.8% 23.1%2012 NYCBERS - 2012 Emerging Manager Program 10/31/2014 14,650,000 15,014,728 6,933,813 23,767,096 2.12x 19.0% 15.0% 4.0%2012 Warburg Pincus Private Equity XI 7/17/2012 25,000,000 25,366,427 28,362,185 14,884,879 1.71x 12.7% 13.5% (0.8%)2013 Apollo Investment Fund VIII 12/11/2013 20,000,000 19,005,468 11,785,363 17,408,953 1.59x 12.5% 14.7% (2.2%)2013 ASF VI B 5/9/2014 15,000,000 12,114,181 15,165,195 2,292,471 1.44x 12.3% 12.6% (0.3%)2013 Carlyle Partners VI 7/3/2013 20,000,000 21,359,663 13,115,234 26,129,830 1.93x 16.6% 14.2% 2.4%2013 Landmark - NYC Fund I 12/24/2013 6,000,000 5,468,107 4,625,940 4,223,450 1.62x 16.1% 12.3% 3.8%2013 Landmark Equity Partners XV 10/30/2013 19,000,000 15,251,966 11,750,846 9,474,816 1.37x 13.4% 13.7% (0.3%)2014 ASF VI B NYC Co-Invest 5/9/2014 5,000,000 4,188,738 4,804,538 1,701,226 1.55x 14.2% 10.7% 3.5%2014 Bridgepoint Europe V 2/8/2016 8,857,553 7,918,365 5,135,492 8,413,110 1.72x 18.2% 16.2% 2.0%2014 Carlyle Partners VI - Side Car 9/23/2014 2,200,000 1,603,009 754,120 2,547,148 2.21x 15.3% 14.7% 0.6%2014 Crestview Partners III 3/3/2015 15,000,000 12,161,297 6,699,260 10,937,317 1.57x 13.7% 15.6% (1.9%)2014 Crestview Partners III (Co-Investment B) 12/17/2015 5,000,000 5,181,674 250,760 5,614,634 1.14x 3.4% 17.4% (14.0%)2014 CVC Capital Partners VI 2/18/2014 20,037,822 18,930,683 9,586,380 22,361,496 1.85x 16.6% 15.0% 1.6%2014 Lexington Capital Partners VIII 1/8/2015 20,000,000 18,161,156 12,733,386 15,209,581 1.63x 19.0% 15.5% 3.5%2014 Vista Equity Partners Fund V 9/8/2014 25,000,000 30,595,713 29,916,013 32,147,775 2.63x 21.2% 13.8% 7.4%2015 ASF VII B 12/29/2015 10,000,000 5,595,006 2,977,546 5,338,497 1.49x 17.5% 19.0% (1.5%)2015 ASF VII B NYC Co-Invest 12/29/2015 6,000,000 3,701,330 2,400,401 3,697,194 1.65x 20.9% 15.0% 5.9%2015 Centerbridge Capital Partners III 5/21/2015 2,500,000 2,830,586 1,528,514 2,862,511 1.84x 20.0% 16.2% 3.8%2015 EQT VII 1/8/2016 17,715,106 19,083,376 14,447,771 21,941,065 2.15x 26.3% 16.2% 10.1%2015 NYCBERS - 2015 Emerging Manager Program 2/22/2016 37,250,000 25,538,648 4,484,155 35,594,561 1.59x 27.5% 21.6% 5.9%2015 Siris Partners III 5/4/2015 3,500,000 3,542,812 1,839,263 3,334,528 1.56x 14.7% 15.2% (0.5%)2015 Warburg Pincus Private Equity XII 12/21/2015 21,500,000 21,506,301 7,016,867 28,425,418 1.65x 18.6% 17.0% 1.6%2015 Welsh, Carson, Anderson & Stowe XII 8/26/2015 10,000,000 9,357,372 8,224,005 13,284,522 2.30x 32.3% 16.7% 15.6%2016 American Securities Partners VII 1/19/2016 8,000,000 7,588,140 1,261,272 8,571,338 1.30x 9.8% 17.7% (7.9%)2016 Apax IX 5/12/2017 13,000,000 12,937,323 4,167,348 21,725,041 2.12x 33.3% 18.6% 14.7%2016 BCEC X Metro Co-Investment 3/24/2017 4,433,361 4,600,470 28,855 8,515,539 1.86x 28.3% 19.3% 9.0%2016 Bridgepoint Europe V Co-Invest 8/16/2016 2,952,518 2,702,670 2,228,516 3,312,771 2.05x 25.7% 14.9% 10.8%2016 Platinum Equity Capital Partners IV 3/21/2017 11,500,000 10,392,488 3,803,281 13,142,709 1.70x 24.0% 17.1% 6.9%2016 Vista Equity Partners Fund VI 6/28/2016 16,000,000 17,942,244 9,933,321 23,257,110 2.17x 21.9% 16.8% 5.1%2017 Ares Corporate Opportunities Fund V 6/22/2017 10,000,000 9,994,044 1,901,970 9,105,485 1.12x 5.0% 17.3% (12.3%)2017 BC European Capital X 12/14/2017 11,083,403 10,124,417 189,057 14,659,664 1.47x 19.4% 19.1% 0.3%2017 CVC Capital Partners VII 12/4/2018 19,077,331 12,356,721 277,357 15,539,996 1.29x 19.4% 22.9% (3.5%)2017 Green Equity Investors VII 5/12/2017 10,000,000 8,857,262 1,566,645 13,882,349 1.90x 25.1% 18.8% 6.3%2017 KKR Americas Fund XII 10/31/2017 16,000,000 10,382,574 1,127,523 20,174,550 2.11x 40.9% 20.3% 20.6%2017 Palladium Equity Partners V 2/11/2019 10,000,000 5,280,822 90,997 5,535,419 1.07x 5.1% 29.0% (23.9%)2017 Warburg Pincus Financial Sector 1/5/2018 13,000,000 10,376,645 663,000 12,771,606 1.31x 16.9% 22.6% (5.7%)2018 Apollo Investment Fund IX 3/15/2019 32,000,000 9,284,091 2,035,239 10,467,448 1.40x 26.8% 24.9% 1.9%2018 ASF VIII B 3/15/2019 21,000,000 4,330,588 63,584 7,009,198 1.63x 56.3% 48.1% 8.2%2018 Bridgepoint Europe VI 4/1/2019 15,388,972 5,749,527 1,111,261 5,770,771 1.20x NM NM NM2018 EQT VIII 8/10/2018 14,145,141 10,446,418 844,935 14,099,181 1.47x 32.3% 28.8% 3.5%2018 EQT VIII (Co-Invest) 11/2/2018 4,882,193 2,564,771 - 3,670,583 1.43x 21.4% 22.0% (0.6%)2018 ICG Strategic Equity Fund III 3/4/2020 13,340,000 8,140,596 - 11,881,403 1.46x NM NM NM2018 Lexington Capital Partners IX 12/20/2019 12,375,000 4,316,201 862,877 5,654,984 1.59x NM NM NM2018 Platinum Equity Small Cap Fund 6/27/2018 10,000,000 4,765,875 154,242 3,750,000 0.81x (17.7%) 24.1% (41.8%)2018 Platinum Equity Capital Partners IV Co-Investment 9/7/2018 1,050,000 1,052,043 209,317 1,308,573 1.44x 16.5% 14.2% 2.3%2018 Siris Partners IV 3/15/2019 10,000,000 5,541,275 827,114 5,757,064 1.21x 12.2% 22.5% (10.3%)2018 Vista Equity Partners Fund VII 2/13/2019 20,500,000 12,437,448 47,788 13,187,977 1.06x 6.6% 24.0% (17.4%)2019 Apax X USD 11/10/2020 12,500,000 1,291,250 - 2,275,307 1.76x NM NM NM2019 ASF VIII B NYC Co-Invest 3/15/2019 10,500,000 712,328 - 1,582,962 2.22x 102.1% 26.7% 75.4%2019 Bridgepoint Europe VI Co-Invest 5/7/2019 3,847,243 2,127,148 - 2,389,280 1.12x NM NM NM2019 NYCBERS - 2019 Emerging Manager Program 9/25/2019 10,500,000 3,645,254 101,069 4,454,379 1.26x NM NM NM2019 KKR European Fund V (USD) 1/15/2020 9,950,000 4,207,030 164,111 4,097,615 1.01x NM NM NM2019 Warburg Pincus Global Growth 3/26/2019 15,000,000 7,370,158 108,750 8,284,664 1.14x 16.8% 30.9% (14.1%)2019 WCAS XIII 3/14/2019 10,000,000 2,324,398 - 2,613,261 1.12x 17.6% 49.1% (31.5%)2020 Clearlake Capital Partners VI 5/22/2020 10,000,000 4,852,031 83,386 5,408,100 1.13x NM NM NM2020 Crestview Partners IV 10/28/2020 8,000,000 433,087 - 1,234,146 2.85x NM NM NM2020 Crestview Partners IV Co-Invest 10/28/2020 2,666,667 144,362 - 479,672 3.32x NM NM NM2020 EQT IX 2/5/2021 19,643,000 4,332,757 9,225 5,371,716 1.24x NM NM NM2020 EQT IX (Co-Invest) N/A 5,357,000 - - (22,894) N/A N/A N/A N/A2020 FTV VI 3/18/2020 3,500,000 1,435,000 - 2,151,189 1.50x NM NM NM2020 ICG Strategic Equity Co-Investment Fund III 11/27/2020 4,444,119 3,284,658 - 3,230,788 0.98x NM NM NM2020 KKR Asian Fund IV N/A 25,000,000 - - 130,798 N/A N/A N/A N/A2020 LCP IX Co-invest Partners B 9/29/2020 4,125,000 1,286,381 - 1,712,026 1.33x NM NM NM2020 Lindsay Goldberg V 4/29/2020 10,500,000 1,941,578 433 2,122,237 1.09x NM NM NM2020 NYC-Northbound Emerging Managers Program N/A 25,000,000 - - 94,609 N/A N/A N/A N/A2020 Valor Equity Partners V 1/28/2021 3,500,000 1,168,305 - 1,565,218 1.34x NM NM NM2021 CVC Capital Partners VIII N/A 25,532,300 - - - N/A N/A N/A N/A2021 ICG Strategic Equity Co-Investment Fund IV N/A 10,000,000 - - - N/A N/A N/A N/A2021 ICG Strategic Equity Fund IV N/A 20,000,000 - - - N/A N/A N/A N/A2021 One Rock Capital Partners III N/A 25,000,000 - - (180,937) N/A N/A N/A N/A2021 Stellex Capital Partners II N/A 25,000,000 - - - N/A N/A N/A N/A

1,089,503,727 690,734,495 464,883,853 682,520,268 1.71x 14.4% 15.9% (1.5%)Total Portfolio

1) Total Value to Paid-In multiple and Distributed to Paid-In multiple are calculated net of recallable return of capital ("ROC"). In practice, both total distributions and contributions are reduced by the amount of recallable ROC in the numerator and denominator of the calculation, respectively.

2) IRRs of investments in funds held less than two years generally are not meaningful and are therefore labeled "NM".3) Represents the difference between the Net IRR and the Public Market Equivalent ("PME"). PME is Russell 3000 PME+ for investments with distributions or Long-Nickels PME for investments with no distributed capital.

31

($ m

m)

NYC BERS Monthly PE Cash Flow Summary(as of July 31, 2021)

Contributions Distributions Net Cash Flow

32

New York City Board of Education Retirement System First Quarter 2021

Investments by StrategyVintage

YearFirst Draw-

downCommitted

Capital Contributions Distributions Market ValueUnfunded

CommitmentEquity

Multiple IRRAlmanac Realty Securities VIII 2018 12/2018 10,500,000 2,626,481 179,470 2,598,542 7,935,126 1.06x 5.9%Almanac Realty Securities VIII (Sidecar II) 2018 12/2018 7,000,000 1,766,741 105,322 2,008,309 5,251,474 1.20x 19.5%Artemis Real Estate Partners Income and Growth Fund 2018 10/2019 10,000,000 3,077,823 150,743 2,789,869 7,070,340 0.95x NMBrookfield Premier Real Estate Partners 2016 11/2016 25,000,000 15,367,759 1,936,731 17,737,311 11,568,972 1.31x 8.9%Cortland Growth and Income 2020 5/2020 10,000,000 10,277,381 277,381 10,645,778 - 1.06x NMExeter Core Industrial Club Fund II 2016 5/2016 10,000,000 9,739,474 2,253,592 11,489,774 260,526 1.41x 13.1%Exeter Industrial Core Fund III 2019 2/2020 12,700,000 3,450,590 134,788 3,591,262 9,249,410 1.08x NMHarrison Street Core Property Fund 2019 10/2019 10,000,000 10,619,463 619,463 10,966,931 - 1.09x NM

2 Heitman Core Real Estate Debt Income Trust 2017 11/2018 25,000,000 11,549,568 1,724,315 11,330,190 15,000,000 1.14x 6.5%HSRE-Centre Street Core Co-Investment 2019 5/2019 5,000,000 3,320,663 165,674 3,423,778 1,844,661 1.08x NMJamestown Premier Property Fund 2016 2/2016 6,246,307 7,303,980 2,742,496 5,202,643 - 1.10x 3.0%LaSalle Property Fund 2010 12/2010 38,600,000 38,600,000 13,029,951 50,526,204 - 1.65x 8.8%Lion Industrial Trust 2017 1/2017 18,000,000 20,973,921 2,973,921 28,580,630 - 1.54x 14.5%MetLife Core Property Fund 2014 7/2014 15,000,000 15,000,000 4,389,386 19,143,725 - 1.57x 8.3%NYC Asset Investor #2 2013 7/2013 11,000,000 11,187,179 4,748,101 7,733,871 353,167 1.12x 2.4%

1 NYCRS Artemis Mach II 2016 2/2016 11,000,000 12,775,721 4,967,662 11,348,370 816,234 1.35x 11.9%RREEF America REIT II 2021 N/A 17,000,000 - - - 17,000,000 N/A N/ATrumbull Property Fund 2011 4/2011 41,400,000 63,976,694 70,137,115 30,307,747 - 1.60x 7.4%USAA Eagle Real Estate Feeder 1 2015 12/2015 18,000,000 19,729,055 1,821,843 20,981,206 - 1.17x 4.6%Core / Core Plus Portfolio 301,446,307 261,342,493 112,357,956 250,406,141 76,349,910 1.41x 8.0%Aermont Capital Real Estate Fund IV 2018 4/2019 9,839,522 2,419,991 - 1,851,737 8,050,063 0.77x NMBlackstone Real Estate Partners Europe IV (USD) 2013 12/2013 32,500,000 32,424,147 37,670,769 10,283,663 6,018,223 1.48x 13.1%Blackstone Real Estate Partners IX 2019 9/2019 15,000,000 5,695,230 815,243 6,081,775 10,058,194 1.23x NMBlackstone Real Estate Partners VIII 2015 8/2015 16,500,000 18,215,484 12,705,022 13,051,435 2,686,132 1.45x 14.0%Brookfield Strategic Real Estate Partners 2012 9/2012 10,000,000 11,954,921 18,136,068 4,969,763 1,205,688 1.93x 19.1%Brookfield Strategic Real Estate Partners III 2018 4/2019 12,000,000 6,873,183 170,188 7,578,941 5,219,091 1.13x NMCarlyle Realty Partners VII 2014 7/2014 25,000,000 22,951,414 22,824,266 9,462,443 12,005,041 1.93x 12.9%DivcoWest Fund V 2016 12/2016 10,000,000 7,287,004 1,562,443 6,742,387 2,712,996 1.14x 5.3%DivcoWest Fund VI 2020 11/2020 10,000,000 601,175 - 535,034 9,398,825 0.89x NMDRA Growth and Income Fund IX 2017 3/2017 10,000,000 10,419,018 4,034,372 9,424,485 1,164,404 1.32x 13.7%European Property Investors Special Opportunities 4 2015 12/2015 11,227,018 10,226,724 2,779,784 10,817,494 1,595,539 1.33x 10.7%Exeter Industrial Value Fund IV 2017 6/2017 10,000,000 9,443,137 1,019,608 13,730,168 556,863 1.56x 21.6%Exeter Industrial Value Fund V 2020 10/2020 5,000,000 1,250,000 - 1,412,986 3,750,000 1.13x NMFranklin Templeton Private Real Estate Fund 2011 3/2011 30,000,000 35,998,165 48,374,586 880,983 3,093,082 1.37x 19.3%Greenoak Asia (USD) III 2019 4/2020 10,000,000 4,806,226 3,294,310 1,665,421 8,467,802 1.10x NM

2 H/2 Special Opportunities III 2014 12/2014 15,000,000 15,577,770 13,249,676 5,445,487 - 1.21x 6.8%2 H/2 Special Opportunities IV 2016 11/2016 10,000,000 10,076,908 81,350 11,370,035 - 1.14x 8.6%

KKR Real Estate Partners Americas II 2018 2/2018 10,000,000 9,400,074 2,955,560 8,151,169 2,111,050 1.21x 14.0%KKR Real Estate Partners Americas III 2021 N/A 35,000,000 - - - 35,000,000 N/A N/AKKR Real Estate Partners Europe II 2020 9/2020 9,950,000 13,544 - 314,540 9,950,000 23.22x NMKKR Real Estate Securities Dislocation Opportunity Co-Investment 2020 10/2020 10,000,000 4,532,656 901,398 4,908,385 6,368,742 1.35x NM

2 Lone Star Real Estate Fund V 2017 9/2017 11,000,804 6,412,495 3,521,265 2,230,160 4,782,134 0.89x -7.4%NYC Asset Investor #1 2013 6/2013 10,000,000 11,638,238 5,659,831 6,865,812 2,851,698 1.10x 1.7%NYC Asset Investor #3 2013 9/2013 8,000,000 5,611,501 1,012,764 5,991,388 2,388,499 1.25x 5.4%

2 NYCRS-KKR CMBS Retention Partners 2017 6/2017 13,000,000 11,928,444 2,932,042 10,734,494 1,405,410 1.15x 5.6%2 Pramerica Real Estate Capital VI 2017 4/2017 10,325,370 10,051,208 5,855,706 5,822,730 2,715,026 1.21x 10.9%

PW Real Estate Fund III 2015 10/2016 11,203,575 8,359,122 3,576,452 13,042,566 3,117,337 1.99x 28.4%2 Rialto Real Estate Fund IV - Debt 2020 1/2021 25,000,000 3,821,853 401,111 4,150,641 21,250,000 1.19x NM

Westbrook Real Estate Co-Investment Partnership X 2016 7/2016 10,000,000 9,614,089 5,974,064 5,465,547 806,706 1.22x 10.6%Westbrook Real Estate Fund XI 2019 12/2020 10,000,000 913,587 - 989,989 9,152,783 1.08x NMNon-Core Portfolio 415,546,289 288,517,307 199,507,877 183,971,657 177,881,326 1.36x 12.9%Emerging Manager 2016 11,000,000 12,775,721 4,967,662 11,348,370 816,234 1.35x 11.9%Debt 2014 109,326,174 69,418,245 27,765,465 51,083,737 45,152,570 1.14x 6.7%Total Portfolio 716,992,596 549,859,800 311,865,833 434,377,798 254,231,237 1.39x 9.7%

1 Emerging managers

2 Debt investments

33

-$30,000,000

-$25,000,000

-$20,000,000

-$15,000,000

-$10,000,000

-$5,000,000

$0

$5,000,000

$10,000,000

$15,000,000

Amou

ntBERS Monthly Real Estate Cash Flow Summary

(as of July 31, 2021)


34

Vintage Year Investment Closing Date Committed

Capital Contributed

Capital Distributed

Capital Market

Value TVPI IRR

Active Investments:2013 Brookfield Infrastructure Fund II, L.P. 7/8/2013 $10,000,000 $8,488,769 $3,818,973 $11,439,749 1.8x 13.0%2014 IFM Global Infrastructure Fund 1/2/2014 $15,000,000 $20,027,335 $7,899,888 $24,359,993 1.6x 11.2%2014 Global Energy & Power Infrastructure Fund II 4/16/2014 $15,000,000 $15,840,002 $12,997,841 $8,758,646 1.4x 20.7%2014 KKR Global Infrastructure Investors II L.P. 6/12/2015 $19,000,000 $20,194,814 $17,806,391 $16,083,205 1.7x 18.0%2016 Global Infrastructure Partners III-A/B, L.P. 1/29/2016 $12,000,000 $10,853,225 $2,343,021 $10,760,842 1.2x 7.1%2016 Brookfield Infrastructure Fund III, L.P. 4/15/2016 $10,000,000 $6,200,038 $1,700,357 $6,219,818 1.3x 9.9%2016 Actis Energy 4 12/16/2016 $10,600,000 $8,147,233 $2,413,933 $8,110,000 1.3x 12.3%2017 EQT Infrastructure III (No.2) SCSp 2/18/2017 $9,237,827 $9,709,932 $1,438,206 $13,214,572 1.5x 19.2%2016 ASF VII Infrastructure L.P. 4/24/2017 $12,000,000 $7,077,000 $520,575 $8,427,745 1.3x 16.9%2017 Axium Infrastructure North America (2017) 8/14/2017 $12,221,338 $12,546,081 $2,376,336 $13,059,613 1.2x 9.9%2017 NYCRS EIG Energy Partners, L.P. 8/14/2017 $11,760,000 $4,509,935 $1,084,023 $4,006,808 1.1x 7.9%2021 NYCRS EIG Energy Partners Co-Investment, L.P. 1/12/2018 $2,940,000 - - - - 0.0%2018 KKR Global Infrastructure Investors III L.P. 3/29/2018 $15,600,000 $7,726,772 $549,756 $5,977,601 0.8x -12.8%2019 Global Energy & Power Infrastructure Fund III, L.P. 7/3/2018 $15,600,000 $5,994,813 $890,704 $5,648,762 1.1x 11.0%2018 Cardinal NR Sidecar Holdings L.P. 10/5/2018 $1,880,000 $1,892,049 $467,145 $2,357,953 1.5x 18.8%2018 EQT Infrastructure IV (No.2) USD SCSp 12/20/2018 $18,000,000 $10,922,741 $425,925 $11,924,193 1.1x 11.0%2019 Ardian Infrastructure Fund V B 3/4/2019 $15,068,113 $1,789,484 $89,341 $1,848,495 1.1x 6.5%2018 Global Infrastructure Partners IV-A/B, L.P. 3/11/2019 $22,600,000 $2,209,212 $0 $1,522,866 0.7x -64.6%2019 Brookfield Infrastructure Fund IV, L.P. 5/10/2019 $19,000,000 $9,698,500 $1,160,949 $9,803,489 1.1x 12.0%2020 EQT Infrastructure IV Co-Investment (B) SCSp (Saber) 7/30/2019 $1,600,000 $1,616,000 $97,112 $1,812,611 1.2x 16.9%2019 Brookfield Infrastructure Fund IV Co-Investment (Snow) 10/25/2019 $2,000,000 $2,008,446 $133,054 $2,210,604 1.2x 12.5%2020 Actis Energy 5 6/30/2020 $27,000,000 - - - NM NM2020 EQT Infrastructure V (No.2) USD SCSp 10/29/2020 $32,000,000 - - ($444,794) NM NM2021 Stonepeak Infrastructure Fund IV, L.P. 2/16/2021 $35,000,000 - - ($222,133) NM NMTotal $345,107,278 $167,452,381 $58,213,529 $166,880,638 1.3x 12.7%

New York City Board of Education Retirement System Infrastructure Portfolio

As of March 31, 2021

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

35

($11,250,000)($10,000,000)

($8,750,000)($7,500,000)($6,250,000)($5,000,000)($3,750,000)($2,500,000)($1,250,000)

$0$1,250,000$2,500,000$3,750,000$5,000,000$6,250,000$7,500,000$8,750,000

$10,000,000$11,250,000$12,500,000$13,750,000

Amou

nt

BERS Monthly Infrastructure Cash Flow Summary (as of July 31, 2021)


36

monthly performance review july 2021

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