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Monthly Performance ReviewMay 2019

Prepared for the New York City Teachers’ Retirement System

07.2019

THE CITY OF NEW YORKOFFICE OF THE COMPTROLLER

TABLE OF CONTENTS

Market Indicators for May & June ......................................................................................................................................... 1

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

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

Classification of Investments. .............................................................................................................................................. 14

Teachers’ Market Values 2018-2019 ................................................................................................................................. 18

Teachers’ Market Values 2009-2019 ................................................................................................................................. 19

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

Private Equity Fund Supplemental Details ......................................................................................................................... 38

Private Equity Cash Flow Tracker ...................................................................................................................................... 40

Real Estate Fund Supplemental Details .............................................................................................................................. 41

Real Estate Cash Flow Tracker ........................................................................................................................................... 43

Infrastructure Fund Supplemental Details……………………………………………………………………………………………………….….44

Infrastructure Cash Flow Tracker………………………………………………………………………………………………………………..…….45

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

S&P 500 (6.35) (0.67) 3.15 3.78 8.95 11.72 9.66 13.95S&P 400 (7.97) (4.82) (5.83) (5.44) 4.22 8.36 7.31 13.87RUSSELL 1000 (6.37) (0.90) 2.80 3.47 8.89 11.68 9.45 14.02RUSSELL 2000 (7.78) (6.64) (9.69) (9.04) 4.81 9.75 6.71 12.84RUSSELL 3000 (6.47) (1.32) 1.83 2.50 8.60 11.55 9.25 13.93RUSSELL 3000 GROWTH (6.40) 0.20 3.44 4.42 12.56 15.06 12.02 15.51RUSSELL 3000 VALUE (6.55) (2.84) 0.20 0.48 4.58 7.98 6.42 12.28

MSCI EAFE NET (4.80) (1.51) (4.58) (5.75) 0.88 5.82 1.27 6.23MSCI EMF NET (7.26) (4.51) (4.74) (8.70) 2.04 9.88 1.79 5.03FTSE CUSTOM TEACHERS (4.36) (2.51) (0.08) (3.99) 1.50 9.57 1.44MSCI WORLD NET (5.77) (1.15) (0.24) (0.29) 5.47 9.00 5.62 9.96MSCI EUROPE SMID CAP NET (6.23) (2.42) (9.53) (10.68) (0.66) 4.69 1.80 8.81MSCI AC WORLD ex US NET (5.37) (2.29) (4.46) (6.26) 1.39 6.72 1.31 5.80 FTSE ALL WORLD EX US (5.15) (1.96) (4.03) (5.85) 1.73 7.13 1.98 6.42

1 Year Treasury Bill Yield + 4% 0.65 1.88 6.35 6.79 5.88 5.48 5.05 4.78HFRI Fund of Funds Composite Index + 1% (0.89) 1.11 0.53 0.15 3.37 4.59 3.10 4.12

NYC - TREASURY AGENCY PLUS FIVE 4.16 6.75 9.01 9.07 3.82 2.31 3.69 4.80FTSE USBIG Treasury 1-3 Y Index 0.71 1.54 3.42 3.44 1.68 1.32 1.09 1.11FTSE USBIG Treasury/Agency 1-10 y 1.45 2.73 5.25 5.23 2.09 1.53 1.73 2.26FTSE Treasury 10+ 6.59 10.18 10.76 11.00 5.43 2.92 5.45 6.50

CITY OF NEW YORK NYC Teachers' Retirement System

Market Indicator ReportMay 31, 2019

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

1


CITIGROUP MORTGAGE 1.23 2.76 5.60 5.62 2.62 2.11 2.48 3.21

NYC - INVESTMENT GRADE CREDIT 1.55 4.50 7.91 7.32 3.58 3.71 3.44 5.70CITIGROUP BROAD INVESTMENT GRADE 1.79 3.82 6.59 6.41 2.95 2.51 2.71 3.77

NYC - CORE PLUS FIVE 2.04 4.40 7.36 7.12 3.31 2.86 3.15 4.47BARCLAYS CAPITAL AGGREGATE 1.78 3.76 6.53 6.40 2.96 2.50 2.70 3.83

FTSE BB & B (1.16) 1.07 5.34 5.64 3.93 6.68 4.14 8.30FTSE BB & B CAPPED (1.20) 1.05 5.25 5.56 3.88 6.55 4.05 8.22BofA ML HIGH YIELD MASTER II (1.27) 1.09 5.00 5.37 3.81 7.06 4.37 9.30 BofAML HYM CONSTRAINED (DAILY) (1.27) 1.09 5.00 5.36 3.82 7.06 4.38 9.29

CSFB LEVERAGED LOAN (0.23) 1.23 3.92 4.02 4.26 5.36 3.93 6.67

BARCLAYS GLOBAL US TIPS 1.65 3.86 3.95 4.36 2.54 2.49 1.64 3.60

BofA ML U.S. Convertible – Yield Alternative (1.60) 0.38 1.89 3.48 4.79 7.45 2.50 7.23BofA ML US Invt Grade Conv Bond Index (1.37) 0.80 6.06 4.17 10.10 14.28 10.73 11.65BofA ML ALL CONVERTIBLES EX MANDATORY (3.42) (0.86) 3.27 3.39 8.61 12.09 7.23 11.74

DJ US SELECT REAL ESTATE (0.34) 2.33 8.28 12.87 7.53 5.45 7.49 14.84




2


NCREIF NFI - ODCE NET* 0.00 1.20 4.65 6.55 6.83 7.01 9.18 7.73CPI + 4% 0.40 1.80 5.45 5.93 6.38 6.23 5.56

91 DAY TREASURY BILL 0.23 0.64 2.09 2.26 1.77 1.32 0.83 0.47




3


S&P 500 7.05 4.30 10.42 10.42 12.38 14.19 10.71 14.70S&P 400 7.64 3.05 1.36 1.36 7.26 10.90 8.02 14.64RUSSELL 1000 7.02 4.25 10.02 10.02 12.26 14.15 10.45 14.77RUSSELL 2000 7.07 2.10 (3.31) (3.31) 6.62 12.30 7.06 13.45RUSSELL 3000 7.02 4.10 8.98 8.98 11.84 14.02 10.19 14.67RUSSELL 3000 GROWTH 6.93 4.50 10.60 10.60 16.39 17.81 13.02 16.13RUSSELL 3000 VALUE 7.12 3.68 7.34 7.34 7.29 10.19 7.31 13.14

MSCI EAFE NET 5.93 3.68 1.08 1.08 3.92 9.11 2.25 6.90MSCI EMF NET 6.24 0.61 1.21 1.21 4.65 10.66 2.49 5.81FTSE CUSTOM TEACHERS 5.15 2.38 5.06 5.06 3.69 9.54 1.94MSCI WORLD NET 6.59 4.00 6.33 6.33 8.68 11.77 6.60 10.72MSCI EUROPE SMID CAP NET 6.03 3.72 (4.08) (4.08) 2.88 9.70 3.16 9.64MSCI AC WORLD ex US NET 6.02 2.98 1.29 1.29 4.24 9.39 2.16 6.54 FTSE ALL WORLD EX US 5.91 3.13 1.65 1.65 4.58 9.75 2.79 7.14

1 Year Treasury Bill Yield + 4% 0.68 1.94 7.07 7.07 6.04 5.51 5.12 4.81HFRI Fund of Funds Composite Index + 1% 1.73 1.79 2.22 2.22 4.21 5.31 3.22 4.25

NYC - TREASURY AGENCY PLUS FIVE 1.13 4.42 10.24 10.24 4.49 1.37 3.96 4.91FTSE USBIG Treasury 1-3 Y Index 0.51 1.44 3.95 3.95 1.99 1.29 1.20 1.17FTSE USBIG Treasury/Agency 1-10 y 0.82 2.33 6.11 6.11 2.64 1.33 1.92 2.38FTSE Treasury 10+ 1.33 6.04 12.24 12.24 5.91 1.27 5.78 6.57


Market Indicator ReportJune 30, 2019


4


CITIGROUP MORTGAGE 0.74 2.09 6.39 6.39 3.20 2.09 2.58 3.27

NYC - INVESTMENT GRADE CREDIT 1.81 3.82 9.86 9.86 4.44 3.58 3.79 5.60CITIGROUP BROAD INVESTMENT GRADE 1.24 3.10 7.91 7.91 3.65 2.32 2.95 3.83

NYC - CORE PLUS FIVE 1.22 3.29 8.67 8.67 3.99 2.57 3.38 4.50BARCLAYS CAPITAL AGGREGATE 1.26 3.08 7.87 7.87 3.65 2.31 2.95 3.90

FTSE BB & B 2.55 2.60 8.02 8.02 5.18 7.24 4.51 8.29FTSE BB & B CAPPED 2.55 2.57 7.94 7.94 5.14 7.12 4.43 8.21BofA ML HIGH YIELD MASTER II 2.45 2.57 7.58 7.58 5.02 7.54 4.70 9.22 BofAML HYM CONSTRAINED (DAILY) 2.45 2.56 7.58 7.58 5.03 7.54 4.70 9.20

CSFB LEVERAGED LOAN 0.22 1.58 4.15 4.15 4.41 5.43 3.85 6.29

BARCLAYS GLOBAL US TIPS 0.86 2.86 4.84 4.84 3.47 2.08 1.76 3.64

BofA ML U.S. Convertible – Yield Alternative 2.63 2.25 4.57 4.57 5.57 7.85 2.87 7.21BofA ML US Invt Grade Conv Bond Index 4.20 4.20 10.51 10.51 12.66 15.18 11.29 11.92BofA ML ALL CONVERTIBLES EX MANDATORY 4.58 3.92 8.00 8.00 10.67 13.65 7.60 12.04

DJ US SELECT REAL ESTATE 1.36 0.82 9.75 9.75 6.96 3.73 7.59 15.39




5


91 DAY TREASURY BILL 0.22 0.64 2.31 2.31 1.84 1.38 0.87 0.49




6

Information Classification: General

NYC Teachers' Retirement System Contribution to Return - May 2019

1 Month - Total Fund 3 Months - Total Fund FYTD - Total Fund FY Ending 6/30/18 Total FY Ending 6/30/17 Total Return: (1.90)% Return: 1.23% Return: 3.75% Return: 8.12% Return: 12.66%

(0.30) 0.12 0.06 0.28 0.36 0.38 0.22

0.21

0.80 0.92

0.76

0.06

0.13

0.17 0.06

0.25

0.57 0.17

0.17

0.69

1.22

1.77

0.13

(0.37)

(0.19)

0.21 2.13

(0.61)

(0.16) (0.65)

1.46

2.30

(1.87)

(0.34) 0.61

4.50 5.90

DOMESTIC EQUITY

WORLD EX-USA

EMERGING MARKETS

INTL FOF

GLOBAL EQUITY

REITS

CORE + 5

TIPS

HIGH YIELD

BANK LOANS

CONVERTIBLE BONDS

OPPORTUNISTIC FIXED

TARGETED

OTHER FIXED

PRIVATE EQUITY

PRIVATE REAL ESTATE

INFRASTRUCTURE

RESIDUAL

(0.03)-Intl FoF (0.01)-Global EQ (0.01)-REITS 0.07-TIPS (0.05)-HY (0.01)-BL (0.01)-Conv 0.03-Opp FI 0.02-ETI 0.00-Oth FI 0.02-RE 0.02-Infra (0.00)-Res

Prepared by State Street

(0.01)-Intl FoF 0.01-Global EQ 0.04-REITS 0.01-BL (0.00)-Conv 0.04-ETI 0.01-Oth FI 0.02-Infra 0.01-Res

(0.02)-EM (0.04)-Intl FoF 0.07-BL 0.01-Conv 0.07-ETI 0.02-Oth FI 0.02-Res

0.04-Intl FoF 0.11-REITS (0.05)-Core+5 0.09-TIPS 0.09-HY 0.11-BL 0.04-Conv (0.01)-ETI 0.01-Oth FI 0.12-Infra (0.06)-Res

0.00-Intl FoF (0.01)-REITS 0.10-Core+5 (0.03)-TIPS 0.16-BL 0.19-Conv 0.27-Opp FI (0.01)-ETI 0.16-Oth FI 0.07-Infra

7

-1.2%-0.7% -0.4% -0.4%

-2.7% -2.2%-0.1%

1.7%0.3% 0.7% 0.4%

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

10.00%Relative Mix to New Policy Weights

$20.727.8%

Domestic US Equity World ex-USA Emerging Markets Private Equity

$8.411.3%

$6.48.6%

$4.25.6%

$1.01.3%

$2.12.8%

$0.20.3%

Private Real Estate – Non Core Opportunistic FI

High Yield REITS Convertible Bonds

$74.4B Under ManagementPortfolio Asset Allocation – Growth : May 31, 2019

Asset Allocation

Note: Brackets represent rebalancing ranges versus Policy.

Teachers’ Retirement System of the City of New YorkPerformance Overview as of May 31, 2019Prepared by State Street

$1.21.6%

Int’l Emerging Managers FoF

$0.50.7%

$3.74.9%

Global Equity

$0.30.4%

8

$74.4B Under ManagementPortfolio Asset Allocation – Growth : May 31, 2019

Asset Allocation


-2.0%-0.1% -0.3% -0.4%

0.0% 0.0%

-1.0%

0.0% 0.3% 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

Asset Allocation


Note: On May 31, 2019 TRS' combined Fixed Income and Cash portfolios havea duration of 7.2 years. The duration of the Barclays US Aggregate Index was5.7 years on that date.

$20.727.8%$8.4

11.3%

$6.48.6%

$4.25.6%

$1.01.3%

$2.12.8%

$0.20.3%

$1.21.6%

$0.50.7%

$3.74.9%

$0.30.4%

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

High Yield REITS Convertible Bonds Int’l Emerging Managers FoF Global Equity

9

Asset Allocation

US Government Treasuries

$11.014.7%

4.7%

0.9%0.7% 0.4% 0.2% 0.2%

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

10.00%

$3.34.4%

Mortgages Investment Grade Credit Short Term

$3.24.2%

$0.30.4%

Relative Mix to New Policy Weights

$74.4B Under ManagementPortfolio Asset Allocation – Deflation Protection : May 31, 2019

$0.10.2%

$0.10.2%

Core Fixed Income-Emerging ManagersCore Fixed Income-Developing Managers


10

$74.4B Under ManagementPortfolio Asset Allocation – Deflation Protection : May 31, 2019

Asset Allocation

4.0%

-0.5% -0.7%0.4% 0.2% 0.2%

-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

US Government Treasuries Mortgages Investment Grade Credit Short TermCore Fixed Income-Emerging ManagersCore Fixed Income-Developing Managers



$11.014.7%

$0.30.4%

$0.10.2%

$0.10.2%

$3.34.4%

$3.24.2%

11

Asset Allocation

Infrastructure

$3.3 4.4%

-0.8%0.4%

-2.5%

0.4%

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

10.00%

US TIPS Real Estate - Core Bank Loans

$1.82.5%

$1.82.4%

Relative Mix to New Policy Weights

$0.91.2%


$74.4B Under Management


Portfolio Asset Allocation – Inflation Protection : May 31, 2019

12

Asset Allocation


$74.4B Under Management

Infrastructure

0.0% 0.2% 0.0% 0.4%

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

10.00%

US TIPS Real Estate - Core Bank Loans

Relative Mix to Adjusted Policy Weights


Portfolio Asset Allocation – Inflation Protection : May 31, 2019


$3.3 4.4%$1.8

2.5%

$1.82.4%

$0.91.2%

13

NYC TEACHERS' RETIREMENT SYSTEMCLASSIFICATION OF INVESTMENTS

(as of May 31st, 2019)

Information Classification: Limited Access

ASSET CLASS ALLOCATIONSActual Policy Target Adjustment Adjusted Policy

TOTAL EQUITIES $45,460.8 61.1% 67.0% NA 64.0% 59.0% - 69.0%TOTAL FIXED INCOME $28,969.6 38.9% 33.0% NA 36.0% 25.0% - 47.0%TOTAL ASSETS 100.0% 100.0% NA 100.0%

Actual Policy Target % Adjustment Adjusted Policy

US Equities $20,694.4 27.8% 29.0% 3.2% 32.2% 27.2% - 37.2%Non-US Equities/EAFE $8,433.5 11.3% 12.0% 0.1% 12.1% 8.1% - 16.1%Emerging Markets $6,412.0 8.6% 9.0% 0.0% 9.0% 6.0% - 12.0%Non-US Emerging Mgrs. FoF $522.1 0.7% 0.0% NA 0.0% -Global Equity $265.0 0.4% 0.0% NA 0.0% -Real Estate Investment Trusts $1,225.8 1.6% 0.0% NA 0.0% 0.0% - 0.0%TOTAL PUBLIC EQUITY 50.5% 50.0% 3.4% 53.4% 48.4% - 58.4%* REAL ESTATE - CORE 2.5% 5.0% NA 2.5% 0.5% - 4.5%* REAL ESTATE - OPPORTUNISTIC 1.3% 4.0% NA 1.3% -0.7% - 3.3%* PRIVATE EQUITY 5.6% 6.0% NA 5.6% 2.6% - 8.6%

PRIVATE INFRASTRUCTURE 1.2% 2.0% NA 1.2% 0.2% - 2.2%

TOTAL EQUITIES 61.1% 67.0% NA 64.0%

Actual Policy Target % Adjustment Adjusted Policy

U.S. Treasuries – All Maturities $7,743.7 10.4% 0.0% NA 0.0% -5.0% - 5.0%U.S. Treasuries - Longer Than Twenty Years $3,213.5 4.3% 10.0% 0.8% 10.8% 5.8% - 15.8%Core Mortgage-Backed Securities $2,639.3 3.5% 1.5% 1.6% 3.1% 2.1% - 4.1%Credit - Investment Grade Corporates $3,152.6 4.2% 3.5% 1.6% 5.1% 4.1% - 6.1%

High Yield $3,677.0 4.9% 5.0% 1.1% 6.1% 3.1% - 9.1%Bank Loans $1,797.9 2.4% 2.0% 2.0% 1.0% - 3.0%Total High Yield & Bank Loans 7.4% 7.0% 1.1% 8.1% 3.1% - 9.1%

TIPS $3,251.8 4.4% 4.0% 0.2% 4.2% 3.2% - 5.2%Convertible Bonds $197.9 0.3% 0.0% NA 0.0% 0.0% - 0.0%**ETI $659.5 0.9% 2.0% NA 2.0% 1.0% - 3.0%Cash $280.0 0.4% 0.0% NA 0.0% 0.0% - 0.0%TOTAL PUBLIC FIXED INCOME 35.8% 28.0% NA 33.2% 33.2% - 33.2%* OPPORTUNISTIC FIXED INCOME $2,097.2 2.8% 5.0% NA 2.8% 0.8% - 4.8%

OTHER FIXED INCOME $259.1 0.3% 0.0% NA 0.0% 0.0% - 0.0%

TOTAL FIXED INCOME 38.9% 33.0% NA 36.0%

*

**

***

$45,460.8

In $MM

In $MM Adjusted Target

Range ***

$74,430.5

In $MM Adjusted Target

Range ***

$37,552.8

$1,845.3$980.8

$4,204.3

$877.7

Adjusted Target Range ***

$5,474.9

$26,613.3

$28,969.6

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

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

Adjusted Target Ranges are calculated as follows: Total Equities: +/-5%; Total Fixed Income: +/-11%; US Equities: +/-5%; Non-US Equities/EAFE: +/-4%; Emerging Markets: +/-3%; Real Estate Core: +/-2%; Real Estate Opportunistic: +/-2%; Private Equity: +/-3%; US Treasuries All Maturities: +/-5%; US Treasuries Longer than 20 Years: +/-5%; Mortgage Backed Securities: +/-1%; Investment Grade Corporates: +/-1%; TIPS: +/-1%; High Yield:

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

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 Twenty Years 10.0%Adjustment: 12% of uninvested Real Estate Core 0.3%Adjustment: 8% of uninvested Real Estate Opportunistic 0.2%Adjustment: 5% of uninvested Private Infrastructure 0.0%Adjustment: 10% of uninvested Opportunistic Fixed Income 0.2%Total U.S. Treasuries - Longer Than Twenty Years 10.8%

2) Credit - Investment Grade Corporates 3.5%Adjustment: 24% of uninvested Real Estate Core 0.6%Adjustment: 16% of uninvested Real Estate Opportunistic 0.4%Adjustment: 10% of uninvested Private Infrastructure 0.1%Adjustment: 20% of uninvested Opportunistic Fixed Income 0.4%Total Credit - Investment Grade Corporates 5.1%

3) Core Mortgage-Backed Securities 1.5%Adjustment: 24% of uninvested Real Estate Core 0.6%Adjustment: 16% of uninvested Real Estate Opportunistic 0.4%Adjustment: 10% of uninvested Private Infrastructure 0.1%Adjustment: 20% of uninvested Opportunistic Fixed Income 0.4%

Total Core Mortgage-Backed Securities 3.1%

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

10% of uninvested commitments will be invested in US Treasuries, 20% of uninvested commitments will be invested in Investment Grade Corporates, 20% of uninvested commitments will be invested in Mortgages Backed Securities, and 50% of uninvested commitments will be invested in High Yield.

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

40% of uninvested commitments will be invested in US Equity, 12% of uninvested commitments will be invested in US Treasuries, 24% of uninvested commitments will be invested in Investment Grade Corporates, and 24% of uninvested commitments will be invested in Mortgage Backed Securities.

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

15




4) Treasury Inflation Protected Securities 4.0%Adjustment: 25% of uninvested Private Infrastructure 0.2%Total Treasury Inflation Protected Securities 4.2%

5) High Yield Securities 5.0%Adjustment: 50% of uninvested Opportunistic Fixed Income 1.1%Adjustment: ** Existing Convertibles holdings to be placeholder for HY SecuritiesTotal High Yield Securities 6.1%

6) Domestic Equity 29.0%Adjustment: 100% of uninvested Private Equity 0.4%Adjustment: 60% of uninvested Real Estate Opportunistic 1.6%Adjustment: 27% of uninvested Private Infrastructure 0.2%Adjustment: 40% of uninvested of uninvested Real Estate Core 1.0%Total Domestic Equity 32.2%

7) Non-U.S. Equity - Developed Markets 12.0%Adjustment: 18% of uninvested Private Infrastructure 0.1%Total Non-U.S. Equity - Developed Markets 12.1%

8) Non-U.S. Equity - Emerging Markets 9.0%Adjustment: 5% of uninvested Private Infrastructure 0.0%Total Non-U.S. Equity - Emerging Markets 9.0%

16




Note: Totals may not equal 100% due to rounding

US Equities 55% Non-US

Equities/EAFE 22%

Emerging Markets 17%

Non-US Emerging Mgrs. FoF

1%

Global Equity 1% Real Estate

Investment Trusts 3%

Total Public Equities

U.S. Treasuries – All Maturities

27%

U.S. Treasuries - Longer Than Twenty Years

11% Core Mortgage-

Backed Securities 9% Credit - Investment

Grade Corporates 11%

High Yield 13%

Bank Loans 6%

TIPS 11%

Convertible Bonds 1%

**ETI 2%

Cash 1%

*OPPORTUNISTIC FIXED INCOME

7% OTHER FIXED

INCOME 1%

Total Fixed Income

17

$71,973

$72,873

$73,770 $74,030

$70,724

$71,477

$69,147

$72,280

$73,072

$74,806

$75,940

$74,430

$67,750 $68,250 $68,750 $69,250 $69,750 $70,250 $70,750 $71,250 $71,750 $72,250 $72,750 $73,250 $73,750 $74,250 $74,750 $75,250 $75,750 $76,250 $76,750 $77,250

TEACHERS' RETIREMENT SYSTEM - MARKET VALUESJUNE 2018 - MAY 2019

18

$30,107

$34,690

$42,814 $44,083

$49,201

$58,257 $60,111

$61,649

$65,965

$71,973 $74,430

$25,000 $28,000 $31,000 $34,000 $37,000 $40,000 $43,000 $46,000 $49,000 $52,000 $55,000 $58,000 $61,000 $64,000 $67,000 $70,000 $73,000 $76,000 $79,000 $82,000

TEACHERS' RETIREMENT SYSTEM - MARKET VALUES2009 - 2019

THE 10 YEAR RETURN FOR TEACHERS' MV AS OF MAY 31, 2019 IS 9.72%.

19

Assets

($MM)

%

of Total

Trailing

1 Month

Trailing

3 Month FYTD CYTD

FYE

6/30/18

CYE

12/31/18

CYE

12/31/17

CYE

12/31/16

CYE

12/31/15

CYE

12/31/14

Trailing

1 Year

Inception

Date

ASSET CLASS SUMMARY

TRS-TOTAL DOMESTIC EQUITY 20,694.44 27.80 (6.41) (1.17) 2.16 11.11 15.03 (4.89) 21.22 13.10 0.26 11.88 2.93 Dec-01-90

TRS-TOTAL WORLD ex-USA 8,433.46 11.33 (5.23) (1.37) (5.69) 9.61 11.76 (14.45) 29.49 3.42 (0.86) (5.11) (6.73) Apr-01-04

TRS-TOTAL EMERGING MARKETS 6,411.97 8.61 (4.20) (2.16) (0.26) 4.60 2.13 (13.94) 34.73 12.02 (18.34) (0.66) (4.18) Feb-01-11

TRS-TOTAL INTL FOF 522.12 0.70 (4.42) (0.96) (6.10) 8.40 8.30 (15.50) (8.29) May-01-17

TRS-TOTAL REAL ESTATE SECURITIES 1,225.78 1.65 (0.62) 2.63 8.29 15.74 5.19 (5.79) 7.50 4.79 2.47 30.16 12.58 Jan-01-03

TRS-TOTAL STRUCTURED 16,749.08 22.50 3.18 5.61 7.78 6.21 (0.24) (0.83) 4.97 3.68 0.16 7.46 7.74 Jan-01-85

TRS-TOTAL CONVERTIBLE BONDS 197.95 0.27 (2.32) (0.67) 3.48 5.92 6.73 (0.41) 11.29 5.93 (0.25) 8.09 2.67 Jul-01-08

TRS-TOTAL TIPS MANAGERS 3,251.84 4.37 1.68 3.91 3.98 5.33 2.17 (1.27) 3.04 4.65 (1.25) 3.43 4.40 Jun-01-05

TRS-TOTAL HIGH YIELD 3,677.02 4.94 (1.02) 1.26 5.18 7.42 1.74 (2.39) 6.57 13.89 (3.60) 2.10 5.47 Aug-01-98

TRS-TOTAL BANK LOANS 1,797.87 2.42 (0.59) 0.55 3.08 4.33 4.31 0.74 4.04 8.18 1.49 2.43 3.13 Nov-01-12

TRS-TOTAL OPPORTUNISTIC FIXED 2,097.21 2.82 1.18 2.39 5.00 2.74 7.02 6.22 7.89 7.10 (1.40) 8.88 5.75 Oct-01-07

TRS-TOTAL CORE FI- EMERGING MGRS 130.09 0.17 1.86 3.90 6.55 5.00 0.07 (0.05) 4.02 2.97 0.65 5.83 6.43 Jun-01-12

TRS-TOTAL CORE FI- DEVELOPING MGRS 129.00 0.17 1.34 3.52 6.36 5.51 (0.71) (1.22) 4.08 3.79 6.16 Jun-01-15

TOTAL TEACHERS ETI (w/o cash) 659.53 0.89 2.02 4.13 7.86 5.19 (0.75) 0.77 3.46 2.28 3.40 7.95 7.92 Dec-01-84

TRS-TOTAL PRIVATE EQUITY 4,204.28 5.65 4.20 3.92 14.45 4.21 17.87 17.65 18.45 9.71 8.66 12.62 15.13 Apr-01-04

TRS-TOTAL PRIVATE REAL ESTATE 2,826.12 3.80 0.50 1.52 7.60 2.64 10.14 10.64 10.53 11.88 14.29 13.98 7.80 Apr-01-04

TRS-TOTAL INFRASTRUCTURE 877.68 1.18 2.07 2.04 11.38 4.32 17.49 14.50 18.09 8.25 10.50 10.69 11.77 Dec-01-13

TRS-TOTAL GLOBAL EQUITY 264.99 0.36 (4.00) 3.07 15.51 Aug-01-18

TRS-TOTAL CASH 280.03 0.38 0.22 0.91 2.95 1.61 1.76 2.36 1.29 0.76 0.48 0.32 3.13 Apr-01-04

SECURITY LENDING 0.00 0.00 Apr-01-04

TRS-TOTAL TEACHERS 74,430.47 100.00 (1.90) 1.23 3.75 7.48 8.12 (3.18) 16.49 8.73 (0.75) 7.53 3.58 Jul-01-87

TRS-TOTAL EQUITY 36,326.99 48.81 (5.71) (1.36) (0.17) 9.58 11.63 (9.08) 25.54 11.04 (3.07) 6.73 (0.78) Dec-01-90

TRS-TOTAL FIXED INCOME (MINUS SS) 28,689.59 38.55 1.99 4.18 6.44 5.81 1.26 (0.32) 5.31 5.86 (0.37) 6.04 6.54 Apr-01-04

TRS-TOTAL PRIVATE EQUITY 4,204.28 5.65 4.20 3.92 14.45 4.21 17.87 17.65 18.45 9.71 8.66 12.62 15.13 Apr-01-04

TRS-TOTAL PRIVATE REAL ESTATE 2,826.12 3.80 0.50 1.52 7.60 2.64 10.14 10.64 10.53 11.88 14.29 13.98 7.80 Apr-01-04

TRS-TOTAL INFRASTRUCTURE 877.68 1.18 2.07 2.04 11.38 4.32 17.49 14.50 18.09 8.25 10.50 10.69 11.77 Dec-01-13

TRS-TOTAL REAL ESTATE SECURITIES 1,225.78 1.65 (0.62) 2.63 8.29 15.74 5.19 (5.79) 7.50 4.79 2.47 30.16 12.58 Jan-01-03

TRS-TOTAL CASH 280.03 0.38 0.22 0.91 2.95 1.61 1.76 2.36 1.29 0.76 0.48 0.32 3.13 Apr-01-04

SECURITY LENDING 0.00 0.00 Apr-01-04

TRS-TOTAL TEACHERS 74,430.47 100.00 (1.90) 1.23 3.75 7.48 8.12 (3.18) 16.49 8.73 (0.75) 7.53 3.58 Jul-01-87

Teachers Policy Benchmark (2.03) 1.21 3.73 7.42 7.72 (3.41) 16.67 9.53 (0.70) 8.50 3.45 Jun-01-94

Periods Ending May 31, 2019

New York City Teachers' Retirement System

Manager / Benchmark Comparison Report

Rates of Return - Net Mgr


20

Ending Market

Value ($MM) % of Total 1 Month 3 Months FYTD CYTD

CYE

12/31/2018

CYE

12/31/2017

CYE

12/31/2016

CYE

12/31/2015

ASSET CLASS SUMMARY

TRS-TOTAL TEACHERS 74,430 100.00 (1.90) 1.23 3.75 7.48 (3.18) 16.49 8.73 (0.75)Teachers Policy Benchmark (2.03) 1.21 3.73 7.42 (3.41) 16.67 9.53 (0.70)Excess 0.13 0.02 0.02 0.06 0.23 (0.18) (0.80) (0.05)

TRS-TOTAL EQUITY (INCL PE & RA) 45,461 61.08 (4.22) (0.55) 1.98 8.65 (5.40) 23.15 10.58 (1.18)

TRS-TOTAL FIXED INCOME 28,970 38.92 1.96 4.12 6.36 5.73 (0.28) 5.17 5.50 (0.27)

EQUITY SUMMARY

TRS-TOTAL DOMESTIC EQUITY 20,694 27.80 (6.41) (1.17) 2.16 11.11 (4.89) 21.22 13.10 0.26RUSSELL 3000 (DAILY) (6.47) (1.32) 1.83 10.92 (5.24) 21.13 12.74 0.48Excess 0.06 0.15 0.33 0.19 0.35 0.09 0.37 (0.22)

BlackRock US SCG R2000 231 0.31 (7.41) (5.87) (7.51) 11.77 (9.26) 22.34 11.26 (1.51)RUSSELL 2000 GROWTH DAILY (7.42) (5.89) (7.61) 11.76 (9.31) 22.17 11.32 (1.38)Excess 0.01 0.02 0.09 0.02 0.05 0.18 (0.06) (0.13)

BlackRock US SCV R2000 652 0.88 (8.22) (7.46) (11.80) 6.68 (12.74) 7.86 31.73 (7.49)RUSSELL 2000 VALUE DAILY (8.17) (7.44) (11.85) 6.67 (12.86) 7.84 31.74 (7.47)Excess (0.05) (0.02) 0.05 0.01 0.13 0.02 (0.01) (0.02)

Brown Asset Mgmt US SCG 526 0.71 (5.34) 0.01 3.20 20.29 1.18 29.74 10.35 8.62RUSSELL 2000 GROWTH DAILY (7.42) (5.89) (7.61) 11.76 (9.31) 22.17 11.32 (1.38)Excess 2.08 5.90 10.81 8.53 10.49 7.57 (0.97) 10.00

BlackRock US LMC R1000 Core 19,176 25.76 (6.36) (0.88) 2.90 11.04RUSSELL 1000 (DAILY) (6.37) (0.90) 2.80 11.05Excess 0.01 0.01 0.10 (0.01)

FUND OF FUNDS

Essex US SCG - Legato 20 0.03 (7.17) (8.20) (6.85) 10.49 (5.16)RUSSELL 2000 GROWTH DAILY (7.42) (5.89) (7.61) 11.76 (9.31)Excess 0.25 (2.31) 0.75 (1.26) 4.14






21

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12/31/2018

CYE

12/31/2017

CYE

12/31/2016

CYE

12/31/2015





Dean US SCV - Legato 20 0.03 (9.99) (9.28) (9.59) 5.43 (12.49)

RUSSELL 2000 VALUE DAILY (8.17) (7.44) (11.85) 6.67 (12.86)

Excess (1.83) (1.84) 2.26 (1.24) 0.37

Bridge City US SCG - Legato 25 0.03 (8.14) (5.93) (3.49) 6.87 0.88

RUSSELL 2000 GROWTH DAILY (7.42) (5.89) (7.61) 11.76 (9.31)

Excess (0.72) (0.04) 4.11 (4.88) 10.19

Bowling US SCV - Legato 15 0.02 (8.91) (8.87) (15.91) 8.03 (19.60)


Excess (0.74) (1.43) (4.06) 1.35 (6.74)

Altravue US SCV - Legato 16 0.02 (3.53) (1.68) (2.93) 9.90 (10.06)


Excess 4.64 5.77 8.92 3.22 2.80

Lisanti US SCG - Legato 13 0.02 (3.25) (0.98) 0.98 16.90

RUSSELL 2000 GROWTH DAILY (7.42) (5.89) (7.61) 11.76

Excess 4.17 4.91 8.58 5.15

Legato Transition US 0 0.00

TRS-TOTAL WORLD ex-USA 8,433 11.33 (5.23) (1.37) (5.69) 9.61 (14.45) 29.49 3.42 (0.86)WORLD ex-USA CUSTOM BM (4.80) (1.70) (5.28) 8.17 (14.68) 26.40 1.15 0.49Excess (0.42) 0.34 (0.41) 1.43 0.23 3.09 2.27 (1.36)

Causeway WorldxUS LMCC 1,169 1.57 (6.67) (5.27) (7.98) 7.04 (18.74) 26.91 (0.79) (2.05)NYC Developed Value Benchmark (4.73) (1.53) (4.39) 8.21 (14.09) 22.77 5.02 (5.68)Excess (1.94) (3.73) (3.59) (1.16) (4.65) 4.15 (5.81) 3.63

Sprucegrove WorldxUS LMCC 1,330 1.79 (6.43) (3.51) (5.55) 7.17 (14.09) 26.17 8.56 (6.95)NYC Developed Value Benchmark (4.73) (1.53) (4.39) 8.21 (14.09) 22.77 5.02 (5.68)Excess (1.71) (1.98) (1.16) (1.03) 0.00 3.40 3.53 (1.27)

Baillie Gifford WorldxUS LMCC 1,523 2.05 (6.76) 0.45 (8.45) 15.46 (14.96) 39.93 2.04 (2.85)NYC Developed Growth Benchmark (4.73) (1.53) (4.39) 8.21 (14.09) 27.77 (3.04) 4.09Excess (2.03) 1.98 (4.06) 7.25 (0.87) 12.16 5.09 (6.94)


22

Ending Market


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12/31/2018

CYE

12/31/2017

CYE

12/31/2016

CYE

12/31/2015





Walter Scott WorldxUS LMCC 1,435 1.93 (2.29) 2.91 2.77 11.51 (7.69) 27.53 4.37 1.60NYC Developed Growth Benchmark (4.73) (1.53) (4.39) 8.21 (14.09) 27.77 (3.04) 4.09Excess 2.44 4.44 7.16 3.31 6.40 (0.24) 7.41 (2.49)

Acadian WorldxUS SCC 362 0.49 (3.81) (2.11) (10.30) 7.61 (19.67) 38.42 5.46 10.97S&P EPAC Small Cap USD NET (5.06) (2.46) (10.44) 7.65 (18.58) 33.47 1.34 8.58Excess 1.25 0.35 0.14 (0.04) (1.09) 4.96 4.12 2.38

Algert EAFE SCC 111 0.15 (4.99) (2.70)MSCI EAFE SMALL CAP NET (DAILY) (5.29) (2.28)Excess 0.30 (0.42)

Fidelity WorldxUS SCC 194 0.26 (5.29) (1.75) (11.41) 7.63 (18.23) 31.25 (0.81) 11.69S&P EPAC Small Cap USD NET (5.06) (2.46) (10.44) 7.65 (18.58) 33.47 1.34 8.58Excess (0.23) 0.72 (0.97) (0.02) 0.35 (2.21) (2.15) 3.11

SSGA WorldxUS LMC NYC Custom IDX 1,691 2.27 (4.60) (1.23) (4.09) 8.33 (13.55) 24.51 1.34 (0.30)NYC Custom World ex US Index (4.73) (1.53) (4.39) 8.21 (14.09) 24.12 1.00 (0.81)Excess 0.13 0.30 0.30 0.12 0.54 0.40 0.34 0.52

SSGA WorldxUS SC Custom IDX 620 0.83 (5.15) (2.42) (10.15) 7.91 (17.82) 33.64 2.93 9.95World ex USA SC PASSIVE CUSTOM BM (5.25) (2.71) (10.25) 7.98 (18.07) 33.31 2.18 9.59Excess 0.10 0.29 0.10 (0.06) 0.25 0.33 0.75 0.37

TRS-TOTAL INTL FOF 522 0.70 (4.42) (0.96) (6.10) 8.40 (15.50)NYC Blended Custom Benchmark for FoF (TRS) (4.81) (1.89) (4.65) 7.39 (14.39)Excess 0.40 0.94 (1.45) 1.01 (1.11)

ARGA Intl FoF - Bivium 38 0.05 (7.36) (2.24) (8.75) 7.50 (19.25)MSCI AC WORLD ex US (NET) (5.37) (2.29) (4.46) 7.15 (14.20)Excess (1.99) 0.05 (4.29) 0.35 (5.06)

Bailard Intl FoF - Bivium 35 0.05 (3.85) (1.51) (7.97) 8.90 (20.86)MSCI AC WORLD ex US (NET) (5.37) (2.29) (4.46) 7.15 (14.20)Excess 1.51 0.78 (3.51) 1.75 (6.67)


23

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12/31/2018

CYE

12/31/2017

CYE

12/31/2016

CYE

12/31/2015





Blackcrane Intl FoF - Bivium 9 0.01 (3.40) 0.29 (11.79) 13.33 (24.65)

MSCI ACWI Ex US Small Cap (DAILY) (5.16) (2.92) (9.92) 6.88 (18.20)

Excess 1.76 3.21 (1.87) 6.45 (6.45)

Dundas Intl FoF - Bivium 40 0.05 (3.74) 0.43 (4.53) 9.05 (12.09)

MSCI AC WORLD ex US (NET) (5.37) (2.29) (4.46) 7.15 (14.20)

Excess 1.62 2.71 (0.07) 1.90 2.10

Global Alpha Intl FoF SC - Bivium 9 0.01 (5.06) (0.16) (4.27) 10.49 (12.98)


Excess 0.10 2.75 5.65 3.61 5.22

Radin Intl FoF SC - Bivium 8 0.01 (10.86) (9.25) (15.15) 3.56 (20.41)


Excess (5.70) (6.34) (5.24) (3.32) (2.21)

Smith Asset Mgmt Intl FoF - Bivium 34 0.05 (4.87) (3.10) 7.06

MSCI AC WORLD ex US (NET) (5.37) (2.29) 7.15

Excess 0.49 (0.81) (0.08)

Martin Intl FoF - FIS 18 0.02 (0.47) 5.13

MSCI EAFE (4.80) (1.51)

Excess 4.33 6.64

Osmosis WorldxUS - FIS 29 0.04 (3.95) (2.23) (9.73) 6.07 (14.48)

MSCI EAFE (4.80) (1.51) (4.58) 7.64 (13.79)

Excess 0.85 (0.72) (5.15) (1.57) (0.69)

Metis WorldxUS - FIS 8 0.01 (8.31) (6.57) (12.63) 2.59 (18.31)

MSCI EAFE (4.80) (1.51) (4.58) 7.64 (13.79)

Excess (3.51) (5.06) (8.05) (5.04) (4.52)

Dundas WorldxUS - FIS 32 0.04 (3.05) 1.45 (2.04) 10.08 (9.73)

MSCI EAFE + Canada Net Index (4.73) (1.53) (4.39) 8.21 (14.09)

Excess 1.68 2.98 2.36 1.87 4.36


24

Ending Market


CYE

12/31/2018

CYE

12/31/2017

CYE

12/31/2016

CYE

12/31/2015





Denali WorldxUS - FIS 15 0.02 (5.54) (4.22) (4.09) 3.30 (11.33)MSCI EAFE + Canada Net Index (4.73) (1.53) (4.39) 8.21 (14.09)Excess (0.81) (2.69) 0.31 (4.90) 2.76

Change Global WorldxUS - FIS 22 0.03 (5.00) (4.04) (3.44) 3.81 (15.84)NYC Blended Custom Benchmark for FoF (TRS) (4.81) (1.89) (4.65) 7.39 (14.39)Excess (0.18) (2.15) 1.21 (3.58) (1.45)

Ativo WorldxUS - FIS 30 0.04 (3.37) 0.41 (3.53) 8.78 (11.98)MSCI EAFE + Canada Net Index (4.73) (1.53) (4.39) 8.21 (14.09)Excess 1.36 1.94 0.86 0.57 2.11

Algert WorldxUS SCC - FIS 0 0.00 (22.64)MSCI EAFE SMALL CAP NET (DAILY) (5.29) (10.16) (17.89)Excess (4.75)

Redwood Intl FoF - FIS 22 0.03 (1.62) 3.37 12.10MSCI EAFE + Canada Net Index (4.73) (1.53) 8.21Excess 3.11 4.90 3.89

Ativo Intl FoF - Leading Edge 29 0.04 (4.21) (0.07) (2.81) 8.23 (12.27) MSCI ACWI ex USA IMI Net (5.34) (2.37) (5.24) 7.11 (14.76)Excess 1.13 2.31 2.43 1.11 2.49

Blackcrane WorldxUS - Leading Edge 23 0.03 (4.58) (2.80) (14.59) 7.80 (22.87) MSCI ACWI ex USA IMI Net (5.34) (2.37) (5.24) 7.11 (14.76)Excess 0.76 (0.43) (9.35) 0.69 (8.12)

Denali EAFE - Leading Edge 32 0.04 (5.53) (4.20) (3.79) 3.65 (11.81)MSCI World ex USA IMI Net Return (4.80) (1.70) (5.28) 8.17 (14.68)Excess (0.73) (2.50) 1.49 (4.52) 2.87

Haven Intl FoF - Leading Edge 22 0.03 (7.78) (4.19) MSCI ACWI ex USA IMI Net (5.34) (2.37)Excess (2.44) (1.81)


25

Ending Market


CYE

12/31/2018

CYE

12/31/2017

CYE

12/31/2016

CYE

12/31/2015





Henry James WorldxUS - Leading Edge 34 0.05 (4.44) 2.02 (3.28) 11.64 (13.70)

MSCI ACWI ex USA IMI Net (5.34) (2.37) (5.24) 7.11 (14.76)

Excess 0.90 4.39 1.96 4.53 1.05

Redwood WorldxUS - Leading Edge 33 0.04 (1.28) 3.78 (1.59) 14.17 (13.22)

MSCI ACWI ex USA IMI Net (5.34) (2.37) (5.24) 7.11 (14.76)

Excess 4.06 6.15 3.65 7.06 1.54

TRS-TOTAL EMERGING MARKETS 6,412 8.61 (4.20) (2.16) (0.26) 4.60 (13.94) 34.73 12.02 (18.34)TRS Custom EM Index (4.85) (2.98) (1.22) 2.99 (13.39) 34.19 13.91 (17.04)Excess 0.65 0.82 0.96 1.61 (0.55) 0.54 (1.89) (1.30)

Acadian EM 525 0.71 (3.54) (3.09) (1.30) 4.92

MSCI CUSTOM TRS EMERGING MARKETS (NET) (4.85) (2.98) (1.22) 2.99

Excess 1.31 (0.11) (0.08) 1.93

Baillie Gifford EM 1,639 2.20 (3.93) 0.29 3.66 9.18 (14.39) 41.33 4.02 (14.09)TRS Custom EM Index (4.85) (2.98) (1.22) 2.99 (13.39) 34.19 13.91 (17.04)Excess 0.92 3.26 4.87 6.19 (1.00) 7.13 (9.90) 2.95

DFA EM 1,229 1.65 (4.32) (2.77) (1.66) 2.66 (13.17) 34.29 20.88 (21.72)TRS Custom EM Index (4.85) (2.98) (1.22) 2.99 (13.39) 34.19 13.91 (17.04)Excess 0.53 0.21 (0.45) (0.33) 0.23 0.09 6.97 (4.68)

Parametric EM 856 1.15 (3.83) (3.27) (2.15) 3.02 (14.52) 32.02 11.47 (19.97)TRS Custom EM Index (4.85) (2.98) (1.22) 2.99 (13.39) 34.19 13.91 (17.04)Excess 1.02 (0.29) (0.94) 0.03 (1.12) (2.17) (2.44) (2.94)

Lazard EM 316 0.42 (3.80) (2.79) (1.34) 3.38 (17.29) 28.26

TRS Custom EM Index (4.85) (2.98) (1.22) 2.99 (13.39) 34.19

Excess 1.06 0.18 (0.12) 0.39 (3.89) (5.94)

BlackRock MSCI EM Core 1,847 2.48 (4.78) (2.94) (1.09) 3.24 (12.87) 32.99 12.92 (17.99)MSCI CUSTOM TRS EMERGING MARKETS (NET) (4.85) (2.98) (1.22) 2.99 (12.99) 33.05 13.10 (17.81)Excess 0.07 0.03 0.12 0.25 0.12 (0.05) (0.18) (0.17)


26

Ending Market


CYE

12/31/2018

CYE

12/31/2017

CYE

12/31/2016

CYE

12/31/2015





TRS-TOTAL GLOBAL EQUITY 265 0.36 (4.00) 3.07 15.51MSCI World Index (5.77) (1.15) 9.75Excess 1.77 4.22 5.77

Fiera-Global 265 0.36 (4.00) 3.07 15.51MSCI World Index (5.77) (1.15) 9.75Excess 1.77 4.22 5.77

TRS-TOTAL REAL ESTATE SECURITIES 1,226 1.65 (0.62) 2.63 8.29 15.74 (5.79) 7.50 4.79 2.47DJ US SELECT REAL ESTATE SECURITIES INDEX (0.34) 2.33 8.28 15.11 (4.22) 3.76 6.65 4.46Excess (0.28) 0.30 0.01 0.63 (1.57) 3.74 (1.86) (1.99)

Adelante REITS 361 0.49 0.07 3.69 10.93 17.62 (5.32) 7.32 3.90 4.81DJ US SELECT REAL ESTATE SECURITIES INDEX (0.34) 2.33 8.28 15.11 (4.22) 3.76 6.65 4.46Excess 0.41 1.36 2.65 2.51 (1.10) 3.56 (2.75) 0.36

CenterSquare REITS 263 0.35 (0.52) 2.69 8.21 15.45 (5.07) 5.96 7.98 5.87DJ US SELECT REAL ESTATE SECURITIES INDEX (0.34) 2.33 8.28 15.11 (4.22) 3.76 6.65 4.46Excess (0.18) 0.36 (0.07) 0.35 (0.85) 2.20 1.33 1.41

Cohen Steers REITS 254 0.34 (0.13) 4.10 10.90 17.31 (3.88) 7.44 4.96 5.59DJ US SELECT REAL ESTATE SECURITIES INDEX (0.34) 2.33 8.28 15.11 (4.22) 3.76 6.65 4.46Excess 0.21 1.77 2.62 2.20 0.33 3.68 (1.69) 1.13

Morgan Stanley - REIT 347 0.47 (1.75) 0.50 3.99 12.98 (7.88) 9.25 3.49 (1.63)Morgan Stanley Custom RESI Index (0.12) 1.98 6.49 12.70 (5.46) 10.27 2.37 (1.53)Excess (1.63) (1.48) (2.50) 0.28 (2.42) (1.02) 1.13 (0.11)

FIXED INCOME SUMMARY

TRS-TOTAL STRUCTURED 16,749 22.50 3.18 5.61 7.78 6.21 (0.83) 4.97 3.68 0.16NYC Custom Structured Index-TRS 4.46 7.49 9.19 7.78 (1.23) 6.80Excess (1.27) (1.87) (1.41) (1.57) 0.40 (1.83)


27

Ending Market


CYE

12/31/2018

CYE

12/31/2017

CYE

12/31/2016

CYE

12/31/2015





BlackRock Mortgages 1,876 2.52 1.32 2.81 5.69 3.70 1.00 2.63 2.17 1.76FTSE MORTGAGE INDEX 1.23 2.76 5.60 3.53 1.01 2.47 1.59 1.56Excess 0.09 0.05 0.09 0.16 (0.01) 0.16 0.58 0.20

BlackRock Mortgages NA 7 0.01 5.18 9.22 20.78 13.39 3.51 38.38 12.34 18.20FTSE MORTGAGE INDEX 1.23 2.76 5.60 3.53 1.01 2.47 1.59 1.56Excess 3.95 6.46 15.17 9.86 2.50 35.91 10.75 16.64

Neuberger Berman Mortgages 757 1.02 1.16 2.54 5.30 3.35 0.82 2.42 1.49 1.37FTSE MORTGAGE INDEX 1.23 2.76 5.60 3.53 1.01 2.47 1.59 1.56Excess (0.07) (0.22) (0.31) (0.18) (0.19) (0.05) (0.09) (0.19)

BlackRock Credit 396 0.53 1.41 4.36 7.80 7.02 (1.99) 6.31 5.57 (0.71)NYC - Investment Grade Credit 1.55 4.50 7.91 6.79 (1.90) 6.04 5.56 (0.65)Excess (0.15) (0.14) (0.11) 0.23 (0.09) 0.27 0.01 (0.06)

Taplin Credit 293 0.39 1.06 4.27 6.97 7.32 (3.43) 7.99 9.02 (4.10)NYC - Investment Grade Credit 1.55 4.50 7.91 6.79 (1.90) 6.04 5.56 (0.65)Excess (0.50) (0.23) (0.93) 0.53 (1.53) 1.95 3.46 (3.46)

T Rowe Price Credit 1,193 1.60 1.57 4.51 8.01 7.04 (2.41) 6.85 5.96 0.09NYC - Investment Grade Credit 1.55 4.50 7.91 6.79 (1.90) 6.04 5.56 (0.65)Excess 0.02 0.01 0.10 0.25 (0.51) 0.81 0.41 0.73

Prudential Credit 758 1.02 1.53 4.53 7.91 6.87 (1.94) 6.17 5.84 (0.16)NYC - Investment Grade Credit 1.55 4.50 7.91 6.79 (1.90) 6.04 5.56 (0.65)Excess (0.02) 0.02 0.01 0.08 (0.03) 0.13 0.28 0.49

Barrow Hanley Credit 512 0.69 1.32 4.46 8.26 7.34 (2.41) 6.16 5.88 (0.11)NYC - Investment Grade Credit 1.55 4.50 7.91 6.79 (1.90) 6.04 5.56 (0.65)Excess (0.24) (0.04) 0.35 0.55 (0.51) 0.12 0.32 0.54

SSGA LI Treasury 3,492 4.69 4.13 6.79 8.91 6.74 (0.20) 5.13 1.48 0.50NYC - Treasury Agency Plus Five 4.16 6.75 9.01 6.74 (0.05) 4.66 1.21 0.72Excess (0.03) 0.04 (0.10) 0.00 (0.15) 0.48 0.26 (0.23)


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SSgA Int Gov Bond Index * 6 0.01 1.46 2.72 4.16 2.99 2.05FTSE USBIG Treasury/Agency 1-10 y 1.45 2.73 5.25 3.10 1.42Excess 0.01 (0.01) (1.09) (0.11) 0.6391 DAY TREASURY BILL (DAILY) 0.23 0.64 2.09 1.02 1.87Excess 1.23 2.08 2.07 1.97 0.17* Assets were in transition from 9/29/17 to 2/11/19

BlackRock LI Treasury 2,140 2.87 4.12 6.73 8.82 6.67 (0.18) 4.97 1.25 0.69NYC - Treasury Agency Plus Five 4.16 6.75 9.01 6.74 (0.05) 4.66 1.21 0.72Excess (0.04) (0.02) (0.19) (0.07) (0.13) 0.31 0.03 (0.03)

SSGA ST Treasury 1-3Y 2,106 2.83 0.71 1.53 3.41 1.91 1.51 0.40FTSE USBIG Treasury 1-3 Y Index 0.71 1.54 3.42 1.92 1.56 0.42Excess 0.00 (0.01) (0.01) (0.01) (0.05) (0.02)

SSGA LT Treasury 10Y Plus 3,213 4.32 6.63 10.22 10.83 9.58 (1.84) 8.44FTSE Treasury 10+ 6.59 10.18 10.76 9.57 (1.89) 8.60Excess 0.04 0.04 0.07 0.01 0.05 (0.17)

TRS-TOTAL HIGH YIELD 3,677 4.94 (1.02) 1.26 5.18 7.42 (2.39) 6.57 13.89 (3.60)High Yield Custom Benchmark (1.19) 1.16 5.08 7.49 (2.34) 7.03 15.48 (4.21)Excess 0.17 0.10 0.10 (0.07) (0.06) (0.46) (1.59) 0.61

Neuberger Berman High Yield 726 0.98 (1.33) 0.72 4.71 6.77 (2.01) 5.74 14.89 (3.96)BBG BARC US HY - 2% Issr Cap (1.19) 1.16 5.08 7.49 (2.08) 7.50 17.13 (4.43)Excess (0.14) (0.44) (0.37) (0.72) 0.08 (1.76) (2.24) 0.47

Oaktree High Yield 359 0.48 (1.24) 0.95 4.32 7.16 (3.49) 5.75 14.96 (4.70)BBG BARC US HY - 2% Issr Cap (1.19) 1.16 5.08 7.49 (2.08) 7.50 17.13 (4.43)Excess (0.05) (0.21) (0.76) (0.33) (1.41) (1.75) (2.17) (0.26)

Stone Harbor High Yield 538 0.72 (1.02) 1.26 5.57 7.95 (2.65) 5.85 13.10 (4.47)BBG BARC US HY - 2% Issr Cap (1.19) 1.16 5.08 7.49 (2.08) 7.50 17.13 (4.43)Excess 0.17 0.10 0.49 0.46 (0.56) (1.65) (4.03) (0.04)

T Rowe Price High Yield 808 1.09 (0.68) 1.77 6.18 7.75 (2.30) 7.70 12.17 (1.17)BBG BARC US HY - 2% Issr Cap (1.19) 1.16 5.08 7.49 (2.08) 7.50 17.13 (4.43)Excess 0.51 0.61 1.10 0.26 (0.22) 0.19 (4.96) 3.26


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Brigade High Yield 235 0.32 (1.36) 1.61 8.24

BBG BARC US HY - 2% Issr Cap (1.19) 1.16 7.49

Excess (0.17) 0.45 0.75

Mackay Shields High Yield 353 0.47 (0.81) 1.41 7.19


Excess 0.38 0.25 (0.30)

Nomura High Yield 238 0.32 (1.18) 0.87 7.24


Excess 0.01 (0.28) (0.25)

Eaton Vance High Yield 420 0.56 (0.81) 1.38 7.42


Excess 0.37 0.22 (0.07)

Transition High Yield 0 0.00

TRS-TOTAL BANK LOANS 1,798 2.42 (0.59) 0.55 3.08 4.33 0.74 4.04 8.18 1.49CSFB LEVERAGED LOAN INDEX (0.23) 1.23 3.92 5.19 1.14 4.25 9.88 (0.38)Excess (0.37) (0.68) (0.84) (0.86) (0.41) (0.21) (1.70) 1.87

Barings Bank Loans 445 0.60 (0.69) 0.60 2.95 4.72 0.38 4.47 8.47 0.12CSFB LEVERAGED LOAN INDEX (0.23) 1.23 3.92 5.19 1.14 4.25 9.88 (0.38)Excess (0.46) (0.64) (0.97) (0.47) (0.76) 0.22 (1.41) 0.50

Credit Suisse Bank Loans 463 0.62 (0.29) 0.99 3.73 4.78 1.04 4.66 8.96 2.57CSFB LEVERAGED LOAN INDEX (0.23) 1.23 3.92 5.19 1.14 4.25 9.88 (0.38)Excess (0.07) (0.25) (0.18) (0.41) (0.10) 0.41 (0.92) 2.96

Guggenheim Bank Loans 4 0.00 1.24 3.82 7.84 2.07CSFB LEVERAGED LOAN INDEX (0.23) 3.92 1.14 4.25 9.88 (0.38)Excess 0.10 (0.43) (2.03) 2.45

Pinebridge Bank Loans 451 0.61 (0.54)

CSFB LEVERAGED LOAN INDEX (0.23)

Excess (0.31)


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Voya Bank Loans 432 0.58 (0.34) 0.88 3.14 4.77 0.33 3.19 7.71 1.21CSFB LEVERAGED LOAN INDEX (0.23) 1.23 3.92 5.19 1.14 4.25 9.88 (0.38)Excess (0.12) (0.35) (0.78) (0.42) (0.81) (1.06) (2.17) 1.60

Wells Capital Bank Loans 4 0.01 0.17 3.18 7.18 1.17CSFB LEVERAGED LOAN INDEX (0.23) 3.92 1.14 4.25 9.88 (0.38)Excess (0.98) (1.07) (2.70) 1.55

TRS-TOTAL TIPS MANAGERS 3,252 4.37 1.68 3.91 3.98 5.33 (1.27) 3.04 4.65 (1.25)BBG BARC Gbl Inf-Lk: US TIPS (Dly) 1.65 3.86 3.95 5.25 (1.26) 3.01 4.68 (1.44)Excess 0.03 0.04 0.03 0.08 (0.01) 0.04 (0.03) 0.19

SSGA TIPS 2,441 3.28 1.67 3.91 3.98 5.33 (1.30) 3.06 4.66 (1.35)BBG BARC Gbl Inf-Lk: US TIPS (Dly) 1.65 3.86 3.95 5.25 (1.26) 3.01 4.68 (1.44)Excess 0.02 0.04 0.03 0.08 (0.04) 0.05 (0.03) 0.09

BlackRock TIPS 811 1.09 1.71 3.91 3.98 5.33 (1.18) 2.98 4.64 (1.24)BBG BARC Gbl Inf-Lk: US TIPS (Dly) 1.65 3.86 3.95 5.25 (1.26) 3.01 4.68 (1.44)Excess 0.06 0.04 0.03 0.08 0.08 (0.02) (0.05) 0.20

TRS-TOTAL CONVERTIBLE BONDS 198 0.27 (2.32) (0.67) 3.48 5.92 (0.41) 11.29 5.93 (0.25)BofAML ALL CONVERTIBLE EX M AI (DAILY) (3.42) (0.86) 3.27 9.38 0.65 15.70 11.71 (2.75)Excess 1.10 0.20 0.21 (3.46) (1.06) (4.41) (5.78) 2.49

Advent Convertible Bonds 94 0.13 (2.08) (0.37) 2.76 5.63 (1.65) 7.45 7.34 (1.98)BofA ML U.S. Convertible Yield Alternative (1.60) 0.38 1.89 5.90 (0.42) 9.45 9.96 (8.77)Excess (0.48) (0.75) 0.86 (0.28) (1.23) (2.00) (2.62) 6.80

Victory Convertible Bonds 104 0.14 (2.54) (0.94) 4.12 6.19 0.68 20.13 6.47 (0.20)BofA Merrill Lynch US Investment Grade Convertible Bond Index (1.37) 0.80 6.06 6.91 3.35 20.99 14.23 1.68Excess (1.17) (1.73) (1.94) (0.72) (2.67) (0.87) (7.76) (1.88)

TRS-TOTAL CORE FI- EMERGING MGRS 130 0.17 1.86 3.90 6.55 5.00 (0.05) 4.02 2.97 0.65BBG BARC Agg (Dly) 1.78 3.76 6.53 4.80 0.01 3.54 2.65 0.55Excess 0.08 0.15 0.02 0.21 (0.06) 0.48 0.32 0.10


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Optimum Quantvest-Core - Progress 13 0.02 2.25 4.15 6.91 4.75 0.33 2.64 2.61 0.61BBG BARC Agg (Dly) 1.78 3.76 6.53 4.80 0.01 3.54 2.65 0.55Excess 0.47 0.40 0.38 (0.05) 0.32 (0.90) (0.03) 0.06

Integrity-Core - Progress 11 0.02 1.95 3.90 6.33 4.73 (0.03) 3.93

BBG BARC Agg (Dly) 1.78 3.76 6.53 4.80 0.01 3.54

Excess 0.18 0.14 (0.20) (0.07) (0.04) 0.39

New Century-Core Plus - Progress 34 0.05 1.76 3.83 6.50 4.93 0.12 4.04 2.37 (0.30)BBG BARC Agg (Dly) 1.78 3.76 6.53 4.80 0.01 3.54 2.65 0.55Excess (0.01) 0.07 (0.03) 0.13 0.11 0.50 (0.28) (0.85)

Ramirez-Core - Progress 33 0.04 1.84 4.01 6.86 5.50 0.07 4.47 3.64 1.12BBG BARC Agg (Dly) 1.78 3.76 6.53 4.80 0.01 3.54 2.65 0.55Excess 0.06 0.26 0.33 0.71 0.06 0.93 0.99 0.57

Pugh-Core Plus - Progress 39 0.05 1.80 3.80 6.27 4.82 (0.42) 4.12 3.48 0.79BBG BARC Agg (Dly) 1.78 3.76 6.53 4.80 0.01 3.54 2.65 0.55Excess 0.03 0.04 (0.26) 0.02 (0.43) 0.58 0.84 0.24

TRS-TOTAL CORE FI- DEVELOPING MGRS 129 0.17 1.34 3.52 6.36 5.51 (1.22) 4.08 3.79

BBG BARC Agg (Dly) 1.78 3.76 6.53 4.80 0.01 3.54 2.65

Excess (0.44) (0.24) (0.17) 0.72 (1.23) 0.54 1.15

LM Capital-Core Plus 78 0.11 1.43 3.49 6.45 5.52 (1.35) 3.89 3.50

BBG BARC Agg (Dly) 1.78 3.76 6.53 4.80 0.01 3.54 2.65

Excess (0.35) (0.26) (0.09) 0.72 (1.36) 0.35 0.86

GIA-Core Plus 51 0.07 1.20 3.56 6.23 5.51 (1.01) 4.37 4.24

BBG BARC Agg (Dly) 1.78 3.76 6.53 4.80 0.01 3.54 2.65

Excess (0.57) (0.20) (0.30) 0.71 (1.02) 0.82 1.59

TRS-TOTAL OPPORTUNISTIC FIXED 2,097 2.82 1.18 2.39 5.00 2.74 6.22 7.89 7.10 (1.40)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42 17.40 0.63Excess 1.53 0.32 (2.59) (4.91) 3.86 (1.53) (10.30) (2.03)


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12/31/2017

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Avenue Special Situations Fund VI L.P. 5 0.01 (1.39) (1.95) (0.54) (1.95) 12.41 (16.32) (10.10) (9.95)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42 17.40 0.63Excess (1.04) (4.02) (8.13) (9.60) 10.05 (25.74) (27.50) (10.58)

Brightwood Capital Advisors III, LP 23 0.03 0.00 2.12 11.37 6.10 11.00 5.22 1.78

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42 17.40

Excess 0.35 0.05 3.78 (1.55) 8.64 (4.21) (15.63)

Brightwood Capital Advisors FD IV, LP 62 0.08 2.15 2.15 6.27 4.23 6.94 14.82

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42

Excess 2.50 0.08 (1.32) (3.42) 4.58 5.39

Fortress Ctr St Ptnrs 168 0.23 1.82 1.82 7.94 3.40 10.99 11.92 7.63 8.14Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42 17.40 0.63Excess 2.17 (0.26) 0.35 (4.26) 8.63 2.49 (9.77) 7.51

ICG Centre St Partner 55 0.07 2.76 2.76 11.64 5.82 9.02

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36

Excess 3.11 0.69 4.05 (1.84) 6.66

Lone Star Fd VIII 39 0.05 (0.16) (0.16) (0.88) (3.34) 3.61 (5.55) (12.42) 28.60Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42 17.40 0.63Excess 0.19 (2.23) (8.47) (11.00) 1.25 (14.97) (29.83) 27.98

Oaktree Opp Fd IX 73 0.10 0.00 5.97 8.60 4.10 4.57 12.87 3.89 (9.30)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42 17.40 0.63Excess 0.35 3.90 1.00 (3.55) 2.21 3.45 (13.51) (9.92)

Torchlight Debt Opp V 59 0.08 0.41 0.61 7.38 1.63 14.55 16.30 12.01

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42 17.40

Excess 0.76 (1.46) (0.21) (6.02) 12.19 6.88 (5.39)

TORCHLIGHT DEBT OPP VI 24 0.03

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35)

Excess


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Angelo Gordon Ct St Ptnrs 161 0.22 0.62 1.77 1.05 (2.11) 7.97 4.32 7.38 (6.05)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42 17.40 0.63Excess 0.97 (0.30) (6.55) (9.76) 5.61 (5.10) (10.02) (6.68)

Apollo Centre Street Partnership, L.P 242 0.33 1.55 3.02 5.32 1.78 8.32 8.88 5.78 (11.35)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42 17.40 0.63Excess 1.90 0.94 (2.28) (5.87) 5.96 (0.54) (11.63) (11.97)

Ares Centre Street 180 0.24 1.08 2.52 8.25 3.80 9.71 10.00 9.10 12.79Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42 17.40 0.63Excess 1.43 0.45 0.66 (3.85) 7.35 0.58 (8.30) 12.16

Contrarian Partnership, L.P 95 0.13 0.50 (0.39) (13.44) (4.23) (4.51) 8.52 16.94 (8.12)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42 17.40 0.63Excess 0.85 (2.46) (21.03) (11.89) (6.87) (0.90) (0.46) (8.75)

Golden Tree OD 207 0.28 (1.35) 1.13 3.67 5.79 (1.71) 6.90 10.28 2.33Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42 17.40 0.63Excess (1.00) (0.94) (3.92) (1.86) (4.08) (2.52) (7.12) 1.70

KKR NYC CREDIT A & B 118 0.16 4.62 0.90 9.17 (0.91) 26.56Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36Excess 4.97 (1.17) 1.58 (8.56) 24.20

Maranon Partnership 46 0.06 0.61 1.45 2.90Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.65Excess 0.96 (0.62) (4.75)

Marathon Centre Street Partnership, L.P. 284 0.38 1.93 3.76 7.09 5.15 3.76 4.30 8.77 (4.95)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42 17.40 0.63Excess 2.28 1.69 (0.50) (2.50) 1.40 (5.12) (8.63) (5.58)

Oak Hill Ctr St Ptnrs 256 0.34 1.32 3.25 6.52 4.01 7.72 13.66 13.18 (4.29)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 (0.35) 2.07 7.59 7.65 2.36 9.42 17.40 0.63Excess 1.67 1.18 (1.08) (3.65) 5.36 4.24 (4.23) (4.91)


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TOTAL TEACHERS ETI (w/o cash) 660 0.89 2.02 4.13 7.86 5.19 0.77 3.46 2.28 3.40Teachers Custom Benchmark (No Cash) 1.51 3.22 6.14 4.12 0.86 3.11 2.39 1.30Excess 0.51 0.90 1.72 1.07 (0.09) 0.35 (0.12) 2.10

AFL-CIO Housing Investment Trust 299 0.40 2.12 4.15 6.70 4.85 0.16 3.17 1.94 1.13BBG BARC Agg (Dly) 1.78 3.76 6.53 4.80 0.01 3.54 2.65 0.55Excess 0.35 0.40 0.17 0.05 0.15 (0.38) (0.71) 0.58

RBC Access MBS 148 0.20 1.40 3.07 5.87 3.91 0.49 2.64 1.61 1.83Access RBC Benchmark 1.35 2.71 5.38 3.34 1.17 1.96 1.52 1.40Excess 0.04 0.36 0.48 0.58 (0.69) 0.69 0.09 0.43

CPC Construction Facility 10 0.01 0.35 1.34 4.09 1.99 4.14 6.07 (3.95) 12.90CPC CONST BENCHMARK 0.36 1.07 3.88 1.78 3.99 3.34 3.03 2.90Excess (0.01) 0.27 0.21 0.21 0.15 2.73 (6.99) 10.00

CPC PPAR GNMA 64 0.09 2.26 2.78 7.92 3.83 0.77 2.85 1.83 5.33GNMA Plus 65bps 1.31 2.71 6.04 3.66 1.63 2.53 2.28 2.02Excess 0.95 0.08 1.88 0.17 (0.86) 0.32 (0.44) 3.31

CPC PPAR FNMA 87 0.12 2.49 6.29 13.53 8.69 2.31 5.06 6.15 8.96FNMA Plus 85bps 1.27 3.05 6.40 3.89 1.86 3.61 2.38 2.50Excess 1.21 3.24 7.13 4.80 0.45 1.45 3.77 6.46

BOA PPAR FNMA 9 0.01 2.50 5.88 12.39 8.17 2.33 5.21 4.07 42.03FNMA Plus 85bps 1.27 3.05 6.40 3.89 1.86 3.61 2.38 2.50Excess 1.22 2.83 5.99 4.28 0.47 1.60 1.69 39.53

CFSB PPAR GNMA 2 0.00 2.30 3.46 8.68 4.52 0.99 3.83 3.21 5.90GNMA Plus 65bps 1.31 2.71 6.04 3.66 1.63 2.53 2.28 2.02Excess 1.00 0.75 2.64 0.86 (0.65) 1.30 0.93 3.88

Citibank PPAR GNMA 5 0.01 2.37 3.08 8.96 4.21 1.90 3.10 2.78 5.08GNMA Plus 65bps 1.31 2.71 6.04 3.66 1.63 2.53 2.28 2.02Excess 1.06 0.37 2.92 0.56 0.27 0.57 0.50 3.06


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Citibank PPAR FNMA 17 0.02 2.52 6.57 14.03 8.68 2.63 5.26 3.71 6.69FNMA Plus 85bps 1.27 3.05 6.40 3.89 1.86 3.61 2.38 2.50Excess 1.24 3.53 7.64 4.79 0.77 1.65 1.33 4.20

LIIF PPAR GNMA 2 0.00 1.70 2.76 7.11 3.50 2.53 2.52 3.88 3.92GNMA Plus 65bps 1.31 2.71 6.04 3.66 1.63 2.53 2.28 2.02Excess 0.39 0.05 1.07 (0.16) 0.89 (0.01) 1.61 1.91

LIIF PPAR FNMA 11 0.01 2.56 5.96 13.27 8.18 2.27 9.55 5.03 6.29FNMA Plus 85bps 1.27 3.05 6.40 3.89 1.86 3.61 2.38 2.50Excess 1.29 2.91 6.88 4.29 0.41 5.94 2.65 3.79

LISC PPAR FNMA 1 0.00 2.32 5.82 8.81

FNMA Plus 85bps 1.27 3.05 3.89

Excess 1.04 2.77 4.92

NCBCI PPAR GNMA 1 0.00 2.12 1.93 6.93 2.79 1.23 3.01 3.51 5.53GNMA Plus 65bps 1.31 2.71 6.04 3.66 1.63 2.53 2.28 2.02Excess 0.81 (0.78) 0.89 (0.86) (0.41) 0.48 1.23 3.52

NCBCI PPAR FNMA 0 0.00 2.12 1.18 7.14 2.02 2.00 1.75 3.46 4.97FNMA Plus 85bps 1.27 3.05 6.40 3.89 1.86 3.61 2.38 2.50Excess 0.85 (1.87) 0.75 (1.87) 0.15 (1.86) 1.07 2.47

NHS PPAR GNMA 0 0.00 2.13 1.83 6.21 2.68 0.54 (2.93) 3.58 4.90GNMA Plus 65bps 1.31 2.71 6.04 3.66 1.63 2.53 2.28 2.02Excess 0.82 (0.88) 0.17 (0.97) (1.09) (5.46) 1.30 2.89

Wells Fargo PPAR FNMA 3 0.00 2.56 12.66 22.09 15.34

FNMA Plus 85bps 1.27 3.05 6.40 3.89 1.86 3.61

Excess 1.28 9.62 15.70 11.45

TRS-TOTAL CASH 280 0.38 0.22 0.91 2.95 1.61 2.36 1.29 0.76 0.4891 DAY TREASURY BILL (DAILY) 0.23 0.64 2.09 1.02 1.87 0.86 0.33 0.05Excess (0.01) 0.27 0.87 0.59 0.49 0.44 0.43 0.43


36

Ending Market


CYE

12/31/2018

CYE

12/31/2017

CYE

12/31/2016

CYE

12/31/2015





Short Term TRS 280 0.38 0.21 0.64 2.18 1.07 1.96 1.21 0.78 0.4891 DAY TREASURY BILL (DAILY) 0.23 0.64 2.09 1.02 1.87 0.86 0.33 0.05Excess (0.02) 0.00 0.10 0.05 0.09 0.35 0.45 0.43

Cash Account 0 0.00

KKR Cash Account 0 0.00

Securities Lending 0 0.00

TRS-TOTAL PRIVATE EQUITY 4,204 5.65 4.20 3.92 14.45 4.21 17.65 18.45 9.71 8.66

TRS-TOTAL PRIVATE REAL ESTATE 2,826 3.80 0.50 1.52 7.60 2.64 10.64 10.53 11.88 14.29

TRS-TOTAL INFRASTRUCTURE 878 1.18 2.07 2.04 11.38 4.32 14.50 18.09 8.25 10.50

07/11/2019 03:09:27 PM


37

Vintage Year Investment First

DrawdownCommitted

Capital Paid-In Capital Distributed Capital Market Value Multiple IRR2 PME Return3 PME Spread4

Active Investments1999 Cypress Merchant Banking Partners II, LP 7/8/1999 $50,000,000 $53,983,573 $50,623,035 $26,160 0.94x (1.18%) 5.55% (6.72%)1999 Lincolnshire Equity Fund II, L.P. 2/26/2001 15,000,000 14,446,100 28,031,474 560,377 1.98x 24.59% 6.96% 17.64%2000 SCP Private Equity Partners II, L.P. 1/19/2001 20,000,000 22,196,012 8,429,680 2,170,734 0.48x (8.43%) 5.58% (14.01%)2000 Solera Partners, L.P. 7/8/2002 15,000,000 19,944,201 31,226,365 231,729 1.58x 7.50% 6.14% 1.36%2001 Apollo Investment Fund V, L.P. 8/23/2001 30,000,000 46,758,049 92,244,552 298,043 1.98x 38.78% 8.32% 30.45%2001 RRE Ventures III, L.P. 6/13/2002 20,000,000 26,269,971 34,025,652 1,255,774 1.34x 5.47% 6.53% (1.06%)2002 Landmark Equity Partners XI, L.P. 9/15/2004 20,000,000 21,259,356 31,467,979 49,029 1.48x 23.31% 7.45% 15.86%2002 Thomas McNerney & Partners, L.P. 11/26/2002 15,000,000 15,000,000 7,543,579 1,715,604 0.62x (7.70%) 10.21% (17.91%)2003 Ares Corporate Opportunities Fund, L.P. 5/4/2004 15,000,000 18,004,666 26,835,382 901,935 1.54x 13.42% 7.42% 6.00%2003 Blackstone Capital Partners IV, L.P. 1/10/2003 30,000,000 30,690,321 75,298,977 1,994,803 2.52x 37.80% 8.18% 29.62%2003 FS Equity Partners V, L.P. 5/30/2003 25,000,000 20,204,332 40,645,843 2,175,316 2.12x 15.47% 4.95% 10.52%2003 Leeds Weld Equity Partners IV, L.P. 12/13/2004 15,000,000 15,441,454 20,171,550 30,613 1.31x 4.23% 5.50% (1.27%)2004 Aurora Equity Partners III, L.P. 5/19/2005 20,000,000 21,708,976 35,032,609 150,210 1.62x 13.49% 9.88% 3.61%2004 FdG Capital Partners II, L.P. 8/30/2004 35,000,000 37,720,808 43,606,491 2,318,139 1.22x 3.78% 6.68% (2.90%)2004 Lincolnshire Equity Fund III, L.P. 12/23/2004 25,000,000 24,972,502 35,333,008 9,754,918 1.81x 28.57% 10.51% 18.06%2004 Markstone Capital Partners, L.P. 7/21/2004 35,000,000 40,766,689 17,074,753 163,685 0.42x (49.01%) 10.77% (59.78%)2004 New York/Fairview Emerging Managers (Tranche A), L.P. 10/21/2004 24,000,000 24,646,553 23,214,603 5,240,759 1.15x 2.44% 8.52% (6.08%)2004 Paladin Homeland Security Fund (NY), L.P 10/1/2004 15,000,000 16,550,584 6,323,308 22,200 0.38x (14.23%) 6.16% (20.38%)2004 Yucaipa American Alliance Fund I, L.P. 10/1/2004 55,000,000 80,828,995 78,341,527 20,885,069 1.23x 4.76% 10.10% (5.34%)2005 Blackstone Mezzanine Partners II, L.P. 5/26/2006 20,000,000 19,342,116 25,639,056 204,477 1.34x 7.82% 3.63% 4.19%2005 JP Morgan Fleming (Tranche A), L.P. 12/21/2005 31,000,000 30,970,677 30,004,784 11,874,689 1.35x 5.80% 10.36% (4.55%)2005 NB NYC Growth Fund, LLC 8/16/2005 30,000,000 26,117,536 27,479,875 5,108,999 1.25x 3.59% 4.45% (0.87%)2005 New Mountain Partners II, L.P. 1/12/2005 23,225,800 21,482,843 40,969,939 364,607 1.92x 13.65% 4.46% 9.19%2005 Palladium Equity Partners III, L.P. 8/10/2005 35,000,000 37,627,512 67,827,553 3,375,376 1.89x 14.91% 10.98% 3.92%2005 Prism Venture Partners V-A, L.P. 7/14/2005 20,000,000 20,931,568 13,131,156 335,055 0.64x (8.72%) 8.17% (16.89%)2005 Psilos Group Partners III, L.P. 10/17/2007 25,000,000 26,575,585 12,820,541 17,573,489 1.14x 2.10% 6.87% (4.77%)2005 Snow Phipps Group, L.P. 8/2/2007 15,000,000 17,775,294 15,590,643 7,661,157 1.31x 5.99% 10.33% (4.33%)2005 USPF II Institutional Fund, L.P. 11/23/2005 35,000,000 46,164,567 46,256,331 14,065,953 1.31x 4.51% 7.43% (2.92%)2006 Aisling Capital II, L.P. 1/12/2006 4,500,000 5,099,563 5,112,601 207,956 1.04x 0.78% 7.92% (7.14%)2006 Ampersand 2006, L.P. 7/6/2007 15,000,000 15,000,000 24,873,025 17,414,016 2.82x 16.71% 8.42% 8.29%2006 Apollo Investment Fund VI, L.P. 5/10/2006 35,000,000 45,048,207 63,539,417 4,122,161 1.50x 8.62% 7.48% 1.15%2006 Ares Corporate Opportunities Fund II, L.P. 5/23/2006 30,000,000 32,905,774 53,060,554 2,081,755 1.68x 13.13% 3.88% 9.25%2006 Arsenal Capital Partners II, L.P. 12/19/2006 13,500,000 16,509,280 26,215,566 4,186,822 1.84x 11.63% 11.65% (0.02%)2006 Avista Capital Partners, L.P. 8/11/2006 30,000,000 39,559,256 49,499,726 854,338 1.27x 5.04% 6.39% (1.35%)2006 BDCM Opportunity Fund II, L.P. 12/28/2006 25,000,000 37,160,726 61,921,197 29,999,417 2.47x 17.96% 10.58% 7.38%2006 Blackstone Capital Partners V, L.P. 4/13/2006 75,600,000 76,444,502 122,621,038 5,576,606 1.68x 8.43% 8.29% 0.15%2006 Catterton Partners VI, L.P. 12/14/2006 30,000,000 34,300,531 50,089,255 14,036,527 1.87x 11.84% 8.50% 3.34%2006 CCMP Capital Investors II, L.P. 5/22/2007 20,000,000 21,912,981 37,723,530 17,729 1.72x 13.46% 10.57% 2.89%2006 Cinven Fourth Fund 1/22/2007 43,264,875 45,626,561 65,854,533 32,884 1.44x 7.36% 7.64% (0.28%)2006 Fairview Ventures Fund III, L.P. 7/13/2007 20,000,000 21,036,759 25,374,669 17,852,845 2.05x 14.04% 11.57% 2.48%2006 First Reserve Fund XI, L.P. 12/22/2006 30,000,000 34,241,400 21,730,022 1,661,495 0.68x (9.28%) 6.06% (15.35%)2006 GF Capital Private Equity Fund, L.P. 3/20/2008 15,000,000 15,547,039 19,565,381 7,964,634 1.77x 12.57% 11.84% 0.73%2006 GSC Recovery III, L.P. 5/4/2006 10,000,000 11,260,507 13,252,348 99,476 1.19x 4.24% 6.77% (2.53%)2006 InterMedia Partners VII, L.P. 6/8/2006 25,000,000 29,198,197 29,591,746 249,211 1.02x 0.33% 9.70% (9.36%)2006 Landmark Equity Partners XIII, L.P. 5/15/2006 25,000,000 23,655,228 23,862,305 6,671,542 1.29x 4.72% 6.29% (1.57%)2006 MidOcean Partners III, L.P. 6/19/2007 40,000,000 46,322,006 80,748,322 13,685,280 2.04x 12.89% 9.48% 3.41%2006 RRE Ventures IV, L.P. 10/25/2006 25,000,000 31,632,272 17,548,042 27,871,164 1.44x 5.46% 10.11% (4.65%)2006 Terra Firma Capital Partners III, L.P. 2/26/2007 31,060,011 31,575,601 9,044,147 5,225,606 0.45x (9.83%) 9.66% (19.49%)2006 Thomas, McNerney & Partners II, L.P. 11/30/2006 15,000,000 14,867,607 30,264,518 2,654,733 2.21x 16.37% 11.34% 5.03%2007 Carlyle Partners V, L.P. 9/28/2007 50,000,000 50,406,980 80,509,250 8,987,143 1.78x 13.38% 10.75% 2.63%2007 Co-Investment Partners Europe, L.P. 12/5/2008 26,438,889 29,174,532 34,476,740 2,071,591 1.25x 4.49% 15.15% (10.66%)2007 Constellation Ventures III, L.P. 11/20/2008 15,000,000 17,145,021 8,397,431 4,452,163 0.75x (4.82%) 16.17% (20.99%)2007 Craton Equity Investors I, L.P. 3/11/2008 10,000,000 9,266,168 1,076,950 32,753 0.12x (32.01%) 13.69% (45.70%)2007 FTVentures III, L.P. 3/1/2007 14,081,947 14,882,466 21,850,436 6,059,572 1.88x 11.23% 9.78% 1.45%2007 GSO Capital Opportunities Fund, L.P. 8/15/2008 30,000,000 48,291,339 67,124,625 489,635 1.40x 17.36% 10.10% 7.26%2007 Halyard Capital Fund II, L.P. 11/2/2007 15,000,000 12,955,286 15,730,000 2,866,652 1.44x 6.62% 9.64% (3.02%)2007 Montreux Equity Partners IV, L.P. 3/27/2007 15,000,000 14,930,359 11,239,048 12,159,302 1.57x 8.28% 9.47% (1.19%)2007 Nautic Partners VI, L.P. 6/30/2008 20,000,000 21,704,141 47,783,956 4,342,585 2.40x 18.85% 11.77% 7.08%2007 New Mountain Partners III, L.P. 9/25/2007 35,000,000 35,949,400 47,758,635 23,075,761 1.97x 13.30% 11.97% 1.33%2007 PCG Clean Energy & Technology Fund East, L.P. 4/25/2008 60,000,000 51,863,265 10,794,552 11,884,894 0.44x (11.91%) 12.87% (24.77%)2007 Pegasus Partners IV, L.P. 10/9/2007 20,000,000 26,009,188 17,737,171 6,484,164 0.93x (1.50%) 10.89% (12.39%)2007 Pine Brook Capital Partners, L.P. 4/7/2008 22,500,000 24,855,036 29,483,697 4,060,105 1.35x 8.08% 11.82% (3.73%)2007 Quaker BioVentures II, L.P. 4/18/2008 15,000,000 14,752,775 12,864,585 2,803,214 1.06x 1.46% 12.37% (10.91%)2007 RLJ Equity Partners Fund I, L.P. 4/14/2009 15,000,000 15,340,537 16,822,292 7,099,375 1.56x 10.17% 13.17% (3.00%)2007 SCP Vitalife Partners II, L.P. 1/10/2008 15,000,000 15,074,774 1,184 6,919,644 0.46x (9.73%) 6.82% (16.55%)2007 StarVest Partners II, L.P. 12/8/2008 20,000,000 20,106,956 4,182,594 12,592,998 0.83x (2.80%) 13.55% (16.35%)2007 Trilantic Capital Partners IV L.P. 10/22/2007 53,311,339 55,874,710 82,624,937 6,866,189 1.60x 14.18% 11.10% 3.08%2007 USPF III Institutional Fund, L.P. 7/10/2007 30,000,000 35,493,985 35,705,098 8,885,407 1.26x 4.17% 9.18% (5.02%)2007 Vista Equity Partners Fund III, L.P. 11/30/2007 25,000,000 26,827,735 61,640,412 6,230,302 2.53x 27.23% 9.77% 17.45%2008 Aisling Capital III, L.P. 11/20/2008 10,500,000 11,850,021 20,155,267 5,452,769 2.16x 24.97% 13.54% 11.43%2008 Apollo Investment Fund VII, L.P. 4/16/2008 50,000,000 60,473,670 95,616,021 9,052,723 1.73x 23.46% 13.28% 10.17%2008 Ares Corporate Opportunities Fund III, L.P. 7/30/2008 60,000,000 70,326,439 105,538,577 43,212,478 2.12x 21.03% 11.38% 9.65%2008 Avista Capital Partners II, L.P. 12/31/2008 50,000,000 65,011,431 100,313,615 9,249,425 1.69x 15.14% 14.51% 0.63%2008 Blue Wolf Capital Fund II, L.P. 11/14/2008 20,000,000 21,768,204 25,173,874 5,030,276 1.39x 7.79% 15.37% (7.59%)2008 Bridgepoint Europe IV, L.P. 9/30/2008 26,591,543 24,622,316 26,267,576 10,238,370 1.48x 9.36% 14.40% (5.04%)2008 First Reserve Fund XII, L.P. 11/14/2008 30,000,000 33,919,785 17,020,011 7,542,801 0.72x (7.97%) 16.34% (24.31%)2008 GCM Grosvenor TRSCNY Emerging Manager Fund, L.P. 8/22/2008 59,373,737 71,766,329 62,080,132 40,066,410 1.42x 10.60% 12.22% (1.62%)2008 GI Partners III, L.P. 7/29/2008 30,000,000 32,406,721 50,386,682 511,817 1.57x 13.02% 15.29% (2.27%)2008 Landmark Equity Partners XIV, L.P. 9/19/2008 50,000,000 48,517,085 52,461,909 10,425,358 1.30x 9.11% 12.54% (3.43%)2008 Leeds Equity Partners V, L.P. 7/28/2008 40,000,000 41,501,234 49,678,143 38,775,738 2.13x 18.88% 12.23% 6.65%2008 Levine Leichtman Capital Partners IV, L.P. 9/22/2008 25,000,000 26,635,586 42,163,089 3,051,271 1.70x 18.54% 14.04% 4.50%2008 New York/Fairview Emerging Managers (Tranche B), L.P. 5/28/2008 35,000,000 34,735,029 35,844,191 26,862,254 1.81x 14.35% 11.98% 2.37%2008 NGN BioMed Opportunity II, L.P. 10/31/2008 15,000,000 14,363,866 10,009,657 7,877,370 1.25x 3.43% 14.39% (10.96%)2008 Onex Partners III, L.P. 3/31/2009 $40,000,000 $43,697,601 $54,939,513 $17,405,545 1.66x 12.64% 14.35% (1.71%)2008 Paladin III (NY City), L.P. 1/8/2008 20,000,000 25,679,914 19,070,774 20,998,441 1.56x 9.64% 11.00% (1.36%)2008 Relativity Fund, L.P. 1/17/2008 15,000,000 8,181,270 4,055,376 87,270 0.51x (10.76%) 11.81% (22.57%)2008 Riverstone/Carlyle Global Energy & Power Fund IV 9/29/2008 32,500,000 35,439,381 30,344,588 11,780,634 1.19x 4.73% 13.23% (8.49%)2008 Yucaipa American Alliance Fund II, L.P. 3/28/2008 75,000,000 102,882,362 89,003,111 87,012,008 1.71x 10.96% 11.42% (0.46%)2008 Yucaipa Corporate Initiatives Fund II, L.P. 6/23/2008 35,000,000 32,132,846 11,668,326 18,479,943 0.94x (1.02%) 11.32% (12.34%)2009 Lincolnshire Equity Fund IV, L.P. 8/7/2009 12,500,000 12,673,645 14,514,012 5,533,582 1.58x 11.02% 12.78% (1.75%)2009 Welsh, Carson, Anderson & Stowe XI, L.P. 2/10/2009 30,000,000 30,000,000 38,850,890 11,028,934 1.66x 12.79% 14.15% (1.36%)2010 JP Morgan Fleming (Tranche B), L.P. 3/31/2008 10,000,000 10,308,198 7,173,788 7,290,518 1.40x 8.28% 12.24% (3.96%)2010 Trident V, L.P. 12/30/2010 35,000,000 39,574,635 38,253,514 25,066,524 1.60x 11.15% 11.60% (0.44%)2011 American Securities Partners VI, L.P. 1/10/2012 100,000,000 107,279,493 161,050,017 44,313,420 1.91x 21.95% 12.19% 9.76%2011 Ampersand 2011, L.P. 3/11/2011 17,500,000 17,500,000 20,619,939 28,288,456 2.79x 22.02% 11.17% 10.85%2011 AXA Secondary Fund V L.P. 8/11/2011 160,000,000 85,771,717 116,578,851 15,896,601 1.54x 13.87% 14.96% (1.09%)2011 BC European Capital IX, L.P. 9/19/2011 65,536,644 71,446,121 47,322,120 51,061,796 1.38x 10.05% 11.80% (1.75%)2011 Blackstone Capital Partners VI, L.P. 1/24/2011 60,000,000 58,908,189 34,473,617 53,655,940 1.50x 11.79% 10.44% 1.35%2011 EQT VI, L.P. 8/1/2011 48,584,434 50,928,290 53,196,427 32,444,039 1.68x 14.34% 11.04% 3.29%2011 Pegasus Partners V, L.P. 8/16/2011 20,789,916 24,634,400 6,920,507 31,769,614 1.57x 13.00% 11.10% 1.90%2011 Vista Equity Partners IV, L.P. 11/30/2011 100,000,000 98,374,448 111,603,608 85,218,708 2.00x 18.55% 12.07% 6.48%2012 Green Equity Investors VI, L.P. 11/30/2012 100,000,000 108,095,649 64,920,487 107,970,182 1.60x 15.97% 9.44% 6.53%2012 Ares Corporate Opportunities Fund IV, L.P. 11/5/2012 105,000,000 111,316,963 59,944,415 95,238,039 1.39x 12.03% 8.45% 3.58%2012 Platinum Equity Capital Partners III, L.P. 1/14/2013 115,000,000 108,060,424 147,016,704 42,104,762 1.75x 36.88% 11.63% 25.24%2012 Trilantic Capital Partners V (North America), L.P. 9/20/2012 70,000,000 70,536,502 59,207,202 47,144,732 1.51x 18.29% 9.72% 8.57%2012 Warburg Pincus Private Equity XI, L.P. 5/24/2012 175,000,000 177,486,180 78,187,208 183,927,685 1.48x 12.47% 10.07% 2.40%2012 NYCTRS - 2012 Emerging Manager Program* 2/7/2013 165,050,000 159,827,606 53,974,414 170,776,149 1.41x 13.74% 7.64% 6.10%2013 Apollo Investment Fund VIII, L.P. 12/11/2013 200,000,000 180,313,235 52,817,755 169,975,944 1.24x 10.23% 7.55% 2.68%2013 Carlyle Partners VI, L.P. 7/3/2013 125,000,000 128,753,303 51,652,166 113,706,948 1.28x 11.62% 7.35% 4.27%2014 CVC Capital Partners VI, L.P. 2/18/2014 174,832,629 171,828,348 45,703,382 178,179,378 1.30x 14.34% 6.18% 8.16%

Teachers' Retirement System of the City of New YorkPrivate Equity Portfolio

As of December 31, 2018 (in USD)

38


DrawdownCommitted


Teachers' Retirement System of the City of New YorkPrivate Equity Portfolio

As of December 31, 2018 (in USD)

2013 Landmark Equity Partners XV, L.P. 10/30/2013 113,000,000 77,894,354 50,896,086 49,526,785 1.29x 14.26% 8.45% 5.81%2013 Landmark Equity Partners XV, L.P. - Side Car 12/24/2013 37,000,000 29,232,445 17,554,907 27,986,569 1.56x 24.01% 6.26% 17.75%2013 Crestview Partners III, L.P. 3/3/2015 75,000,000 45,131,879 8,124,329 49,665,578 1.28x 14.00% 4.90% 9.10%2013 Crestview Partners III (Co-Investment B), L.P. 12/17/2015 25,000,000 22,913,169 1,253,803 24,589,407 1.13x 6.76% 7.32% (0.57%)2014 Carlyle Partners VI, L.P. - Side Car 9/23/2014 13,750,000 9,797,988 574,273 9,454,221 1.02x 0.80% 8.15% (7.35%)2014 Olympus Growth Fund VI, L.P. 1/21/2014 100,000,000 81,611,166 33,902,234 74,061,678 1.32x 15.29% 8.54% 6.75%2014 ASF VI, L.P. 5/9/2014 112,000,000 76,494,997 37,510,333 68,537,151 1.39x 12.93% 8.23% 4.70%2014 ASF VI NYC Co-Invest, L.P. 5/9/2014 38,000,000 28,270,622 21,588,650 17,568,330 1.39x 12.85% 6.71% 6.15%2015 Centerbridge Capital Partners III, L.P. 5/21/2015 33,500,000 18,833,408 6,259,361 16,991,713 1.23x 11.03% 6.83% 4.20%2014 Lexington Capital Partners VIII, L.P. 1/8/2015 150,000,000 103,361,628 39,186,553 102,184,109 1.37x 24.02% 5.73% 18.29%2014 Vista Equity Partners Fund V, L.P. 9/8/2014 125,000,000 143,630,888 112,476,106 137,505,060 1.74x 22.70% 8.03% 14.66%2015 Siris Partners III, L.P. 5/4/2015 45,000,000 37,795,946 20,567,834 23,389,286 1.16x 9.64% 7.34% 2.30%2015 American Securities Partners VII, L.P. 7/8/2016 111,000,000 71,755,437 14,066,035 48,541,514 0.87x (9.43%) 6.59% (16.02%)2015 ASF VII, L.P. 12/29/2015 134,000,000 43,199,695 4,759,899 50,017,607 1.27x 18.13% 3.44% 14.69%2015 ASF VII B NYC Co-Invest, L.P. 12/29/2015 67,000,000 28,751,476 2,678,215 42,145,795 1.56x 47.61% (4.30%) 51.91%2015 Bridgepoint Europe V, L.P. 2/8/2016 88,708,671 77,308,052 10,938,241 89,772,778 1.30x 20.69% 4.81% 15.88%2015 NYCTRS - 2015 Emerging Manager Program** 2/22/2016 209,950,000 62,223,011 2,226,683 69,693,474 1.16x 19.83% (2.22%) 22.05%2015 Welsh, Carson, Anderson & Stowe XII, L.P. 8/26/2015 110,500,000 75,397,776 15,384,963 100,733,207 1.54x 26.77% 5.28% 21.49%2015 Bridgepoint Europe V Co-Invest 8/16/2016 25,357,719 23,513,229 2,350,623 35,123,494 1.59x 39.87% 2.02% 37.86%2016 Vista Equity Partners Fund VI, L.P. 6/28/2016 223,000,000 207,534,426 56,846,244 205,826,189 1.27x 16.77% 5.18% 11.59%2016 Apax IX USD, L.P. 5/12/2017 178,000,000 78,815,083 1,688,183 92,955,147 1.20x 16.33% (1.49%) 17.83%2017 Ares Corporate Opportunities Fund V, L.P. 6/22/2017 134,000,000 56,652,626 2,306,877 53,371,977 0.98x (2.01%) (5.83%) 3.83%2017 Green Equity Investors VII, L.P. 5/12/2017 134,000,000 61,596,586 530,624 66,134,979 1.08x 8.01% (3.01%) 11.02%2017 BC European Capital X, L.P. 12/14/2017 127,727,228 63,013,720 - 59,424,981 0.94x (10.21%) (10.18%) (0.03%)2017 BC European Capital X Metro Co-Investment L.P. 3/24/2017 51,464,488 30,131,960 - 29,457,112 0.98x (2.89%) (8.57%) 5.68%2016 Platinum Equity Capital Partners IV, L.P. 3/21/2017 156,000,000 100,572,601 26,632,873 104,941,812 1.31x 36.12% (3.01%) 39.13%2018 CVC Capital Partners VII, L.P. 6/30/2018 156,491,564 24,563,857 - 26,347,890 1.07x N/M N/M N/M2018 Apollo Investment Fund IX, L.P. N/A 256,000,000 - - (2,693,802) N/A N/A N/A N/A2017 KKR Americas Fund XII, L.P. 2/27/2018 223,000,000 76,796,598 1,470,088 73,816,621 0.98x (4.18%) (20.89%) 16.71%2018 Bridgepoint Europe VI, L.P. N/A 97,854,077 - - (852,750) N/A N/A N/A N/A2018 EQT VIII SCSP 8/10/2018 89,270,386 783,920 - (307,678) -0.39x N/M N/M N/M2018 Bridgepoint Europe VI Co-Invest N/A 24,463,519 - - - N/A N/A N/A N/A2018 Siris Partners IV, L.P. N/A 71,000,000 - - (450,818) N/A N/A N/A N/A2018 Crestview Partners IV (FF), L.P. N/A 19,000,000 - - - N/A N/A N/A N/A2018 Crestview Partners IV, L.P. N/A 57,000,000 - - - N/A N/A N/A N/A2018 Platinum Equity Capital Partners IV, L.P. (Co-Invest) 9/7/2018 22,000,000 15,400,000 - 9,042,528 0.59x N/M N/M N/M2018 Platinum Equity Small Cap Fund, L.P. 6/27/2018 32,500,000 1,585,163 - 1,138,261 0.72x N/M N/M N/M2018 EQT VIII SCSP (Co-Invest) 11/2/2018 32,425,356 4,832,691 - 4,862,123 1.01x N/M N/M N/M2018 Vista Equity Partners Fund VII, L.P. N/A 142,000,000 - - (117,899) N/A N/A N/A N/A2019 KKR European Fund V, L.P. - USD N/A 89,000,000 - - - N/A N/A N/A N/A2019 Lexington Capital Partners IX, L.P. N/A 81,125,000 - - - N/A N/A N/A N/A2019 Palladium Equity Partners V, L.P. N/A 26,666,667 - - (986,777) N/A N/A N/A N/A2019 WCAS XIII, L.P. N/A 71,000,000 - - - N/A N/A N/A N/A

$8,494,996,440 $6,377,114,319 $5,062,031,251 $4,044,441,050 1.43x$667,679,929 $665,466,102 $842,590,216 $0 1.27x

$9,151,226,368 $7,042,580,421 $5,904,621,466 $4,044,441,050 1.41x 10.07% 9.24% 0.83%


DrawdownCommitted


Commitments Closed Subsequent to December 31, 20182019 ASF VIII B NYC Co-Invest, L.P. N/A $79,000,000 - - - N/A N/A N/A N/A2019 ASF VIII, L.P. N/A 158,000,000 - - - N/A N/A N/A N/A2019 LCP IX Co-invest Partners B, L.P. N/A 28,375,000 - - - N/A N/A N/A N/A2019 Lindsay Goldberg V, L.P. N/A 79,000,000 - - - N/A N/A N/A N/A2019 Warburg Pincus Global Growth, L.P. N/A 114,000,000 - - - N/A N/A N/A N/A

$458,375,000 - - - N/A N/A N/A N/A

Note: Where available, June 30, 2018 reported valuations were used. In the absense of December 31, 2018 reported values, market values have been adjusted forward using interim cashflows through December 31, 2018. The IRR calculated in the early years of a fund is not meaningful given the j-curve effect. The aggregate portfolio performance figures for IRR and multiple are as of December 31, 2018.

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

*Please note that the NYCTRS - 2012 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $165.1 million has been committed as of December 31, 2018.

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

**Please note that the NYCTRS - 2015 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $90 million has been committed as of December 31, 2018.

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

Total Exited InvestmentsTotal Portfolio

Total Commitments Closed Subsequent to as of Date

Total Active Investments

39

-$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

($ m

m)

NYC Teachers Monthly PE Cash Flow Summary(as of May 31, 2019)

Contributions Distributions Net Cash Flow

40

Teachers’ Retirement System of the City of New York Fourth Quarter 2018

Investments by StrategyVintage

YearFirst

Draw-Committed

Capital Contributions Distributions Market ValueUnfunded

CommitmentEquity Multip IRR

Almanac Realty Securities VI 2012 6/2012 100,000,000 62,200,176 (59,066,639) 28,119,492 - 1.40x 12.9%Almanac Realty Securities VI (Sidecar III) 2012 8/2012 35,000,000 11,707,370 (6,971,053) 11,829,171 - 1.61x 18.8%Almanac Realty Securities VII 2015 4/2015 65,000,000 46,264,149 (11,850,062) 46,557,835 24,000,021 1.26x 14.1%Almanac Realty Securities VII (Sidecar III) 2015 12/2015 20,000,000 10,684,035 (1,214,221) 12,897,998 9,357,894 1.32x 17.8%Almanac Realty Securities VIII 2018 12/2018 51,000,000 128,301 - (89,749) 50,871,699 N/A N/AAlmanac Realty Securities VIII (Sidecar II) 2018 12/2018 34,000,000 99,491 - 95,198 33,900,509 N/A N/AArtemis Co-Investment1 2016 2/2016 70,000,000 68,271,808 (25,084,128) 57,091,462 15,593,750 1.20x 21.9%Artemis Income and Growth Fund 2018 N/A 101,000,000 - - - 101,000,000 N/A N/ABrookfield Premier Real Estate Partners 2016 11/2016 119,000,000 127,126,425 (8,126,425) 147,713,380 - 1.23x 12.0%Carlyle Property Investors 2017 7/2017 119,000,000 124,280,899 (5,280,900) 128,969,684 - 1.08x 6.8%Colony Realty Partners II 2006 12/2006 15,000,000 18,499,529 (6,718,272) - - 0.36x -13.3%Exeter Core Industrial Club Fund II 2016 5/2016 37,000,000 21,811,500 (2,708,837) 24,107,217 15,188,500 1.23x 14.3%Heitman America Real Estate Trust, L.P. 2007 3/2007 48,000,000 76,202,709 (28,202,709) 105,730,532 - 1.76x 8.0%Heitman Core Real Estate Debt Income Trust 2 2018 11/2018 59,000,000 21,267,927 - 21,482,039 37,732,073 N/A N/AJamestown Premier Property Fund 2016 2/2016 64,961,594 61,138,545 (26,310,575) 47,336,103 12,961,594 1.20x 9.8%JP Morgan Special Situation Property Fund 2007 1/2007 15,000,000 23,760,253 (12,398,526) 21,657,888 - 1.43x 4.8%JP Morgan Strategic Property Fund 2006 12/2006 86,000,000 120,620,329 (25,993,896) 195,703,675 - 1.84x 8.0%LaSalle Property Fund 2010 7/2010 104,000,000 49,798,310 (18,047,281) 72,088,090 54,000,000 1.81x 10.7%Lion Industrial Trust 2017 1/2017 98,000,000 89,378,806 (6,378,808) 107,465,115 15,000,000 1.27x 15.1%MetLife Core Property Fund 2014 7/2014 80,000,000 80,000,000 (14,310,739) 99,482,663 - 1.42x 9.7%NYC Asset Investor #2 2013 7/2013 145,000,000 141,006,673 (39,423,481) 189,322,309 9,332,791 1.62x 14.9%Prologis Targeted US Logistics Fund 2006 10/2006 10,000,000 13,698,009 (4,305,931) 18,296,012 - 1.65x 5.4%Prudential PRISA 2006 9/2006 36,000,000 38,793,503 (14,227,721) 50,849,203 - 1.68x 4.8%Prudential PRISA II 2007 6/2007 63,374,139 67,585,272 (20,570,792) 95,146,538 - 1.71x 5.8%RREEF America REIT II 2006 10/2006 36,000,000 47,527,452 (24,127,835) 51,855,117 - 1.60x 5.2%RREEF America REIT III 2007 10/2007 15,000,000 15,000,000 (8,526,095) - - 0.57x -7.5%UBS Trumbull Property Fund 2006 9/2006 106,000,000 161,379,613 (105,983,523) 146,597,769 - 1.57x 7.0%USAA Eagle Real Estate Fund 2015 12/2015 98,000,000 91,275,045 (6,732,351) 102,631,945 13,447,799 1.20x 8.8%Core / Core Plus Portfolio 1,830,335,733 1,589,506,129 (482,560,797) 1,782,936,685 392,386,630 1.43x 7.6%Aermont Capital Real Estate Fund IV1,2 2018 N/A 84,726,300 - - - 84,726,300 N/A N/AAmerican Value Partners Fund I 1 2007 10/2007 25,000,000 17,872,806 (18,806,245) 2,002,466 7,127,194 1.16x 3.2%Apollo Real Estate Investment Fund V 2006 6/2006 5,000,000 5,000,000 (3,785,344) 1,624,715 500,000 1.08x 1.0%Avanath Affordable Housing Fund II 1 2015 7/2015 10,000,000 10,108,439 (872,910) 14,237,886 277,614 1.49x 13.4%Basis Investment Group Real Estate Fund I 1,2 2017 11/2017 19,400,000 7,223,295 (2,185,211) 5,740,819 13,717,589 1.10x 14.5%BlackRock Carbon Capital III Co-Investments 2009 7/2009 40,000,000 43,757,162 (53,189,633) - - 1.22x 8.9%Blackstone Real Estate Partners Europe III - USD 2008 10/2008 50,000,000 42,729,929 (68,787,209) 4,263,291 10,199,839 1.71x 16.2%Blackstone Real Estate Partners IV L.P. 2004 5/2004 25,000,000 31,994,609 (41,692,052) 2,845,983 - 1.39x 10.0%Blackstone Real Estate Partners VI L.P. 2007 7/2006 50,000,000 54,622,277 (106,539,002) 2,402,963 3,912,723 1.99x 13.4%Brookfield Strategic Real Estate Partners 2012 9/2012 125,000,000 130,063,581 (132,810,888) 77,964,954 24,103,056 1.62x 16.4%Brookfield Strategic Real Estate Partners III, L.P. 2018 N/A 193,000,000 - - - 193,000,000 N/A N/ACanyon Johnson Urban Fund III 2010 3/2010 25,000,000 24,976,013 (33,642,984) 29,449 344,184 1.35x 11.9%Canyon-Johnson Urban 2002 12/2002 15,000,000 13,742,215 (16,418,450) - - 1.19x 11.1%Canyon-Johnson Urban II 2005 5/2005 30,000,000 26,966,111 (11,923,957) 102,328 3,033,889 0.45x -10.5%Capri Urban Investors 2008 6/2008 40,000,000 40,000,000 (18,350,614) 11,319,060 - 0.74x -4.2%Carlyle Realty Partners V, L.P. 2007 8/2007 15,000,000 18,977,503 (22,863,103) 3,738,634 3,498,131 1.40x 8.4%Carlyle Realty Partners VI, L.P. 2011 9/2011 70,000,000 75,378,878 (105,802,596) 9,663,756 46,050,411 1.53x 21.3%Carlyle Realty Partners VII, L.P. 2014 7/2014 120,000,000 100,348,477 (61,680,779) 74,057,520 64,342,240 1.35x 15.2%DivcoWest Fund IV 2014 1/2014 25,000,000 24,750,416 (35,901,622) 5,020,462 2,247,328 1.65x 26.3%DivcoWest Fund V 2016 12/2016 78,000,000 37,727,003 (55,991) 39,328,617 40,272,997 1.04x 4.1%DRA Growth and Income Fund IX 2017 3/2017 56,000,000 30,816,366 (8,448,887) 28,019,070 30,403,339 1.18x 19.7%DRA Growth and Income Fund VIII 2014 9/2014 75,000,000 88,882,536 (50,801,318) 63,306,884 2,944,444 1.28x 12.3%Exeter Industrial Value Fund IV, L.P. 2016 9/2017 34,000,000 18,700,000 - 20,175,113 15,300,000 1.08x 12.3%H/2 Special Opportunities Fund II 2 2011 2/2011 40,000,000 40,045,335 (57,031,777) 4,392,532 - 1.53x 14.5%H/2 Special Opportunities Fund III 2 2014 12/2014 65,000,000 65,000,000 (40,143,455) 42,318,347 - 1.27x 11.4%H/2 Special Opportunities Fund IV 2 2016 11/2016 119,000,000 17,614,360 (968,067) 15,826,366 102,300,851 0.95x -3.3%JPM Urban REN PTY FD 2008 12/2008 16,360,625 4,206,523 (4,206,523) - - 1.00x 0.0%KKR Real Estate Partners Americas II 2 2018 2/2018 135,380,000 34,329,885 (1,718,551) 34,527,890 101,569,747 N/A N/AKTR Industrial Fund III 2013 6/2013 70,000,000 31,827,047 (49,651,783) - - 1.56x 40.5%Lone Star Real Estate Fund III 2 2013 2/2014 190,000,000 181,714,995 (219,505,226) 24,788,404 11,891,059 1.34x 15.0%Metropolitan Workforce Housing Fund 1 2007 7/2007 10,500,000 10,509,770 (12,352,222) 396,950 - 1.21x 3.9%NYC Asset Investor #1 2013 6/2013 60,000,000 67,104,915 (27,516,679) 56,636,441 12,514,030 1.25x 6.8%NYC Asset Investor #3 2013 9/2013 96,000,000 60,399,037 (10,583,936) 65,815,537 35,600,962 1.26x 9.2%NYCRS-KKR CMBS Retention Partners 2 2017 9/2017 159,000,000 94,811,529 (5,458,840) 117,085,602 64,514,602 1.29x 30.8%OCM Real Estate Opportunities Fund IIIA 2003 5/2003 15,000,000 15,000,000 (23,027,038) 539,402 - 0.02x 1.3%Pramerica Real Estate Capital VI 2 2016 4/2017 68,105,305 33,991,777 (15,139,898) 25,101,496 44,965,632 1.18x 16.8%PW Real Estate Fund III 2016 10/2016 66,223,453 37,994,577 (4,873,219) 46,796,229 28,228,836 1.27x 26.6%Silverpeak Legacy Partners III 2008 6/2008 30,000,000 12,281,062 (3,839,750) 1,796,416 - 0.46x -12.2%

41

Teachers’ Retirement System of the City of New York Fourth Quarter 2018

Investments by StrategyVintage

YearFirst

Draw-Committed

Capital Contributions Distributions Market ValueUnfunded

CommitmentEquity Multip IRR

Stockbridge Real Estate III 2008 9/2008 22,500,000 22,498,458 (14,024,794) 12,233,086 1,542 1.17x 2.3%Taconic New York City Investment Fund 2012 7/2012 70,000,000 29,272,728 (46,945,824) 4,664,523 40,727,272 1.76x 16.0%The City Investment Fund I 2004 3/2004 120,000,000 118,337,757 (119,671,892) 211,008 - 1.01x 0.3%Thor Urban Property Fund II 2007 10/2008 12,500,000 17,123,783 (17,119,140) 5,303,932 928,471 1.31x 7.8%Tishman Speyer Citigroup Alt Inv V&VI NYC 2004 8/2004 100,000,000 72,402,952 (252,300,326) - - 3.48x 57.5%Tristan European Property Investors Special Opp IV 2015 12/2015 65,890,863 45,982,444 (2,851,980) 48,181,924 22,766,947 1.11x 10.6%UrbanAmerica II 1 2007 1/2007 11,000,000 10,218,031 (1,166,806) - - 0.11x -24.8%Westbrook Real Estate Fund VIII, L.P. 2009 12/2009 50,000,000 59,574,065 (68,952,803) 9,919,540 4,310,561 1.32x 11.6%Westbrook Real Estate Fund X Co-Investment 2016 7/2016 47,000,000 23,922,497 (5,377,886) 21,475,937 28,506,374 1.12x 11.6%Non-Core Portfolio 2,849,586,546 1,950,801,144 (1,798,987,210) 903,855,531 1,044,828,164 1.38x 13.5%Emerging Manager 2007 230,626,300 124,204,149 (60,467,521) 79,469,583 121,442,447 1.13x 4.1%Debt 2011 939,611,605 495,999,102 (342,151,025) 291,263,495 461,417,853 1.28x 15.2%Total Active 4,679,922,279 3,540,307,272 (2,281,548,007) 2,686,792,216 1,437,214,795 1.40x 9.9%1 Emerging managers

2 Debt investments

42

‐$150,000,000

‐$100,000,000

‐$50,000,000

$0

$50,000,000

$100,000,000

$150,000,000

Amou

ntTRS Monthly Real Estate Cash Flow Summary

(as of May 31, 2019)


43

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 $140,000,000 $111,143,370 $28,516,435 $134,239,863 1.5x 12.7%2014 IFM Global Infrastructure Fund 1/2/2014 $140,000,000 $186,921,633 $77,977,373 $181,359,288 1.4x 12.3%2014 Global Energy & Power Infrastructure Fund II 4/16/2014 $90,000,000 $76,072,593 $43,446,148 $62,491,206 1.4x 37.3%2014 KKR Global Infrastructure Investors II L.P. 6/12/2015 $100,000,000 $96,352,746 $10,469,307 $103,000,602 1.2x 10.8%2016 Global Infrastructure Partners III‐A/B, L.P. 1/29/2016 $139,000,000 $98,533,290 $2,206,347 $97,483,272 1.0x 1.1%2016 Brookfield Infrastructure Fund III, L.P. 4/15/2016 $119,000,000 $44,294,936 $3,480,393 $44,857,135 1.1x 8.2%2016 Actis Energy 4 12/16/2016 $72,600,000 $37,911,673 $5,591,532 $37,896,000 1.1x 18.6%2017 EQT Infrastructure III (No.2) SCSp 2/18/2017 $63,651,870 $39,624,432 $2,639,560 $44,699,900 NM NM2017 ASF VII Infrastructure L.P. 4/24/2017 $65,000,000 $7,185,857 $2,238,593 $6,435,647 NM NM2017 Axium Infrastructure North America 8/14/2017 $65,448,527 $40,239,511 $295,744 $40,233,663 NM NM2017 NYCRS EIG Energy Partners, L.P. 8/14/2017 $64,710,000 $6,906,254 $211,764 $6,986,708 NM NM2018 NYCRS EIG Energy Partners Co‐Investment, L.P. 1/12/2018 $16,180,000 ‐ ‐ ‐ NM NM2018 KKR Global Infrastructure Investors III L.P. 3/29/2018 $75,000,000 $5,196,625 ‐ $4,583,792 NM NM2018 Global Energy & Power Infrastructure Fund III, L.P. 7/3/2018 $75,000,000 ‐ ‐ ‐ NM NM2018 Cardinal NR Sidecar Holdings L.P. 10/5/2018 $9,000,000 $9,000,000 ‐ $8,804,290 NM NM2019 EQT Infrastructure IV (No.2) USD SCSp 12/20/2018 $87,000,000 ‐ ‐ ‐ NM NMTotal $1,321,590,397 $759,382,919 $177,073,196 $773,071,367 1.3x 13.0%

Teachers' Retirement System of the City of New YorkInfrastructure PortfolioAs of December 31, 2018

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.

44

($75,000,000)

($67,500,000)

($60,000,000)

($52,500,000)

($45,000,000)

($37,500,000)

($30,000,000)

($22,500,000)

($15,000,000)

($7,500,000)

$0

$7,500,000

$15,000,000

$22,500,000

$30,000,000

$37,500,000

Amou

nt

TRS Monthly Infrastructure Cash Flow Summary(as of May 31, 2019)


45

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