monthly performance review march 2020 - office of …...monthly performance review march 2020...

Monthly Performance ReviewMarch 2020

Prepared for the New York City Employees’ Retirement System

05.2020

THE CITY OF NEW YORKOFFICE OF THE COMPTROLLER

TABLE OF CONTENTS

Market Indicators for March & April .................................................................................................................................. 1

Contribution to Returns ....................................................................................................................................................... 7

Asset Allocation: Growth, Deflation, Inflation; New Policy Weights & Adjusted Policy Weight Mixes ............................... 8

Classification of Investments.. ............................................................................................................................................ 14 NYCERS Market Values 2019-2020..…..………………………………………………………………………………….………………………18 NYCERS Market Values 2010-2020…………………………………………………………………………………………………………………19

Manager / Benchmark Comparison Report ....................................................................................................................... 20

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

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

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

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

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

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

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

S&P 500 (12.35) (19.60) (10.82) (6.98) 0.92 5.10 6.73 10.53S&P 400 MIDCAP (20.25) (29.70) (24.80) (22.51) (10.84) (4.09) 0.56 7.88RUSSELL 1000 (13.21) (20.22) (11.77) (8.03) 0.26 4.64 6.22 10.39RUSSELL 2000 (21.73) (30.61) (25.55) (23.99) (11.93) (4.64) (0.25) 6.90RUSSELL 3000 (13.75) (20.90) (12.70) (9.13) (0.58) 4.00 5.77 10.15RUSSELL 3000 GROWTH (10.41) (14.85) (4.73) (0.44) 5.62 10.54 9.74 12.68RUSSELL 3000 VALUE (17.58) (27.32) (20.93) (18.02) (7.09) (2.67) 1.62 7.47

MSCI EAFE NET (13.35) (22.83) (17.42) (14.38) (9.20) (1.82) (0.62) 2.72MSCI EMF NET (15.40) (23.60) (18.18) (17.69) (12.70) (1.62) (0.37) 0.68FTSE CUSTOM NYCERS (21.10) (31.11) (26.47) (24.72) (16.76) (5.90) (2.40) (0.25)MSCI WORLD NET (13.23) (21.05) (13.84) (10.39) (3.46) 1.92 3.25 6.57MSCI EUROPE SMID CAP NET (19.51) (28.37) (20.70) (17.75) (13.10) (2.90) (0.18) 4.31MSCI AC WORLD ex US NET (14.48) (23.36) (18.02) (15.57) (10.07) (1.96) (0.64) 2.05FTSE ALL WORLD EX US (14.42) (23.35) (17.63) (15.05) (9.67) (1.60) (0.10) 2.64MSCI World ex USA IMI NR (14.71) (24.00) (18.34) (15.48) (9.91) (2.29) (0.62) 2.61

1 YEAR TREASURY BILL YIELD + 4% 1.21 2.54 5.86 7.91 7.19 6.38 5.66 5.03HFRI FUND OF FUNDS COMPOSITE + 1% (6.08) (7.07) (4.64) (2.98) (0.95) 1.51 1.33 2.93

NYC - TREASURY AGENCY PLUS FIVE 4.29 13.78 16.22 21.52 13.31 9.13 5.43 6.32FTSE USBIG Treasury 1-3 Y Index 1.25 2.67 3.79 5.28 3.98 2.64 1.81 1.40FTSE USBIG Treasury/Agency 1-10 y 2.06 5.13 6.37 8.85 6.28 4.09 2.74 2.78FTSE Treasury 10+ 5.69 20.62 24.82 32.36 18.59 13.34 7.28 8.99

CITY OF NEW YORKNYC Employees' Retirement System

Market Indicator ReportMarch 31, 2020

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

1


FTSE MORTGAGE INDEX 1.64 3.27 5.63 7.83 6.15 4.32 3.07 3.38NYC - INVESTMENT GRADE CREDIT (6.46) (3.01) 0.91 5.02 4.95 4.11 3.28 4.67FTSE BIG (DAILY) (0.51) 3.19 5.83 9.11 6.77 4.88 3.40 3.90

NYC - CORE PLUS FIVE (1.15) 3.04 6.14 9.85 7.35 5.40 3.76 4.53BARCLAYS AGGREGATE (0.59) 3.15 5.68 8.93 6.68 4.82 3.36 3.88

FTSE BB & B (10.82) (12.40) (8.88) (6.51) (0.33) 0.96 2.58 5.44FTSE BB & B CAPPED (10.99) (12.63) (9.14) (6.80) (0.53) 0.82 2.44 5.32ICE BofA US High Yield Index (11.76) (13.12) (9.77) (7.45) (0.98) 0.55 2.67 5.50ICE BofA US High Yield Constrained (11.77) (13.13) (9.78) (7.46) (0.99) 0.55 2.67 5.49

CSFB LEVERAGED LOAN (12.46) (13.19) (10.92) (9.51) (3.30) (0.73) 1.21 3.26

BARCLAYS GLOBAL US TIPS (1.76) 1.69 3.87 6.85 4.76 3.46 2.67 3.48

ICE BofA US Convertibles - Yield Alter (14.34) (13.81) (8.49) (6.43) (0.92) 1.48 1.44 3.90ICE BofA All IG US Convertibles (12.31) (13.97) (6.65) (2.73) 1.38 7.22 8.48 9.29ICE BofA All US Conv Ex Mandatory (13.95) (12.93) (6.46) (2.79) 2.35 5.67 5.62 8.51

DJ US SELECT REAL ESTATE (22.28) (28.52) (24.58) (23.96) (4.58) (4.28) (1.45) 6.82NCREIF NFI - ODCE NET* 0.75 0.75 3.14 3.93 5.23 5.85 7.48 10.42CPI + 4% (0.10) 0.79 4.01 5.58 5.77 5.99 5.87




2


91 DAY TREASURY BILL 0.29 0.57 1.61 2.25 2.19 1.83 1.19 0.64




3


S&P 500 12.82 (9.26) 0.62 0.86 6.99 9.04 9.12 11.69S&P 400 MIDCAP 14.18 (17.58) (14.13) (14.94) (4.60) (0.03) 3.58 8.86RUSSELL 1000 13.21 (9.78) (0.11) 0.09 6.50 8.68 8.74 11.57RUSSELL 2000 13.74 (18.47) (15.32) (16.39) (6.48) (0.82) 2.88 7.69RUSSELL 3000 13.24 (10.33) (1.14) (1.04) 5.60 8.02 8.33 11.29RUSSELL 3000 GROWTH 14.80 (4.18) 9.38 9.47 12.99 14.88 12.76 14.10RUSSELL 3000 VALUE 11.31 (17.14) (11.99) (11.89) (2.19) 0.92 3.67 8.31

MSCI EAFE NET 6.46 (16.09) (12.08) (11.34) (7.37) (0.58) (0.17) 3.55MSCI EMF NET 9.16 (12.52) (10.69) (12.00) (8.59) 0.57 (0.10) 1.45FTSE CUSTOM NYCERS 11.14 (19.52) (18.28) (17.81) (12.13) (3.23) (1.24) 0.62MSCI WORLD NET 10.92 (11.89) (4.42) (4.00) 1.10 4.99 4.92 7.68MSCI EUROPE SMID CAP NET 9.79 (19.31) (12.94) (13.44) (9.92) (1.68) 0.68 5.30MSCI AC WORLD ex US NET 7.58 (15.27) (11.80) (11.51) (7.46) (0.25) (0.17) 2.89FTSE ALL WORLD EX US 7.67 (15.16) (11.31) (10.91) (7.04) 0.13 0.38 3.48MSCI World ex USA IMI NR 7.62 (16.48) (12.12) (11.54) (7.55) (0.63) (0.02) 3.48

1 YEAR TREASURY BILL YIELD + 4% 0.31 2.33 6.19 7.61 7.14 6.35 5.64 5.02HFRI FUND OF FUNDS COMPOSITE + 1% 3.65 (5.56) (2.74) (2.01) (0.11) 1.98 1.66 3.03

NYC - TREASURY AGENCY PLUS FIVE 1.35 10.36 17.79 24.24 14.89 9.18 6.00 6.27FTSE USBIG Treasury 1-3 Y Index 0.16 2.28 3.95 5.23 4.15 2.65 1.83 1.39FTSE USBIG Treasury/Agency 1-10 y 0.30 3.99 6.70 9.13 6.73 4.02 2.83 2.74FTSE Treasury 10+ 2.30 15.47 27.68 37.91 21.13 13.63 8.46 8.93


Market Indicator ReportApril 30, 2020


4


FTSE MORTGAGE INDEX 0.25 2.81 5.89 7.98 6.51 4.18 3.10 3.34NYC - INVESTMENT GRADE CREDIT 4.42 (1.23) 5.37 9.21 7.72 5.27 4.28 4.96FTSE BIG (DAILY) 1.72 2.90 7.66 10.94 8.08 5.21 3.82 3.98

NYC - CORE PLUS FIVE 2.20 2.88 8.47 12.26 8.99 5.84 4.31 4.64BARCLAYS AGGREGATE 1.78 3.00 7.56 10.84 8.03 5.17 3.80 3.96

FTSE BB & B 3.67 (9.09) (5.54) (4.25) 1.17 1.81 3.07 5.62FTSE BB & B CAPPED 3.50 (9.49) (5.96) (4.72) 0.91 1.61 2.88 5.48ICE BofA US High Yield Index 3.80 (9.82) (6.34) (5.26) 0.55 1.43 3.19 5.66ICE BofA US High Yield Constrained 3.80 (9.83) (6.35) (5.27) 0.54 1.42 3.20 5.65

CSFB LEVERAGED LOAN 4.29 (9.94) (7.10) (7.10) (1.49) 0.53 1.88 3.57

BARCLAYS GLOBAL US TIPS 2.78 2.37 6.76 9.46 6.23 4.21 3.08 3.52

ICE BofA US Convertibles - Yield Alter 6.79 (9.37) (2.28) (1.31) 2.17 3.32 2.52 4.42ICE BofA All IG US Convertibles 6.47 (10.30) (0.61) 2.14 4.29 8.60 9.44 9.84ICE BofA All US Conv Ex Mandatory 11.41 (5.84) 4.21 5.26 8.22 9.14 7.76 9.44

DJ US SELECT REAL ESTATE 7.83 (23.24) (18.68) (17.85) (1.64) (1.77) 1.25 6.90NCREIF NFI - ODCE NET* 0.00 0.75 3.14 3.93 5.23 5.85 7.48 10.42CPI + 4% (0.47) (0.15) 3.52 4.39 5.23 5.66 5.68




5


91 DAY TREASURY BILL 0.01 0.45 1.61 2.07 2.13 1.81 1.19 0.64




6

NYC Employees' Retirement System Contribution to Return - March 2020

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

Return: (7.90)% Return: (11.32)% Return: (5.84)% Return: 7.13% Return: 8.56%Prepared by State Street

(0.36) 0.17

0.42 0.60 0.77

0.96 1.17

0.15 0.19

(0.47) (0.53)

(0.37)

0.31 0.21

1.25

1.76

1.79

(1.40)

(2.16)

(1.96)

0.29

(1.60)

(2.86)

(2.09)

1.50

(4.23) (6.64)

(4.23) 2.39

4.54

DOMESTIC EQUITY

WORLD EX-USA

EMERGING MARKETS

INTL FOF

GLOBAL EQUITY

HEDGE FUNDS

CORE + 5

TIPS

HIGH YIELD

BANK LOANS

CONVERTIBLE BONDS

OPPORTUNISTIC FIXED

TARGETED

OTHER FIXED

PRIVATE EQUITY

PRIVATE REAL ESTATE

INFRASTRUCTURE

RESIDUAL

(0.10)-Intl FoF (0.04)-Global Eq (0.00)-HF 0.17-Core+5 (0.08)-TIPS (0.18)-BL (0.13)-Conv (0.03)-Opp FI 0.00-ETI 0.00-Oth FI 0.17-PE 0.03-RE (0.00)-Infra 0.00-Res

(0.17)-Intl FoF (0.07)-Global Eq (0.00)-HF 0.08-TIPS (0.19)-BL (0.15)-Conv 0.01-Opp FI 0.06-ETI 0.01-Oth FI 0.27-PE 0.11-RE 0.01-Infra

(0.12)-Intl FoF (0.04)-Global Eq (0.00)-HF 0.17-TIPS (0.15)-BL (0.09)-Conv 0.09-Opp FI 0.09-ETI 0.01-Oth FI 0.28-RE 0.08-Infra (0.04)-Res

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

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

Information Classification: General

7

-2.0% -1.8% -1.6%

1.1%

-1.7% -1.2% -0.7%0.0%

1.2%0.6% 0.4%

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

10.00%Relative Mix to New Policy Weights

$7.111.2%

$3.45.4%

$5.18.1%

$2.74.3%$1.4

2.3%

$2.43.8% $0.0

0.0%

$0.71.2%

Opportunistic FI

High Yield Hedge Funds Convertible Bonds

$62.9B Under ManagementPortfolio Asset Allocation – Growth : March 31, 2020

Asset Allocation

Note: Brackets represent rebalancing ranges versus Policy.

New York City Employees’ Retirement SystemPerformance Overview as of March 31, 2020Prepared by State Street

Int’l Emerging Managers FoF

$0.40.6%

$17.027.0%

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

Global Equity

$0.30.4%

8

$62.9B Under ManagementPortfolio Asset Allocation – Growth : March 31, 2020

Asset Allocation


Asset Allocation

-3.3%-1.2% -1.5%

1.1%0.0% 0.0%

-1.2%

0.0%1.2%

0.0% 0.0%

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

10.00%Relative Mix to Adjusted Policy Weights


Note: On March 31, 2020 NYCERS' combined Fixed Income and Cashportfolios have a duration of 6.5 years. The duration of the Barclays USAggregate Index was 5.7 years on that date.

$7.111.2%

$3.45.4%

$2.74.3%$1.4

2.3%

$2.43.8% $0.0

0.0%

$0.71.2%

$0.40.6%

$0.30.4%

Opportunistic FI

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

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

Global Equity

$5.18.1%

$17.027.0%

9

Asset Allocation

US Government Treasuries

$7.712.3%

2.3% 2.2%0.8% 0.8% 0.2% 0.7%

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

10.00%

$3.6 5.7%

Mortgages Investment Grade Credit Short Term

$2.74.3%

Relative Mix to New Policy Weights

$62.9B Under ManagementPortfolio Asset Allocation – Deflation Protection : March 31, 2020


$0.10.2%

Core Fixed Income-Emerging Managers

$0.40.7%

Core Fixed Income-Developing Managers

$0.50.8%

10

$62.9B Under ManagementPortfolio Asset Allocation – Deflation Protection : March 31, 2020

Asset Allocation

1.9%1.5%

0.1% 0.8% 0.2%0.7%

-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


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

US Government Treasuries

$0.10.2%

$0.40.7%

$0.50.8%

$7.712.3%

$3.65.7%

$2.74.3%


11

Asset Allocation

Infrastructure

-0.7%

1.0%

-1.2%-0.3%

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

10.00%

US TIPS Real Estate - Core Bank Loans

Relative Mix to New Policy Weights


$62.9B Under ManagementPortfolio Asset Allocation – Inflation Protection : March 31, 2020

New York City Employees’ Retirement SystemPerformance Overview as of March 31, 2020 Prepared by State Street

$3.1 4.9%

$2.43.8%

$1.11.7%

$0.81.3%

12

Asset Allocation

Infrastructure US TIPS Real Estate - Core Bank Loans

Relative Mix to Adjusted Policy Weights


Portfolio Asset Allocation – Inflation Protection : March 31, 2020


$62.9B Under Management

0.0% 0.8% 0.0%-0.3%

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

10.00%

$3.14.9%

$1.11.7%

$0.81.3%

$2.43.8%


13

NYC EMPLOYEES' RETIREMENT SYSTEM

CLASSIFICATION OF INVESTMENTS

(as of March 31st, 2020)

ASSET CLASS ALLOCATIONS Actual Policy Target Adjustment Adjusted Policy

TOTAL EQUITIES $37,841.8 60.1% 67.0% NA 65.3% 60.3% - 70.3%

TOTAL FIXED INCOME $25,101.4 39.9% 33.0% NA 34.7% 29.7% - 39.7%

TOTAL ASSETS 100.0% 100.0% NA 100.0%

Actual Policy Target Adjustment Adjusted Policy

US Equities $16,973.5 27.0% 29.0% 1.7% 30.7% 25.7% - 35.7%

Non-US Equities/EAFE $7,067.8 11.2% 13.0% 0.1% 13.1% 9.1% - 17.1%

Emerging Markets $3,406.0 5.4% 7.0% 0.0% 7.0% 4.0% - 10.0%

Non-US Emerging Mgrs. FoF $389.0 0.6% 0.0% NA 0.0% -

Global Equity $254.7 0.4% 0.0% NA 0.0% -

TOTAL PUBLIC EQUITY 44.6% 49.0% 1.8% 50.8%

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

*REAL ESTATE - CORE 3.8% 5.0% NA 3.8% 1.8% - 5.0%

*REAL ESTATE - OPPORTUNISTIC 2.3% 4.0% NA 2.3% 0.3% - 4.0%

*PRIVATE EQUITY 8.1% 7.0% NA 7.0% 4.0% - 10.0%

PRIVATE INFRASTRUCTURE 1.3% 2.0% NA 1.3% 1.0% - 3.0%

TOTAL EQUITIES 60.1% 67.0% NA 65.3% 60.3% - 70.3%

Actual Policy Target Adjustment Adjusted Policy

U.S. Treasuries – All Maturities $7,734.2 12.3% 0.0% NA 0.0% -5.0% - 5.0%

U.S. Treasuries - Longer Than Five Years $0.0 0.0% 10.0% 0.4% 10.4% 5.0% - 15.0%

Core Mortgage-Backed Securities $2,664.1 4.2% 1.5% 0.9% 2.4% 0.5% - 2.5%

Credit - Investment Grade Corporates 4.3% 3.5% 0.9% 4.4% 2.5% - 4.5%

High Yield $2,697.5 4.3% 5.0% 0.6% 5.6% 2.6% - 8.6%

Bank Loans $1,071.8 1.7% 2.0% NA 2.0% 0.0% - 2.5%

Total High Yield & Bank Loans 6.0% 7.0% 0.6% 7.6% 2.6% - 8.6%

TIPS $3,114.1 4.9% 4.0% 0.2% 4.2% 3.2% - 5.0%

Convertible Bonds $731.1 1.2% 0.0% NA 0.0% 0.0% - 0.0%**

ETI $933.5 1.5% 2.0% NA 2.0% 1.0% - 3.0%

Cash $486.1 0.8% 0.0% NA 0.0% 0.0% - 0.0%

TOTAL PUBLIC FIXED INCOME 35.2% 28.0% NA 31.0%

*OPPORTUNISTIC FIXED INCOME 3.8% 5.0% NA 3.8% 3.0% - 7.0%

OTHER FIXED INCOME 0.9% 0.0% NA 0.0% 0.0% - 0.0%

TOTAL FIXED INCOME 39.9% 33.0% NA 34.7% 29.7% - 39.7%

*

**

***

$22,159.1

$2,365.5

$576.7

$25,101.4

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

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

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

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

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

$3,769.3

$37,841.8

In $MM Adjusted Target

Range***

$2,726.8

$839.9


Range***

$62,943.1


Range***

$28,090.9

$5.3

$2,377.0

$1,449.7

$5,079.0


14




Adjustments to Long-Term Asset Allocation

1) Private Equity

2) Real Estate Core

3) Real Estate Opportunistic

4) Infrastructure

5) Opportunistic Fixed Income

Impact of Adjustments

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

Adjustment: Adjustment: 12% of uninvested Real Estate Core 0.1%

Adjustment: Adjustment: 8% of uninvested Real Estate Opportunistic 0.1%

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

Adjustment: Adjustment: 10% of uninvested Opportunistic Fixed Income 0.1%

Total U.S. Treasuries - Longer Than Five Years 10.4%

2) Credit - Investment Grade Corporates 3.5%

Adjustment: 24% of uninvested Real Estate Core 0.3%

Adjustment: 16% of uninvested Real Estate Opportunistic 0.3%

Adjustment: 10% of uninvested Private Infrastructure 0.1%

Adjustment: 20% of uninvested Opportunistic Fixed Income 0.2%

Total Credit - Investment Grade Corporates 4.4%

3) Core Mortgage-Backed Securities 1.5%

Adjustment: 24% of uninvested Real Estate Core 0.3%




Total Core Mortgage-Backed Securities 2.4%

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

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

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

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

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

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

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

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

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

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

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

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

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


15




4) Treasury Inflation Protected Securities 4.0%


Total Treasury Inflation Protected Securities 4.2%

5) High Yield Securities 5.0%


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

Total High Yield Securities 5.6%

6) Domestic Equity 29.0%

Adjustment: 100% of uninvested Private Equity 0.0%



Adjustment: 40% of uninvested of uninvested Real Estate Core 0.5%

Total Domestic Equity 30.7%

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


Total Non-U.S. Equity - Developed Markets 13.1%

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


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


16




Note: Totals may not equal 100% due to rounding

US Equities

60%

Non-US

Equities/EAFE

25%

Emerging

Markets

12%

Non-US Emerging

Mgrs. FoF

1%

Global Equity

1%

Total Public Equities

U.S. Treasuries – All Maturities

31%

U.S. Treasuries - Longer Than Five

Years 0%

Core Mortgage-Backed Securities

11%

Credit - Investment Grade Corporates

11%

High Yield 11%

Bank Loans 4%

TIPS 12%

Convertible Bonds 3%

**ETI 4%

Cash 2%

*Opportunistic Fixed Income

9%

Other Fixed Income 2%

Total Fixed Income


17

$66,802

$65,265

$68,187 $67,939 $68,017 $68,163$69,123

$70,406$71,306 $71,162

$68,805

$62,943

$60,000 $61,000 $62,000 $63,000 $64,000 $65,000 $66,000 $67,000 $68,000 $69,000 $70,000 $71,000 $72,000 $73,000

NYCERS MARKET VALUESAPRIL 2019 - MARCH 2020

18

$34,598

$41,623 $41,621

$46,538

$53,548 $54,289

$54,553 $60,682

$64,838 $68,187

$62,943

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

19

Assets($MM)

%of Total

Trailing1 Month

Trailing3 Month FYTD CYTD

FYE06/30/19

FYE06/30/18

CYE12/31/19

CYE12/31/18

Trailing1 Year

Trailing3 Year

InceptionDate

ASSET CLASS SUMMARY

NYCERS-TOTAL DOMESTIC EQUITY 16,973.52 26.97 (14.58) (22.02) (14.16) (22.02) 8.37 14.71 29.95 (5.41) (10.84) 3.05 Aug-01-79

NYCERS-TOTAL WORLD ex-USA 7,067.77 11.23 (13.46) (22.96) (16.71) (22.96) 0.57 11.15 25.28 (14.11) (13.54) (0.35) Apr-01-04

NYCERS-TOTAL EMERGING MARKETS 3,405.95 5.41 (22.02) (31.92) (28.54) (31.92) 4.06 1.57 14.78 (14.23) (26.93) (7.31) Sep-01-05

NYCERS-TOTAL INTL FOF 388.99 0.62 (15.14) (23.79) (17.49) (23.79) (0.81) 8.05 25.04 (16.27) (13.78) May-01-17

NYCERS-TOTAL GLOBAL EQUITY 254.65 0.40 (10.47) (17.22) (9.48) (17.22) 34.10 (3.93) Aug-01-18

NYCERS-TOTAL HEDGE FUNDS 5.27 0.01 (2.22) (8.36) (3.52) (8.36) 3.59 8.10 9.08 5.87 0.87 2.86 Jul-01-11

NYCERS-TOTAL CORE FI- DEVELOPING MGRS 445.27 0.71 (2.42) 0.90 3.49 0.90 7.93 (0.67) 9.70 (1.05) 6.76 4.05 May-01-09

NYCERS-TOTAL STRUCTURED 13,125.05 20.85 0.96 6.72 9.29 6.72 8.45 (0.34) 9.28 (0.37) 13.19 6.27 Jan-01-85

NYCERS-TOTAL CONVERTIBLE BONDS 731.07 1.16 (11.09) (12.71) (7.31) (12.71) 6.59 7.29 15.95 (0.69) (5.22) 2.84 Jun-01-08

NYCERS-TOTAL TIPS MANAGERS 3,114.14 4.95 (1.71) 1.78 3.94 1.78 4.82 2.17 8.44 (1.27) 6.90 3.50 Jun-01-05

NYCERS-TOTAL HIGH YIELD 2,697.50 4.29 (10.69) (12.24) (8.60) (12.24) 7.29 1.65 14.38 (2.69) (6.20) 0.58 Oct-01-94

NYCERS-TOTAL BANK LOANS 1,071.78 1.70 (10.08) (11.07) (8.48) (11.07) 3.53 4.39 8.00 0.66 (7.35) (0.12) Dec-01-12

NYCERS-TOTAL OPPORTUNISTIC FIXED 2,365.54 3.76 (0.94) 0.38 2.93 0.38 5.08 6.82 5.32 6.32 4.68 5.01 Oct-01-07

NYCERS-TOTAL CORE FI- EMERGING MGRS 131.43 0.21 (3.05) 0.75 3.19 0.75 7.92 0.17 8.95 (0.03) 6.49 4.27 Jan-01-92

TOTAL EMPLOYEES ETI (w/o cash) 933.48 1.48 0.23 4.29 6.64 4.29 9.71 (0.88) 9.11 0.98 10.62 5.94 Dec-01-84

NYCERS-TOTAL PRIVATE REAL ESTATE 3,826.67 6.08 0.55 2.10 5.14 2.10 7.88 11.49 6.25 10.22 7.11 9.00 Apr-01-04

NYCERS-TOTAL INFRASTRUCTURE 839.90 1.33 (0.33) 1.18 8.01 1.18 11.83 16.26 11.98 14.49 11.46 14.24 Dec-01-13

NYCERS-TOTAL PRIVATE EQUITY 5,079.04 8.07 2.36 3.91 10.99 3.91 13.54 16.95 11.30 16.05 16.32 15.32 Apr-01-04

NYCERS-TOTAL CASH 486.11 0.77 0.33 1.70 2.38 1.70 3.29 1.91 2.52 2.49 3.30 2.62 Apr-01-04

SECURITY LENDING 0.00 0.00 Apr-01-04

NYCERS-TOTAL EMPLOYEES 62,943.14 100.00 (7.90) (11.32) (5.84) (11.32) 7.13 8.56 17.60 (2.70) (2.63) 4.08 Jul-01-87

NYCERS-TOTAL EQUITY 28,090.88 44.63 (15.26) (23.59) (16.85) (23.59) 5.69 11.58 26.49 (9.24) (13.81) 0.65 Aug-01-93

NYCERS-TOTAL FIXED INCOME (MINUS SS) 24,615.26 39.11 (1.94) 1.39 4.19 1.39 7.30 1.15 9.55 (0.06) 7.35 4.60 Apr-01-04

NYCERS-TOTAL HEDGE FUNDS 5.27 0.01 (2.22) (8.36) (3.52) (8.36) 3.59 8.10 9.08 5.87 0.87 2.86 Jul-01-11

NYCERS-TOTAL PRIVATE EQUITY 5,079.04 8.07 2.36 3.91 10.99 3.91 13.54 16.95 11.30 16.05 16.32 15.32 Apr-01-04

NYCERS-TOTAL PRIVATE REAL ESTATE 3,826.67 6.08 0.55 2.10 5.14 2.10 7.88 11.49 6.25 10.22 7.11 9.00 Apr-01-04

NYCERS-TOTAL INFRASTRUCTURE 839.90 1.33 (0.33) 1.18 8.01 1.18 11.83 16.26 11.98 14.49 11.46 14.24 Dec-01-13

NYCERS-TOTAL CASH 486.11 0.77 0.33 1.70 2.38 1.70 3.29 1.91 2.52 2.49 3.30 2.62 Apr-01-04

SECURITY LENDING 0.00 0.00 Apr-01-04

NYCERS-TOTAL EMPLOYEES 62,943.14 100.00 (7.90) (11.32) (5.84) (11.32) 7.13 8.56 17.60 (2.70) (2.63) 4.08 Jul-01-87

Employees Policy Benchmark (8.60) (11.57) (5.88) (11.57) 7.73 7.84 18.42 (2.75) (1.87) 4.15 Jun-01-94

New York City Employees' Retirement System

Manager / Benchmark Comparison Report

Rates of Return - Net Mgr

Periods Ending March 31, 2020

Information Classification: Limited Access

20

Assets($MM)

% of Total

Trailing1 Month

Trailing3 Month

Trailing1 Year FYTD CYTD

FYE6/30/2019

FYE6/30/2018

CYE12/31/2019

CYE12/312018 Inception Date

ASSET CLASS SUMMARY

NYCERS-TOTAL EMPLOYEES 62,943 100.00 (7.90) (11.32) (2.63) (5.84) (11.32) 7.13 8.56 17.60 (2.70) 07/01/1987

Employees Policy Benchmark (8.60) (11.57) (1.87) (5.88) (11.57) 7.73 7.84 18.42 (2.75) 07/01/1987

Excess 0.70 0.25 (0.76) 0.05 0.25 (0.60) 0.72 (0.81) 0.04

NYCERS-TOTAL EQUITY (INCL ALTS) 37,842 60.12 (11.53) (18.17) (8.37) (11.57) (18.17) 6.89 12.22 22.54 (4.74) 04/01/2004

NYCERS-TOTAL FIXED INCOME 25,100 39.88 (1.90) 1.38 7.27 4.15 1.38 7.21 1.29 9.43 (0.02) 02/01/1980

EQUITY SUMMARY

NYCERS-TOTAL DOMESTIC EQUITY 16,974 26.97 (14.58) (22.02) (10.84) (14.16) (22.02) 8.37 14.71 29.95 (5.41) 08/01/1979

RUSSELL 3000 (DAILY) (13.75) (20.90) (9.13) (12.70) (20.90) 8.98 14.78 31.02 (5.24) 08/01/1979

Excess (0.83) (1.12) (1.71) (1.46) (1.12) (0.61) (0.06) (1.07) (0.17)

BlackRock US SCG R2000 77 0.12 (19.21) (25.87) (18.68) (20.84) (25.87) (0.40) 22.00 28.51 (9.18) 10/01/2013

RUSSELL 2000 GROWTH DAILY (19.10) (25.76) (18.58) (20.76) (25.76) (0.49) 21.86 28.48 (9.31) 10/01/2013

Excess (0.11) (0.11) (0.10) (0.08) (0.11) 0.09 0.13 0.03 0.12

BlackRock US SCV R2000 116 0.18 (24.77) (35.74) (29.15) (30.06) (35.74) (6.08) 13.06 23.52 (12.77) 10/01/2013

RUSSELL 2000 VALUE DAILY (24.67) (35.66) (29.64) (30.60) (35.66) (6.24) 13.10 22.39 (12.86) 10/01/2013

Excess (0.09) (0.08) 0.50 0.54 (0.08) 0.15 (0.04) 1.13 0.09

RAFI US SCE 1 0.00 (6.39) 16.84 20.92 (11.31) 07/01/2008

RUSSELL 2000 (DAILY) (21.73) (3.31) 17.57 25.52 (11.01) 07/01/2008

Excess (3.08) (0.73) (4.60) (0.29)

Ceredex US SCV 0 0.00 (3.49) 16.20 18.66 (11.97) 01/01/2013

RUSSELL 2000 VALUE DAILY (24.67) (6.24) 13.10 22.39 (12.86) 01/01/2013

Excess 2.74 3.10 (3.74) 0.89

Cooke and Bieler-US SCV 59 0.09 (26.97) (35.68) (35.68) 01/01/2020

RUSSELL 2000 VALUE DAILY (24.67) (35.66) (35.66) 01/01/2020

Excess (2.30) (0.02) (0.02)

Wasatch-US SCG 147 0.23 (18.19) (23.30) (23.30) 01/01/2020

RUSSELL 2000 GROWTH DAILY (19.10) (25.76) (25.76) 01/01/2020

Excess 0.91 2.47 2.47

William Blair-US SCG 141 0.22 (20.04) 03/01/2020

RUSSELL 2000 GROWTH DAILY (19.10) 03/01/2020

Excess (0.94)

T Rowe Price-US SCV 73 0.12 (21.37) 03/01/2020

RUSSELL 2000 VALUE DAILY (24.67) 03/01/2020

Excess 3.30

Pzena-US SCV 61 0.10 (30.88) (43.58) (43.58) 01/01/2020

RUSSELL 2000 VALUE DAILY (24.67) (35.66) (35.66) 01/01/2020

Excess (6.21) (7.92) (7.92)






21

Assets($MM)

% of Total

Trailing1 Month

Trailing3 Month


FYE6/30/2019

FYE6/30/2018

CYE12/31/2019






PanAgora-US SCC 100 0.16 (21.56) 02/01/2020

RUSSELL 2000 (DAILY) (21.73) 02/01/2020

Excess 0.17

Wellington US SCC 202 0.32 (23.96) (31.52) (22.26) (25.59) (31.52) 4.29 15.82 32.98 (10.09) 01/01/2013

RUSSELL 2000 (DAILY) (21.73) (30.61) (23.99) (25.55) (30.61) (3.31) 17.57 25.52 (11.01) 01/01/2013

Excess (2.23) (0.90) 1.73 (0.04) (0.90) 7.60 (1.75) 7.46 0.93

BlackRock US LMC R1000 Core 13,025 20.69 (13.24) (20.13) (7.84) (11.70) (20.13) 10.24 31.44 04/01/2018

RUSSELL 1000 (DAILY) (13.21) (20.22) (8.03) (11.77) (20.22) 10.02 31.43 04/01/2018

Excess (0.03) 0.09 0.19 0.08 0.09 0.22 0.02

Legal General US LMCE 1,336 2.12 (16.98) (24.82) (18.53) (24.82) 07/01/2019

RUSSELL 1000 (DAILY) (13.21) (20.22) (11.77) (20.22) 07/01/2019

Excess (3.77) (4.60) (6.76) (4.60)

PIMCO RAFI US LMCE 1,547 2.46 (17.49) (27.67) (18.79) (20.55) (27.67) 5.02 13.34 25.33 (6.90) 07/01/2008

RUSSELL 1000 (DAILY) (13.21) (20.22) (8.03) (11.77) (20.22) 10.02 14.54 31.43 (4.78) 07/01/2008

Excess (4.27) (7.45) (10.77) (8.78) (7.45) (5.00) (1.20) (6.09) (2.11)

FUND OF FUNDS

Essex US SCG - Legato 13 0.02 (26.81) (34.85) (29.21) (30.51) (34.85) 0.22 24.88 26.79 (5.16) 05/01/2017


Excess (7.71) (9.09) (10.63) (9.75) (9.09) 0.71 3.02 (1.69) 4.15

Dean US SCV - Legato 14 0.02 (24.34) (36.64) (31.75) (31.76) (36.64) (2.96) 6.40 21.87 (12.50) 05/01/2017


Excess 0.33 (0.98) (2.10) (1.16) (0.98) 3.27 (6.70) (0.52) 0.36

Bridge City US SCG - Legato 19 0.03 (17.20) (25.09) (16.78) (19.85) (25.09) 5.08 21.15 24.50 0.88 05/01/2017


Excess 1.89 0.68 1.80 0.90 0.68 5.57 (0.71) (3.98) 10.19

Bowling US SCV - Legato 12 0.02 (25.95) (36.59) (33.24) (34.29) (36.59) (10.41) 12.03 19.25 (19.60) 05/01/2017


Excess (1.28) (0.93) (3.59) (3.70) (0.93) (4.18) (1.07) (3.14) (6.74)

Altravue US SCV - Legato 13 0.02 (18.51) (26.01) (22.73) (21.36) (26.01) (0.20) 7.13 20.04 (10.04) 05/01/2017


Excess 6.16 9.65 6.92 9.23 9.65 6.03 (5.97) (2.36) 2.82

Lisanti US SCG - Legato 16 0.02 (18.76) (23.55) (17.17) (22.58) (23.55) 8.77 27.53 03/01/2018

RUSSELL 2000 GROWTH DAILY (19.10) (25.76) (18.58) (20.76) (25.76) (0.49) 28.48 03/01/2018

Excess 0.34 2.21 1.41 (1.82) 2.21 9.26 (0.95)

Legato Transition US

NYCERS-TOTAL WORLD ex-USA 7,068 11.23 (13.46) (22.96) (13.54) (16.71) (22.96) 0.57 11.15 25.28 (14.11) 04/01/2004

WORLD ex-USA CUSTOM BM (14.71) (24.00) (15.48) (18.34) (24.00) 0.16 7.82 22.91 (14.68) 04/01/2004

Excess 1.26 1.04 1.95 1.63 1.04 0.41 3.32 2.38 0.57


22

Assets($MM)

% of Total

Trailing1 Month

Trailing3 Month


FYE6/30/2019

FYE6/30/2018

CYE12/31/2019






Causeway WorldxUS LMCC 912 1.45 (20.04) (31.76) (23.96) (25.14) (31.76) (2.72) 6.17 23.48 (18.52) 05/01/2013

NYC Developed Value Benchmark (14.12) (23.26) (14.89) (18.00) (23.26) 1.29 7.43 22.49 (14.09) 05/01/2013

Excess (5.92) (8.50) (9.07) (7.14) (8.50) (4.01) (1.25) 0.99 (4.43)

Sprucegrove WorldxUS LMCC 955 1.52 (17.77) (28.97) (23.45) (26.10) (28.97) 1.45 10.30 17.97 (13.93) 09/01/2007

NYC Developed Value Benchmark (14.12) (23.26) (14.89) (18.00) (23.26) 1.29 7.43 22.49 (14.09) 09/01/2007

Excess (3.65) (5.71) (8.55) (8.10) (5.71) 0.16 2.87 (4.52) 0.16

Baillie Gifford WorldxUS LMCC 1,267 2.01 (8.08) (15.37) (2.36) (7.18) (15.37) (0.32) 23.85 36.40 (12.79) 01/01/2008

NYC Developed Growth Benchmark (14.12) (23.26) (14.89) (18.00) (23.26) 1.29 6.47 22.49 (14.09) 01/01/2008

Excess 6.04 7.89 12.53 10.82 7.89 (1.61) 17.38 13.91 1.30

Walter Scott WorldxUS LMCC 1,308 2.08 (5.84) (13.10) 0.07 (5.31) (13.10) 9.71 10.42 28.56 (7.16) 05/01/2013

NYC Developed Growth Benchmark (14.12) (23.26) (14.89) (18.00) (23.26) 1.29 6.47 22.49 (14.09) 05/01/2013

Excess 8.29 10.16 14.97 12.69 10.16 8.42 3.96 6.07 6.93

Acadian WorldxUS SCC 339 0.54 (16.05) (26.67) (17.20) (19.41) (26.67) (5.92) 13.10 24.57 (19.03) 05/01/2013

S&P EPAC Small Cap USD NET (17.21) (27.73) (18.67) (20.55) (27.73) (6.38) 11.27 23.71 (18.58) 05/01/2013

Excess 1.16 1.06 1.47 1.14 1.06 0.46 1.82 0.86 (0.45)

Algert EAFE SCC 91 0.15 (18.71) (28.75) (20.05) (21.88) (28.75) 02/01/2019

MSCI EAFE SMALL CAP NET (DAILY) (17.24) (27.52) (18.15) (19.52) (27.52) 02/01/2019

Excess (1.46) (1.23) (1.90) (2.35) (1.23)

Fidelity WorldxUS SCC 2 0.00 (7.15) 10.85 (18.48) 05/01/2013

S&P EPAC Small Cap USD NET (17.21) (6.38) 11.27 23.71 (18.58) 05/01/2013

Excess (0.77) (0.42) 0.10

SSGA WorldxUS LMC NYC Custom IDX 1,669 2.65 (13.94) (23.04) (14.50) (17.76) (23.04) 1.49 7.49 22.55 (13.65) 02/01/2011

NYC Custom World ex US Index (14.12) (23.26) (14.89) (18.00) (23.26) 1.29 7.04 22.49 (14.09) 02/01/2011

Excess 0.18 0.22 0.40 0.24 0.22 0.20 0.45 0.06 0.44

SSGA WorldxUS SC Custom IDX 524 0.83 (17.98) (28.08) (18.51) (20.06) (28.08) (6.00) 12.88 25.44 (17.72) 02/01/2014

World ex USA SC PASSIVE CUSTOM BM (18.28) (28.39) (19.04) (20.44) (28.39) (6.17) 12.58 25.41 (18.07) 02/01/2014

Excess 0.30 0.31 0.53 0.38 0.31 0.17 0.31 0.03 0.35

NYCERS-TOTAL INTL FOF 389 0.62 (15.14) (23.79) (13.78) (17.49) (23.79) (0.81) 8.05 25.04 (16.27) 05/01/2017

NYC Blended Custom Benchmark for FoF (ERS) (15.60) (24.99) (16.88) (19.54) (24.99) 0.77 6.94 21.73 (14.39) 05/01/2017

Excess 0.46 1.20 3.10 2.04 1.20 (1.58) 1.11 3.30 (1.88)

ARGA-WorldxUS LCV - Bivium 27 0.04 (20.17) (31.06) (16.50) (18.86) (31.06) (4.22) 6.99 33.00 (19.39) 05/01/2017

MSCI AC WORLD ex US (NET) (14.48) (23.36) (15.57) (18.02) (23.36) 1.29 7.28 21.51 (14.20) 05/01/2017

Excess (5.69) (7.70) (0.93) (0.84) (7.70) (5.51) (0.29) 11.49 (5.20)

Bailard-WorldxUS LCC - Bivium 25 0.04 (15.86) (24.83) (17.80) (20.42) (24.83) (2.62) 3.43 21.78 (20.86) 05/01/2017


Excess (1.38) (1.48) (2.23) (2.40) (1.48) (3.91) (3.85) 0.27 (6.67)

Blackcrane-WorldxUS SCG - Bivium 6 0.01 (16.72) (26.25) (13.80) (17.27) (26.25) (7.06) 10.91 33.12 (24.01) 05/01/2017

MSCI ACWI Ex US Small Cap (DAILY) (19.30) (29.01) (21.18) (22.12) (29.01) (5.94) 10.57 22.42 (18.20) 05/01/2017

Excess 2.57 2.76 7.38 4.85 2.76 (1.12) 0.35 10.71 (5.81)


23

Assets($MM)

% of Total

Trailing1 Month

Trailing3 Month


FYE6/30/2019

FYE6/30/2018

CYE12/31/2019






Dundas-WorldxUS LCG - Bivium 34 0.05 (7.71) (15.26) (1.80) (7.07) (15.26) 2.97 9.51 28.48 (11.85) 05/01/2017


Excess 6.77 8.10 13.78 10.95 8.10 1.68 2.23 6.97 2.35

Global Alpha-WorldxUS SCC - Bivium 6 0.01 (18.88) (28.64) (18.08) (20.66) (28.64) 0.45 10.32 28.58 (12.85) 05/01/2017


Excess 0.41 0.37 3.10 1.46 0.37 6.40 (0.25) 6.17 5.34

Radin-WorldxUS SCV - Bivium 5 0.01 (21.77) (33.28) (32.36) (29.81) (33.28) (11.10) 1.65 13.65 (19.84) 05/01/2017


Excess (2.48) (4.27) (11.18) (7.69) (4.27) (5.15) (8.92) (8.77) (1.64)

Smith Asset Mgmt-WorldxUS LCC - Bivium 22 0.04 (18.27) (28.66) (22.07) (25.13) (28.66) 19.63 12/01/2018

MSCI AC WORLD ex US (NET) (14.48) (23.36) (15.57) (18.02) (23.36) 21.51 12/01/2018

Excess (3.80) (5.31) (6.50) (7.11) (5.31) (1.88)

Martin-EAFE ACG - FIS 14 0.02 (9.84) (16.32) (3.72) (12.22) (16.32) 02/01/2019

MSCI EAFE (13.35) (22.83) (14.38) (17.42) (22.83) 02/01/2019

Excess 3.51 6.51 10.66 5.20 6.51

Redwood-EAFE ACG - FIS 16 0.02 (11.94) (19.05) (8.43) (13.26) (19.05) 0.55 25.67 05/01/2018

MSCI EAFE + Canada Net Index (14.12) (23.26) (14.89) (18.00) (23.26) 1.29 22.49 05/01/2018

Excess 2.19 4.21 6.47 4.74 4.21 (0.74) 3.18

Osmosis-EAFE ACV - FIS 21 0.03 (12.65) (22.34) (15.33) (17.72) (22.34) (6.63) 9.38 17.87 (15.73) 05/01/2017

MSCI EAFE (13.35) (22.83) (14.38) (17.42) (22.83) 1.08 6.84 22.01 (13.79) 05/01/2017

Excess 0.70 0.48 (0.95) (0.30) 0.48 (7.71) 2.53 (4.15) (1.94)

Metis-EAFE ACV - FIS 6 0.01 (19.06) (30.40) (22.14) (21.51) (30.40) (9.87) 5.54 19.38 (18.33) 05/01/2017

MSCI EAFE (13.35) (22.83) (14.38) (17.42) (22.83) 1.08 6.84 22.01 (13.79) 05/01/2017

Excess (5.72) (7.57) (7.76) (4.09) (7.57) (10.95) (1.31) (2.63) (4.54)

Dundas-EAFE ACG - FIS 27 0.04 (7.73) (15.34) (1.14) (7.02) (15.34) 5.22 11.93 30.17 (9.93) 05/01/2017

MSCI EAFE + Canada Net Index (14.12) (23.26) (14.89) (18.00) (23.26) 1.29 7.04 22.49 (14.09) 05/01/2017

Excess 6.40 7.92 13.76 10.98 7.92 3.93 4.89 7.67 4.16

Denali-EAFE ACV - FIS 10 0.02 (19.52) (29.47) (26.64) (26.90) (29.47) (0.58) 6.18 11.69 (11.86) 05/01/2017


Excess (5.40) (6.21) (11.75) (8.90) (6.21) (1.86) (0.86) (10.80) 2.23

Change Global-EM ACV - FIS 13 0.02 (25.71) (35.71) (30.90) (32.52) (35.71) 0.40 1.08 14.96 (16.94) 05/01/2017

NYC Blended Custom Benchmark for FoF (ERS) (15.60) (24.99) (16.88) (19.54) (24.99) 0.77 6.94 21.73 (14.39) 05/01/2017

Excess (10.11) (10.72) (14.02) (12.99) (10.72) (0.37) (5.86) (6.78) (2.56)

Ativo-EAFE ACG - FIS 21 0.03 (17.75) (25.56) (16.92) (20.80) (25.56) 1.53 10.26 22.72 (12.64) 05/01/2017


Excess (3.63) (2.30) (2.03) (2.80) (2.30) 0.24 3.21 0.23 1.45

Redwood-WorldxUS LMCC - Leading Edge 28 0.04 (14.70) (22.39) (11.12) (16.07) (22.39) 2.45 15.19 30.08 (14.32) 05/01/2017

MSCI ACWI ex USA IMI Net (15.11) (24.11) (16.32) (18.55) (24.11) 0.26 7.75 21.63 (14.76) 05/01/2017

Excess 0.41 1.72 5.19 2.48 1.72 2.19 7.44 8.45 0.43


24

Assets($MM)

% of Total

Trailing1 Month

Trailing3 Month


FYE6/30/2019

FYE6/30/2018

CYE12/31/2019






Henry James-WorldxUS LMCC - Leading Edge 31 0.05 (14.71) (21.79) (10.10) (16.35) (21.79) 3.22 10.40 28.21 (14.92) 05/01/2017


Excess 0.40 2.32 6.22 2.20 2.32 2.95 2.66 6.58 (0.17)

Haven-WorldxUS LMCV - Leading Edge 17 0.03 (15.78) (23.89) (16.68) (18.43) (23.89) (1.77) 21.24 05/01/2018

MSCI ACWI ex USA IMI Net (15.11) (24.11) (16.32) (18.55) (24.11) 0.26 21.63 05/01/2018

Excess (0.67) 0.22 (0.37) 0.12 0.22 (2.04) (0.39)

Blackcrane-WorldxUS ACC - Leading Edge 18 0.03 (16.85) (25.49) (13.73) (16.36) (25.49) (10.27) 9.66 27.63 (23.09) 05/01/2017


Excess (1.74) (1.38) 2.58 2.19 (1.38) (10.53) 1.92 6.00 (8.33)

Applied Rsch-WorldxUS LCG - Leading Edge 19 0.03 (12.71) (18.84) (3.97) (11.96) (18.84) 32.21 01/01/2019

MSCI AC WORLD ex US (NET) (14.48) (23.36) (15.57) (18.02) (23.36) 21.51 01/01/2019

Excess 1.77 4.52 11.60 6.06 4.52 10.69

Ativo-WorldxUS ACC - Leading Edge 21 0.03 (16.05) (25.00) (15.14) (18.79) (25.00) 2.73 6.43 23.96 (12.34) 05/01/2017


Excess (0.94) (0.89) 1.18 (0.24) (0.89) 2.47 (1.31) 2.33 2.41

NYCERS-TOTAL EMERGING MARKETS 3,406 5.41 (22.02) (31.92) (26.93) (28.54) (31.92) 4.06 1.57 14.78 (14.23) 09/01/2005

NYCERS Custom EM Index (20.62) (30.52) (24.65) (26.26) (30.52) 4.05 2.30 15.10 (13.38) 09/01/2005

Excess (1.40) (1.39) (2.29) (2.27) (1.39) 0.01 (0.74) (0.33) (0.85)

Baillie Gifford EM 631 1.00 (21.77) (29.60) (21.22) (23.74) (29.60) 9.14 3.00 24.53 (14.40) 11/01/2005


Excess (1.15) 0.92 3.43 2.52 0.92 5.09 0.70 9.43 (1.02)

Acadian EM 509 0.81 (22.20) (32.64) (28.24) (29.83) (32.64) 1.12 (1.11) 12.83 (17.60) 11/01/2005


Excess (1.58) (2.11) (3.59) (3.57) (2.11) (2.93) (3.41) (2.28) (4.22)

Parametric EM 314 0.50 (23.66) (33.84) (30.62) (32.04) (33.84) 2.18 0.28 10.92 (14.77) 06/01/2012


Excess (3.04) (3.32) (5.97) (5.77) (3.32) (1.87) (2.02) (4.18) (1.38)

DFA EM 492 0.78 (25.17) (36.90) (35.17) (36.06) (36.90) 3.24 2.48 9.04 (13.70) 11/01/2005


Excess (4.55) (6.37) (10.53) (9.79) (6.37) (0.81) 0.18 (6.06) (0.31)

BlackRock MSCI EM Core 1,460 2.32 (20.57) (30.40) (24.62) (26.23) (30.40) 4.05 2.11 15.10 (12.86) 04/01/2011

MSCI CUSTOM NYCERS EMERGING MARKETS (NET) (20.62) (30.52) (24.65) (26.26) (30.52) 4.05 2.20 15.10 (12.97) 04/01/2011

Excess 0.05 0.12 0.02 0.04 0.12 0.00 (0.10) 0.00 0.11

NYCERS-TOTAL GLOBAL EQUITY 255 0.40 (10.47) (17.22) (3.93) (9.48) (17.22) 34.10 08/01/2018

MSCI World Index (13.23) (21.05) (10.39) (13.84) (21.05) 27.67 08/01/2018

Excess 2.76 3.83 6.46 4.36 3.83 6.43

Fiera-Global 255 0.40 (10.47) (17.22) (3.93) (9.48) (17.22) 34.10 08/01/2018

MSCI World Index (13.23) (21.05) (10.39) (13.84) (21.05) 27.67 08/01/2018

Excess 2.76 3.83 6.46 4.36 3.83 6.43


25

Assets($MM)

% of Total

Trailing1 Month

Trailing3 Month


FYE6/30/2019

FYE6/30/2018

CYE12/31/2019






NYCERS-TOTAL HEDGE FUNDS 5 0.01 (2.22) (8.36) 0.87 (3.52) (8.36) 3.59 8.10 9.08 5.87 07/01/2011

HFRI Fund of Funds Composite Index + 1% (6.08) (7.07) (2.98) (4.64) (7.07) 2.16 6.23 9.47 (3.06) 07/01/2011

Excess 3.86 (1.29) 3.85 1.12 (1.29) 1.43 1.87 (0.38) 8.92

Luxor Capital 1 0.00 (7.65) (12.49) (34.32) (18.66) (12.49) (16.92) 19.98 (22.83) (0.42) 06/01/2014


Excess (1.57) (5.43) (31.34) (14.02) (5.43) (19.08) 13.75 (32.29) 2.64

Perry Capital Lp 4 0.01 0.00 (6.60) 19.31 3.08 (6.60) (1.97) (2.73) 21.10 (11.07) 06/01/2013


Excess 6.08 0.47 22.29 7.72 0.47 (4.13) (8.97) 11.64 (8.01)

FIXED INCOME SUMMARY

NYCERS-TOTAL STRUCTURED 13,125 20.85 0.96 6.72 13.19 9.29 6.72 8.45 (0.34) 9.28 (0.37) 01/01/1985

NYC Custom Structured Index-ERS 1.58 8.11 15.27 10.89 8.11 9.51 (0.67) 10.25 (0.19) 01/01/1985

Excess (0.63) (1.39) (2.09) (1.61) (1.39) (1.06) 0.34 (0.96) (0.19)

Neuberger Berman Mortgages 570 0.90 0.97 2.67 6.87 4.78 2.67 6.16 (0.01) 6.34 0.82 02/01/2010

FTSE MORTGAGE INDEX 1.64 3.27 7.83 5.63 3.27 6.39 0.11 6.68 1.01 02/01/2010

Excess (0.68) (0.61) (0.96) (0.85) (0.61) (0.23) (0.12) (0.34) (0.19)

BlackRock Mortgages 2,094 3.33 0.95 2.81 7.43 5.10 2.81 6.66 0.06 7.00 0.96 09/01/2000

FTSE MORTGAGE INDEX 1.64 3.27 7.83 5.63 3.27 6.39 0.11 6.68 1.01 09/01/2000

Excess (0.70) (0.47) (0.41) (0.52) (0.47) 0.27 (0.05) 0.33 (0.05)

Prudential Credit 783 1.24 (7.58) (4.05) 4.07 (0.09) (4.05) 10.10 (0.39) 13.56 (1.91) 10/01/2000

NYC - Investment Grade Credit (6.46) (3.01) 5.02 0.91 (3.01) 10.13 (0.72) 13.40 (1.90) 10/01/2000

Excess (1.12) (1.04) (0.95) (1.00) (1.04) (0.03) 0.33 0.17 (0.01)

T Rowe Price Credit 843 1.34 (8.36) (5.21) 3.48 (0.86) (5.21) 10.50 (0.81) 14.52 (2.41) 01/01/1987


Excess (1.90) (2.19) (1.54) (1.77) (2.19) 0.37 (0.09) 1.13 (0.51)

BlackRock Credit 498 0.79 (6.95) (3.79) 4.42 0.16 (3.79) 10.29 (0.51) 13.98 (2.00) 10/01/2000


Excess (0.49) (0.78) (0.60) (0.74) (0.78) 0.16 0.21 0.59 (0.10)

Taplin Credit 208 0.33 (7.51) (4.87) 4.10 (0.49) (4.87) 10.07 (0.11) 15.75 (3.47) 07/01/1991


Excess (1.05) (1.85) (0.92) (1.39) (1.85) (0.06) 0.61 2.35 (1.56)

Barrow Hanley Credit 395 0.63 (7.02) (3.80) 5.04 0.40 (3.80) 10.93 (0.93) 14.78 (2.37) 09/01/2009


Excess (0.56) (0.78) 0.02 (0.51) (0.78) 0.80 (0.21) 1.38 (0.46)

BlackRock LI Treasury 1,983 3.15 4.07 13.31 21.00 15.80 13.31 10.20 (0.97) 10.41 (0.19) 08/01/2009

NYC - Treasury Agency Plus Five 4.29 13.78 21.52 16.22 13.78 10.38 (0.96) 10.40 (0.05) 08/01/2009

Excess (0.22) (0.48) (0.52) (0.41) (0.48) (0.19) (0.01) 0.01 (0.14)


26

Assets($MM)

% of Total

Trailing1 Month

Trailing3 Month


FYE6/30/2019

FYE6/30/2018

CYE12/31/2019






SSGA LI Treasury 3,695 5.87 4.62 14.00 21.88 16.67 14.00 10.17 (0.95) 10.53 (0.18) 06/01/1987

NYC - Treasury Agency Plus Five 4.29 13.78 21.52 16.22 13.78 10.38 (0.96) 10.40 (0.05) 06/01/1987

Excess 0.34 0.21 0.37 0.45 0.21 (0.22) 0.01 0.13 (0.13)

SSgA Int Gov Bond Index * 7 0.01 2.17 5.30 9.05 6.57 5.30 5.02 6.19 5.09 2.05 03/01/2017

FTSE USBIG Treasury/Agency 1-10 y 2.06 5.13 8.85 6.37 5.13 6.11 (0.71) 5.18 1.42 03/01/2017

Excess 0.11 0.17 0.20 0.19 0.17 (1.09) 6.90 (0.09) 0.63

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

SSGA ST Treasury 1-3Y 2,050 3.26 1.37 2.80 5.41 3.92 2.80 3.94 0.02 3.54 1.52 01/01/2017

FTSE USBIG Treasury 1-3 Y Index 1.25 2.67 5.28 3.79 2.67 3.95 0.06 3.56 1.56 01/01/2017

Excess 0.12 0.13 0.13 0.13 0.13 (0.01) (0.04) (0.02) (0.04)

NYCERS-TOTAL CORE FI- EMERGING MGRS 131 0.21 (3.05) 0.75 6.49 3.19 0.75 7.92 0.17 8.95 (0.03) 01/01/1992

BBG BARC Agg (Dly) (0.59) 3.15 8.93 5.68 3.15 7.87 (0.40) 8.72 0.01 01/01/1992

Excess (2.46) (2.39) (2.45) (2.49) (2.39) 0.05 0.57 0.23 (0.04)

Integrity-Core - Progress 13 0.02 (2.70) 1.25 6.94 3.65 1.25 7.68 0.04 8.56 0.01 07/01/2016

BBG BARC Agg (Dly) (0.59) 3.15 8.93 5.68 3.15 7.87 (0.40) 8.72 0.01 07/01/2016

Excess (2.12) (1.90) (1.99) (2.03) (1.90) (0.19) 0.44 (0.16) 0.00

Optimum Quantvest-Core - Progress 11 0.02 1.59 5.98 11.39 7.92 5.98 8.09 (1.06) 7.88 0.22 07/01/2016

BBG BARC Agg (Dly) (0.59) 3.15 8.93 5.68 3.15 7.87 (0.40) 8.72 0.01 07/01/2016

Excess 2.17 2.84 2.45 2.24 2.84 0.22 (0.66) (0.84) 0.21

New Century-Core Plus - Progress 31 0.05 (0.70) 2.92 8.55 5.19 2.92 7.84 0.18 8.59 0.17 01/01/2008

BBG BARC Agg (Dly) (0.59) 3.15 8.93 5.68 3.15 7.87 (0.40) 8.72 0.01 01/01/2008

Excess (0.11) (0.23) (0.38) (0.49) (0.23) (0.03) 0.57 (0.13) 0.16

Pugh-Core Plus - Progress 34 0.05 (2.63) 0.88 6.69 3.44 0.88 7.70 (0.26) 8.92 (0.39) 01/01/2008

BBG BARC Agg (Dly) (0.59) 3.15 8.93 5.68 3.15 7.87 (0.40) 8.72 0.01 01/01/2008

Excess (2.04) (2.27) (2.24) (2.24) (2.27) (0.17) 0.13 0.21 (0.40)

Ramirez-Core - Progress 42 0.07 (6.29) (2.33) 3.50 0.25 (2.33) 8.18 0.87 9.63 0.04 08/01/2014

BBG BARC Agg (Dly) (0.59) 3.15 8.93 5.68 3.15 7.87 (0.40) 8.72 0.01 08/01/2014

Excess (5.70) (5.48) (5.44) (5.42) (5.48) 0.31 1.27 0.91 0.03

NYCERS-TOTAL HIGH YIELD 2,698 4.29 (10.69) (12.24) (6.20) (8.60) (12.24) 7.29 1.65 14.38 (2.69) 10/01/1994

High Yield Custom Benchmark (11.46) (12.68) (6.94) (9.21) (12.68) 7.48 2.42 14.32 (2.34) 10/01/1994

Excess 0.77 0.44 0.73 0.61 0.44 (0.19) (0.77) 0.06 (0.35)

Oaktree High Yield 371 0.59 (10.43) (11.94) (6.27) (8.42) (11.94) 6.68 0.66 13.98 (3.46) 02/01/2013

BBG BARC US HY - 2% Issr Cap (11.46) (12.68) (6.94) (9.21) (12.68) 7.48 2.62 14.32 (2.08) 02/01/2013

Excess 1.03 0.74 0.67 0.79 0.74 (0.80) (1.96) (0.34) (1.38)

Neuberger Berman High Yield 397 0.63 (10.91) (12.77) (6.87) (9.01) (12.77) 7.31 1.77 14.15 (2.00) 09/01/2012


Excess 0.55 (0.09) 0.07 0.20 (0.09) (0.17) (0.85) (0.17) 0.08

Stone Harbor High Yield 231 0.37 (9.82) (11.63) (6.29) (8.93) (11.63) 8.31 1.51 14.12 (2.62) 10/01/2012


Excess 1.64 1.06 0.65 0.28 1.06 0.83 (1.11) (0.20) (0.53)


27

Assets($MM)

% of Total

Trailing1 Month

Trailing3 Month


FYE6/30/2019

FYE6/30/2018

CYE12/31/2019






T Rowe Price High Yield 598 0.95 (10.82) (12.44) (5.46) (8.33) (12.44) 8.81 1.55 15.63 (2.36) 01/01/1995


Excess 0.64 0.24 1.48 0.88 0.24 1.33 (1.08) 1.32 (0.28)

Shenkman High Yield 345 0.55 (10.18) (11.49) (5.29) (7.70) (11.49) 6.23 2.46 14.32 (3.21) 10/01/2003


Excess 1.28 1.20 1.65 1.51 1.20 (1.25) (0.16) 0.01 (1.12)

Nomura High Yield 276 0.44 (11.99) (13.49) (8.48) (10.35) (13.49) 13.37 12/01/2018

BBG BARC US HY - 2% Issr Cap (11.46) (12.68) (6.94) (9.21) (12.68) 14.32 12/01/2018

Excess (0.53) (0.80) (1.54) (1.15) (0.80) (0.95)

Eaton Vance High Yield 271 0.43 (11.05) (12.47) (6.30) (8.75) (12.47) 14.56 12/01/2018


Excess 0.41 0.21 0.64 0.46 0.21 0.24

Mackay Shields High Yield 208 0.33 (9.91) (11.13) (5.05) (7.42) (11.13) 14.19 12/01/2018


Excess 1.55 1.55 1.89 1.79 1.55 (0.13)

Transition High Yield 0 0.00 09/01/1994

NYCERS-TOTAL BANK LOANS 1,072 1.70 (10.08) (11.07) (7.35) (8.48) (11.07) 3.53 4.39 8.00 0.66 12/01/2012

CSFB LEVERAGED LOAN INDEX (12.46) (13.19) (9.51) (10.92) (13.19) 4.15 4.67 8.17 1.14 12/01/2012

Excess 2.38 2.12 2.17 2.44 2.12 (0.61) (0.28) (0.17) (0.48)

Bain Bank Loans 187 0.30 (10.48) (11.30) (8.71) (11.30) 07/01/2019

CSFB LEVERAGED LOAN INDEX (12.46) (13.19) (10.92) (13.19) 07/01/2019

Excess 1.98 1.89 2.21 1.89

Barings Bank Loans 289 0.46 (10.98) (12.26) (8.84) (9.70) (12.26) 2.98 4.85 7.82 0.38 12/01/2012


Excess 1.49 0.93 0.67 1.22 0.93 (1.17) 0.18 (0.36) (0.76)

Credit Suisse Bank Loans 306 0.49 (9.86) (10.63) (6.62) (7.80) (10.63) 3.93 4.49 8.31 1.04 02/01/2013


Excess 2.60 2.55 2.89 3.12 2.55 (0.22) (0.18) 0.13 (0.10)

Guggenheim Bank Loans 1 0.00 4.26 1.24 03/01/2013

CSFB LEVERAGED LOAN INDEX (12.46) 4.15 4.67 8.17 1.14 03/01/2013

Excess (0.41) 0.10

Invesco Bank Loans 289 0.46 (9.18) (10.21) (6.33) (7.83) (10.21) 3.95 3.90 8.60 0.17 02/01/2013


Excess 3.28 2.98 3.18 3.09 2.98 (0.19) (0.77) 0.42 (0.97)

NYCERS-TOTAL TIPS MANAGERS 3,114 4.95 (1.71) 1.78 6.90 3.94 1.78 4.82 2.17 8.44 (1.27) 06/01/2005

BBG BARC Gbl Inf-Lk: US TIPS (Dly) (1.76) 1.69 6.85 3.87 1.69 4.84 2.11 8.43 (1.26) 06/01/2005

Excess 0.05 0.08 0.05 0.07 0.08 (0.02) 0.05 0.01 (0.01)


28

Assets($MM)

% of Total

Trailing1 Month

Trailing3 Month


FYE6/30/2019

FYE6/30/2018

CYE12/31/2019






SSGA TIPS 2,348 3.73 (1.71) 1.77 6.90 3.94 1.77 4.82 2.15 8.44 (1.30) 08/01/2005


Excess 0.05 0.08 0.05 0.06 0.08 (0.01) 0.04 0.02 (0.04)

BlackRock TIPS 766 1.22 (1.71) 1.80 6.90 3.97 1.80 4.79 2.21 8.42 (1.18) 12/01/2005


Excess 0.05 0.10 0.05 0.09 0.10 (0.04) 0.09 (0.01) 0.08

NYCERS-TOTAL CONVERTIBLE BONDS 731 1.16 (11.09) (12.71) (5.22) (7.31) (12.71) 6.59 7.29 15.95 (0.69) 06/01/2008

ICE BofA All US Conv Ex Mandatory (13.95) (12.93) (2.79) (6.46) (12.93) 8.00 13.41 22.89 0.65 06/01/2008

Excess 2.86 0.22 (2.43) (0.85) 0.22 (1.42) (6.12) (6.94) (1.34)

Advent Convertible Bonds 420 0.67 (11.16) (11.44) (5.99) (7.85) (11.44) 5.38 3.93 12.71 (1.64) 06/01/2008

ICE BofA US Convertibles - Yield Alter (14.34) (13.81) (6.43) (8.49) (13.81) 4.57 6.58 15.40 (0.42) 06/01/2008

Excess 3.19 2.37 0.44 0.65 2.37 0.80 (2.65) (2.69) (1.22)

Victory Convertible Bonds 311 0.49 (11.00) (14.36) (4.16) (6.57) (14.36) 8.29 12.42 20.49 0.66 07/01/2008

ICE BofA All IG US Convertibles (12.31) (13.97) (2.73) (6.65) (13.97) 10.51 14.84 20.88 3.35 07/01/2008

Excess 1.32 (0.39) (1.43) 0.07 (0.39) (2.22) (2.43) (0.39) (2.69)

NYCERS-TOTAL CORE FI- DEVELOPING MGRS 445 0.71 (2.42) 0.90 6.76 3.49 0.90 7.93 (0.67) 9.70 (1.05) 05/01/2009

BBG BARC Agg (Dly) (0.59) 3.15 8.93 5.68 3.15 7.87 (0.40) 8.72 0.01 05/01/2009

Excess (1.83) (2.25) (2.17) (2.19) (2.25) 0.06 (0.27) 0.98 (1.06)

LM Capital-Core Plus 328 0.52 (2.04) 1.37 7.24 3.93 1.37 8.02 (0.80) 9.70 (1.14) 05/01/2009

BBG BARC Agg (Dly) (0.59) 3.15 8.93 5.68 3.15 7.87 (0.40) 8.72 0.01 05/01/2009

Excess (1.46) (1.78) (1.69) (1.74) (1.78) 0.15 (0.40) 0.99 (1.15)

GIA-Core Plus 117 0.19 (3.47) (0.40) 5.45 2.26 (0.40) 7.67 (0.30) 9.69 (0.81) 07/01/2015

BBG BARC Agg (Dly) (0.59) 3.15 8.93 5.68 3.15 7.87 (0.40) 8.72 0.01 07/01/2015

Excess (2.88) (3.55) (3.49) (3.42) (3.55) (0.20) 0.09 0.97 (0.82)

NYCERS-TOTAL OPPORTUNISTIC FIXED 2,366 3.76 (0.94) 0.38 4.68 2.93 0.38 5.08 6.82 5.32 6.32 10/01/2007

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (12.79) (13.39) (6.48) (9.16) (13.39) 9.26 6.72 14.66 2.36 10/01/2007

Excess 11.85 13.77 11.15 12.09 13.77 (4.18) 0.09 (9.35) 3.95

Ave Special Situation Fd VI 5 0.01 (1.51) (1.51) (1.27) 0.13 (1.51) (0.54) 12.40 (0.31) 12.41 08/01/2011


Excess 11.27 11.88 5.21 9.29 11.88 (9.80) 5.68 (14.97) 10.05

Brightwood Capital Advisors III, LP 20 0.03 0.73 0.73 (0.21) (2.29) 0.73 11.37 12.82 2.92 11.00 04/01/2015


Excess 13.52 14.13 6.26 6.87 14.13 2.11 6.09 (11.74) 8.64

Brightwood Capital Advisors FD IV, LP 76 0.12 0.42 0.42 2.13 (0.02) 0.42 6.27 13.47 3.77 6.94 11/01/2016


Excess 13.21 13.82 8.60 9.14 13.82 (2.99) 6.74 (10.90) 4.58

Fortress Ctr St Ptnrs 153 0.24 1.57 1.57 8.58 6.64 1.57 7.94 11.34 8.55 10.99 05/01/2012


Excess 14.36 14.97 15.05 15.80 14.97 (1.32) 4.61 (6.11) 8.63


29

Assets($MM)

% of Total

Trailing1 Month

Trailing3 Month


FYE6/30/2019

FYE6/30/2018

CYE12/31/2019






ICG Centre St Partner 80 0.13 0.00 0.00 8.44 5.53 0.00 11.64 3.85 11.66 9.02 07/01/2017


Excess 12.79 13.39 14.92 14.69 13.39 2.38 (2.87) (3.00) 6.66

Lone Star Fd VIII 29 0.05 0.00 (1.06) (2.86) (2.70) (1.06) (0.88) (4.82) (4.95) 3.61 11/01/2013


Excess 12.79 12.33 3.61 6.46 12.33 (10.14) (11.54) (19.61) 1.25

Oaktree Opp Fd IX 74 0.12 0.00 4.23 13.76 7.35 4.23 8.60 7.97 7.21 4.57 04/01/2013


Excess 12.79 17.63 20.23 16.51 17.63 (0.66) 1.25 (7.45) 2.21

Torchlight Debt Opp V 19 0.03 0.22 5.05 10.58 9.79 5.05 7.72 15.00 6.54 14.55 08/01/2015


Excess 13.01 18.45 17.06 18.95 18.45 (1.54) 8.28 (8.12) 12.19

TORCHLIGHT DEBT OPP VI 48 0.08 0.36 3.21 5.61 3.21 06/01/2019

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (12.79) (13.39) (9.16) (13.39) 06/01/2019

Excess 13.15 16.60 14.77 16.60

Angelo Gordon Ct St Ptnrs 164 0.26 0.50 (0.35) 2.19 3.73 (0.35) (0.74) 3.44 0.10 7.97 07/01/2012


Excess 13.28 13.05 8.66 12.89 13.05 (10.00) (3.28) (14.57) 5.61

Apollo Centre Street Partnership, L.P 343 0.54 1.29 2.13 9.45 6.89 2.13 5.49 9.16 6.70 8.34 05/01/2012


Excess 14.08 15.52 15.92 16.05 15.52 (3.77) 2.43 (7.96) 5.98

Ares Centre Street 192 0.31 1.36 1.86 8.57 5.77 1.86 9.06 10.12 8.59 9.71 01/01/2015


Excess 14.14 15.25 15.05 14.93 15.25 (0.20) 3.39 (6.07) 7.35

Contrarian Partnership, L.P 89 0.14 (3.72) (2.24) (6.32) (4.92) (2.24) (14.95) 7.53 (8.48) (4.51) 07/01/2013


Excess 9.07 11.15 0.15 4.24 11.15 (24.21) 0.81 (23.15) (6.87)

FCO MA Centre Street II ER 26 0.04 (1.24) (1.24) (1.24) 01/01/2020

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (12.79) (13.39) (13.39) 01/01/2020

Excess 11.55 12.15 12.15

Golden Tree OD 191 0.30 (12.11) (12.84) (7.54) (9.47) (12.84) 5.29 3.29 11.60 (1.71) 01/01/2012


Excess 0.68 0.55 (1.06) (0.31) 0.55 (3.97) (3.43) (3.06) (4.08)

Maranon Partnership 91 0.15 0.81 2.48 8.14 6.55 2.48 7.72 09/01/2018

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (12.79) (13.39) (6.48) (9.16) (13.39) 14.66 09/01/2018

Excess 13.60 15.87 14.61 15.71 15.87 (6.94)

Marathon Centre Street Partnership, L.P. 321 0.51 1.65 3.57 4.12 2.21 3.57 7.01 1.33 2.83 4.89 01/01/2012


Excess 14.43 16.96 10.60 11.37 16.96 (2.25) (5.39) (11.83) 2.53


30

Assets($MM)

% of Total

Trailing1 Month

Trailing3 Month


FYE6/30/2019

FYE6/30/2018

CYE12/31/2019






Oak Hill Ctr St Ptnrs 268 0.43 (0.95) 2.07 6.63 4.66 2.07 6.57 10.44 6.70 7.72 10/01/2012


Excess 11.83 15.47 13.11 13.82 15.47 (2.69) 3.72 (7.97) 5.36

KKR NYC CREDIT A & B 177 0.28 (2.35) 2.89 7.26 6.31 2.89 9.16 2.39 26.55 12/01/2017

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (12.79) (13.39) (6.48) (9.16) (13.39) 9.26 14.66 2.36 12/01/2017

Excess 10.43 16.28 13.74 15.47 16.28 (0.10) (12.28) 24.18

TOTAL EMPLOYEES ETI (w/o cash) 933 1.48 0.23 4.29 10.62 6.64 4.29 9.71 (0.88) 9.11 0.98 12/01/1984

Employees Custom Benchmark (No Cash) 0.80 3.37 8.55 5.87 3.37 7.20 0.25 7.62 1.01 12/01/1984

Excess (0.57) 0.92 2.07 0.77 0.92 2.51 (1.13) 1.49 (0.03)

AFL-CIO Housing Investment Trust 345 0.55 (0.19) 3.43 8.60 5.14 3.43 7.90 (0.59) 7.78 0.16 10/01/2002

BBG BARC Agg (Dly) (0.59) 3.15 8.93 5.68 3.15 7.87 (0.40) 8.72 0.01 10/01/2002

Excess 0.39 0.28 (0.34) (0.53) 0.28 0.03 (0.20) (0.94) 0.15

RBC Access MBS 168 0.27 (0.07) 3.09 7.82 5.40 3.09 6.83 (0.37) 7.21 0.49 03/01/2007

Access RBC Benchmark 1.49 3.77 7.88 5.60 3.77 6.27 (0.12) 6.05 1.17 03/01/2007

Excess (1.56) (0.69) (0.06) (0.20) (0.69) 0.55 (0.25) 1.16 (0.69)

CPC Construction Facility 7 0.01 (0.31) (0.41) 3.26 2.45 (0.41) 4.21 5.43 5.04 4.14 08/01/2014

CPC CONST BENCHMARK 0.25 0.83 3.86 2.77 0.83 4.23 3.66 4.09 3.99 08/01/2014

Excess (0.56) (1.24) (0.60) (0.32) (1.24) (0.02) 1.78 0.95 0.15

CPC PPAR GNMA 77 0.12 1.42 4.74 7.01 4.67 4.74 8.96 (2.81) 4.76 0.86 12/01/1984

GNMA Plus 65bps 2.04 3.41 7.87 5.62 3.41 6.90 0.66 6.73 1.63 12/01/1984

Excess (0.62) 1.33 (0.86) (0.95) 1.33 2.06 (3.47) (1.97) (0.77)

JPMC PPAR GNMA 32 0.05 1.44 4.63 8.06 5.43 4.63 9.37 (1.95) 5.77 1.99 11/01/2001

GNMA Plus 65bps 2.04 3.41 7.87 5.62 3.41 6.90 0.66 6.73 1.63 11/01/2001

Excess (0.60) 1.22 0.19 (0.19) 1.22 2.47 (2.61) (0.97) 0.36

BOA PPAR GNMA 16 0.03 1.41 5.01 10.81 6.15 5.01 11.37 (1.23) 8.44 2.42 02/01/2011

GNMA Plus 65bps 2.04 3.41 7.87 5.62 3.41 6.90 0.66 6.73 1.63 02/01/2011

Excess (0.62) 1.61 2.94 0.53 1.61 4.46 (1.89) 1.70 0.79

BOA PPAR FNMA 25 0.04 0.34 6.19 16.61 10.36 6.19 13.51 (1.09) 13.54 2.33 12/01/2013

FNMA Plus 85bps 1.51 3.46 8.99 6.49 3.46 7.26 1.04 7.80 1.86 12/01/2013

Excess (1.17) 2.73 7.62 3.87 2.73 6.25 (2.13) 5.74 0.47

Citibank PPAR GNMA 6 0.01 1.47 5.05 7.71 5.06 5.05 10.12 (2.20) 5.33 1.90 12/01/2006

GNMA Plus 65bps 2.04 3.41 7.87 5.62 3.41 6.90 0.66 6.73 1.63 12/01/2006

Excess (0.57) 1.64 (0.15) (0.56) 1.64 3.21 (2.86) (1.41) 0.27

Citibank PPAR FNMA 26 0.04 0.18 6.15 23.08 15.79 6.15 15.16 (0.83) 19.71 2.63 12/01/2013

FNMA Plus 85bps 1.51 3.46 8.99 6.49 3.46 7.26 1.04 7.80 1.86 12/01/2013

Excess (1.33) 2.69 14.10 9.30 2.69 7.90 (1.86) 11.91 0.77

CFSB PPAR GNMA 3 0.00 1.41 4.78 8.12 5.12 4.78 9.78 (2.62) 5.91 0.99 10/01/2006

GNMA Plus 65bps 2.04 3.41 7.87 5.62 3.41 6.90 0.66 6.73 1.63 10/01/2006

Excess (0.63) 1.37 0.25 (0.50) 1.37 2.87 (3.28) (0.82) (0.65)


31

Assets($MM)

% of Total

Trailing1 Month

Trailing3 Month


FYE6/30/2019

FYE6/30/2018

CYE12/31/2019






CPC PPAR FNMA 107 0.17 0.51 5.95 15.55 9.07 5.95 14.84 (0.39) 13.18 2.31 08/01/2013

FNMA Plus 85bps 1.51 3.46 8.99 6.49 3.46 7.26 1.04 7.80 1.86 08/01/2013

Excess (1.00) 2.50 6.56 2.58 2.50 7.58 (1.43) 5.38 0.45

JPMC PPAR FNMA 91 0.14 0.33 6.14 17.90 10.40 6.14 14.75 (1.18) 14.68 1.68 11/01/2013

FNMA Plus 85bps 1.51 3.46 8.99 6.49 3.46 7.26 1.04 7.80 1.86 11/01/2013

Excess (1.18) 2.69 8.91 3.91 2.69 7.50 (2.21) 6.88 (0.18)

LIIF PPAR GNMA 3 0.00 1.20 3.62 7.30 4.79 3.62 8.01 (0.63) 5.54 2.53 08/01/2009

GNMA Plus 65bps 2.04 3.41 7.87 5.62 3.41 6.90 0.66 6.73 1.63 08/01/2009

Excess (0.84) 0.21 (0.57) (0.83) 0.21 1.11 (1.28) (1.19) 0.89

LIIF PPAR FNMA 13 0.02 0.26 6.22 19.58 13.10 6.22 14.40 (1.35) 16.35 2.27 11/01/2013

FNMA Plus 85bps 1.51 3.46 8.99 6.49 3.46 7.26 1.04 7.80 1.86 11/01/2013

Excess (1.25) 2.76 10.59 6.61 2.76 7.15 (2.39) 8.55 0.41

LISC PPAR FNMA 2 0.00 (0.29) 10.71 22.70 15.92 10.71 14.95 11/01/2018

FNMA Plus 85bps 1.51 3.46 8.99 6.49 3.46 7.80 11/01/2018

Excess (1.80) 7.25 13.71 9.43 7.25 7.15

NCBCI PPAR FNMA 0 0.00 1.50 4.67 6.27 5.67 4.67 8.27 (1.43) 4.08 2.00 11/01/2013

FNMA Plus 85bps 1.51 3.46 8.99 6.49 3.46 7.26 1.04 7.80 1.86 11/01/2013

Excess (0.01) 1.21 (2.72) (0.82) 1.21 1.02 (2.47) (3.72) 0.15

NCBCI PPAR GNMA 2 0.00 1.47 4.40 5.64 4.18 4.40 8.09 (2.27) 3.69 1.23 08/01/2009

GNMA Plus 65bps 2.04 3.41 7.87 5.62 3.41 6.90 0.66 6.73 1.63 08/01/2009

Excess (0.56) 0.99 (2.23) (1.44) 0.99 1.19 (2.93) (3.04) (0.41)

NHS PPAR GNMA 1 0.00 1.47 4.31 4.73 3.45 4.31 7.31 (2.40) 2.90 0.54 10/01/2007

GNMA Plus 65bps 2.04 3.41 7.87 5.62 3.41 6.90 0.66 6.73 1.63 10/01/2007

Excess (0.56) 0.90 (3.13) (2.17) 0.90 0.41 (3.06) (3.84) (1.09)

Wells Fargo PPAR FNMA 10 0.02 (0.24) 6.10 17.40 10.96 6.10 23.19 21.71 01/01/2017

FNMA Plus 85bps 1.51 3.46 8.99 6.49 3.46 7.26 1.04 7.80 1.86 01/01/2017

Excess (1.74) 2.64 8.41 4.47 2.64 15.93 13.91

NYCERS-TOTAL CASH 486 0.77 0.33 1.70 3.30 2.38 1.70 3.29 1.91 2.52 2.49 04/01/2004

ICE BofA US 3-Month Treasury Bill 0.29 0.57 2.25 1.61 0.57 2.31 1.36 2.28 1.87 04/01/2004

Excess 0.04 1.13 1.04 0.78 1.13 0.98 0.55 0.24 0.62

Short Term NYCERS 485 0.77 0.10 0.37 2.03 1.39 0.37 2.36 1.48 2.30 1.95 04/01/1982

ICE BofA US 3-Month Treasury Bill 0.29 0.57 2.25 1.61 0.57 2.31 1.36 2.28 1.87 04/01/1982

Excess (0.19) (0.21) (0.22) (0.22) (0.21) 0.05 0.12 0.01 0.07

Cash Account 1 0.00 04/01/2004

KKR SP CASH ACCOUNT 0 0.00 08/01/2017

Securities Lending 0 0.00 04/01/2004


32

Assets($MM)

% of Total

Trailing1 Month

Trailing3 Month


FYE6/30/2019

FYE6/30/2018

CYE12/31/2019






NYCERS-TOTAL PRIVATE EQUITY 5,079 8.07 2.36 3.91 16.32 10.99 3.91 13.54 16.95 11.30 16.05 04/01/2004

NYCERS-TOTAL PRIVATE REAL ESTATE 3,827 6.08 0.55 2.10 7.11 5.14 2.10 7.88 11.49 6.25 10.22 04/01/2004

NYCERS-TOTAL INFRASTRUCTURE 840 1.33 (0.33) 1.18 11.46 8.01 1.18 11.83 16.26 11.98 14.49 12/01/2013


33

StepStone Group LP

New York City Employees' Retirement SystemPrivate Equity Portfolio

As of December 31, 2019 (in USD)

Vintage Year

Investment First DrawdownCommitted

CapitalContributed

CapitalDistributed

CapitalMarket Value Multiple IRR1 PME

Benchmark2 PME Spread3

Active Investments1999 Cypress Merchant Banking Partners II, L.P. 3/29/1999 45,172,972$ 53,944,269$ 50,584,154$ 24,183$ 0.94x (1.2%) 5.5% (6.7%)1999 Lincolnshire Equity Fund II, L.P. 10/20/1999 18,397,347 19,261,466 37,689,409 405,324 1.98x 24.6% 7.0% 17.6%2000 Solera Partners, L.P. 5/26/2000 19,999,779 26,739,017 41,635,156 162,493 1.56x 7.4% 6.1% 1.3%2000 SCP Private Equity Partners II, L.P. 6/15/2000 27,442,463 30,827,225 10,819,873 1,398,016 0.40x (11.9%) 5.2% (17.1%)2001 Apollo Investment Fund V, L.P. 4/13/2001 40,000,000 62,528,643 123,295,865 348,163 1.98x 38.6% 8.3% 30.3%2001 RRE Ventures III, L.P. 7/6/2001 19,999,999 26,323,260 34,078,940 1,071,091 1.34x 5.4% 6.6% (1.2%)2002 Thomas, McNerney & Partners, L.P. 10/9/2002 20,000,000 20,000,000 10,058,105 2,493,781 0.63x (7.03%) 10.5% (17.5%)2002 Landmark Equity Partners XI, L.P. 10/23/2002 55,000,000 52,284,778 80,358,502 132,040 1.54x 23.3% 7.5% 15.8%2003 FS Equity Partners V, L.P. 1/20/2003 25,000,000 21,419,958 41,861,469 2,186,822 2.06x 15.4% 5.1% 10.3%2003 Blackstone Capital Partners IV, L.P. 2/26/2003 34,418,762 38,818,072 100,181,154 20,251 2.58x 39.7% 7.6% 32.2%2003 Ares Corporate Opportunities Fund, L.P. 4/1/2003 45,000,000 53,984,770 80,476,920 748,778 1.50x 13.2% 7.4% 5.7%2004 Markstone Capital Partners, LP 1/30/2004 40,000,000 46,899,103 19,822,611 272,215 0.43x (39.5%) 10.3% (49.8%)2004 FdG Capital Partners II LP 8/30/2004 35,000,000 37,714,408 43,600,092 2,046,805 1.21x 3.7% 6.7% (3.1%)2004 Lincolnshire Equity Fund III, L.P. 10/1/2004 55,000,000 55,006,941 77,780,681 21,059,004 1.80x 28.1% 11.6% 16.6%2004 Yucaipa American Alliance Fund I, LP 10/1/2004 90,000,000 114,094,892 137,148,067 6,390,553 1.26x 4.6% 10.5% (5.9%)2004 New York/Fairview Emerging Managers Fund, L.P.-Tranche 1 10/21/2004 32,000,000 32,862,069 31,438,382 4,782,143 1.10x 1.6% 8.7% (7.0%)2005 Palladium Equity Partners III, L.P. 11/12/2004 35,000,000 36,490,865 68,300,501 2,209,934 1.93x 16.1% 11.9% 4.2%2005 New Mountain Partners II, L.P. 1/12/2005 46,451,615 42,071,397 81,045,604 498,359 1.94x 13.6% 4.4% 9.2%2005 NB New York City Growth Fund 8/16/2005 34,819,694 34,819,694 43,498,850 (37,703) 1.25x 3.6% 4.7% (1.1%)2005 Snow Phipps Group, L.P. 9/7/2005 20,000,000 23,827,483 20,914,615 8,764,092 1.25x 4.8% 11.2% (6.4%)2005 Blackstone Mezzanine Partners II, L.P. 10/10/2005 21,346,698 23,488,553 31,752,958 311,266 1.37x 8.0% 3.8% 4.2%2005 Psilos Group Partners III, L.P. 10/24/2005 35,000,000 37,205,819 17,948,760 32,932,158 1.37x 4.3% 8.3% (4.0%)2005 USPF II Institutional Fund, L.P. 11/23/2005 65,000,000 85,734,194 99,947,469 9,107,224 1.27x 4.0% 7.8% (3.7%)2005 JP Morgan Fleming (Tranche A) 12/21/2005 43,000,000 42,959,505 43,342,359 11,592,203 1.28x 4.6% 10.8% (6.2%)2006 Aisling Capital II, LP 1/12/2006 6,680,102 7,854,064 7,775,060 368,982 1.04x 0.7% 8.0% (7.3%)2006 InterMedia Partners VII, L.P. 1/20/2006 25,000,000 29,198,197 29,591,747 (31,027) 1.01x 0.2% 9.7% (9.5%)2006 Terra Firma Capital Partners III, L.P. 3/8/2006 52,771,426 53,496,701 20,738,439 4,139,239 0.47x (9.1%) 9.9% (19.0%)2006 BDCM Opportunity Fund II, L.P. 3/29/2006 25,000,000 37,091,747 77,430,266 21,276,605 2.66x 18.3% 11.5% 6.8%2006 Blackstone Capital Partners V, L.P. 4/13/2006 121,624,827 129,500,479 205,724,405 4,459,501 1.62x 7.9% 8.4% (0.4%)2006 Avista Capital Partners, L.P. 4/27/2006 45,000,000 59,165,902 72,036,625 731,816 1.23x 4.4% 6.3% (1.9%)2006 Apollo Investment Fund VI, L.P. 5/10/2006 90,000,000 115,838,240 173,338,314 1,714,136 1.51x 8.7% 7.6% 1.1%2006 Landmark Equity Partners XIII, L.P. 5/11/2006 50,000,000 48,059,342 52,253,971 11,861,590 1.33x 5.5% 6.7% (1.2%)2006 Ares Corporate Opportunities Fund II, L.P. 5/23/2006 50,000,000 54,760,870 91,354,618 86,418 1.67x 13.1% 3.8% 9.3%2006 Fairview Ventures Fund III, L.P. 6/29/2006 25,000,000 26,652,926 39,220,173 18,312,747 2.16x 14.2% 12.6% 1.6%2006 Ampersand 2006 8/14/2006 25,000,000 25,000,000 51,467,841 25,345,553 3.07x 17.1% 9.3% 7.8%2006 Thomas, McNerney & Partners II, L.P. 11/30/2006 25,000,000 25,349,167 55,110,685 2,584,768 2.28x 16.7% 11.6% 5.2%2006 Catterton Partners VI, L.P. 12/14/2006 45,000,000 51,243,868 80,464,404 13,510,039 1.83x 11.3% 8.9% 2.4%2006 First Reserve Fund XI, L.P. 12/14/2006 45,000,000 47,820,682 30,264,738 1,807,322 0.67x (8.5%) 7.1% (15.6%)2006 Arsenal Capital Partners II, LP 12/19/2006 22,500,000 27,438,944 43,768,423 9,571,546 1.94x 12.1% 12.0% 0.1%2006 RRE Ventures IV, L.P. 12/19/2006 35,000,000 44,455,196 28,329,608 32,044,465 1.36x 4.3% 11.0% (6.7%)2006 MidOcean Partners III, L.P. 12/21/2006 58,234,777 69,571,229 136,605,728 8,486,360 2.09x 13.0% 9.8% 3.2%2006 GF Capital Private Equity Fund, L.P. 12/22/2006 20,000,000 20,729,120 26,863,570 8,934,556 1.73x 11.7% 12.5% (0.8%)2006 The Fourth Cinven Fund 1/22/2007 69,392,386 72,910,892 105,361,467 (44,419) 1.44x 7.4% 7.5% (0.2%)2007 Pegasus Partners IV, L.P. 1/29/2007 30,000,000 36,450,033 27,600,933 6,161,327 0.93x (1.4%) 11.2% (12.6%)2007 FTVentures III, LP 3/1/2007 24,201,990 26,802,873 51,561,752 6,105,132 2.15x 15.7% 10.1% 5.6%2007 Co-Investment Partners Europe, L.P. 3/19/2007 39,925,014 42,601,283 52,846,040 1,277,902 1.27x 4.6% 15.3% (10.6%)2007 Montreux Equity Partners IV, L.P. 3/27/2007 20,000,000 20,000,000 11,044,696 16,158,846 1.36x 4.5% 10.5% (6.0%)2007 Quaker BioVentures II, L.P. 3/30/2007 20,000,000 19,258,740 17,160,674 3,257,223 1.06x 1.3% 12.7% (11.4%)2007 SCP Vitalife Partners II Fund 4/13/2007 20,000,000 20,099,698 1,579 11,808,459 0.59x (5.9%) 10.0% (15.9%)2007 Nautic Partners VI, L.P. 5/14/2007 30,000,000 33,578,877 72,966,765 6,638,690 2.37x 18.7% 12.0% 6.7%2007 Constellation Venture Capital III, L.P. 5/22/2007 25,000,000 28,826,564 14,520,432 7,682,513 0.77x (4.1%) 16.4% (20.5%)2007 United States Power Fund III, L.P. 6/28/2007 65,000,000 76,903,642 79,335,129 14,849,454 1.22x 3.6% 9.5% (5.9%)2007 Halyard Capital Fund II, L.P. 7/2/2007 25,000,000 21,634,809 26,458,033 5,711,527 1.49x 7.0% 10.0% (3.0%)2007 Carlyle Partners V, L.P. 7/6/2007 70,000,000 72,144,879 119,299,326 9,756,592 1.79x 13.7% 11.0% 2.7%2007 PCG Clean Energy & Technology Fund (East), LLC 7/6/2007 90,000,000 81,429,594 20,959,123 11,718,299 0.40x (12.1%) 13.1% (25.2%)2007 GSO Capital Opportunities Fund LP 7/16/2007 45,000,000 67,377,298 95,627,284 661,145 1.43x 17.3% 10.1% 7.2%2007 StarVest Partners II, L.P. 8/1/2007 25,000,000 25,159,680 11,051,008 12,458,829 0.93x (1.0%) 13.7% (14.6%)2007 New Mountain Partners III, L.P. 8/9/2007 100,000,000 101,866,058 135,606,735 78,089,775 2.10x 13.5% 12.8% 0.7%2007 Vista Equity Partners Fund III, L.P. 10/3/2007 30,000,000 32,196,433 76,619,901 2,820,478 2.47x 26.9% 9.9% 17.0%2007 Trilantic Capital Partners IV L.P. 10/22/2007 69,028,637 72,053,009 106,275,810 6,909,086 1.57x 13.5% 11.1% 2.4%2007 RLJ Equity Partners Fund I, L.P. 11/30/2007 20,000,000 21,991,729 25,278,082 9,092,841 1.56x 9.5% 13.9% (4.4%)2007 Pine Brook Capital Partners, L.P. 1/11/2008 30,000,000 34,068,301 42,439,115 1,349,516 1.29x 6.8% 12.0% (5.2%)2008 Paladin III (NY City), L.P. 1/8/2008 30,000,000 41,065,348 29,908,122 58,898,027 2.16x 13.7% 12.6% 1.1%2008 Apollo Investment Fund VII, L.P. 1/28/2008 100,000,000 122,409,325 193,200,769 14,236,069 1.69x 22.5% 13.7% 8.8%2008 NGN BioMed Opportunity II, L.P. 2/11/2008 20,000,000 19,151,821 13,346,209 9,439,542 1.19x 2.6% 15.0% (12.4%)2008 Riverstone/Carlyle Global Energy & Power Fund IV, L.P. 3/3/2008 45,000,000 52,205,223 49,691,372 8,160,177 1.11x 2.8% 13.9% (11.1%)2008 Yucaipa American Alliance Fund II, LP 3/28/2008 120,000,000 164,699,094 158,448,212 109,245,688 1.63x 8.8% 12.5% (3.7%)2008 Levine Leichtman Capital Partners IV, L.P. 4/8/2008 35,000,000 37,477,097 59,216,356 3,239,518 1.67x 18.1% 14.3% 3.8%2008 New York/Fairview Emerging Managers Fund, L.P.-Tranche 2 5/28/2008 45,000,000 44,996,824 50,468,826 46,027,359 2.14x 16.3% 13.3% 2.9%2008 Yucaipa Corporate Initiatives Fund II, LP 6/23/2008 42,092,788 41,334,383 24,681,671 12,225,708 0.89x (1.7%) 12.2% (13.9%)2008 Leeds Equity Partners V, L.P. 7/28/2008 60,000,000 57,820,894 81,251,905 64,677,130 2.52x 19.7% 13.7% 6.0%2008 GI Partners Fund III L.P. 7/29/2008 45,000,000 48,618,007 75,820,271 464,922 1.57x 13.0% 15.3% (2.3%)2008 Ares Corporate Opportunities Fund III, L.P. 7/30/2008 75,000,000 91,601,878 181,780,399 15,403,320 2.15x 20.5% 12.2% 8.3%2008 GCM Grosvenor NYCERS Emerging Manager Fund, L.P. 8/22/2008 116,737,374 144,864,594 130,299,783 76,596,870 1.43x 10.0% 13.6% (3.6%)2008 First Reserve Fund XII, L.P. 8/25/2008 45,000,000 49,986,866 24,984,152 6,781,248 0.64x (10.2%) 16.9% (27.1%)2008 Landmark Equity Partners XIV, L.P. 9/19/2008 109,120,000 106,281,905 122,326,677 16,615,914 1.31x 9.4% 14.5% (5.1%)2008 Crestview Partners II, L.P. 10/1/2008 50,000,000 58,173,241 75,111,544 25,735,443 1.73x 13.5% 14.7% (1.2%)2008 Avista Capital Partners II, L.P. 11/5/2008 75,000,000 98,630,998 154,561,847 10,715,772 1.68x 14.9% 14.7% 0.2%2008 Blue Wolf Capital Fund II, L.P. 11/14/2008 25,000,000 27,167,904 31,424,990 10,097,170 1.53x 9.3% 15.6% (6.3%)2008 Bridgepoint Europe IV 11/14/2008 26,654,539 27,047,550 36,527,697 4,456,664 1.52x 9.8% 14.8% (5.0%)2008 Aisling Capital III, LP 11/20/2008 14,000,000 15,792,962 36,019,914 1,377,872 2.37x 26.1% 14.3% 11.9%2008 Onex Partners III LP 12/10/2008 75,000,000 82,021,561 109,150,924 27,613,115 1.67x 12.3% 15.0% (2.7%)2009 Welsh, Carson, Anderson & Stowe XI, L.P. 2/10/2009 40,000,000 40,000,000 51,763,285 13,706,428 1.64x 12.0% 14.8% (2.8%)2009 FS Equity Partners VI, L.P. 7/27/2009 32,500,000 32,670,616 77,082,403 23,048,279 3.06x 24.1% 14.9% 9.2%2009 Lincolnshire Equity Fund IV, L.P. 8/5/2009 27,500,000 29,454,845 33,876,336 11,763,360 1.55x 10.4% 13.6% (3.2%)2009 Lexington Capital Partners VII, L.P. 12/3/2009 50,000,000 44,615,537 58,577,378 11,579,254 1.57x 13.9% 14.4% (0.6%)2010 Snow Phipps II, L.P. 1/8/2010 30,000,000 34,805,963 25,479,743 21,888,872 1.36x 8.9% 14.1% (5.2%)2010 JP Morgan Fleming (Tranche B) 2/26/2010 35,000,000 36,066,956 28,524,090 25,355,269 1.49x 8.8% 13.6% (4.9%)2010 Trident V, L.P. 4/29/2010 110,000,000 128,173,312 143,460,516 67,622,433 1.65x 11.3% 12.7% (1.5%)2011 Blackstone Capital Partners VI, L.P. 1/24/2011 120,000,000 126,367,780 109,087,102 90,468,322 1.58x 12.1% 12.9% (0.8%)2011 Ampersand 2011 3/11/2011 25,000,000 25,000,000 40,459,089 38,319,796 3.15x 22.5% 13.2% 9.3%2011 BDCM Opportunity Fund III, L.P. 4/8/2011 45,000,000 64,767,169 31,146,886 60,108,249 1.41x 8.5% 13.1% (4.5%)2011 AXA Secondary Fund V B L.P. 6/16/2011 120,000,000 98,870,221 156,821,899 1,866,830 1.61x 15.5% 14.8% 0.7%2011 Wellspring Capital Partners V, L.P. 7/1/2011 40,000,000 42,023,571 46,920,683 17,867,708 1.54x 14.9% 12.5% 2.4%2011 EQT VI, L.P. 8/1/2011 106,340,675 110,411,694 151,669,378 40,126,256 1.74x 14.2% 12.4% 1.7%2011 Pegasus Partners V, L.P. 8/16/2011 20,789,916 25,728,219 22,521,565 17,977,676 1.57x 11.5% 14.6% (3.0%)2011 BC European Capital IX 9/19/2011 131,884,843 143,180,418 138,662,244 89,997,105 1.60x 12.7% 13.7% (1.0%)2011 American Securities Partners VI, L.P. 11/18/2011 80,000,000 85,908,470 129,018,407 41,340,308 1.98x 21.7% 13.4% 8.3%2011 Vista Equity Partners Fund IV, L.P. 11/30/2011 100,000,000 104,315,242 133,471,050 68,288,440 1.93x 17.0% 13.7% 3.3%2012 Warburg Pincus Private Equity XI, L.P. 5/24/2012 110,000,000 117,033,488 120,392,528 68,936,412 1.62x 13.3% 12.9% 0.4%2012 Trilantic Capital Partners V L.P. 9/20/2012 70,000,000 76,687,671 73,826,525 43,200,306 1.53x 17.3% 13.0% 4.3%2012 Palladium Equity Partners IV, L.P. 10/10/2012 55,000,000 51,753,002 26,790,544 46,995,091 1.43x 11.7% 13.9% (2.2%)2012 Ares Corporate Opportunities Fund IV, L.P. 11/5/2012 125,000,000 132,096,721 82,522,601 119,552,254 1.53x 12.6% 12.0% 0.6%2012 Green Equity Investors VI, L.P. 11/30/2012 120,000,000 129,379,904 91,551,200 136,373,937 1.76x 16.1% 12.8% 3.3%2012 Platinum Equity Capital Partners III, L.P. 1/14/2013 100,000,000 87,354,725 117,406,588 52,734,891 1.95x 36.6% 13.6% 23.0%2012 NYCERS - 2012 Emerging Manager Program4 6/21/2013 128,600,000 127,539,898 73,994,445 139,128,351 1.67x 16.0% 12.3% 3.7%

34

StepStone Group LP

New York City Employees' Retirement SystemPrivate Equity Portfolio

As of December 31, 2019 (in USD)

Vintage Year

Investment First DrawdownCommitted

CapitalContributed

CapitalDistributed

CapitalMarket Value Multiple IRR1 PME


2013 Carlyle Partners VI, L.P. 7/3/2013 75,000,000 79,281,529 34,086,091 70,905,043 1.32x 10.1% 12.3% (2.2%)2014 Carlyle Partners VI, L.P. (Side Car) 9/23/2014 8,250,000 5,998,063 345,832 5,476,171 0.97x (0.8%) 12.4% (13.2%)2013 Landmark Equity Partners XV, L.P. 10/30/2013 75,000,000 55,600,942 40,904,286 29,560,631 1.27x 11.6% 12.2% (0.6%)2013 Apollo Investment Fund VIII, L.P. 12/11/2013 140,000,000 128,736,704 59,755,164 120,673,034 1.40x 12.3% 13.0% (0.7%)2013 Landmark - NYC Fund I, L.P. 12/24/2013 25,000,000 21,213,149 14,418,474 15,810,112 1.42x 14.2% 11.0% 3.2%2014 CVC Capital Partners VI, L.P. 2/18/2014 123,382,882 125,082,756 56,272,271 129,438,719 1.48x 16.0% 12.9% 3.1%2013 Crestview Partners III, L.P. 3/3/2015 66,000,000 46,474,928 28,162,900 33,014,574 1.32x 12.0% 13.2% (1.3%)2013 Crestview Partners III (Co-Investment B), L.P. 12/17/2015 22,000,000 22,344,754 1,085,940 23,826,561 1.11x 4.3% 15.1% (10.7%)2014 Olympus Growth Fund VI, L.P. 1/21/2014 75,000,000 62,801,947 28,338,772 55,693,426 1.34x 12.1% 14.2% (2.1%)2014 ASF VI B L.P. 5/9/2014 83,000,000 64,618,228 49,546,262 42,655,501 1.43x 12.5% 12.1% 0.5%2014 ASF VI B NYC Co-Invest L.P. 5/9/2014 27,000,000 21,668,384 19,852,328 10,919,203 1.42x 12.6% 9.7% 2.8%2014 Vista Equity Partners Fund V, L.P. 9/8/2014 125,000,000 145,227,385 149,982,525 124,136,048 1.89x 21.8% 12.2% 9.7%2014 Lexington Capital Partners VIII, L.P. 1/8/2015 110,000,000 95,628,597 48,322,020 78,424,701 1.33x 17.1% 13.9% 3.3%2015 Siris Partners III, L.P. 5/4/2015 31,000,000 27,968,477 14,686,603 21,135,006 1.28x 12.4% 12.8% (0.4%)2015 Centerbridge Capital Partners III, L.P. 5/21/2015 23,700,000 19,380,482 8,017,516 18,577,602 1.37x 16.4% 12.9% 3.5%2015 Welsh, Carson, Anderson & Stowe XII, L.P. 8/26/2015 78,500,000 70,083,256 32,473,518 82,574,130 1.64x 26.1% 14.3% 11.8%2015 Warburg Pincus Private Equity XII, L.P. 12/21/2015 205,500,000 192,632,711 19,394,745 226,808,292 1.28x 13.9% 14.2% (0.3%)2015 ASF VII B L.P. 12/29/2015 94,500,000 40,930,515 9,188,429 45,587,134 1.34x 17.1% 13.5% 3.6%2015 ASF VII B NYC Co-Invest L.P. 12/29/2015 46,000,000 26,660,678 7,186,542 35,194,344 1.59x 29.1% 12.5% 16.5%2015 EQT VII, L.P. 1/8/2016 162,563,672 158,001,908 72,590,592 164,716,640 1.50x 21.1% 13.7% 7.4%2015 American Securities Partners VII, L.P. 1/19/2016 80,000,000 64,793,336 9,712,040 52,369,556 0.96x (2.2%) 14.4% (16.6%)2015 Bridgepoint Europe V L.P. 2/8/2016 61,951,664 60,753,881 21,805,063 58,703,319 1.33x 14.1% 13.8% 0.3%2015 Bridgepoint Europe V Co-Invest 8/16/2016 18,328,172 17,018,173 7,473,389 24,434,673 1.87x 31.8% 12.9% 18.8%2015 NYCERS - 2015 Emerging Manager Program5 2/22/2016 179,750,000 88,288,167 16,526,059 96,796,703 1.28x 21.0% 15.5% 5.6%2016 Vista Equity Partners Fund VI, L.P. 6/28/2016 158,000,000 172,627,047 39,435,462 204,458,949 1.41x 17.6% 14.6% 3.0%2016 Platinum Equity Capital Partners IV, L.P. 3/21/2017 111,000,000 94,969,923 26,365,380 98,821,947 1.32x 22.5% 13.7% 8.8%2018 Platinum Equity Capital Partners IV Co-Investment, L.P. 9/7/2018 16,000,000 11,200,000 - 15,400,507 1.38x NM NM N/A2016 Apax IX USD, L.P. 5/12/2017 127,000,000 117,287,006 3,339,596 161,356,932 1.40x 29.5% 14.9% 14.6%2017 Green Equity Investors VII, L.P. 5/12/2017 95,000,000 66,284,277 850,979 79,887,998 1.22x 13.4% 13.4% 0.0%2017 Ares Corporate Opportunities Fund V, L.P. 6/22/2017 95,000,000 81,793,973 8,923,610 81,189,611 1.10x 8.7% 13.8% (5.0%)2017 KKR Americas Fund XII, L.P. 10/31/2017 158,000,000 75,685,379 1,041,587 87,504,755 1.17x 13.8% 13.6% 0.3%2017 BC European Capital X 12/14/2017 88,662,950 57,042,021 1,151,098 67,329,424 1.20x 15.1% 15.3% (0.1%)2017 BCEC X Co-Investment 3/24/2017 35,809,405 33,034,003 - 42,703,510 1.29x 21.2% 13.3% 7.9%2017 Warburg Pincus Financial Sector, L.P. 1/5/2018 104,000,000 57,403,156 5,304,000 56,467,202 1.08x NM NM N/A2018 Platinum Equity Small Cap Fund, L.P. 6/27/2018 41,000,000 6,955,780 - 4,350,679 0.63x NM NM N/A2018 EQT VIII, L.P. 8/10/2018 109,205,595 48,194,981 1,344,326 51,756,228 1.10x NM NM N/A2018 EQT VIII Co-Investment 11/2/2018 39,666,265 21,626,555 - 23,212,912 1.07x NM NM N/A2018 CVC Capital Partners VII, L.P. 12/4/2018 153,447,194 76,712,870 645,511 81,980,769 1.08x NM NM N/A2017 Palladium Equity Partners V, L.P. 2/11/2019 33,333,333 9,214,506 111,150 7,727,737 0.85x NM NM N/A2018 Vista Equity Partners Fund VII, L.P. 2/13/2019 177,500,000 43,514,990 128,480 41,941,174 0.97x NM NM N/A2019 Welsh, Carson, Anderson & Stowe XIII, L.P. 3/14/2019 89,000,000 652,842 - (1,694,358) (2.60x) NM NM N/A2018 Siris Partners IV, L.P. 3/15/2019 89,000,000 40,933,612 - 47,940,963 1.17x NM NM N/A2018 Apollo Investment Fund IX, L.P. 3/15/2019 256,000,000 46,414,106 373,941 41,575,039 0.90x NM NM N/A2019 ASF VIII B L.P. 3/15/2019 174,000,000 11,640,828 510 17,530,587 1.51x NM NM N/A2019 ASF VIII B NYC Co-Invest L.P. 3/15/2019 87,000,000 3,453,755 - 6,465,078 1.87x NM NM N/A2019 Warburg Pincus Global Growth, L.P. 3/26/2019 125,500,000 20,028,339 - 18,359,195 0.92x NM NM N/A2018 Bridgepoint Europe VI 4/1/2019 119,370,964 17,625,824 - 19,249,157 1.09x NM NM N/A2018 Bridgepoint Europe VI Co-Invest 5/7/2019 29,897,305 4,947,653 - 5,200,420 1.05x NM NM N/A2019 Trilantic Capital Partners VI (North America) L.P. 8/8/2019 51,000,000 10,232,641 11,199 9,010,200 0.88x NM NM N/A2019 NYCERS - 2019 Emerging Manager Program6 9/25/2019 226,650,000 9,910,766 - 10,842,308 1.09x NM NM N/A2019 Lexington Capital Partners IX 12/1/2020 106,500,000 7,542,331 - 13,395,153 1.78x NM NM N/A2019 Platinum Equity Capital Partners V, L.P. 12/27/2020 157,000,000 535,306 - 405,293 0.76x NM NM N/A2019 Apax X USD L.P. N/A 104,500,000 - - (725,593) - N/A N/A N/A2019 Blackstone Capital Partners VIII L.P. N/A 109,000,000 - - - - N/A N/A N/A2019 Crestview Partners IV, L.P. N/A 71,000,000 - - 137,675 - NM NM N/A2019 Crestview Partners IV (Co-Investment), L.P. N/A 23,666,667 - - 60,705 - NM NM N/A2020 Green Equity Investors VIII, L.P. N/A 109,000,000 - - - - N/A N/A N/A2020 Green Equity Investors VIII Coinvest N, L.P. N/A 36,300,000 - - - - N/A N/A N/A2019 KKR European Fund V (USD) N/A 83,250,000 - - (803,352) - N/A N/A N/A2019 Lexington IX Co-Invest N/A 35,500,000 - - (39,143) - N/A N/A N/A2019 Lindsay Goldberg V N/A 87,000,000 - - - - N/A N/A N/A2020 Platinum Equity Capital Partners V Co-Investment, L.P. N/A 39,250,000 - - - - N/A N/A N/A

Total Portfolio7 12,230,675,840$ 10,001,425,207$ 9,505,399,153$ 5,117,574,504$ 1.46x 10.0% 10.6% (0.6%)

Vintage Year

Investment First Drawdown Committed

Capital Contributed

Capital Distributed

Capital Market Value Multiple IRR1 PME


Commitments Closed Subsequent to as of Date2020 FTV VI N/A 21,500,000$ -$ -$ -$ N/A N/A N/A N/A2020 Clearlake Capital Partners VI, L.P. N/A 47,500,000 - - - N/A N/A N/A N/A2020 Hg Genesis 9, L.P. N/A 49,513,592 - - - N/A N/A N/A N/A2020 One Rock Capital Partners III, L.P. N/A 43,000,000 - - - N/A N/A N/A N/A2020 CVC Capital Partners VIII, L.P. N/A 171,461,290 - - - N/A N/A N/A N/A

Total Commitments Closed Subsequent to as of Date 332,974,882$ -$ -$ -$ N/A N/A N/A N/A

1 Performance for funds with less than eight (8) quarters of activity is not meaningful.2 Russell 3000 PME+ or Long-Nickels PME for investments with no distributed capital as of quarter-end.3 PME Spread is calculated as IRR minus PME Return.4 NYCERS - 2012 Emerging Manager Program includes the total commitment amount of $139.6 million. The Program’s original commitment amount of $150 million was subsequently revised to $139.6 million, all of which has been committed as of December 31, 2019. The remaining $10.4million was reallocated to the NYCERS - 2015 Emerging Manager Program.5 NYCERS - 2015 Emerging Manager Program includes the total commitment amount of $179.8 million. The Program’s original commitment amount of $190.4 million, which included the original $180.0 million commitment and the $10.4 million reallocation from the NYCERS - 2012 EmergingManager Program, was subsequently revised to $179.8 million. As of December 31, 2019, all $179.8 million has been committed, and the remaining $10.7 million was reallocated to the NYCERS - 2019 Emerging Manager Program.6 NYCERS - 2019 Emerging Manager Program commitment amount totals $226.7 million, which includes the Program’s original $216.0 million commitment and the $10.7 million reallocation from the NYCERS - 2015 Emerging Manager Program. As of December 31, 2019, $45.0 million hasbeen committed. 7 Total Portfolio includes liquidated investments.Past performance is not necessarily indicative of future results and there can be no assurance that the fund will achieve comparable results or avoid substantial losses.

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

Note: IRRs presented are interim estimates and may not be indicative of the ultimate performance of fund investments due to a number of factors, such as the lack of industry valuation standards and the differences in the investment pace and strategy of various funds. Until a fund is liquidated, typically over 10 to 12 years, the IRR is only an interim estimated return. The IRR calculated in early years of a fund is not meaningful given the J-curve effect. The actual IRR performance of any fund is not known until all capital contributed and earnings have been distributed to the investor. The IRRs contained in this report are calculated by StepStone Group LP (“StepStone”), a consultant to the New York City Employees’ Retirement System, based on information provided by the general partners (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.IRR and TVPI for certain vehicles may have been impacted by Stepstone’s or the underlying GPs’ use of subscription-backed credit facilities by such vehicles. Reinvested/recycled amounts increase contributed capital.

35

-$250.0

-$225.0

-$200.0

-$175.0

-$150.0

-$125.0

-$100.0

-$75.0

-$50.0

-$25.0

$0.0

$25.0

$50.0

$75.0

$100.0

$125.0

$150.0

$175.0

$200.0

$225.0

$250.0

($ m

m)

NYCERS Monthly PE Cash Flow Summary(as of March 31,2020)

Contributions Distributions Net Cash Flow

36

New York City Employees’ Retirement System Fourth Quarter 2019

Investments by StrategyVintage

YearFirst Draw-

downCommitted

Capital Contributions Distributions Market ValueUnfunded

CommitmentEquity

Multiple IRRAlmanac Realty Securities VII 2015 4/2015 65,000,000 52,405,293 42,357,685 28,348,540 21,085,634 1.35x 14.3%Almanac Realty Securities VII (Sidecar IV) 2015 12/2015 20,000,000 12,103,348 9,890,395 7,648,905 8,017,563 1.45x 17.8%Almanac Realty Securities VIII 2018 12/2018 51,000,000 5,203,998 368,970 4,332,977 46,077,117 0.90x NMAlmanac Realty Securities VIII (Sidecar II) 2018 12/2018 34,000,000 3,467,281 128,791 3,595,573 30,575,591 1.07x NMNYCRS Artemis Mach II 1 2016 2/2016 53,000,000 60,819,633 23,354,148 51,559,585 4,668,866 1.23x 16.2%Artemis Income and Growth Fund 2018 10/2019 61,000,000 10,075,160 254 10,116,209 50,924,840 1.00x NMBrookfield Premier Real Estate Partners 2016 11/2016 91,000,000 102,048,565 11,048,565 123,151,819 - 1.32x 11.0%Carlyle Property Investors 2017 7/2017 91,000,000 99,385,013 8,385,013 107,123,763 - 1.16x 7.6%Colony Realty Partners II 2006 12/2006 20,000,000 24,666,122 8,957,737 - - 0.36x -13.3%Exeter Core Industrial Club Fund II 2016 5/2016 28,000,000 26,908,000 3,732,583 29,727,131 1,092,000 1.24x 13.3%Exeter Core Industrial Fund III 2019 12/2019 72,100,000 - - (189,644) 72,100,000 0.00x NMHarrison Street Core Property Fund 2019 10/2019 90,000,000 90,275,101 275,101 91,417,232 - 1.02x NMHarrison Street Core Property Fund Co-Investment 2019 5/2019 45,000,000 28,711,032 316,126 28,983,416 16,601,942 1.02x NMHeitman America Real Estate Trust, L.P. 2007 3/2007 115,000,000 193,348,660 78,348,660 254,871,915 - 1.72x 7.3%Heitman Core Real Estate Debt Income Trust 2 2018 11/2018 45,000,000 47,775,819 2,775,819 48,220,471 - 1.07x NMJamestown Premier Property Fund 2016 2/2016 48,721,196 46,793,984 20,673,007 36,355,687 9,721,196 1.22x 8.0%JP Morgan Special Situation Property Fund 2007 1/2007 90,000,000 112,790,604 47,899,707 133,231,449 - 1.61x 4.8%JP Morgan Strategic Property Fund 2006 12/2006 136,000,000 180,301,778 33,871,300 312,069,631 - 1.92x 6.8%LaSalle Property Fund 2010 7/2010 132,000,000 131,714,855 21,277,848 155,870,737 - 1.34x 9.8%Lion Industrial Trust 2017 1/2017 90,000,000 99,399,974 9,399,974 125,574,295 - 1.36x 15.2%MetLife Core Property Fund 2014 7/2014 50,000,000 50,000,000 11,512,309 64,414,998 - 1.52x 9.4%NYC Asset Investor #2 2013 7/2013 75,000,000 76,276,228 32,373,418 56,822,960 2,407,953 1.17x 4.2%PRISA 2006 9/2006 86,000,000 92,673,389 38,185,607 123,861,149 - 1.75x 4.9%PRISA II 2007 6/2007 141,518,761 150,922,667 53,355,968 218,722,078 - 1.80x 5.9%Prologis Targeted US Logistics Fund 2006 10/2006 25,000,000 34,483,386 12,601,382 51,830,355 - 1.87x 6.2%RREEF America REIT II 2006 10/2006 86,000,000 113,537,802 61,604,603 127,519,547 - 1.67x 5.3%UBS Trumbull Property Fund 2006 9/2006 156,000,000 250,552,837 254,520,192 129,531,703 - 1.53x 5.9%USAA Eagle Real Estate Fund 2015 12/2015 90,000,000 93,265,418 7,104,131 105,056,415 3,830,669 1.20x 7.6%Core / Core Plus Portfolio 2006 2,087,339,957 2,189,905,946 794,319,294 2,429,768,895 267,103,371 1.47x 6.3%Aermont Capital Real Estate Fund IV 2018 4/2019 74,018,153 12,532,536 - 13,319,467 61,485,618 1.06x NMAmerican Value Partners Fund I 1 2007 10/2007 55,000,000 39,320,163 41,373,738 3,636,503 15,679,837 1.14x 2.8%Apollo Real Estate Investment Fund V 2006 6/2006 25,000,000 25,000,000 27,346,624 1,695,939 2,500,000 1.16x 1.9%Ares European Real Estate Fund III 2008 5/2008 30,000,000 30,487,501 33,237,500 571,882 - 1.11x 2.6%Avanath Affordable Housing Fund II 1 2015 7/2015 8,000,000 8,166,883 2,477,579 10,525,274 222,091 1.59x 12.1%Basis Investment Group Real Estate Fund I 1,2 2017 11/2017 17,000,000 10,108,000 3,840,049 7,745,015 9,490,008 1.15x 13.2%Blackstone Real Estate Partners Europe III - USD 2008 10/2008 50,000,000 52,132,357 69,229,922 8,209,327 6,615,496 1.49x 10.9%Blackstone Real Estate Partners Europe IV L.P. - USD 2013 12/2013 169,000,000 167,882,880 188,278,129 68,204,082 30,599,402 1.53x 15.0%Blackstone Real Estate Partners Europe VI L.P. 2019 11/2019 99,000,000 3,053,315 - 2,978,456 95,946,685 0.98x NMBlackstone Real Estate Partners IV L.P. 2004 5/2004 30,000,000 38,393,533 53,242,888 1,132,070 - 1.42x 10.2%Blackstone Real Estate Partners IX L.P. 2019 9/2019 166,000,000 28,704,825 637,151 28,602,904 137,739,412 1.02x NMBlackstone Real Estate Partners VI L.P. 2007 7/2006 110,000,000 123,465,884 239,599,554 8,214,278 5,618,578 2.01x 13.3%Blackstone Real Estate Partners VII L.P. 2012 4/2012 170,000,000 211,481,849 270,038,105 83,896,103 23,792,517 1.67x 16.9%Blackstone Real Estate Partners VIII L.P. 2015 8/2015 151,000,000 158,478,338 59,800,963 153,105,119 29,943,035 1.34x 16.4%Brookfield Strategic Real Estate Partners 2012 9/2012 100,000,000 119,640,559 176,681,925 57,270,023 12,631,673 1.96x 20.5%Brookfield Strategic Real Estate Partners III, L.P. 2018 4/2019 170,000,000 42,436,219 1,499,765 43,271,873 127,577,381 1.06x NMCanyon-Johnson Urban II 2005 5/2005 40,000,000 35,954,815 15,898,610 133,167 4,045,186 0.45x -10.4%Capri Urban Investors 2008 6/2008 60,000,000 60,000,000 27,538,270 14,234,556 - 0.70x -4.9%Carlyle Realty Partners V, L.P. 2007 8/2007 20,000,000 25,842,861 33,314,844 3,901,741 4,420,459 1.44x 8.6%Carlyle Realty Partners VI, L.P. 2011 9/2011 70,000,000 75,680,768 107,882,038 7,046,257 23,025,206 1.52x 20.7%Carlyle Realty Partners VII, L.P. 2014 7/2014 80,000,000 72,636,123 64,826,412 36,608,494 52,638,806 1.40x 14.5%DivcoWest Fund IV 2014 1/2014 23,000,000 22,770,380 34,820,289 3,391,982 2,067,545 1.68x 25.9%DivcoWest Fund V 2016 12/2016 60,000,000 39,011,425 43,068 44,227,152 20,988,575 1.13x 8.0%DRA Growth and Income Fund IX 2017 3/2017 49,000,000 47,631,846 12,635,052 42,782,308 8,435,959 1.16x 14.1%Exeter Industrial Value Fund IV, L.P. 2016 9/2017 30,000,000 25,500,000 - 29,516,279 4,500,000 1.16x 13.2%GreenOak Asia III 2019 12/2019 87,000,000 - - (399,377) 87,000,000 0.00x NMGrosvenor Real Estate Emerging Manager SMA 2019 N/A 236,000,000 - - - 236,000,000 0.00x NMH/2 Special Opportunities Fund II 2 2011 2/2011 40,000,000 40,045,335 58,218,591 2,953,960 - 1.53x 14.2%H/2 Special Opportunities Fund III 2 2014 12/2014 65,000,000 65,000,000 55,222,457 31,473,391 - 1.33x 11.6%H/2 Special Opportunities Fund IV 2 2016 11/2016 91,000,000 39,293,458 740,287 42,750,368 52,406,409 1.11x 9.4%KKR Real Estate Partners Americas II 2 2018 2/2018 118,700,000 66,256,968 11,164,579 69,839,009 59,103,154 1.22x NMLone Star Real Estate Fund III 2 2013 2/2014 100,000,000 95,639,471 117,605,778 12,304,137 6,258,452 1.36x 14.8%Metropolitan Workforce Housing Fund 1 2007 7/2007 14,000,000 14,013,027 16,744,531 262,011 - 1.21x 3.9%NYC Asset Investor #1 2013 6/2013 50,000,000 57,002,436 27,497,874 42,943,629 14,258,486 1.24x 5.4%NYC Asset Investor #3 2013 9/2013 50,000,000 32,735,652 5,788,910 39,348,381 17,264,349 1.38x 9.8%NYCRS-KKR CMBS Retention Partners 2 2017 9/2017 122,000,000 109,061,014 14,768,456 111,033,459 13,189,225 1.15x 9.9%Pramerica Real Estate Capital VI 2 2016 4/2017 60,747,353 47,128,265 25,269,169 30,045,144 25,831,809 1.17x 16.7%PRISA III 2008 9/2008 50,000,000 84,769,582 24,371,083 172,560,376 - 2.32x 11.7%PW Real Estate Fund III 2016 10/2016 49,792,564 32,394,226 12,481,901 46,974,107 17,398,338 1.84x 34.5%Silverpeak Legacy Partners III 2008 6/2008 50,000,000 23,542,869 4,469,259 3,482,768 - 0.34x -11.7%Stockbridge Real Estate III 2008 9/2008 27,000,000 26,998,145 16,829,753 14,887,666 1,855 1.17x 2.3%Taconic New York City Investment Fund 2012 7/2012 70,000,000 29,272,728 47,515,256 4,777,909 40,727,272 1.79x 15.9%The City Investment Fund I 2004 3/2004 225,000,000 221,883,300 224,384,800 361,986 - 1.01x 0.3%Thor Urban Property Fund II 2007 10/2008 40,000,000 54,796,108 54,781,253 9,922,457 2,971,106 1.18x 5.0%Tristan European Property Investors Special Opp IV 2015 12/2015 49,656,561 40,628,476 5,339,413 44,193,684 11,151,435 1.22x 10.6%Walton Street Real Estate Fund VI 2009 4/2009 50,000,000 44,323,933 50,723,633 17,580,943 7,770,792 1.54x 8.5%Westbrook Real Estate Fund VII, L.P. 2007 12/2007 40,000,000 43,941,756 42,237,578 10,121,915 3,756,190 1.19x 3.0%Westbrook Real Estate Fund VIII, L.P. 2009 12/2009 50,000,000 59,667,068 68,952,803 9,274,855 4,310,561 1.31x 11.0%Westbrook Real Estate Fund X 2016 7/2016 36,000,000 28,443,054 14,132,587 19,575,635 13,397,252 1.19x 13.5%Westbrook Real Estate Fund XI 2019 12/2019 83,000,000 - - (25,870) 83,000,000 0.00x NMNon-Core Portfolio 2004 3,710,914,632 2,733,149,929 2,363,482,426 1,410,462,793 1,375,760,153 1.38x 8.8%Emerging Manager 2007 147,000,000 132,427,706 87,790,046 73,728,388 30,060,802 1.22x 6.2%Debt 2011 540,747,353 454,051,362 278,440,606 286,525,944 107,175,903 1.24x 12.8%Total Portfolio 5,798,254,588 4,923,055,875 3,157,801,720 3,840,231,689 1,642,863,524 1.42x 7.3%1 Emerging managers

2 Debt investments

37

-$200,000,000

-$150,000,000

-$100,000,000

-$50,000,000

$0

$50,000,000

$100,000,000

$150,000,000

$200,000,000

Am

ou

nt

NYCERS Monthly Real Estate Cash Flow Summary(as of March 31, 2020)


38

Vintage Year Investment Closing Date Committed

Capital Contributed

Capital Distributed

Capital Market

Value TVPI IRR

Active Investments:2013 Brookfield Infrastructure Fund II, L.P. 7/8/2013 $75,000,000 $62,496,412 $24,615,407 $72,847,457 1.6x 12.0%2014 IFM Global Infrastructure Fund 1/2/2014 $75,000,000 $100,136,579 $37,106,368 $118,147,001 1.6x 13.0%2014 Global Energy & Power Infrastructure Fund II 4/16/2014 $45,000,000 $45,284,196 $33,870,527 $29,633,592 1.4x 28.7%2014 KKR Global Infrastructure Investors II L.P. 6/12/2015 $77,000,000 $79,493,917 $15,155,326 $87,555,049 1.3x 11.4%2016 Global Infrastructure Partners III-A/B, L.P. 1/29/2016 $106,000,000 $86,297,173 $11,759,271 $86,649,418 1.1x 7.2%2016 Brookfield Infrastructure Fund III, L.P. 4/15/2016 $91,000,000 $48,859,711 $7,462,869 $50,727,889 1.2x 10.0%2016 Actis Energy 4 12/16/2016 $64,300,000 $42,616,590 $6,105,490 $50,329,000 1.3x 21.9%2017 EQT Infrastructure III (No.2) SCSp 2/18/2017 $56,139,376 $51,910,444 $5,090,510 $58,467,387 1.2x 15.8%2017 ASF VII Infrastructure L.P. 4/24/2017 $66,000,000 $25,675,656 $2,752,040 $27,446,494 1.2x 20.4%2017 Axium Infrastructure North America 8/14/2017 $67,104,915 $68,088,846 $5,820,160 $69,558,194 1.1x 9.6%2017 NYCRS EIG Energy Partners, L.P. 8/14/2017 $65,880,000 $14,717,104 $1,820,094 $14,457,619 1.1x 9.0%2018 NYCRS EIG Energy Partners Co-Investment, L.P. 1/12/2018 $16,470,000 - - - NM NM2018 KKR Global Infrastructure Investors III L.P. 3/29/2018 $87,500,000 $25,616,695 $367,579 $24,351,678 NM NM2018 Global Energy & Power Infrastructure Fund III, L.P. 7/3/2018 $87,500,000 $14,753,330 $697,426 $15,742,270 NM NM2018 Cardinal NR Sidecar Holdings L.P. 10/5/2018 $10,500,000 $10,564,663 $1,131,028 $11,892,419 NM NM2019 EQT Infrastructure IV (No.2) USD SCSp 12/20/2018 $101,500,000 $19,782,695 - $19,780,054 NM NM2019 Ardian Infrastructure Fund V B 3/4/2019 $75,140,571 $3,426,502 $3 $2,940,672 NM NM2019 Global Infrastructure Partners IV-A/B, L.P. 3/11/2019 $117,400,000 $1,597,729 - ($62,521) NM NM2019 Brookfield Infrastructure Fund IV, L.P. 5/10/2019 $101,000,000 $29,757,009 $4,329 $29,385,507 NM NM2019 EQT Infrastructure IV Co-Investment (Saber) 7/30/2019 $8,400,000 - - - NM NM2019 Brookfield Infrastructure Fund IV (BIF IV): Co-invest 10/25/2019 $10,000,000 $10,000,000 - $10,000,000 NM NMTotal $1,403,834,862 $741,075,251 $153,758,427 $779,849,179 1.3x 12.5%

New York City Employees' Retirement SystemInfrastructure Portfolio

As of December 31, 2019

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

39

($65,000,000)

($60,000,000)

($55,000,000)

($50,000,000)

($45,000,000)

($40,000,000)

($35,000,000)

($30,000,000)

($25,000,000)

($20,000,000)

($15,000,000)

($10,000,000)

($5,000,000)

$0

$5,000,000

$10,000,000

$15,000,000

$20,000,000

$25,000,000

Am

ou

nt

NYCERS Monthly Infrastructure Cash Flow Summary(as of March 31, 2020)


40

monthly performance review march 2020 - office of …...monthly performance review march 2020...

Documents