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Common Investment Meeting (TRS) · 6/19/2019 · first quarter of 2019, trailing the custom...
Transcript of Common Investment Meeting (TRS) · 6/19/2019 · first quarter of 2019, trailing the custom...
Common Investment Meeting (TRS)Schedule Wednesday, June 19, 2019 9:00 AM — 3:00 PM EDTVenue Office of the New York City Comptroller, 1 Centre Street, 10th
Floor (Room 1005) - Northside, New York, NY 10007Organizer Kim Boston
Agenda
PUBLIC SESSION 1
9:00 AM Welcome and Opening 2
9:05 AM Quarterly Fund Performance Overview: 3
SUPPLEMENTAL MATERIAL - PERFORMANCE REPORTING(Public):
4
Total Fund Overview (Public): 5
TRS 1Q19 Quarterly Report Overview_(Public).pdf 6
ETI Quarterly Report (Public): 68
CIM_ETI 1Q Qtrly Rpt (Public)_06.19.2019 (TRS).pdf 69
Private Equity Quarterly Report (Public): 75
CIM_PE 4Q Qrtly Report (Public)_(T).pdf 76
Real Estate Quarterly Report (Public): 104
CIM_RE 4Q Qtrly Rpt (Public)_06.19.2019 (TRS).pdf 105
Infrastructure Quarterly Report (Public): 139
CIM_Infra 4Q Qtrly Rpt (Public)_06.19.2019 (TRS).pdf 140
Risk Quarterly Report (Public): 157
CIM_Risk 1Q Quarterly Report_06.19.2019 (TRS).pdf 158
APPENDICES: 199
Basket Clause 200
CIM_Basket Clause Rpt_06.19.19 (TRS).pdf 201
Liquidity Analysis 202
CIM_Liquidity Report_06.19.2019 (TRS).pdf 203
PUBLIC SESSION
Welcome and Opening
Quarterly Fund Performance Overview:
SUPPLEMENTAL MATERIAL -PERFORMANCE REPORTING (Public):
Total Fund Overview (Public):
Teachers' Retirement Systemof New York CityPerformance Overview as of March 31, 2019
Total Fund Overview
Teachers' Retirement System of New York City 1Performance Overview as of March 31, 2019
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Teachers' Retirement System
of New York City
Consultant's Commentary & Performance Charts p.3
Appendix A - Consolidated Performance Report p.28
Appendix B - Public Markets Manager Performance Detail p.35
Appendix C - Alternative Assets Manager Performance Detail p.48
Appendix D - Footnotes p.58
Table of Contents:
Teachers' Retirement System of New York City 2Performance Overview as of March 31, 2019
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Market Backdrop: Global equity markets closed the first quarter with strong performance. U.S. equity markets rallied throughout the quarter, finishing up 14.0% (proxied by the Russell 3000 Index). Outside the U.S., developed and emerging equity markets modestly underperformed U.S. markets during the quarter. Developed international equity returned 10.1% (MSCI EAFE Index in USD terms) during the quarter while emerging markets returned 10.0% (MSCI Emerging Markets Index in USD terms). During the quarter, U.S. REITs returned 15.7% as measured by the DJ U.S. Select Real Estate Securities Index. The broad fixed income market, as proxied by the Core +5 Index, returned 3.5% in the quarter as interest rates fell. Below investment grade corporate bonds outperformed in the quarter, as the Bloomberg Barclays High Yield 2% Issuer Cap Index returned 7.3% and the Credit Suisse Leveraged Loan Index returned 3.8%. Total Fund Performance: The Teachers’ Total Fund returned 7.57% (net of fees) for the quarter ending March 31, 2019, outperforming the policy benchmark by 43 basis points. Manager selection added 93 basis points of outperformance, with 14 basis points of that coming from the international developed equity composite. After a weak fourth quarter of 2018, global public equity markets rebounded in the first of 2019 to help lead the Total Fund to strong absolute returns for the one-year period ending March 31, 2019, the Total Fund
14.0%
10.5%
3.5%
7.3%
15.7%
8.8%
-4.0%
4.9% 5.9%
19.7%
13.5%
7.3%
2.4%
8.6%5.3%
-10%
-5%
0%
5%
10%
15%
20%
25%
Russell 3000 MSCI World ex U.S. IMI Core + 5 Bbg Barc US HY - 2% IssrCap
DJ U.S. Select Real EstateSecurities Index
Capital Market Performance
Qtr 1 year 3 year
Consultant's Commentary
Through March 31, 2019
Teachers' Retirement System of New York City 3Performance Overview as of March 31, 2019
Page 8 of 204
returend 4.42% net of fees, outperforming the policy benchmark by 48 basis points. For the three-year period ending March 31, 2019, the Total Fund modestly outperformed its benchmark, with a return of 8.93%, net of fees, versus the benchmark return of 8.85%. Please note that all composite and manager performance data in the sections below is reported net of fees. The Total Fund fees for public market assets for the calendar year-to-date ending March 31, 2019 have been estimated at approximately 6 basis points.
• Total Fund Asset Allocation - $74.8 Billion: As of March 31, 2019, the Fund had total assets of $74.8 billion, up from $69.1
billion on December 31, 2018. In the Growth segment of the Total Fund, underweights to non-core private real estate and opportunistic fixed income of 5.2% were offset by an overweight to REITs, consistent with the strategy to invest assets in more liquid assets while awaiting private real estate commitments to be drawn down. In the Deflation Protection segment of the Fund, U.S. Treasuries were 3.9% above long-term targets. Finally, within the Inflation Protection segment of the Fund, core real estate and infrastructure remain about 3.5% below target in aggregate, pending new commitments to and capital calls from private funds. As of March 31, 2019, the total private equity, infrastructure, and private real estate invested allocation was 10.0% versus their aggregate long-term allocation of 17.0%.
• U.S. Equity - $21.2 Billion, 28% of Fund: The U.S. equity composite modestly outperformed the broad U.S. equity market,
returning 14.08% against the Russell 3000 Index return of 14.04%. Approximately 97% of the U.S. equity composite is allocated to passively managed mandates. The actively managed portion of the U.S. equity composite returned 18.56% during the quarter, outperforming the Russell 3000 by 452 basis points. For the one-year ending March 31, 2019 the U.S. equity composite outperformed the index, returning 9.16% versus the Russell 3000 Index’s return of 8.77%. Over the three-year period ending March 31, 2019, the total U.S. equity composite outperformed the Russell 3000 index return of 13.49% by 25 basis points.
• Developed International Equity - $8.6 Billion, 12% of Fund: Non-U.S. developed equity markets, as measured by the MSCI
World ex U.S. IMI Net Dividends Index, returned 10.52% in U.S. dollar terms during the quarter (10.99% in local currency terms). For the same time-period, the Fund’s total developed international equity composite returned 11.77%, outperforming its Custom MSCI World ex U.S. benchmark by 125 basis points, driven primarily by significant outperformance during the quarter by Baillie Gifford. In contrast with the U.S. equity composite, as of March 31, 2019, the developed international equity composite was approximately 73% actively managed. For the one-year period ending March 31, 2019, the overall composite returned -4.03%, trailing the Custom MSCI World ex U.S. benchmark by 6 basis points. Over the three-year period ending March 31, 2019, the total developed international composite outperformed the benchmark return of 9.27% by 187 basis points.
• Emerging Markets Equity - $6.6 Billion, 9% of Fund: Emerging market equities, as measured by the TRS Custom EM Index, returned 6.18%. For the first quarter of 2019, the emerging markets equity composite, which is about 71% actively managed, returned 7.31%, outperforming the TRS Custom EM Benchmark’s return of 6.18% over the same period. For the one-year period
Consultant's Commentary
Through March 31, 2019
Teachers' Retirement System of New York City 4Performance Overview as of March 31, 2019
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ending March 31, 2019, the emerging markets equity composite returned -7.82%, outperforming the benchmark return of -8.62%. For the three-year period ending March 31, 2019, the emerging markets equity composite returned 8.83%, performing in-line with the benchmark return of 8.85%.
• REITs - $1.2 Billion, 2% of Fund: The U.S. REIT market, as measured by the Dow Jones U.S. Select Real Estate Securities
Index, returned 15.72% during the first quarter of 2019. The Fund’s REITs composite, which is fully actively managed, outperformed the benchmark during the first quarter of 2019, returning 16.14%. Over the three-year period ending March 31, 2019, this composite returned 5.74%, outperforming the index return of 5.29%.
• Structured Fixed Income – $16.1 Billion, 22% of Fund: The structured fixed income composite returned 3.45% during the
first quarter of 2019, trailing the custom structured benchmark return of 4.19% over the same time period. Over the one-year period ending March 31, 2019 the composite trailed the benchmark return of 5.67% by 74 basis points. For the three-year period ending March 31, 2019, the program returned 2.65%.
• Enhanced Yield - $3.7 Billion, 5% of Fund: This asset class, as measured by the Bloomberg Barclays U.S. High Yield 2% Issuer
Cap Index, returned 7.26% during the first quarter of 2019. The actively managed enhanced yield composite trailed the benchmark, returning 7.10% over the same time period. For the one-year period ending March 31, 2019, this composite returned -5.72% while the High Yield Custom Benchmark returned 5.82%. Over the three-year period ending March 31, 2019, the enhanced yield composite returned 7.27%, trailing its custom benchmark by 64 basis points.
• Bank Loans - $1.8 Billion, 2% of Fund: The bank loan composite trailed the Credit Suisse Leveraged Loan Index for the first quarter of 2019 with the composite returning 3.44% against the benchmark return of 3.78%. For the one-year period ending March 31, 2019, the bank loans composite returned 2.85%, underperformed the Credit Suisse Leveraged Loan Index by 48 basis points. For the three-year period ending March 31, 2019, the bank loans composite underperformed the Credit Suisse Leveraged Loan Index by 84 basis points, returning 5.03%.
• TIPS - $3.2 Billion, 4% of Fund: The broad U.S. TIPS market returned 3.19% during the first quarter of 2019. The composite of TIPS managers (75% passive/25% active) slightly outperformed its benchmark, returning 3.24% for the quarter. For the one-year period ending March 31, 2019, the TIPS composite returned 2.71%, performing in line with its benchmark which returned -2.70%. For the three-year period ending March 31, 2019, the composite returned 1.71% while the benchmark returned 1.70%.
Consultant's Commentary
Through March 31, 2019
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• Convertibles - $199 Million, 0.3% of Fund: The ICE BofA ML All Convertibles ex-Mandatories Index, a measure of the broadconvertibles market, returned 10.08% during the first quarter of 2019. The Fund’s entirely actively managed convertiblescomposite returned 6.95% over the quarter, outperforming its Custom Convertible Bond benchmark by 59 basis points. For theone-year period ending March 31, 2019, the Fund’s convertibles composite returned 4.77%, performing in-line with the benchmarkreturn of 4.78%. For the three-year period ending March 31, 2019, this composite returned 8.11%, underperforming thebenchmark by approximately 163 basis points.
• Opportunistic Fixed Income - $2.0 Billion, 3% of Fund: The opportunistic fixed income composite is comprised ofinvestments in 9 funds, representing about 20% of this composite’s assets, and nine strategic separate account mandates,representing 80% of composite assets. These strategic mandates and funds call down capital as opportunities are identified and arestill in the process of being funded. For the one-year period ending March 31, 2019, the overall composite returned 5.01%, trailingthe blended benchmark of 50%/50% J.P Morgan Global High Yield Index and Credit Suisse Leveraged Loan Index +3% by 242basis points. During the first quarter of 2019, the overall composite returned 1.05% versus the blended benchmark which returned6.19% over the same period. Over the longer three-year period ending March 31, 2019, the opportunistic fixed income compositereturned 8.55% versus the benchmark return of 10.65%.
• Private Equity - $4.1 Billion, 5% of Fund: At the end of the first quarter of 2019, the private equity portfolio had $4.1 billion ininvested capital. The Fund currently has investments in 164 partnerships. Performance is reported separately by Teachers’ PrivateEquity consultant.
• Private Real Estate - $2.7 Billion, 4% of Fund: At the end of the first quarter of 2019, the private real estate portfolio had $2.7billion in invested capital. The composite has investments in 65 partnerships. Performance is reported separately by Teachers’Private Real Estate consultant.
• Private Infrastructure – $848 Million, 1% of Fund: At the end of the first quarter of 2019, the private infrastructure portfoliohad $848 million in invested capital. The composite has investments in 11 partnerships. Performance is reported separately byTeachers’ Infrastructure consultant.
Consultant's Commentary
Through March 31, 2019
Teachers' Retirement System of New York City 6Performance Overview as of March 31, 2019
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TOTAL TEACHERS' - Gross TOTAL TEACHERS' - Net Mgr Teachers Policy Benchmark
Trailing 3 Months FYTD Trailing 12 Months Trailing 3 Years Trailing 5 Years Trailing 10 Years Trailing 15 Years0.00
1.50
3.00
4.50
6.00
7.50
9.00
10.50
12.00
13.50
Rat
e of
Ret
urn
7.63 7.577.14
3.99 3.833.46
4.63 4.423.94
9.14 8.93 8.85
6.80 6.59 6.75
10.8811.42
7.03 6.95
TOTAL TEACHERS' - Gross TOTAL TEACHERS' - Net Mgr Teachers Policy Benchmark
Trailing 3 Months FYTD Trailing 12 Months Trailing 3 Years Trailing 5 Years Trailing 10 Years Trailing 15 Years0.00
1.50
3.00
4.50
6.00
7.50
9.00
10.50
12.00
13.50
Rat
e of
Ret
urn
7.63 7.577.14
3.99 3.833.46
4.63 4.423.94
9.14 8.93 8.85
6.80 6.59 6.75
10.8811.42
7.03 6.95
Plan 3 Years Benchmark 3 Years Plan 5 Years Benchmark 5 Years Plan 7 Years Benchmark 7 Years Plan 10 YearsStandard DeviationTOTAL TEACHERS' 5.6 5.6 6.8 6.4 6.5 6.4 8.1
Market Value (Billions)
TOTAL TEACHERS' $74.8
Total Portfolio Returns: March 31, 2019
Teachers' Retirement System of New York City 7Performance Overview as of March 31, 2019
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-0.6% -0.5% -0.2% -0.5%-2.8% -2.4%
-0.1%
1.6%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
$21.2 28.4%
Domestic US Equity Developed Markets EAFE (World-ex) Emerging Markets Private Equity
$8.6 11.5%
$6.6 8.8%
$4.1 5.5%
$0.9 1.2%
$2.0 2.6%
$0.2 0.3%
Private Real Estate – Non Core
Opportunistic Fixed Income High Yield REITS Convertible Bonds
Portfolio Asset Allocation – Growth
Asset Allocation
Note: Brackets represent rebalancing ranges versus Policy.
$1.2 1.6%
Int’l Emerging Managers FoF
$0.5 0.7%
$3.7 4.9%
Global Equity
$0.3 0.4%
Portfolio Asset Allocation: March 31, 2019
Teachers' Retirement System of New York City 8Performance Overview as of March 31, 2019
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Portfolio Asset Allocation – Growth
Asset Allocation
Note: Brackets represent rebalancing ranges versus Policy.
-1.6%
0.1%-0.1%
0.0% 0.0% 0.0%
-1.2%
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
Domestic US Equity Emerging Markets Private Equity Private Real Estate – Non Core
Opportunistic Fixed Income High Yield REITS Convertible Bonds Int’l Emerging Managers FoF Global Equity
Developed Markets EAFE (World-ex)
$21.2 28.4% $8.6
11.5%
$6.6 8.8%
$4.1 5.5%
$0.9 1.2%
$2.0 2.6%
$0.2 0.3%
$1.2 1.6%
$0.5 0.7%
$3.7 4.9%
$0.3 0.4%
Note: On March 29, 2019 TRS' combined Fixed Income and Cash portfolios have a duration of 7.2 years. The duration of the Barclays US Aggregate Index was 5.8 years on that date.
Portfolio Asset Allocation: March 31, 2019
Teachers' Retirement System of New York City 9Performance Overview as of March 31, 2019
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Asset Allocation
US Government Treasuries
$10.4 13.9%
3.9%0.8% 0.6% 1.1%
0.2% 0.2%
-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%
10.00%
$3.2 4.3%
Mortgages Investment Grade Credit Short Term
$3.1 4.1%
$0.8 1.1%
Relative Mix to New Policy Weights
Portfolio Asset Allocation – Deflation Protection
$0.1 0.2%
$0.1 0.2%
Core Fixed Income-Emerging Managers Core Fixed Income-Developing Managers
Portfolio Asset Allocation: March 31, 2019
Teachers' Retirement System of New York City 10Performance Overview as of March 31, 2019
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Portfolio Asset Allocation – Deflation Protection
Asset Allocation
3.2%
-0.7% -0.9%
1.1%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 Term Core Fixed Income-Emerging Managers Core Fixed Income-Developing Managers
$10.4 13.9%
$3.2 4.3%
$3.1 4.1%
$0.8 1.1%
$0.1 0.2%
$0.1 0.2%
Note: On March 29, 2019 TRS' combined Fixed Income and Cash portfolios have a duration of 7.2 years. The duration of the Barclays US Aggregate Index was 5.8 years on that date.
Portfolio Asset Allocation: March 31, 2019
Teachers' Retirement System of New York City 11Performance Overview as of March 31, 2019
Page 16 of 204
Asset Allocation
Infrastructure
$3.2 4.3%
-0.9%
0.3%
-2.6%
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
$1.8 2.4%
$1.8 2.4%
Relative Mix to New Policy Weights
$0.8 1.1%
Note: Brackets represent rebalancing ranges versus Policy.
Portfolio Asset Allocation – Inflation Protection
Portfolio Asset Allocation: March 31, 2019
Teachers' Retirement System of New York City 12Performance Overview as of March 31, 2019
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Asset Allocation
Note: Brackets represent rebalancing ranges versus Policy.
Infrastructure
0.0%0.1%
0.0% 0.4%
-8.00%-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%
10.00%
US TIPS Real Estate - Core Bank Loans
Relative Mix to Adjusted Policy Weights
Portfolio Asset Allocation – Inflation Protection
Note: On March 29, 2019 TRS' combined Fixed Income and Cash portfolios have a duration of 7.2 years. The duration of the Barclays US Aggregate Index was 5.8 years on that date.
$3.2 4.3% $1.8
2.4%
$1.8 2.4%
$0.8 1.1%
Portfolio Asset Allocation: March 31, 2019
Teachers' Retirement System of New York City 13Performance Overview as of March 31, 2019
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7.57
7.14
0.43
-0.50
0.93
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
Total Plan Return Policy Index Return Excess Return Allocation Effect Selection Effect
Performance Attribution: Total Plan - Quarter Ending: March 31, 2019
Teachers' Retirement System of New York City 14Performance Overview as of March 31, 2019
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3.83
3.46
0.37
-0.28
0.65
-2.00
0.00
2.00
4.00
6.00
Total Plan Return Policy Index Return Excess Return Allocation Effect Selection Effect
Performance Attribution: Total Plan - Fiscal Year to Date: March 31, 2019
Teachers' Retirement System of New York City 15Performance Overview as of March 31, 2019
Page 20 of 204
8.93 8.85
0.08
-0.36
0.44
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
Total Plan Return Policy Index Return Excess Return Allocation Effect Selection Effect
Performance Attribution: Total Plan - 3 Years Ending: March 31, 2019
Teachers' Retirement System of New York City 16Performance Overview as of March 31, 2019
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Quarter FYTD 3 Years Benchmark
TOTAL TEACHERS' -0.50 -0.28 -0.36 Teachers Policy Benchmark
TOTAL DOMESTIC EQUITY -0.27 -0.13 -0.15 RUSSELL 3000
TOTAL DEVELOPED MARKETS -0.03 -0.01 -0.03 MSCI World ex USA IMI Net
TOTAL GLOBAL EQUITY 0.00 -0.01 0.00 MSCI World Index
TOTAL EMERGING MARKETS -0.01 -0.02 -0.03 Teachers Custom EM Index
TOTAL INTERNATIONAL FOF 0.00 -0.01 0.00 NYC Blended Custom Benchmark for FoF
TOTAL REAL ESTATE SECURITIES 0.13 0.09 -0.07 Dow Jones US Select Securities Index
TOTAL PRIVATE EQUITY 0.04 -0.02 -0.01 Russell 3K + 300bps
TOTAL PRIVATE REAL ESTATE - CORE 0.01 0.00 -0.01 NCREIF ODCE net
TOTAL PRIVATE REAL ESTATE - NON CORE 0.01 0.00 0.00 NCREIF ODCE net + 200bps
TOTAL INFRASTRUCTURE 0.00 0.00 0.00 CPI + 4%
TOTAL US TREASURY SHORT TERM -0.35 0.03 -0.07 FTSE USBIG Treasury 1-3 Y Index
TOTAL US TREASURY INTERMEDIATE 0.00 0.00 -0.02 FTSE USBIG Treasury/Agency 1-10 y
TOTAL ACTIVE GOVERNMENT -0.12 0.13 -0.13 NYC - Treasury Agency Plus Five
TOTAL US TREASURY LONG DURATION 0.14 -0.23 0.26 FTSE Treasury 10+
TOTAL INVESTMENT GRADE CREDIT 0.01 -0.03 -0.05 NYC - Investment Grade Credit
TOTAL MORTGAGES 0.02 -0.02 0.04 FTSE MORTGAGE INDEX
TOTAL ETI 0.00 0.00 0.00 ETI Custom Benchmark
TOTAL CORE FI- DEVELOPING MGRS -0.01 0.00 -0.01 BBG BARC Agg
TOTAL CORE FI- EMERGING MGRS -0.01 0.00 -0.01 BBG BARC Agg
TOTAL HIGH YIELD 0.00 -0.02 0.02 High Yield Custom Benchmark
TOTAL BANK LOANS -0.02 -0.01 -0.02 Credit Suisse Lev Loan Index
TOTAL TIPS MANAGERS -0.01 -0.01 0.01 BBG BARC Gbl Inf-Lk: US TIPS (Dly)
TOTAL CONVERTIBLE BONDS 0.01 0.00 -0.03 Merrill All US Converts
TOTAL OPPORTUNISTIC FIXED 0.00 0.00 0.00 OFI - JPMGHY / CSFB 50/50 Blend Plus 300
TOTAL CASH -0.04 0.00 -0.10
Quarter FYTD 3 Years Benchmark
TOTAL TEACHERS' 0.93 0.65 0.44 Teachers Policy Benchmark
TOTAL DOMESTIC EQUITY 0.01 0.06 0.07 RUSSELL 3000
TOTAL DEVELOPED MARKETS 0.14 -0.07 0.21 MSCI World ex USA IMI Net
TOTAL GLOBAL EQUITY 0.01 0.02 0.01 MSCI World Index
TOTAL EMERGING MARKETS 0.10 0.04 0.00 Teachers Custom EM Index
TOTAL INTERNATIONAL FOF 0.00 -0.01 0.00 NYC Blended Custom Benchmark for FoF
TOTAL REAL ESTATE SECURITIES 0.01 0.00 0.02 Dow Jones US Select Securities Index
TOTAL PRIVATE EQUITY 0.80 0.61 0.09 Russell 3K + 300bps
TOTAL PRIVATE REAL ESTATE - CORE 0.00 0.04 0.03 NCREIF ODCE net
TOTAL PRIVATE REAL ESTATE - NON CORE 0.00 0.00 0.02 NCREIF ODCE net + 200bps
TOTAL INFRASTRUCTURE 0.00 0.04 0.05 CPI + 4%
TOTAL US TREASURY SHORT TERM 0.00 0.00 0.00 FTSE USBIG Treasury 1-3 Y Index
TOTAL US TREASURY INTERMEDIATE 0.00 0.00 0.01 FTSE USBIG Treasury/Agency 1-10 y
TOTAL ACTIVE GOVERNMENT 0.00 0.00 0.00 NYC - Treasury Agency Plus Five
TOTAL US TREASURY LONG DURATION 0.00 0.00 0.00 FTSE Treasury 10+
TOTAL INVESTMENT GRADE CREDIT 0.01 0.00 0.01 NYC - Investment Grade Credit
TOTAL MORTGAGES 0.01 0.00 0.00 FTSE MORTGAGE INDEX
TOTAL ETI 0.00 0.01 0.00 ETI Custom Benchmark
TOTAL CORE FI- DEVELOPING MGRS 0.00 0.00 0.00 BBG BARC Agg
TOTAL CORE FI- EMERGING MGRS 0.00 0.00 0.00 BBG BARC Agg
TOTAL HIGH YIELD -0.01 0.00 -0.03 High Yield Custom Benchmark
TOTAL BANK LOANS -0.01 -0.01 -0.02 Credit Suisse Lev Loan Index
TOTAL TIPS MANAGERS 0.00 0.00 0.00 BBG BARC Gbl Inf-Lk: US TIPS (Dly)
TOTAL CONVERTIBLE BONDS -0.01 0.00 -0.07 Merrill All US Converts
TOTAL OPPORTUNISTIC FIXED -0.14 -0.08 -0.01 OFI - JPMGHY / CSFB 50/50 Blend Plus 300
TOTAL CASH 0.00 0.00 0.00
Allocation Effect - Asset Class Breakdown
Selection Effect - Asset Class Breakdown
Total Plan: March 31, 2019
Teachers' Retirement System of New York City 17Performance Overview as of March 31, 2019
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TOTAL SMALL CAP ACTIVETOTAL SMALL CAP PASSIVETOTAL RUSSELL 1000 PASSIVETOTAL EMERGING MANAGERS
0.5%
92.6%
2.5%
4.4%
TOTAL SMALL CAP ACTIVETOTAL SMALL CAP PASSIVETOTAL RUSSELL 1000 PASSIVETOTAL EMERGING MANAGERS
0.5%
92.6%
2.5%
4.4%
Market Value (Billions) % of plan
TOTAL DOMESTIC EQUITY $21.2 28.4
Policy Weight Actual Weight Under/Over WeightQuarterly Returns
Fund Benchmark Excess
TOTAL SMALL CAP ACTIVE 2.0 2.5 0.5 19.5 14.6 4.9
TOTAL SMALL CAP PASSIVE 5.0 4.4 (0.6) 13.3 14.6 (1.3)
TOTAL RUSSELL 1000 PASSIVE 92.4 92.6 0.2 14.0 14.0 (0.0)
TOTAL EMERGING MANAGERS 0.6 0.5 (0.1) 14.3 14.6 (0.3)
Total Domestic Equity Asset Allocation: March 31, 2019
Teachers' Retirement System of New York City 18Performance Overview as of March 31, 2019 Totals may not add due to rounding
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TOTAL ACTIVE WORLD ex-USA EQUITYTOTAL PASSIVE WORLD ex-USA EQUITY
27.4%
72.6%
TOTAL ACTIVE WORLD ex-USA EQUITYTOTAL PASSIVE WORLD ex-USA EQUITY
27.4%
72.6%
Market Value (Billions) % of plan
TOTAL WORLD ex-USA $8.6 11.5
TOTAL WORLD ex-USA LARGE & MID ACTIVETOTAL WORLD ex-USA SMALL CAP ACTIVETOTAL WORLD ex-USA LARGE & MID CAP PASSIVETOTAL WORLD ex-USA SMALL CAP PASSIVE
7.4%
20.0%
7.9% 64.7%
TOTAL WORLD ex-USA LARGE & MID ACTIVETOTAL WORLD ex-USA SMALL CAP ACTIVETOTAL WORLD ex-USA LARGE & MID CAP PASSIVETOTAL WORLD ex-USA SMALL CAP PASSIVE
7.4%
20.0%
7.9% 64.7%
Asset WeightQuarterly Returns
Fund Benchmark Excess
TOTAL WORLD ex-USA LARGE & MID ACTIVE 64.66 12.58 10.45 2.13
TOTAL WORLD ex-USA SMALL CAP ACTIVE 7.92 9.59 9.92 (0.33)
TOTAL WORLD ex-USA LARGE & MID CAP PASSIVE 20.03 10.36 10.45 (0.09)
TOTAL WORLD ex-USA SMALL CAP PASSIVE 7.40 10.72 10.93 (0.21)
TOTAL WORLD ex-USA 100.00 11.77 10.52 1.25
World ex-USA Equity Asset Allocation: March 31, 2019
Teachers' Retirement System of New York City 19Performance Overview as of March 31, 2019 Totals may not add due to rounding
Page 24 of 204
TOTAL ACTIVE EMERGING MARKETSTOTAL PASSIVE EMERGING MARKETS
28.9%
71.1%
TOTAL ACTIVE EMERGING MARKETSTOTAL PASSIVE EMERGING MARKETS
28.9%
71.1%
Market Value (Billions) % of plan
TOTAL EMERGING MARKETS $6.6 8.8
Asset WeightQuarterly Returns
Fund Benchmark Excess
TOTAL ACTIVE EMERGING MARKETS 71.08 7.71 6.18 1.53
TOTAL PASSIVE EMERGING MARKETS 28.92 6.34 6.18 0.16
TOTAL EMERGING MARKETS 100.00 7.31 6.18 1.13
Emerging Market Equity Asset Allocation: March 31, 2019
Teachers' Retirement System of New York City 20Performance Overview as of March 31, 2019 Totals may not add due to rounding
Page 25 of 204
TOTAL TREASURY/AGENCYTOTAL MORTGAGETOTAL INVESTMENT GRADE CREDIT
18.5%
19.4%
62.1%
TOTAL TREASURY/AGENCYTOTAL MORTGAGETOTAL INVESTMENT GRADE CREDIT
18.5%
19.4%
62.1%
Market Value (Billions) % of plan
TOTAL STRUCTURED+ETI $16.8 22.4
Policy Weight Actual Weight Under/Over WeightQuarterly Returns
Fund Benchmark Excess
TOTAL TREASURY/AGENCY 61.54 62.17 0.63 3.27 4.70 (1.43)
TOTAL MORTGAGE 19.23 19.38 0.15 2.43 2.16 0.26
TOTAL INVESTMENT GRADE CREDIT 19.23 18.45 (0.78) 4.98 4.72 0.26
Structured Fixed Income Asset Allocation: March 31, 2019
Teachers' Retirement System of New York City 21Performance Overview as of March 31, 2019 Totals may not add due to rounding
Page 26 of 204
City of New YorkPerformance Comparison
Total Returns of Master Trusts - Public : Plans > $10 Billion
Cumulative Periods Ending : March 31, 2019
Percentile Rankings 1 Qtr 2 Qtrs 3 Qtrs 1 Year 2 Years 3 Years 4 Years 5 Years 7 Years 10 Years5th 8.55 2.20 4.60 6.16 9.78 10.36 8.02 8.07 9.45 11.7725th 7.70 1.06 3.67 5.23 8.24 9.32 7.00 7.16 8.74 10.9650th 6.98 0.64 3.34 4.63 7.66 8.88 6.43 6.66 8.13 10.4175th 5.91 -0.04 2.75 3.86 7.12 8.37 5.93 6.00 7.54 9.7995th 4.70 -1.06 1.18 1.71 5.72 6.85 5.04 5.25 6.17 8.09
No. Of Obs 41 41 41 41 41 41 41 41 41 38
Total System - Teacher 7.63 (27) 1.21 (20) 3.99 (16) 4.63 (50) 7.77 (40) 9.14 (35) 6.62 (40) 6.80 (42) 8.11 (50) 10.88 (27)Teachers Policy Benchm 7.14 (40) 0.57 (52) 3.46 (37) 3.94 (67) 7.37 (62) 8.85 (55) 6.42 (50) 6.75 (42) 8.06 (55) 11.42 (8)Public Mkt Equiv 25 10.10 (1) -0.81 (93) 2.87 (70) 4.36 (55) 7.58 (50) 8.96 (42) 6.16 (67) 6.32 (70) 8.24 (45) 11.13 (15)Public Mkt Equiv 35 9.22 (1) 0.00 (70) 3.35 (47) 4.74 (42) 7.12 (75) 8.19 (80) 5.79 (80) 6.06 (70) 7.66 (65) 10.34 (52)
Wilshire Trust Universe Comparison Service® (TUCS®)
Through March 31, 2019
Teachers' Retirement System of New York City 22Performance Overview as of March 31, 2019
Page 27 of 204
City of New YorkPerformance Comparison
Total Returns of Master Trusts - Public : Plans > $10 Billion
Consecutive Time Periods: March 31, 2019
Percentile Rankings Mar 19 Dec 18 Sep 18 Jun 18 Mar 18 Mar 19 Mar 18 Mar 17 Mar 16 Mar 155th 8.55 -2.37 3.81 2.06 1.90 6.16 13.77 13.90 1.65 9.8425th 7.70 -4.52 2.93 1.60 0.58 5.23 12.58 12.26 0.41 8.2250th 6.98 -5.83 2.57 1.11 0.18 4.63 10.94 11.48 -0.18 7.6975th 5.91 -7.17 2.20 0.56 -0.07 3.86 9.84 10.68 -1.26 6.0995th 4.70 -8.63 1.20 0.20 -1.33 1.71 8.03 7.75 -1.83 5.33
No. Of Obs 41 41 41 41 41 41 41 41 41 41
Total System - Teacher 7.63 (27) -5.97 (52) 2.75 (37) 0.61 (72) -0.21 (80) 4.63 (50) 11.01 (45) 11.94 (35) -0.61 (60) 7.53 (52)Teachers Policy Benchm 7.14 (40) -6.14 (60) 2.88 (27) 0.47 (85) -0.44 (88) 3.94 (67) 10.92 (50) 11.87 (40) -0.56 (60) 8.06 (35)Public Mkt Equiv 25 10.10 (1) -9.91 (100) 3.72 (5) 1.45 (35) -1.05 (93) 4.36 (55) 10.89 (50) 11.78 (42) -1.83 (96) 6.98 (60)Public Mkt Equiv 35 9.22 (1) -8.45 (93) 3.35 (18) 1.35 (37) -1.06 (93) 4.74 (42) 9.55 (80) 10.36 (75) -1.08 (72) 7.14 (57)
Wilshire Trust Universe Comparison Service® (TUCS®)
Through March 31, 2019
Teachers' Retirement System of New York City 23Performance Overview as of March 31, 2019
Page 28 of 204
Avg. MV FY 2018 ($MM)
Mgmt. Fees ($M)
Partnership Expenses ($M)
Mgmt. Fees / Partnership
Expenses in BPS Incentive Fees in
($M) Incentive
Fees in BPS Total Fees &
Expenses in ($M) Total Fees &
Expenses in BPS Avg. MV FYTD 09-
30-18 ($MM) Mgmt. Fees
($M) Mgmt. Fees in BPS INVESTMENT STYLE (EQUITIES)
Total US Equities 33,921.68 5,853.90 - 1.73 - - 5,853.90 1.73 20,781.12 6,600.88 3.18
Small Cap Active 446.74 4,441.80 - 99.43 - - 4,441.80 99.43 557.05 5,568.50 99.96
Small Cap Growth 446.74 4,441.80 - 99.43 - - 4,441.80 99.43 557.05 5,568.50 99.96
Active Emerging Managers (U.S. Equities) 115.55 538.31 46.59 - - 538.31 46.59 122.07 609.20 49.90
U.S. Environmental Managers - - - - - - - - - -
Total US Active Equities 562.29 4,980.10 88.57 - - 4,980.10 88.57 679.12 6,177.70 90.97
Small Cap Passive
Small Cap Passive 725.71 30.78 0.42 - - 30.78 0.42 1,020.49 43.32 0.42
Russell / S&P Passive Russell 1000 Growth Passive 4,150.23 187.01 0.45 - - 187.01 0.45 6.35 - -
Russell 1000 Value Passive 3,843.34 173.38 0.45 - - 173.38 0.45 6.13 - -
Russell 1000 Core Passive 18,626.89 90.66 0.05 - - 90.66 0.05 19,069.02 379.86 0.20
Passive Russell 3000 6,013.22 391.97 0.65 - - 391.97 0.65 - - -
Passive S&P 500 - - - - - - - - - -
Passive Russell Top 200 - - - - - - - - - -
Total US Passive Equities 33,359.39 873.80 0.26 - - 873.80 0.26 20,102.00 423.18 0.21
Total International Equities 16,114.71 44,372.46 27.54 - - 44,372.46 27.54 15,563.43 43,021.33 27.64
Global Equity - - - - - - 253.56 915.53 36.11
Total Global Equities - - - - - - 253.56 915.53 36.11
Active EAFE Equities 6,503.22 19,388.08 29.81 - - 19,388.08 29.81 6,572.93 19,720.93 30.00
World Ex-USA Large & Mid Active 5,737.69 15,818.81 27.57 - - 15,818.81 27.57 5,828.15 16,167.67 27.74
World Ex-USA Small Cap Active 765.31 3,569.27 46.64 - - 3,569.27 46.64 744.59 3,553.26 47.72
Total World Ex USA 0.22 - - - - - - 0.19 - -
Active Emerging Markets 4,790.75 21,744.66 45.39 - - 21,744.66 45.39 4,683.51 20,449.89 43.66
Total Active Int'l Fund of Funds 369.51 1,896.40 51.32 - - 1,896.40 51.32 362.58 1,890.16 52.13
Total Active International Equities 11,663.48 43,029.14 36.89 - - 43,029.14 36.89 11,619.02 42,060.99 36.20
Int’l Passive Equities
World Ex-USA Small Cap Passive 527.74 263.33 4.99 - - 263.33 4.99 519.92 260.34 5.01
World Ex-USA Large & Mid Cap Passive 1,693.94 199.61 1.18 - - 199.61 1.18 1,500.96 174.48 1.16
Passive Global 0.01 - - - - - - 0.00 - -
Passive Emerging Markets 2,229.54 880.38 3.95 - - 880.38 3.95 1,923.53 525.52 2.73
Total Int’l Passive Equities 4,451.23 1,343.32 3.02 - - 1,343.32 3.02 3,944.41 960.35 2.43
REITS Active Equities 1,453.42 5,878.71 40.45 - - 5,878.71 40.45 1,153.83 4,873.99 42.24
TEACHERS RETIREMENT SYSTEMACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2018 AND ESTIMATED FEES FOR FY 2019 UPDATED THROUGH SEPTEMBER 2018
Actual Estimates 2018 2019
Actual and Estimated Fees
Teachers' Retirement System of New York City 24Performance Overview as of March 31, 2019Information provided by the New York City Comptroller
Page 29 of 204
TEACHERS RETIREMENT SYSTEMACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2018 AND ESTIMATED FEES FOR FY 2019 UPDATED THROUGH SEPTEMBER 2018
Actual Estimates 2018 2019
INVESTMENT STYLE (FIXED INCOME) Avg. MV FY 2018
($MM) Mgmt. Fees
($M) Partnership
Expenses ($M)
Mgmt. Fees / Partnership
Expenses in BPS Incentive Fees in
($M) Incentive
Fees in BPS Total Fees &
Expenses in ($M) Total Fees &
Expenses in BPS Avg. MV FYTD 09-
30-18 ($MM) Mgmt. Fees
($M) Mgmt. Fees in BPS
Total Fixed Income 23,610.58 27,994.66 11.86 154.10 0.07 28,148.76 11.92 26,663.64 26,312.62 9.87 Structured Program
13,681.13 6,578.54 4.81 154.10 0.11 6,732.64 4.92 16,642.89 6,730.06 4.04
Government Treas/Agency Sector 4,926.61 1,366.70 2.77 - - 1,366.70 2.77 8,192.09 1,809.25 2.21
Long Duration Treasury 2,773.96 269.71 0.97 269.71 0.97 2,856.52 289.56 1.01
Mortgage Sector 2,459.05 1,455.69 5.92 154.10 0.63 1,609.79 6.55 2,503.95 1,457.22 5.82
Investment Grade Credit Sector 3,521.51 3,486.43 9.90 - - 3,486.43 9.90 3,090.34 3,174.04 10.27
Developing Managers 122.48 231.85 18.93 - - 231.85 18.93 121.93 232.94 19.10
Emerging Managers 122.69 420.23 34.25 - - 420.23 34.25 122.36 423.15 34.58
TIPS 2,936.84 512.09 1.74 - - 512.09 1.74 3,116.18 552.03 1.77
Active TIPS Managers 731.75 402.96 5.51 - - 402.96 5.51 776.66 433.91 5.59
Passive TIPS Managers 2,205.09 109.13 0.49 - - 109.13 0.49 2,339.52 118.12 0.50
High Yield 3,492.77 11,547.63 33.06 - - 11,547.63 33.06 3,552.76 10,381.41 29.22
Bank Loans 1,712.91 5,708.61 33.33 - - 5,708.61 33.33 1,763.70 5,840.49 33.11
Convertible Bonds 338.66 1,600.60 47.26 - - 1,600.60 47.26 195.97 741.72 37.85
ETI - Access - RBC 137.86 255.76 18.55 - - 255.76 18.55 147.20 271.48 18.44
ETI - AFL-CIO HIT 282.10 1,139.34 40.39 - - 1,139.34 40.39 279.97 1,139.34 40.70
Total Public Markets (Externally managed) 74,317.27 84,099.74 11.32 154.10 0.02 84,253.84 11.34 63,694.90 81,724.34 12.83
Other ETI Programs 196.43 - - - - - 190.35 - -
In-House Short Term 586.70 - - - - - - 530.32 - -
Total Public Markets 75,100.40 84,099.74 11.20 154.10 0.02 84,253.84 11.22 64,415.58 81,724.34 12.69
Actual and Estimated Fees
Teachers' Retirement System of New York City 25Performance Overview as of March 31, 2019Information provided by the New York City Comptroller
Page 30 of 204
TEACHERS RETIREMENT SYSTEMACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2018 AND ESTIMATED FEES FOR FY 2019 UPDATED THROUGH SEPTEMBER 2018
Actual Estimates 2018 2019
INVESTMENT STYLE (PRIVATE MARKETS)
Private Equity 3,649.28 46,144.28 15,622.44 169.26 67,129.53 183.95 128,896.24 353.21 3,965.28 38,994.04 98.34
Private Real Estate 2,549.81 24,661.40 8,558.15 130.28 18,824.58 73.83 52,044.12 204.11 2,665.55 30,926.69 116.02
Infrastructure 517.79 11,361.84 4,663.28 138.79 1,611.11 31.12 17,636.23 152.75 675.79 13,983.43 113.56
Opportunistic Fixed Income 1,766.24 15,568.54 11,572.21 153.66 3,913.69 22.16 31,054.44 175.82 1,854.44 15,726.10 84.80
Total Private Markets 8,483.11 97,736.05 40,416.08 162.86 91,478.91 107.84 229,631.04 270.69 9,161.07 99,630.26 108.75
Total Overall 69,476.72 181,835.78 40,416.08 31.99 91,633.01 13.19 313,884.88 45.18 73,576.65 181,354.60 24.65
The overall carried interest and incentive fees paid by TEACHERS in Fiscal Year 2018: 13.19 BPS
General Footnotes:
2) Infrastructure’s expense data is based off the total committed amounts rather than current market value due to its early fund life juncture. 3) Estimated Fees for the Public Markets data does not take into account major rebalancing shifts and is calculated at a fixed NAV. Estimates fees for the Private Markets data is based solely off gross management fee data and is not inclusive ofany offsets. Both estimates are considered to be equitably conservative and should be construed as such. Estimates for FY 2018 for Private Equity is provided by the Consultant.
1) Private Markets data reflect: carried interest realized and/or Incentive fees as stated by its corresponding partnership. Management fees reported are inclusive of partnership expenses associated with the partnership for the stated fiscal year.
Actual and Estimated Fees
Teachers' Retirement System of New York City 26Performance Overview as of March 31, 2019Information provided by the New York City Comptroller
Page 31 of 204
U. S. U. S. INTERNATIONALFIXED INCOME EQUITY EQUITY TOTAL
1989 1,185,000 - - 1,185,000 1990 885,000 - - 885,000 1991 898,000 - - 898,000 1992 1,692,000 193,000 300,000 2,185,000 1993 3,701,000 694,000 508,000 4,903,000 1994 4,314,000 1,360,000 696,000 6,370,000 1995 3,395,000 1,621,000 520,000 5,536,000 1996 2,874,000 1,738,000 879,000 5,491,000 1997 2,943,000 3,430,000 1,158,000 7,531,000 1998 4,793,000 4,549,000 1,499,000 10,841,000 1999 4,329,000 4,830,000 1,772,000 10,931,000 2000 4,282,000 4,963,000 2,300,000 11,545,000 2001 7,435,000 6,744,000 3,489,000 17,668,000 2002 4,401,000 5,578,000 2,530,000 12,509,000 2003 2,156,000 3,467,000 2,662,000 8,285,000 2004 2,949,000 4,413,000 2,550,000 9,912,000 2005 4,427,000 6,136,000 3,201,000 13,764,000 2006 4,282,000 9,789,000 2,868,000 16,939,000 2007 9,618,000 15,962,000 3,088,000 28,668,000 2008 27,299,000 27,400,000 5,129,000 59,828,000 2009 10,039,000 17,682,000 3,834,000 31,555,000 2010 4,271,000 11,122,000 3,200,000 18,593,000 2011 5,880,000 15,051,000 6,082,000 27,013,000 2012 8,113,000 18,853,000 4,915,000 31,881,000 2013 5,208,000 21,196,000 3,803,000 30,207,000 2014 2,195,000 9,191,000 6,079,000 17,465,000 2015 2,510,000 6,924,000 7,135,000 16,569,000 2016 2,861,000 10,325,000 5,376,000 18,562,000 2017 3,776,000 5,982,000 4,196,000 13,954,000 2018 3,302,655 3,899,058 6,252,432 13,454,145
2019 (3 months) 499,639 1,085,143 1,216,604 2,801,386 Since Inception 146,513,293 224,177,201 87,238,036 457,928,531
NYC TEACHERS' RETIREMENT SYSTEMSECURITIES LENDING INCOME
March 31, 2019
Securities Lending Income
Teachers' Retirement System of New York City 27Performance Overview as of March 31, 2019
Page 32 of 204
Teachers' Retirement Systemof New York City
Appendix AConsolidated Performance Report
Teachers' Retirement System of New York City 28Performance Overview as of March 31, 2019
Page 33 of 204
Market Value ($MM) % of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD
Inception Date
SYSTEM RETURN SUMMARY
5 TRS-TOTAL PORTFOLIO - GROSS 74,806 100.00 7.63 3.99 7.63 (3.00) 16.74 8.93 (0.55) 7.75 9.14 6.80 10.88 8.45 07/01/1987TRS - ESTIMATED INVESTMENT FEES (0.06) (0.16) (0.06) (0.17) (0.25) (0.21) (0.20) (0.22) (0.22) (0.21)
EST MANAGEMENT FEES - PUBLIC MARKET (ACCRUAL) (0.03) (0.08) (0.03) (0.11) (0.12) (0.12) (0.13) (0.14) (0.12) (0.12) EST MANAGEMENT FEES - ALTERNATIVE MARKETS (CASH) (0.03) (0.08) (0.03) (0.06) (0.13) (0.09) (0.07) (0.08) (0.10) (0.09) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETS
TRS-TOTAL PORTFOLIO - NET MGR 7.57 3.83 7.57 (3.18) 16.49 8.73 (0.75) 7.53 8.93 6.59TRS POLICY BENCHMARK 7.14 3.46 7.14 (3.41) 16.67 9.53 (0.70) 8.50 8.85 6.75 11.42EXCESS RETURN 0.43 0.37 0.43 0.23 (0.18) (0.80) (0.05) (0.97) 0.07 (0.16) (0.54)
EQUITY RETURN SUMMARY
18 TRS-TOTAL EQUITY (INCL PE & RA) - GROSS 46,152 61.70 10.28 3.64 10.28 (5.19) 23.48 10.82 (0.93) 8.64 11.95 8.51 13.62 7.85 04/01/2004ESTIMATED INVESTMENT FEES (0.09) (0.21) (0.09) (0.21) (0.33) (0.24) (0.24) (0.25) (0.27) (0.26)
EST MANAGEMENT FEES (0.09) (0.21) (0.09) (0.21) (0.33) (0.24) (0.24) (0.25) (0.27) (0.26) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETS
TRS-TOTAL EQUITY (INCL PE & RA) - NET MGR 10.19 3.43 10.19 (5.40) 23.15 10.58 (1.18) 8.39 11.67 8.25
26 TRS-TOTAL DOMESTIC EQUITY - GROSS 21,249 28.40 14.09 4.92 14.09 (4.87) 21.26 13.15 0.30 11.93 13.77 10.39 16.02 10.43 12/01/1990ESTIMATED INVESTMENT FEES (0.01) (0.02) (0.01) (0.03) (0.03) (0.04) (0.04) (0.05) (0.04) (0.04)TRS-TOTAL DOMESTIC EQUITY - NET MGR 14.08 4.90 14.08 (4.89) 21.22 13.10 0.26 11.88 13.73 10.35RUSSELL 3000 (DAILY) 14.04 4.70 14.04 (5.24) 21.13 12.74 0.48 12.56 13.48 10.36 16.00 10.43EXCESS RETURN 0.04 0.20 0.04 0.35 0.09 0.37 (0.22) (0.67) 0.25 (0.00) 0.02 (0.00)
36 TRS-TOTAL SMALL CAP - GROSS 1,450 1.94 15.59 (3.02) 15.59 (6.38) 19.45 18.93 0.79 4.31 16.51 10.08 18.43 05/01/2009ESTIMATED INVESTMENT FEES (0.10) (0.25) (0.10) (0.34) (0.47) (0.48) (0.42) (0.37) (0.44) (0.43)TRS-TOTAL SMALL CAP - NET MGR 15.49 (3.28) 15.49 (6.72) 18.98 18.45 0.37 3.93 16.07 9.66RUSSELL 2000 (DAILY) 14.58 (5.29) 14.58 (11.01) 14.65 21.31 (4.41) 4.89 12.92 7.05 13.84EXCESS RETURN 0.91 2.02 0.91 4.30 4.33 (2.86) 4.78 (0.96) 3.15 2.60 4.59
46 TRS-TOTAL RUSSELL 1000 - GROSS 19,685 26.31 13.98 5.63 13.98 9.47 04/01/2018ESTIMATED INVESTMENT FEES (0.00) (0.00) (0.00) (0.00)TRS-TOTAL RUSSELL 1000 - NET MGR 13.98 5.63 13.98 9.46RUSSELL 1000 (DAILY) 14.00 5.54 14.00 9.30EXCESS RETURN (0.02) 0.09 (0.02) 0.16
56 TRS-TOTAL EMERGING MANAGER - GROSS 114 0.15 14.46 (1.63) 14.46 (7.78) 7.10 05/01/2017ESTIMATED INVESTMENT FEES (0.14) (0.37) (0.14) (0.46) (0.55)TRS-TOTAL EMERGING MANAGER - NET MGR 14.32 (1.99) 14.32 (8.24) 6.55RUSSELL 2000 (DAILY) 14.58 (5.29) 14.58 (11.01) 6.51EXCESS RETURN (0.26) 3.30 (0.26) 2.77 0.04
Consolidated Performance Report
Through March 31, 2019
Teachers' Retirement System of New York City 29Performance Overview as of March 31, 2019
Page 34 of 204
Market Value ($MM) % of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD
Inception Date
EQUITY RETURN SUMMARY
68 TRS-TOTAL WORLD ex-USA - GROSS 8,600 11.50 11.83 (3.66) 11.83 (14.26) 29.77 3.69 (0.60) (4.85) 9.52 3.93 10.35 6.51 04/01/2004ESTIMATED INVESTMENT FEES (0.06) (0.17) (0.06) (0.20) (0.28) (0.28) (0.27) (0.25) (0.26) (0.26)TRS-TOTAL WORLD ex-USA - NET MGR 11.77 (3.83) 11.77 (14.45) 29.49 3.42 (0.86) (5.11) 9.27 3.67 WORLD EX USA CUSTOM BM 10.52 (3.22) 10.52 (14.68) 26.40 1.15 0.49 (4.90) 7.40 2.67 9.44 5.41EXCESS RETURN 1.25 (0.61) 1.25 0.23 3.09 2.27 (1.36) (0.20) 1.87 1.00 0.92 1.10
78 TRS-TOTAL WORLD ex-USA LARGE & MID ACTIVE - GROSS 5,560 7.43 12.66 (2.90) 12.66 (13.53) 30.68 3.99 (2.42) (5.17) 10.56 4.10 4.37 11/01/2013ESTIMATED INVESTMENT FEES (0.08) (0.20) (0.08) (0.24) (0.36) (0.29) (0.27) (0.26) (0.30) (0.29) (0.29)TRS-TOTAL WORLD ex-USA LARGE & MID ACTIVE - NET MGR 12.58 (3.10) 12.58 (13.77) 30.32 3.70 (2.69) (5.43) 10.25 3.81 4.08NYC CUSTOM WORLD EX-USA LG & MID ACT INDEX 10.45 (2.41) 10.45 (14.09) 25.18 1.00 (0.81) (4.90) 7.34 2.37 2.74EXCESS RETURN 2.13 (0.69) 2.13 0.32 5.14 2.70 (1.88) (0.53) 2.91 1.44 1.35
88 TRS-TOTAL WORLD ex-USA SMALL CAP ACTIVE - GROSS 681 0.91 9.71 (8.86) 9.71 (18.62) 35.63 2.89 11.87 (3.38) 7.41 5.31 7.94 05/01/2013ESTIMATED INVESTMENT FEES (0.12) (0.32) (0.12) (0.38) (0.61) (0.50) (0.55) (0.48) (0.50) (0.50)TRS-TOTAL WORLD ex-USA SMALL CAP ACTIVE - NET MGR 9.59 (9.18) 9.59 (19.00) 35.02 2.38 11.32 (3.86) 6.91 4.81 S&P EPAC SMALL CAP USD NET 9.92 (8.54) 9.92 (18.58) 33.47 1.34 8.58 (3.43) 6.75 4.12 6.58EXCESS RETURN (0.33) (0.63) (0.33) (0.42) 1.55 1.05 2.74 (0.43) 0.16 0.69 1.36
98 TRS-TOTAL WORLD ex-USA SMALL CAP PASSIVE - GROSS 636 0.85 10.74 (7.78) 10.74 (17.78) 33.71 2.95 9.97 7.97 4.95 5.79 02/01/2014ESTIMATED INVESTMENT FEES (0.01) (0.03) (0.01) (0.04) (0.07) (0.02) (0.02) (0.05) (0.03) (0.03)TRS-TOTAL WORLD ex-USA SMALL CAP PASSIVE - NET MGR 10.72 (7.81) 10.72 (17.82) 33.64 2.93 9.95 7.93 4.92 5.76WORLD EX USA SC PASSIVE CUSTOM BM 10.93 (7.80) 10.93 (18.07) 33.31 2.18 9.59 7.59 4.53 5.37EXCESS RETURN (0.21) (0.02) (0.21) 0.25 0.33 0.75 0.37 0.34 0.39 0.39
108 TRS-TOTAL WORLD ex-USA LARGE & MID CAP PASSIVE - GROSS 1,722 2.30 10.36 (2.28) 10.36 (13.54) 24.52 1.35 (0.28) (5.41) 7.45 2.43 4.22 07/01/2011ESTIMATED INVESTMENT FEES (0.00) (0.01) (0.00) (0.01) (0.01) (0.02) (0.02) (0.02) (0.01) (0.02)TRS-TOTAL WORLD ex-USA LARGE & MID CAP PASSIVE - NET MGR 10.36 (2.29) 10.36 (13.55) 24.51 1.34 (0.30) (5.43) 7.44 2.41 NYC CUSTOM WORLD EX US INDEX 10.45 (2.41) 10.45 (14.09) 24.12 1.00 (0.81) (4.90) 7.04 2.19 3.97EXCESS RETURN (0.09) 0.12 (0.09) 0.54 0.40 0.34 0.52 (0.52) 0.40 0.22 0.24
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Market Value ($MM) % of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD
Inception Date
EQUITY RETURN SUMMARY
120 TRS-TOTAL ACTIVE EMERGING MARKETS - GROSS 4,676 6.25 7.83 2.85 7.83 (14.05) 36.26 12.09 (18.05) 0.27 9.56 2.66 2.08 04/01/2012ESTIMATED INVESTMENT FEES (0.12) (0.34) (0.12) (0.37) (0.68) (0.54) (0.44) (0.53) (0.51) (0.51)TRS-TOTAL ACTIVE EMERGING MARKETS - NET MGR 7.71 2.51 7.71 (14.43) 35.58 11.55 (18.49) (0.26) 9.05 2.15 TRS CUSTOM EM INDEX 6.18 1.84 6.18 (13.39) 34.19 13.91 (17.04) 0.67 8.85 2.79 2.05EXCESS RETURN 1.53 0.67 1.53 (1.03) 1.38 (2.36) (1.45) (0.93) 0.20 (0.63) 0.02
130 TRS-TOTAL PASSIVE EMERGING MARKETS - GROSS 1,903 2.54 6.34 1.90 6.34 (12.87) 33.14 12.98 (17.94) (1.76) 8.42 1.90 (0.04) 04/01/2011ESTIMATED INVESTMENT FEES (0.01) (0.02) (0.01) 0.00 (0.14) (0.06) (0.05) (0.06) (0.06) (0.06)TRS-TOTAL PASSIVE EMERGING MARKETS - NET MGR 6.34 1.88 6.34 (12.87) 32.99 12.92 (17.99) (1.82) 8.36 1.85 MSCI CUSTOM TRS EMERGING MARKETS (NET) 6.18 1.84 6.18 (12.99) 33.05 13.10 (17.81) 8.38 EXCESS RETURN 0.16 0.04 0.16 0.12 (0.05) (0.18) (0.17) (0.01)
140 TRS-TOTAL INTERNATIONAL FUND OF FUNDS - GROSS 531 0.71 10.38 (4.13) 10.38 (15.05) 3.96 05/01/2017ESTIMATED INVESTMENT FEES (0.14) (0.37) (0.14) (0.44) (0.54)TRS-TOTAL INTERNATIONAL FUND OF FUNDS - NET MGR 10.24 (4.50) 10.24 (15.50) 3.42NYC BLENDED CUSTOM BENCHMARK FOR FOF (TRS) 9.86 (2.45) 9.86 (14.39) 4.05EXCESS RETURN 0.37 (2.05) 0.37 (1.11) (0.63)
150 TRS-TOTAL GLOBAL EQUITY - GROSS 265 0.35 15.78 15.78 7.02 08/01/2018ESTIMATED INVESTMENT FEES (0.23) (0.23) (0.42)TRS-TOTAL GLOBAL EQUITY - NET MGR 15.56 15.56 6.60MSCI WORLD INDEX 12.48 12.48 (0.86)EXCESS RETURN 3.08 3.08 7.46
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Market Value ($MM) % of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD
Inception Date
EQUITY RETURN SUMMARY
162 TRS-TOTAL REAL ESTATE SECURITIES - GROSS 1,230 1.64 16.26 9.01 16.26 (5.39) 7.95 5.09 2.84 30.64 6.15 9.00 18.80 11.46 01/01/2003ESTIMATED INVESTMENT FEES (0.12) (0.34) (0.12) (0.40) (0.45) (0.30) (0.37) (0.48) (0.40) (0.41)TRS-TOTAL REAL ESTATE SECURITIES - NET MGR 16.14 8.67 16.14 (5.79) 7.50 4.79 2.47 30.16 5.74 8.59DJ US SELECT REAL ESTATE SECURITIES INDEX 15.72 8.86 15.72 (4.22) 3.76 6.65 4.46 31.85 5.29 8.91 18.52 10.57EXCESS RETURN 0.42 (0.19) 0.42 (1.57) 3.74 (1.86) (1.99) (1.69) 0.46 (0.31) 0.29 0.89
172 TRS-TOTAL PRIVATE EQUITY (TIME WEIGHTED) 4,108 5.49 (0.23) 10.04 (0.23) 18.45 19.65 10.55 9.78 13.95 15.31 13.32 12.53 12.27 04/01/2004NYC R3000 +3% LAGGED (13.63) (2.48) (13.63) 21.06 22.22 18.37 2.49 21.24 12.22 11.13 17.02 12.22EXCESS RETURN 13.40 12.51 13.40 (2.61) (2.57) (7.83) 7.29 (7.29) 3.09 2.19 (4.49) 0.06
182 TRS-TOTAL PRIVATE REAL ESTATE (TIME WEIGHTED) 2,744 3.67 1.42 6.55 1.42 11.16 11.17 12.36 15.09 14.68 10.70 12.35 7.62 9.97 04/01/2004NCREIF NFI-ODCE NET + 100 BP 1.45 5.43 1.45 8.43 7.72 8.86 15.08 12.56 8.07 10.26EXCESS RETURN (0.03) 1.12 (0.03) 2.73 3.45 3.50 0.00 2.11 2.63 2.10
192 TRS-TOTAL INFRASTRUCTURE (TIME WEIGHTED) 848 1.13 2.00 9.59 2.00 15.69 20.50 9.47 12.33 18.76 15.24 18.15 14.69 12/01/2013CPI + 4% 1.55 4.35 1.55 6.03 6.20 6.17 4.69 4.69 6.30 5.56 5.62EXCESS RETURN 0.45 5.24 0.45 9.65 14.30 3.30 7.64 14.07 8.94 12.59 9.07
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Market Value ($MM) % of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD
Inception Date
FIXED INCOME RETURN SUMMARY
204 TRS-TOTAL FIXED INCOME - GROSS 28,654 38.30 3.65 4.32 3.65 (0.18) 5.32 5.66 (0.13) 6.01 4.01 3.51 5.75 7.90 02/01/1980ESTIMATED INVESTMENT FEES (0.03) (0.08) (0.03) (0.11) (0.14) (0.15) (0.14) (0.17) (0.13) (0.14) EST MANAGEMENT FEES (0.03) (0.08) (0.03) (0.11) (0.14) (0.15) (0.14) (0.17) (0.13) (0.14) EST INCENTIVE FEES EST OTHER FEES EST FEE OFFSETSTRS-TOTAL FIXED INCOME - NET MGR 3.63 4.24 3.63 (0.28) 5.17 5.50 (0.27) 5.84 3.88 3.37
212 TRS-TOTAL STRUCTURED FIXED INCOME - GROSS 16,113 21.54 3.46 5.01 3.46 (0.78) 5.03 3.75 0.23 7.54 2.71 3.28 4.93 7.32 01/01/1985ESTIMATED INVESTMENT FEES (0.01) (0.03) (0.01) (0.04) (0.06) (0.07) (0.07) (0.08) (0.06) (0.06)TRS-TOTAL STRUCTURED FIXED INCOME - NET MGR 3.45 4.98 3.45 (0.83) 4.97 3.68 0.16 7.46 2.65 3.21 NYC CUSTOM STRUCTURED INDEX-TRS 4.19 5.55 4.19 (1.23) 6.80 EXCESS RETURN (0.74) (0.57) (0.74) 0.40 (1.83)
222 TRS-TOTAL CORE FI- DEVELOPING MGRS - GROSS 127 0.17 3.79 4.72 3.79 (1.03) 4.27 4.00 2.59 2.72 06/01/2015ESTIMATED INVESTMENT FEES (0.05) (0.15) (0.05) (0.19) (0.19) (0.20) (0.19) (0.20)TRS-TOTAL CORE FI- DEVELOPING MGRS - NET MGR 3.74 4.57 3.74 (1.22) 4.08 3.79 2.39 2.52BBG BARC AGG (DLY) 2.94 4.65 2.94 0.01 3.54 2.65 2.03 2.26EXCESS RETURN 0.80 (0.07) 0.80 (1.23) 0.54 1.15 0.37 0.26
232 TRS-TOTAL CORE FI- EMERGING MGRS - GROSS 128 0.17 3.10 4.79 3.10 0.29 4.51 3.19 1.00 6.21 2.78 3.17 2.77 06/01/2012ESTIMATED INVESTMENT FEES (0.09) (0.27) (0.09) (0.34) (0.48) (0.22) (0.35) (0.38) (0.35) (0.35)TRS-TOTAL CORE FI- EMERGING MGRS - NET MGR 3.01 4.52 3.01 (0.05) 4.02 2.97 0.65 5.83 2.43 2.82 BBG BARC AGG (DLY) 2.94 4.65 2.94 0.01 3.54 2.65 0.55 5.97 2.03 2.74 2.24EXCESS RETURN 0.07 (0.12) 0.07 (0.06) 0.48 0.32 0.10 (0.13) 0.41 0.08 0.53
242 TRS-TOTAL TIPS - GROSS 3,187 4.26 3.24 1.93 3.24 (1.25) 3.06 4.67 (1.22) 3.50 1.73 1.96 3.47 3.71 06/01/2005ESTIMATED INVESTMENT FEES (0.00) (0.01) (0.00) (0.02) (0.02) (0.02) (0.03) (0.07) (0.02) (0.03)TRS-TOTAL TIPS - NET MGR 3.24 1.92 3.24 (1.27) 3.04 4.65 (1.25) 3.43 1.71 1.93 BBG BARC GBL INF-LK: US TIPS (DLY) 3.19 1.92 3.19 (1.26) 3.01 4.68 (1.44) 3.64 1.70 1.94 3.41 3.57EXCESS RETURN 0.04 (0.00) 0.04 (0.01) 0.04 (0.03) 0.19 (0.21) 0.01 (0.01) 0.06 0.14
252 TRS-TOTAL HIGH YIELD - GROSS 3,666 4.90 7.18 5.10 7.18 (2.09) 6.92 14.28 (3.27) 2.46 7.62 4.28 9.22 6.03 08/01/1998ESTIMATED INVESTMENT FEES (0.08) (0.24) (0.08) (0.31) (0.35) (0.39) (0.34) (0.35) (0.35) (0.35)TRS-TOTAL HIGH YIELD - NET MGR 7.10 4.87 7.10 (2.39) 6.57 13.89 (3.60) 2.10 7.27 3.93 HIGH YIELD CUSTOM BENCHMARK 7.26 4.85 7.26 (2.34) 7.03 15.48 (4.21) 2.78 7.91 4.36 9.53 5.76EXCESS RETURN (0.16) 0.02 (0.16) (0.06) (0.46) (1.59) 0.61 (0.68) (0.64) (0.43) (0.31) 0.28
262 TRS- TOTAL BANK LOANS - GROSS 1,779 2.38 3.53 2.46 3.53 1.07 4.38 8.55 1.84 2.78 5.38 4.16 4.53 11/01/2012ESTIMATED INVESTMENT FEES (0.08) (0.25) (0.08) (0.33) (0.35) (0.37) (0.35) (0.35) (0.35) (0.35)TRS-TOTAL BANK LOANS - NET MGR 3.44 2.21 3.44 0.74 4.04 8.18 1.49 2.43 5.03 3.81 CSFB LEVERAGED LOAN INDEX 3.78 2.53 3.78 1.14 4.25 9.88 (0.38) 2.06 5.87 3.83 4.33EXCESS RETURN (0.33) (0.32) (0.33) (0.41) (0.21) (1.70) 1.87 0.37 (0.84) (0.02) 0.20
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Market Value ($MM) % of Total 3 Month FYTD CYTD 2018 2017 2016 2015 2014 3 Year 5 Year 10 Year ITD
Inception Date
FIXED INCOME RETURN SUMMARY
274 TRS-TOTAL CONVERTIBLE BONDS - GROSS 200 0.27 7.05 4.79 7.05 (0.06) 11.75 6.38 0.17 8.57 8.54 5.81 9.84 6.86 07/01/2008ESTIMATED INVESTMENT FEES (0.10) (0.30) (0.10) (0.35) (0.46) (0.45) (0.43) (0.47) (0.42) (0.43)TRS-TOTAL CONVERTIBLE BONDS - NET MGR 6.95 4.49 6.95 (0.41) 11.29 5.93 (0.25) 8.09 8.11 5.38 BOFAML ALL CONVERTIBLE EX M AI (DAILY) 10.08 3.93 10.08 0.65 15.70 11.71 (2.75) 9.33 13.69 7.84 13.40 8.88EXCESS RETURN (3.12) 0.56 (3.12) (1.06) (4.41) (5.78) 2.49 (1.24) (5.58) (2.46) (3.55) (2.02)
284 TRS-TOTAL OPPORTUNISTIC FIXED INCOME 1,969 2.63 1.11 3.40 1.11 6.37 8.01 7.31 (1.24) 9.07 8.71 5.34 11.80 7.08 10/01/2007OPPORTUNISTIC FIXED INCOME JPMGHY / CSFB 50/50 BLEND PLUS 300 6.18 6.12 6.18 2.36 9.42 17.40 0.63 4.93 10.65 7.46 12.99 9.10EXCESS RETURN (5.07) (2.72) (5.07) 4.01 (1.42) (10.10) (1.87) 4.14 (1.94) (2.12) (1.19) (2.01)
294 TRS-TOTAL TARGETED INVESTMENTS (NO CASH) - GROSS 639 0.85 2.84 5.58 2.84 1.00 3.70 2.53 3.65 8.22 2.14 3.83 4.65 7.86 12/01/1984ESTIMATED INVESTMENT FEES (0.06) (0.18) (0.06) (0.24) (0.24) (0.25) (0.25) (0.27) (0.24) (0.25) (0.27) (0.13)TRS-TOTAL TARGETED INVESTMENTS (NO CASH) - NET MGR 2.79 5.40 2.79 0.77 3.46 2.28 3.40 7.95 1.90 3.59 4.38 7.73TEACHERS CUSTOM BENCHMARK (NO CASH) 2.52 4.51 2.52 0.86 3.11 2.39 1.30 6.00 2.12 2.87 3.58 EXCESS RETURN 0.27 0.89 0.27 (0.09) 0.35 (0.12) 2.10 1.95 (0.21) 0.72 0.80
CASH SUMMARY
306 Short Term TRS - GROSS 845 1.13 0.64 1.75 0.64 1.96 1.21 0.78 0.48 0.32 1.42 1.07 0.80 04/01/1982ESTIMATED INVESTMENT FEES 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00Short Term TRS - NET MGR 0.64 1.75 0.64 1.96 1.21 0.78 0.48 0.32 1.42 1.07 0.80
310 KKR Cash Account 0 0.00
312 Cash Account 0 0.00
314 Securities Lending 0 0.00
Consolidated Performance Report
Through March 31, 2019
Teachers' Retirement System of New York City 34Performance Overview as of March 31, 2019
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Teachers' Retirement Systemof New York City
Appendix BPublic Markets Manager Performance Detail
Teachers' Retirement System of New York City 35Performance Overview as of March 31, 2019
Page 40 of 204
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
EQUITY SUMMARY
US EQUITY
BlackRock US SCG R2000 243 0.32 17.16 (3.06) 17.16 (9.26) 22.34 11.26 (1.51) 5.90
RUSSELL 2000 GROWTH DAILY 17.14 (3.15) 17.14 (9.31) 22.17 11.32 (1.38) 5.60
Excess 0.01 0.09 0.01 0.05 0.18 (0.06) (0.13) 0.30
BlackRock US SCV R2000 684 0.91 12.03 (7.38) 12.03 (12.74) 7.86 31.73 (7.49) 4.25
RUSSELL 2000 VALUE DAILY 11.93 (7.51) 11.93 (12.86) 7.84 31.74 (7.47) 4.22
Excess 0.11 0.13 0.11 0.13 0.02 (0.01) (0.02) 0.03
Brown Asset Mgmt US SCG 523 0.70 19.53 2.56 19.53 1.18 29.74 10.35 8.62 2.92
RUSSELL 2000 GROWTH DAILY 17.14 (3.15) 17.14 (9.31) 22.17 11.32 (1.38) 5.60
Excess 2.39 5.71 2.39 10.49 7.57 (0.97) 10.00 (2.68)
BlackRock US LC R1000 Growth 0 0.00 30.18 7.06 5.61 13.03
RUSSELL 1000 GROWTH - DAILY 30.21 7.08 5.67 13.05
Excess (0.03) (0.01) (0.06) (0.02)
BlackRock US LC R1000 Value 0 0.00 13.61 17.41 (3.84) 13.56
RUSSELL 1000 VALUE (DAILY) 13.66 17.34 (3.83) 13.45
Excess (0.05) 0.07 (0.01) 0.11
BlackRock US LMC R1000 Core 19,685 26.31 13.98 5.63 13.98
RUSSELL 1000 (DAILY) 14.00 5.54 14.00
Excess (0.02) 0.09 (0.02)
EMERGING MANAGERS
TOTAL EMERGING MANAGERS 114 0.15 14.32 (1.99) 14.32 (8.24)
RUSSELL 2000 (DAILY) 14.58 (5.29) 14.58 (11.01)
Excess (0.26) 3.30 (0.26) 2.77
Public Markets Manager Performance Detail
Net Returns Through March 31, 2019
Teachers' Retirement System of New York City 36Performance Overview as of March 31, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
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Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
TRS-TOTAL LEGATO 114 0.15 14.32 (1.99) 14.32 (8.17)
RUSSELL 2000 (DAILY) 14.58 (5.29) 14.58 (11.01)
Excess (0.26) 3.30 (0.26) 2.84
NON - US EQUITY
Causeway WorldxUS LMCC 1,217 1.63 11.40 (4.23) 11.40 (18.74) 26.91 (0.79) (2.05) (5.72)
NYC Developed Value Benchmark 10.45 (2.41) 10.45 (14.09) 22.77 5.02 (5.68) (5.39)
Excess 0.95 (1.82) 0.95 (4.65) 4.15 (5.81) 3.63 (0.32)
Sprucegrove WorldxUS LMCC 1,367 1.83 10.18 (2.90) 10.18 (14.09) 26.17 8.56 (6.95) (4.06)
NYC Developed Value Benchmark 10.45 (2.41) 10.45 (14.09) 22.77 5.02 (5.68) (5.39)
Excess (0.27) (0.49) (0.27) (0.00) 3.40 3.53 (1.27) 1.34
Baillie Gifford WorldxUS LMCC 1,542 2.06 16.95 (7.27) 16.95 (14.96) 39.93 2.04 (2.85) (7.83)
NYC Developed Growth Benchmark 10.45 (2.41) 10.45 (14.09) 27.77 (3.04) 4.09 (4.43)
Excess 6.50 (4.86) 6.50 (0.87) 12.16 5.09 (6.94) (3.40)
Walter Scott WorldxUS LMCC 1,434 1.92 11.42 2.69 11.42 (7.69) 27.53 4.37 1.60 (3.66)
NYC Developed Growth Benchmark 10.45 (2.41) 10.45 (14.09) 27.77 (3.04) 4.09 (4.43)
Excess 0.98 5.10 0.98 6.40 (0.24) 7.41 (2.49) 0.77
Acadian WorldxUS SCC 370 0.49 9.97 (8.33) 9.97 (19.67) 38.42 5.46 10.97 (2.33)
S&P EPAC Small Cap USD NET 9.92 (8.54) 9.92 (18.58) 33.47 1.34 8.58 (3.43)
Excess 0.05 0.21 0.05 (1.09) 4.96 4.12 2.38 1.10
Fidelity WorldxUS SCC 197 0.26 9.57 (9.81) 9.57 (18.23) 31.25 (0.81) 11.69 (5.41)
S&P EPAC Small Cap USD NET 9.92 (8.54) 9.92 (18.58) 33.47 1.34 8.58 (3.43)
Excess (0.36) (1.27) (0.36) 0.35 (2.21) (2.15) 3.11 (1.98)
Algert EAFE SCC 114 0.15
MSCI EAFE SMALL CAP NET (DAILY)
Excess
Public Markets Manager Performance Detail
Net Returns Through March 31, 2019
Teachers' Retirement System of New York City 37Performance Overview as of March 31, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
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Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
SSGA WorldxUS LMC NYC Custom IDX 1,722 2.30 10.36 (2.29) 10.36 (13.55) 24.51 1.34 (0.30) (5.43)
NYC Custom World ex US Index 10.45 (2.41) 10.45 (14.09) 24.12 1.00 (0.81) (4.90)
Excess (0.09) 0.12 (0.09) 0.54 0.40 0.34 0.52 (0.52)
SSGA WorldxUS SC Custom IDX 1 636 0.85 10.72 (7.81) 10.72 (17.82) 33.64 2.93 9.95
World ex USA SC PASSIVE CUSTOM BM 10.93 (7.80) 10.93 (18.07) 33.31 2.18 9.59
Excess (0.21) (0.02) (0.21) 0.25 0.33 0.75 0.37
EMERGING MARKETS
Acadian EM 434 0.58 7.92 1.52 7.92
MSCI CUSTOM TRS EMERGING MARKETS (NET) 6.18 1.84 6.18
Excess 1.75 (0.32) 1.75
Baillie Gifford EM 1,670 2.23 11.23 5.60 11.23 (14.39) 41.33 4.02 (14.09) 4.83
TRS Custom EM Index 6.18 1.84 6.18 (13.39) 34.19 13.91 (17.04) 0.67
Excess 5.05 3.76 5.05 (1.00) 7.13 (9.90) 2.95 4.16
DFA EM 1,271 1.70 6.10 1.63 6.10 (13.17) 34.29 20.88 (21.72) (4.59)
TRS Custom EM Index 6.18 1.84 6.18 (13.39) 34.19 13.91 (17.04) 0.67
Excess (0.07) (0.21) (0.07) 0.23 0.09 6.97 (4.68) (5.26)
Eaton Vance EM 982 1.31 5.57 0.27 5.57 (14.52) 32.02 11.47 (19.97) (0.80)
TRS Custom EM Index 6.18 1.84 6.18 (13.39) 34.19 13.91 (17.04) 0.67
Excess (0.60) (1.57) (0.60) (1.12) (2.17) (2.44) (2.94) (1.47)
Lazard EM 319 0.43 4.50 (0.27) 4.50 (17.29) 28.26
TRS Custom EM Index 6.18 1.84 6.18 (13.39) 34.19
Excess (1.68) (2.11) (1.68) (3.89) (5.94)
BlackRock MSCI EM Core 1,903 2.54 6.34 1.88 6.34 (12.87) 32.99 12.92 (17.99) (1.82)
MSCI CUSTOM TRS EMERGING MARKETS (NET) 6.18 1.84 6.18 (12.99) 33.05 13.10 (17.81)
Excess 0.16 0.04 0.16 0.12 (0.05) (0.18) (0.17)
Public Markets Manager Performance Detail
Net Returns Through March 31, 2019
Teachers' Retirement System of New York City 38Performance Overview as of March 31, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 43 of 204
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
INTERNATIONAL FOF
TRS-TOTAL INTERNATIONAL FOF 531 0.71 10.24 (4.50) 10.24 (15.50)
NYC Blended Custom Benchmark for FoF (TRS) 9.86 (2.45) 9.86 (14.39)
Excess 0.37 (2.05) 0.37 (1.11)
TRS-TOTAL INTERNATIONAL BIVIUM 177 0.24 10.82 (6.12) 10.82 (18.16)
NYC Blended Custom Benchmark for FoF (TRS) 9.86 (2.45) 9.86 (14.39)
Excess 0.95 (3.67) 0.95 (3.77)
TRS-TOTAL INTERNATIONAL FIS 178 0.24 9.42 (3.36) 9.42 (14.12)
NYC Blended Custom Benchmark for FoF (TRS) 9.86 (2.45) 9.86 (14.39)
Excess (0.44) (0.91) (0.44) 0.27
TRS-TOTAL INTERNATIONAL LEADING EDGE 176 0.24 10.49 (3.97) 10.49 (14.15)
NYC Blended Custom Benchmark for FoF (TRS) 9.86 (2.45) 9.86 (14.39)
Excess 0.63 (1.53) 0.63 0.24
GLOBAL EQUITY
Fiera WorldxUS 265 0.35 15.56 15.56
MSCI World Index 12.48 12.48
Excess 3.08 3.08
REAL ESTATE SECURITIES
Adelante REITS 361 0.48 17.44 10.76 17.44 (5.32) 7.32 3.90 4.81 33.05
DJ US SELECT REAL ESTATE SECURITIES INDEX 15.72 8.86 15.72 (4.22) 3.76 6.65 4.46 31.85
Excess 1.72 1.90 1.72 (1.10) 3.56 (2.75) 0.36 1.20
CenterSquare REITS 263 0.35 15.62 8.36 15.62 (5.07) 5.96 7.98 5.87 32.56
DJ US SELECT REAL ESTATE SECURITIES INDEX 15.72 8.86 15.72 (4.22) 3.76 6.65 4.46 31.85
Excess (0.11) (0.50) (0.11) (0.85) 2.20 1.33 1.41 0.71
Public Markets Manager Performance Detail
Net Returns Through March 31, 2019
Teachers' Retirement System of New York City 39Performance Overview as of March 31, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 44 of 204
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
Cohen Steers REITS 252 0.34 16.56 10.19 16.56 (3.88) 7.44 4.96 5.59 31.67
DJ US SELECT REAL ESTATE SECURITIES INDEX 15.72 8.86 15.72 (4.22) 3.76 6.65 4.46 31.85
Excess 0.84 1.33 0.84 0.33 3.68 (1.69) 1.13 (0.18)
Morgan Stanley - REIT 353 0.47 14.93 5.79 14.93 (7.88) 9.25 3.49 (1.63) 30.72
Morgan Stanley Custom RESI Index 14.35 8.06 14.35 (5.46) 10.27 2.37 (1.53) 31.85
Excess 0.58 (2.26) 0.58 (2.42) (1.02) 1.13 (0.11) (1.13)
FIXED INCOME SUMMARY
STRUCTURED FIXED INCOME
BlackRock Mortgages 1,852 2.48 2.40 4.37 2.40 1.00 2.63 2.17 1.76 6.56
FTSE MORTGAGE INDEX 2.16 4.21 2.16 1.01 2.47 1.59 1.56 6.12
Excess 0.23 0.16 0.23 (0.01) 0.16 0.58 0.20 0.44
BlackRock Mortgages NA 6 0.01
FTSE MORTGAGE INDEX
Excess
Neuberger Berman Mortgages 748 1.00 2.16 4.08 2.16 0.82 2.42 1.49 1.37 6.66
FTSE MORTGAGE INDEX 2.16 4.21 2.16 1.01 2.47 1.59 1.56 6.12
Excess (0.01) (0.13) (0.01) (0.19) (0.05) (0.09) (0.19) 0.54
Amundi Smith Breeden Mortgages 0 0.00 2.27 2.02 1.68 6.41
FTSE MORTGAGE INDEX 2.47 1.59 1.56 6.12
Excess (0.19) 0.44 0.12 0.29
BlackRock Credit 389 0.52 5.00 5.76 5.00 (1.99) 6.31 5.57 (0.71) 7.43
NYC - Investment Grade Credit 4.72 5.82 4.72 (1.90) 6.04 5.56 (0.65) 7.04
Excess 0.28 (0.06) 0.28 (0.09) 0.27 0.01 (0.06) 0.39
Taplin Credit 288 0.39 5.35 5.00 5.35 (3.43) 7.99 9.02 (4.10) 7.34
NYC - Investment Grade Credit 4.72 5.82 4.72 (1.90) 6.04 5.56 (0.65) 7.04
Excess 0.63 (0.81) 0.63 (1.53) 1.95 3.46 (3.46) 0.30
Public Markets Manager Performance Detail
Net Returns Through March 31, 2019
Teachers' Retirement System of New York City 40Performance Overview as of March 31, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 45 of 204
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
T Rowe Price Credit 1,170 1.56 4.95 5.91 4.95 (2.41) 6.85 5.96 0.09 7.82
NYC - Investment Grade Credit 4.72 5.82 4.72 (1.90) 6.04 5.56 (0.65) 7.04
Excess 0.23 0.09 0.23 (0.51) 0.81 0.41 0.73 0.77
Prudential Credit 743 0.99 4.75 5.78 4.75 (1.94) 6.17 5.84 (0.16) 7.19
NYC - Investment Grade Credit 4.72 5.82 4.72 (1.90) 6.04 5.56 (0.65) 7.04
Excess 0.03 (0.04) 0.03 (0.03) 0.13 0.28 0.49 0.14
Barrow Hanley Credit 501 0.67 5.16 6.05 5.16 (2.41) 6.16 5.88 (0.11) 7.39
NYC - Investment Grade Credit 4.72 5.82 4.72 (1.90) 6.04 5.56 (0.65) 7.04
Excess 0.43 0.24 0.43 (0.51) 0.12 0.32 0.54 0.35
SSGA LI Treasury 3,251 4.35 3.37 5.46 3.37 (0.20) 5.13 1.48 0.50 12.08
NYC - Treasury Agency Plus Five 3.37 5.57 3.37 (0.05) 4.66 1.21 0.72 12.38
Excess (0.01) (0.10) (0.01) (0.15) 0.48 0.26 (0.23) (0.29)
BlackRock LI Treasury 2,002 2.68 3.31 5.39 3.31 (0.18) 4.97 1.25 0.69 11.96
NYC - Treasury Agency Plus Five 3.37 5.57 3.37 (0.05) 4.66 1.21 0.72 12.38
Excess (0.06) (0.18) (0.06) (0.13) 0.31 0.03 (0.03) (0.42)
SSGA ST Treasury 1-3Y 2,087 2.79 0.98 2.47 0.98 1.51 0.40
FTSE USBIG Treasury 1-3 Y Index 0.99 2.48 0.99 1.56 0.42
Excess (0.01) (0.00) (0.01) (0.05) (0.02)
SSGA LT Treasury 10Y Plus 3,069 4.10 4.67 5.86 4.67 (1.84) 8.44
FTSE Treasury 10+ 4.70 5.84 4.70 (1.89) 8.60
Excess (0.04) 0.02 (0.04) 0.05 (0.17)
SSGA IT Treasury 1-10Y 2 6 0.01 1.48 2.63 1.48 2.05
FTSE USBIG Treasury/Agency 1-10 y 1.58 3.69 1.58 1.42
Excess (0.10) (1.06) (0.10) 0.63
91 DAY TREASURY BILL (DAILY) 0.60 1.66 0.60 1.87
Excess 0.88 0.97 0.88 0.17
Public Markets Manager Performance Detail
Net Returns Through March 31, 2019
Teachers' Retirement System of New York City 41Performance Overview as of March 31, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 46 of 204
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
HIGH YIELD
Brigade High Yield 233 0.31 7.28 7.28
BBG BARC US HY - 2% Issr Cap 7.26 7.26
Excess 0.02 0.02
Eaton Vance High Yield 418 0.56 7.03 7.03
BBG BARC US HY - 2% Issr Cap 7.26 7.26
Excess (0.23) (0.23)
Loomis Sayles High Yield 0 0.00 7.01 18.62 (6.49) 3.55
BofAML HIGH YIELD MASTER II (DAILY) 7.48 17.49 (4.64) 2.50
Excess (0.48) 1.13 (1.85) 1.04
Neuberger Berman High Yield 727 0.97 6.91 4.84 6.91 (2.01) 5.74 14.89 (3.96) 1.85
BBG BARC US HY - 2% Issr Cap 7.26 4.85 7.26 (2.08) 7.50 17.13 (4.43) 2.46
Excess (0.35) (0.01) (0.35) 0.08 (1.76) (2.24) 0.47 (0.60)
Nomura High Yield 238 0.32 7.11 7.11
BBG BARC US HY - 2% Issr Cap 7.26 7.26
Excess (0.15) (0.15)
Oaktree High Yield 358 0.48 7.10 4.27 7.10 (3.49) 5.75 14.96 (4.70) 1.33
BBG BARC US HY - 2% Issr Cap 7.26 4.85 7.26 (2.08) 7.50 17.13 (4.43) 2.46
Excess (0.15) (0.59) (0.15) (1.41) (1.75) (2.17) (0.26) (1.13)
Stone Harbor High Yield 536 0.72 7.62 5.25 7.62 (2.65) 5.85 13.10 (4.47) 0.79
BBG BARC US HY - 2% Issr Cap 7.26 4.85 7.26 (2.08) 7.50 17.13 (4.43) 2.46
Excess 0.36 0.39 0.36 (0.56) (1.65) (4.03) (0.04) (1.67)
T Rowe Price High Yield 803 1.07 7.06 5.51 7.06 (2.30) 7.70 12.17 (1.17) 2.96
BBG BARC US HY - 2% Issr Cap 7.26 4.85 7.26 (2.08) 7.50 17.13 (4.43) 2.46
Excess (0.19) 0.65 (0.19) (0.22) 0.19 (4.96) 3.26 0.50
Public Markets Manager Performance Detail
Net Returns Through March 31, 2019
Teachers' Retirement System of New York City 42Performance Overview as of March 31, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 47 of 204
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
Penn High Yield -0 -0.00 6.62 11.96 (1.32) 0.92
FTSE BB & B 7.03 15.48 (4.21) 2.78
Excess (0.41) (3.52) 2.89 (1.86)
Mackay Shields High Yield 350 0.47 6.82 6.82
BBG BARC US HY - 2% Issr Cap 7.26 7.26
Excess (0.44) (0.44)
Shenkman High Yield 0 0.00 6.60 11.64 (2.16) 2.75
BBG BARC US HY - 2% Issr Cap 7.50 17.13 (4.43) 2.46
Excess (0.90) (5.49) 2.28 0.29
Transition High Yield 2 0.00
BANK LOANS
Barings Bank Loans 441 0.59 3.77 2.01 3.77 0.38 4.47 8.47 0.12 1.99
CSFB LEVERAGED LOAN INDEX 3.78 2.53 3.78 1.14 4.25 9.88 (0.38) 2.06
Excess (0.01) (0.52) (0.01) (0.76) 0.22 (1.41) 0.50 (0.07)
Credit Suisse Bank Loans 458 0.61 3.65 2.62 3.65 1.04 4.66 8.96 2.57 2.67
CSFB LEVERAGED LOAN INDEX 3.78 2.53 3.78 1.14 4.25 9.88 (0.38) 2.06
Excess (0.12) 0.09 (0.12) (0.10) 0.41 (0.92) 2.96 0.61
Guggenheim Bank Loans 451 0.60 2.85 2.09 2.85 1.24 3.82 7.84 2.07 2.88
CSFB LEVERAGED LOAN INDEX 3.78 2.53 3.78 1.14 4.25 9.88 (0.38) 2.06
Excess (0.93) (0.43) (0.93) 0.10 (0.43) (2.03) 2.45 0.83
Voya Bank Loans 424 0.57 3.50 1.89 3.50 0.33 3.19 7.71 1.21 2.66
CSFB LEVERAGED LOAN INDEX 3.78 2.53 3.78 1.14 4.25 9.88 (0.38) 2.06
Excess (0.28) (0.64) (0.28) (0.81) (1.06) (2.17) 1.60 0.60
Public Markets Manager Performance Detail
Net Returns Through March 31, 2019
Teachers' Retirement System of New York City 43Performance Overview as of March 31, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 48 of 204
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
Wells Capital Bank Loans 6 0.01 0.17 3.18 7.18 1.17 1.68
CSFB LEVERAGED LOAN INDEX 1.14 4.25 9.88 (0.38) 2.06
Excess (0.98) (1.07) (2.70) 1.55 (0.38)
TIPS
SSGA TIPS 2,393 3.20 3.24 1.92 3.24 (1.30) 3.06 4.66 (1.35) 3.57
BBG BARC Gbl Inf-Lk: US TIPS (Dly) 3.19 1.92 3.19 (1.26) 3.01 4.68 (1.44) 3.64
Excess 0.04 (0.00) 0.04 (0.04) 0.05 (0.03) 0.09 (0.07)
BlackRock TIPS 794 1.06 3.24 1.92 3.24 (1.18) 2.98 4.64 (1.24) 3.74
BBG BARC Gbl Inf-Lk: US TIPS (Dly) 3.19 1.92 3.19 (1.26) 3.01 4.68 (1.44) 3.64
Excess 0.05 0.00 0.05 0.08 (0.02) (0.05) 0.20 0.10
CONVERTIBLE BONDS
Advent Convertible Bonds 95 0.13 6.18 3.29 6.18 (1.65) 7.45 7.34 (1.98) 4.63
BofA ML U.S. Convertible Yield Alternative 6.29 2.27 6.29 (0.42) 9.45 9.96 (8.77) 2.75
Excess (0.12) 1.02 (0.12) (1.23) (2.00) (2.62) 6.80 1.88
Victory Convertible Bonds 105 0.14 7.67 5.57 7.67 0.68 20.13 6.47 (0.20) 13.72
BofA Merrill Lynch US Investment Grade Convertible Bond Index 6.91 6.06 6.91 3.35 20.99 14.23 1.68 15.69
Excess 0.76 (0.48) 0.76 (2.67) (0.87) (7.76) (1.88) (1.98)
CORE FI - EMERGING MANAGERS
Hillswick 12 0.02 2.61 4.73 2.61 0.33 2.64 2.61 0.61 7.08
BBG BARC Agg (Dly) 2.94 4.65 2.94 0.01 3.54 2.65 0.55 5.97
Excess (0.33) 0.08 (0.33) 0.32 (0.90) (0.03) 0.06 1.11
Integrity 11 0.01 2.78 4.35 2.78 (0.03) 3.93
BBG BARC Agg (Dly) 2.94 4.65 2.94 0.01 3.54
Excess (0.17) (0.30) (0.17) (0.04) 0.39
Public Markets Manager Performance Detail
Net Returns Through March 31, 2019
Teachers' Retirement System of New York City 44Performance Overview as of March 31, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 49 of 204
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
NEW CENTURY 33 0.04 2.94 4.49 2.94 0.12 4.04 2.37 (0.30) 6.51
BBG BARC Agg (Dly) 2.94 4.65 2.94 0.01 3.54 2.65 0.55 5.97
Excess (0.00) (0.16) (0.00) 0.11 0.50 (0.28) (0.85) 0.55
Ramirez Asset 32 0.04 3.36 4.68 3.36 0.07 4.47 3.64 1.12
BBG BARC Agg (Dly) 2.94 4.65 2.94 0.01 3.54 2.65 0.55
Excess 0.41 0.04 0.41 0.06 0.93 0.99 0.57
PUGH CAP 39 0.05 2.98 4.41 2.98 (0.42) 4.12 3.48 0.79 5.86
BBG BARC Agg (Dly) 2.94 4.65 2.94 0.01 3.54 2.65 0.55 5.97
Excess 0.04 (0.24) 0.04 (0.43) 0.58 0.84 0.24 (0.10)
CORE FI - DEVELOPING MANAGERS
LM Capital Core-Core Plus 77 0.10 3.72 4.63 3.72 (1.35) 3.89 3.50
BBG BARC Agg (Dly) 2.94 4.65 2.94 0.01 3.54 2.65
Excess 0.77 (0.02) 0.77 (1.36) 0.35 0.86
GIA Core-Core Plus 50 0.07 3.78 4.49 3.78 (1.01) 4.37 4.24
BBG BARC Agg (Dly) 2.94 4.65 2.94 0.01 3.54 2.65
Excess 0.83 (0.16) 0.83 (1.02) 0.82 1.59
ECONOMICALLY TARGETED INVESTMENTS
AFL-CIO Housing Investment Trust 293 0.39 2.65 4.47 2.65 0.16 3.17 1.94 1.13 6.10
BBG BARC Agg (Dly) 2.94 4.65 2.94 0.01 3.54 2.65 0.55 5.97
Excess (0.29) (0.18) (0.29) 0.15 (0.38) (0.71) 0.58 0.14
RBC Access MBS 145 0.19 2.50 4.43 2.50 0.49 2.64 1.61 1.83 6.66
Access RBC Benchmark 2.01 4.03 2.01 1.17 1.96 1.52 1.40 5.08
Excess 0.49 0.40 0.49 (0.69) 0.69 0.09 0.43 1.58
CPC Construction Facility 9 0.01 1.31 3.39 1.31 4.14 6.07 (3.95) 12.90
CPC CONST BENCHMARK 1.06 3.14 1.06 3.99 3.34 3.03 2.90
Excess 0.25 0.26 0.25 0.15 2.73 (6.99) 10.00
Public Markets Manager Performance Detail
Net Returns Through March 31, 2019
Teachers' Retirement System of New York City 45Performance Overview as of March 31, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 50 of 204
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
BOA PPAR FNMA 8 0.01 3.40 7.43 3.40 2.33 5.21 4.07 42.03 13.31
FNMA Plus 85bps 2.33 4.80 2.33 1.86 3.61 2.38 2.50 7.13
Excess 1.07 2.63 1.07 0.47 1.60 1.69 39.53 6.19
Citibank PPAR FNMA 15 0.02 3.24 8.33 3.24 2.63 5.26 3.71 6.69 25.71
FNMA Plus 85bps 2.33 4.80 2.33 1.86 3.61 2.38 2.50 7.13
Excess 0.91 3.53 0.91 0.77 1.65 1.33 4.20 18.58
Citibank PPAR GNMA 5 0.01 2.73 7.40 2.73 1.90 3.10 2.78 5.08 15.37
GNMA Plus 65bps 2.32 4.68 2.32 1.63 2.53 2.28 2.02 6.65
Excess 0.40 2.73 0.40 0.27 0.57 0.50 3.06 8.72
CFSB PPAR GNMA 2 0.00 2.64 6.73 2.64 0.99 3.83 3.21 5.90 15.34
GNMA Plus 65bps 2.32 4.68 2.32 1.63 2.53 2.28 2.02 6.65
Excess 0.32 2.05 0.32 (0.65) 1.30 0.93 3.88 8.69
CPC PPAR FNMA 79 0.11 3.78 8.40 3.78 2.31 5.06 6.15 8.96 13.91
FNMA Plus 85bps 2.33 4.80 2.33 1.86 3.61 2.38 2.50 7.13
Excess 1.46 3.61 1.46 0.45 1.45 3.77 6.46 6.78
CPC PPAR GNMA 64 0.09 2.60 6.64 2.60 0.77 2.85 1.83 5.33 11.79
GNMA Plus 65bps 2.32 4.68 2.32 1.63 2.53 2.28 2.02 6.65
Excess 0.28 1.96 0.28 (0.86) 0.32 (0.44) 3.31 5.14
LIIF PPAR FNMA 11 0.01 3.35 8.21 3.35 2.27 9.55 5.03 6.29 38.12
FNMA Plus 85bps 2.33 4.80 2.33 1.86 3.61 2.38 2.50 7.13
Excess 1.02 3.41 1.02 0.41 5.94 2.65 3.79 30.99
LIIF PPAR GNMA 2 0.00 1.92 5.48 1.92 2.53 2.52 3.88 3.92 9.74
GNMA Plus 65bps 2.32 4.68 2.32 1.63 2.53 2.28 2.02 6.65
Excess (0.40) 0.81 (0.40) 0.89 (0.01) 1.61 1.91 3.09
Public Markets Manager Performance Detail
Net Returns Through March 31, 2019
Teachers' Retirement System of New York City 46Performance Overview as of March 31, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 51 of 204
Market Value ($MM) % of Total 3 Months FYTD CYTD 2018 2017 2016 2015 2014
LISC PPAR FNMA 1 0.00 3.72 3.72
FNMA Plus 85bps 2.33 2.33
Excess 1.39 1.39
NCBCI PPAR FNMA 0 0.00 2.52 7.66 2.52 2.00 1.75 3.46 4.97 14.93
FNMA Plus 85bps 2.33 4.80 2.33 1.86 3.61 2.38 2.50 7.13
Excess 0.19 2.87 0.19 0.15 (1.86) 1.07 2.47 7.81
NCBCI PPAR GNMA 1 0.00 2.47 6.60 2.47 1.23 3.01 3.51 5.53 16.66
GNMA Plus 65bps 2.32 4.68 2.32 1.63 2.53 2.28 2.02 6.65
Excess 0.15 1.92 0.15 (0.41) 0.48 1.23 3.52 10.01
NHS PPAR GNMA 0 0.00 2.48 5.99 2.48 0.54 (2.93) 3.58 4.90 13.73
GNMA Plus 65bps 2.32 4.68 2.32 1.63 2.53 2.28 2.02 6.65
Excess 0.16 1.32 0.16 (1.09) (5.46) 1.30 2.89 7.08
Wells Fargo PPAR FNMA 3 0.00 9.99 16.43 9.99
FNMA Plus 85bps 2.33 4.80 2.33
Excess 7.67 11.64 7.67
CASH
Short Term TRS 845 1.13 0.64 1.75 0.64 1.96 1.21 0.78 0.48 0.32
91 DAY TREASURY BILL (DAILY) 0.60 1.66 0.60 1.87 0.86 0.33 0.05 0.03
Excess 0.04 0.09 0.04 0.09 0.35 0.45 0.43 0.29
KKR SP CASH ACCOUNT 0 0.00
Cash Account 0 0.00
Securities Lending 0 0.00
Public Markets Manager Performance Detail
Net Returns Through March 31, 2019
Teachers' Retirement System of New York City 47Performance Overview as of March 31, 20191 Name changed from SSGA MSCI EAFE Small Cap Index 12.20172 Assets were in transition from 9/29/17 to 2/11/19
Page 52 of 204
Teachers' Retirement Systemof New York City
Appendix CAlternative Assets Manager PerformanceDetail
Teachers' Retirement System of New York City 48Performance Overview as of March 31, 2019
Page 53 of 204
Information provided by the New York City Teachers’ Retirement System Consultants
Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value
Investment Multiple ITD IRR%
TOTAL PRIVATE EQUITY 9,162,676,368 7,042,580,421 5,904,621,466 4,044,441,050 1.41 10.1% TOTAL LIQUIDATED 667,679,929 665,466,102 842,590,216 - 1.27 TOTAL ACTIVE 8,494,996,440 6,377,114,319 5,062,031,251 4,044,441,050 1.43
TOTAL ACTIVE Cypress Merchant Banking Partners II, LP 1999 50,000,000 53,983,573 50,623,035 26,160 0.94 -1.2%Lincolnshire Equity Fund II, L.P. 1999 15,000,000 14,446,100 28,031,474 560,377.00 1.98 24.6%SCP Private Equity Partners II, L.P. 2000 20,000,000 22,196,012 8,429,680 2,170,734 0.48 -8.4%Solera Partners, L.P. 2000 15,000,000 19,944,201 31,226,365 231,729 1.58 7.5%Apollo Investment Fund V, L.P. 2001 30,000,000 46,758,049 92,244,552 298,043 1.98 38.8%RRE Ventures III, L.P. 2001 20,000,000 26,269,971 34,025,652 1,255,774 1.34 5.5%Landmark Equity Partners XI, L.P. 2002 20,000,000 21,259,356 31,467,979 49,029 1.48 23.3%Thomas McNerney & Partners, L.P. 2002 15,000,000 15,000,000 7,543,579 1,715,604.00 0.62 -7.7%Ares Corporate Opportunities Fund, L.P. 2003 15,000,000 18,004,666 26,835,382 901,935 1.54 13.4%Blackstone Capital Partners IV, L.P. 2003 30,000,000 30,690,321 75,298,977 1,994,803 2.52 37.8%FS Equity Partners V, L.P. 2003 25,000,000 20,204,332 40,645,843 2,175,316 2.12 15.5%Leeds Weld Equity Partners IV, L.P. 2003 15,000,000 15,441,454 20,171,550 30,613 1.31 4.2%Aurora Equity Partners III, L.P. 2004 20,000,000 21,708,976 35,032,609 150,210 1.62 13.5%FdG Capital Partners II, L.P. 2004 35,000,000 37,720,808 43,606,491 2,318,139 1.22 3.8%Lincolnshire Equity Fund III, L.P. 2004 25,000,000 24,972,502 35,333,008 9,754,918 1.81 28.6%Markstone Capital Partners, L.P. 2004 35,000,000 40,766,689 17,074,753 163,685 0.42 -49.0%New York/Fairview Emerging Managers (Tranche A), L.P. 2004 24,000,000 24,646,553 23,214,603 5,240,759 1.15 2.4%Paladin Homeland Security Fund (NY), L.P 2004 15,000,000 16,550,584 6,323,308 22,200 0.38 -14.2%Yucaipa American Alliance Fund I, L.P. 2004 55,000,000 80,828,995 78,341,527 20,885,069 1.23 4.8%Blackstone Mezzanine Partners II, L.P. 2005 20,000,000 19,342,116 25,639,056 204,477 1.34 7.8%JP Morgan Fleming (Tranche A), L.P. 2005 31,000,000 30,970,677 30,004,784 11,874,689 1.35 5.8%NB NYC Growth Fund, LLC 2005 30,000,000 26,117,536 27,479,875 5,108,999 1.25 3.6%New Mountain Partners II, L.P. 2005 23,225,800 21,482,843 40,969,939 364,607 1.92 13.6%Palladium Equity Partners III, L.P. 2005 35,000,000 37,627,512 67,827,553 3,375,376 1.89 14.9%Prism Venture Partners V-A, L.P. 2005 20,000,000 20,931,568 13,131,156 335,055 0.64 -8.7%Psilos Group Partners III, L.P. 2005 25,000,000 26,575,585 12,820,541 17,573,489.00 1.14 2.1%Snow Phipps Group, L.P. 2005 15,000,000 17,775,294 15,590,643 7,661,157.00 1.31 6.0%USPF II Institutional Fund, L.P. 2005 35,000,000 46,164,567 46,256,331 14,065,953 1.31 4.5%
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Through December 31, 2018
Teachers' Retirement System of New York City 49Performance Overview as of December 31, 2018
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Information provided by the New York City Teachers’ Retirement System Consultants
Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value
Investment Multiple ITD IRR%
Aisling Capital II, L.P. 2006 4,500,000 5,099,563 5,112,601 207,956 1.04 0.8%Ampersand 2006, L.P. 2006 15,000,000 15,000,000 24,873,025 17,414,016 2.82 16.7%Apollo Investment Fund VI, L.P. 2006 35,000,000 45,048,207 63,539,417 4,122,161 1.50 8.6%Ares Corporate Opportunities Fund II, L.P. 2006 30,000,000 32,905,774 53,060,554 2,081,755 1.68 13.1%Arsenal Capital Partners II, L.P. 2006 13,500,000 16,509,280 26,215,566 4,186,822 1.84 11.6%Avista Capital Partners, L.P. 2006 30,000,000 39,559,256 49,499,726 854,338 1.27 5.0%BDCM Opportunity Fund II, L.P. 2006 25,000,000 37,160,726 61,921,197 29,999,417 2.47 18.0%Blackstone Capital Partners V, L.P. 2006 75,600,000 76,444,502 122,621,038 5,576,606 1.68 8.4%Catterton Partners VI, L.P. 2006 30,000,000 34,300,531 50,089,255 14,036,527 1.87 11.8%CCMP Capital Investors II, L.P. 2006 20,000,000 21,912,981 37,723,530 17,729 1.72 13.5%Cinven Fourth Fund 2006 43,264,875 45,626,561 65,854,533 32,884 1.44 7.4%Fairview Ventures Fund III, L.P. 2006 20,000,000 21,036,759 25,374,669 17,852,845 2.05 14.0%First Reserve Fund XI, L.P. 2006 30,000,000 34,241,400 21,730,022 1,661,495 0.68 -9.3%GF Capital Private Equity Fund, L.P. 2006 15,000,000 15,547,039 19,565,381 7,964,634 1.77 12.6%GSC Recovery III, L.P. 2006 10,000,000 11,260,507 13,252,348 99,476 1.19 4.2%InterMedia Partners VII, L.P. 2006 25,000,000 29,198,197 29,591,746 249,211 1.02 0.3%Landmark Equity Partners XIII, L.P. 2006 25,000,000 23,655,228 23,862,305 6,671,542.00 1.29 4.7%MidOcean Partners III, L.P. 2006 40,000,000 46,322,006 80,748,322 13,685,280.00 2.04 12.9%RRE Ventures IV, L.P. 2006 25,000,000 31,632,272 17,548,042 27,871,164 1.44 5.5%Terra Firma Capital Partners III, L.P. 2006 31,060,011 31,575,601 9,044,147 5,225,606 0.45 -9.8%Thomas, McNerney & Partners II, L.P. 2006 15,000,000 14,867,607 30,264,518 2,654,733 2.21 16.4%Carlyle Partners V, L.P. 2007 50,000,000 50,406,980 80,509,250 8,987,143 1.78 13.4%Co-Investment Partners Europe, L.P. 2007 26,438,889 29,174,532 34,476,740 2,071,591 1.25 4.5%Constellation Ventures III, L.P. 2007 15,000,000 17,145,021 8,397,431 4,452,163 0.75 -4.8%Craton Equity Investors I, L.P. 2007 10,000,000 9,266,168 1,076,950 32,753 0.12 -32.0%FTVentures III, L.P. 2007 14,081,947 14,882,466 21,850,436 6,059,572 1.88 11.2%GSO Capital Opportunities Fund, L.P. 2007 30,000,000 48,291,339 67,124,625 489,635 1.40 17.4%Halyard Capital Fund II, L.P. 2007 15,000,000 12,955,286 15,730,000 2,866,652 1.44 6.6%Montreux Equity Partners IV, L.P. 2007 15,000,000 14,930,359 11,239,048 12,159,302 1.57 8.3%Nautic Partners VI, L.P. 2007 20,000,000 21,704,141 47,783,956 4,342,585 2.40 18.9%New Mountain Partners III, L.P. 2007 35,000,000 35,949,400 47,758,635 23,075,761 1.97 13.3%PCG Clean Energy & Technology Fund East, L.P. 2007 60,000,000 51,863,265 10,794,552 11,884,894 0.44 -11.9%Pegasus Partners IV, L.P. 2007 20,000,000 26,009,188 17,737,171 6,484,164 0.93 -1.5%
Alternative Assets Manager Performance Detail
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Teachers' Retirement System of New York City 50Performance Overview as of December 31, 2018
Page 55 of 204
Information provided by the New York City Teachers’ Retirement System Consultants
Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value
Investment Multiple ITD IRR%
Pine Brook Capital Partners, L.P. 2007 22,500,000 24,855,036 29,483,697 4,060,105 1.35 8.1%Quaker BioVentures II, L.P. 2007 15,000,000 14,752,775 12,864,585 2,803,214 1.06 1.5%RLJ Equity Partners Fund I, L.P. 2007 15,000,000 15,340,537 16,822,292 7,099,375 1.56 10.2%SCP Vitalife Partners II, L.P. 2007 15,000,000 15,074,774 1,184 6,919,644 0.46 -9.7%StarVest Partners II, L.P. 2007 20,000,000 20,106,956 4,182,594 12,592,998 0.83 -2.8%Trilantic Capital Partners IV L.P. 2007 53,311,339 55,874,710 82,624,937 6,866,189 1.60 14.2%USPF III Institutional Fund, L.P. 2007 30,000,000 35,493,985 35,705,098 8,885,407 1.26 4.2%Vista Equity Partners Fund III, L.P. 2007 25,000,000 26,827,735 61,640,412 6,230,302 2.53 27.2%Aisling Capital III, L.P. 2008 10,500,000 11,850,021 20,155,267 5,452,769 2.16 25.0%Apollo Investment Fund VII, L.P. 2008 50,000,000 60,473,670 95,616,021 9,052,723 1.73 23.5%Ares Corporate Opportunities Fund III, L.P. 2008 60,000,000 70,326,439 105,538,577 43,212,478 2.12 21.0%Avista Capital Partners II, L.P. 2008 50,000,000 65,011,431 100,313,615 9,249,425 1.69 15.1%Blue Wolf Capital Fund II, L.P. 2008 20,000,000 21,768,204 25,173,874 5,030,276 1.39 7.8%Bridgepoint Europe IV, L.P. 2008 26,591,543 24,622,316 26,267,576 10,238,370 1.48 9.4%First Reserve Fund XII, L.P. 2008 30,000,000 33,919,785 17,020,011 7,542,801 0.72 -8.0%GCM Grosvenor TRSCNY Emerging Manager Fund, L.P. 2008 59,373,737 71,766,329 62,080,132 40,066,410 1.42 10.6%GI Partners III, L.P. 2008 30,000,000 32,406,721 50,386,682 511,817 1.57 13.0%Landmark Equity Partners XIV, L.P. 2008 50,000,000 48,517,085 52,461,909 10,425,358 1.30 9.1%Leeds Equity Partners V, L.P. 2008 40,000,000 41,501,234 49,678,143 38,775,738 2.13 18.9%Levine Leichtman Capital Partners IV, L.P. 2008 25,000,000 26,635,586 42,163,089 3,051,271 1.70 18.5%New York/Fairview Emerging Managers (Tranche B), L.P. 2008 35,000,000 34,735,029 35,844,191 26,862,254 1.81 14.3%NGN BioMed Opportunity II, L.P. 2008 15,000,000 14,363,866 10,009,657 7,877,370 1.25 3.4%Onex Partners III, L.P. 2008 40,000,000 43,697,601 54,939,513 17,405,545 1.66 12.6%Paladin III (NY City), L.P. 2008 20,000,000 25,679,914 19,070,774 20,998,441 1.56 9.6%Relativity Fund, L.P. 2008 15,000,000 8,181,270 4,055,376 87,270 0.51 -10.8%Riverstone/Carlyle Global Energy & Power Fund IV 2008 32,500,000 35,439,381 30,344,588 11,780,634 1.19 4.7%Yucaipa American Alliance Fund II, L.P. 2008 75,000,000 102,882,362 89,003,111 87,012,008 1.71 11.0%Yucaipa Corporate Initiatives Fund II, L.P. 2008 35,000,000 32,132,846 11,668,326 18,479,943 0.94 -1.0%Lincolnshire Equity Fund IV, L.P. 2009 12,500,000 12,673,645 14,514,012 5,533,582 1.58 11.0%Welsh, Carson, Anderson & Stowe XI, L.P. 2009 30,000,000 30,000,000 38,850,890 11,028,934 1.66 12.8%JP Morgan Fleming (Tranche B), L.P. 2010 10,000,000 10,308,198 7,173,788 7,290,518 1.40 8.3%Trident V, L.P. 2010 35,000,000 39,574,635 38,253,514 25,066,524 1.60 11.2%American Securities Partners VI, L.P. 2011 100,000,000 107,279,493 161,050,017 44,313,420 1.91 21.9%
Alternative Assets Manager Performance Detail
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Teachers' Retirement System of New York City 51Performance Overview as of December 31, 2018
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Information provided by the New York City Teachers’ Retirement System Consultants
Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value
Investment Multiple ITD IRR%
Ampersand 2011, L.P. 2011 17,500,000 17,500,000 20,619,939 28,288,456 2.79 22.0%AXA Secondary Fund V L.P. 2011 160,000,000 85,771,717 116,578,851 15,896,601 1.54 13.9%BC European Capital IX, L.P. 2011 65,536,644 71,446,121 47,322,120 51,061,796 1.38 10.0%Blackstone Capital Partners VI, L.P. 2011 60,000,000 58,908,189 34,473,617 53,655,940 1.50 11.8%EQT VI, L.P. 2011 48,584,434 50,928,290 53,196,427 32,444,039 1.68 14.3%Pegasus Partners V, L.P. 2011 20,789,916 24,634,400 6,920,507 31,769,614 1.57 13.0%Vista Equity Partners IV, L.P. 2011 100,000,000 98,374,448 111,603,608 85,218,708 2.00 18.5%Green Equity Investors VI, L.P. 2012 100,000,000 108,095,649 64,920,487 107,970,182 1.60 16.0%Ares Corporate Opportunities Fund IV, L.P. 2012 105,000,000 111,316,963 59,944,415 95,238,039 1.39 12.0%Platinum Equity Capital Partners III, L.P. 2012 115,000,000 108,060,424 147,016,704 42,104,762 1.75 36.9%Trilantic Capital Partners V (North America), L.P. 2012 70,000,000 70,536,502 59,207,202 47,144,732 1.51 18.3%Warburg Pincus Private Equity XI, L.P. 2012 175,000,000 177,486,180 78,187,208 183,927,685 1.48 12.5%NYCTRS - 2012 Emerging Manager Program 2012 165,050,000 159,827,606 53,974,414 170,776,149 1.41 13.7%Apollo Investment Fund VIII, L.P. 2013 200,000,000 180,313,235 52,817,755 169,975,944 1.24 10.2%Carlyle Partners VI, L.P. 2013 125,000,000 128,753,303 51,652,166 113,706,948 1.28 11.6%CVC Capital Partners VI, L.P. 2014 174,832,629 171,828,348 45,703,382 178,179,378 1.30 14.3%Landmark Equity Partners XV, L.P. 2013 113,000,000 77,894,354 50,896,086 49,526,785 1.29 14.3%Landmark Equity Partners XV, L.P. - Side Car 2013 37,000,000 29,232,445 17,554,907 27,986,569 1.56 24.0%Crestview Partners III, L.P. 2013 75,000,000 45,131,879 8,124,329 49,665,578 1.28 14.0%Crestview Partners III (Co-Investment B), L.P. 2013 25,000,000 22,913,169 1,253,803 24,589,407 1.13 6.8%Carlyle Partners VI, L.P. - Side Car 2014 13,750,000 9,797,988 574,273 9,454,221 1.02 0.8%Olympus Growth Fund VI, L.P. 2014 100,000,000 81,611,166 33,902,234 74,061,678 1.32 15.3%ASF VI, L.P. 2014 112,000,000 76,494,997 37,510,333 68,537,151 1.39 12.9%ASF VI NYC Co-Invest, L.P. 2014 38,000,000 28,270,622 21,588,650 17,568,330 1.39 12.9%Centerbridge Capital Partners III, L.P. 2015 33,500,000 18,833,408 6,259,361 16,991,713 1.23 11.0%Lexington Capital Partners VIII, L.P. 2014 150,000,000 103,361,628 39,186,553 102,184,109 1.37 24.0%Vista Equity Partners Fund V, L.P. 2014 125,000,000 143,630,888 112,476,106 137,505,060 1.74 22.7%Siris Partners III, L.P. 2015 45,000,000 37,795,946 20,567,834 23,389,286 1.16 9.6%American Securities Partners VII, L.P. 2015 111,000,000 71,755,437 14,066,035 48,541,514 0.87 -9.4%ASF VII, L.P. 2015 134,000,000 43,199,695 4,759,899 50,017,607 1.27 18.1%ASF VII B NYC Co-Invest, L.P. 2015 67,000,000 28,751,476 2,678,215 42,145,795 1.56 47.6%Bridgepoint Europe V, L.P. 2015 88,708,671 77,308,052 10,938,241 89,772,778 1.30 20.7%NYCTRS - 2015 Emerging Manager Program 2015 209,950,000 62,223,011 2,226,683 69,693,474 1.16 19.8%
Alternative Assets Manager Performance Detail
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Teachers' Retirement System of New York City 52Performance Overview as of December 31, 2018
Page 57 of 204
Information provided by the New York City Teachers’ Retirement System Consultants
Vintage Year (Cash Flow) Commitments Contributions Distributions Market Value
Investment Multiple ITD IRR%
Welsh, Carson, Anderson & Stowe XII, L.P. 2015 110,500,000 75,397,776 15,384,963 100,733,207 1.54 26.8%Bridgepoint Europe V Co-Invest 2015 25,357,719 23,513,229 2,350,623 35,123,494 1.59 39.9%Vista Equity Partners Fund VI, L.P. 2016 223,000,000 207,534,426 56,846,244 205,826,189 1.27 16.8%Apax IX USD, L.P. 2016 178,000,000 78,815,083 1,688,183 92,955,147 1.20 16.3%Ares Corporate Opportunities Fund V, L.P. 2017 134,000,000 56,652,626 2,306,877 53,371,977 0.98 -2.0%Green Equity Investors VII, L.P. 2017 134,000,000 61,596,586 530,624 66,134,979 1.08 8.0%BC European Capital X, L.P. 2017 127,727,228 63,013,720 - 59,424,981 0.94 -10.2%BC European Capital X Metro Co-Investment L.P. 2017 51,464,488 30,131,960 - 29,457,112 0.98 -2.9%Platinum Equity Capital Partners IV, L.P. 2016 156,000,000 100,572,601 26,632,873 104,941,812 1.31 36.1%CVC Capital Partners VII, L.P. 2018 156,491,564 24,563,857 - 26,347,890 1.07 N/MApollo Investment Fund IX, L.P. 2018 256,000,000 - - (2,693,802) N/A N/AKKR Americas Fund XII, L.P. 2017 223,000,000 76,796,598 1,470,088 73,816,621 0.98 -4.2%Bridgepoint Europe VI, L.P. 2018 97,854,077 - - (852,750) N/A N/AEQT VIII SCSP 2018 89,270,386 783,920 - (307,678) (0.39) N/MBridgepoint Europe VI Co-Invest 2018 24,463,519 - - - N/A N/ASiris Partners IV, L.P. 2018 71,000,000 - - (450,818) N/A N/ACrestview Partners IV (FF), L.P. 2018 19,000,000 - - - N/A N/ACrestview Partners IV, L.P. 2018 57,000,000 - - - N/A N/APlatinum Equity Capital Partners IV, L.P. (Co-Invest) 2018 22,000,000 15,400,000 - 9,042,528 0.59 N/MPlatinum Equity Small Cap Fund, L.P. 2018 32,500,000 1,585,163 - 1,138,261 0.72 N/MEQT VIII SCSP (Co-Invest) 2018 32,425,356 4,832,691 - 4,862,123 1.01 N/MVista Equity Partners Fund VII, L.P. 2018 142,000,000 - - (117,899) N/A N/AKKR European Fund V, L.P. - USD 2019 89,000,000 - - - N/A N/ALexington Capital Partners IX, L.P. 2019 81,125,000 - - - N/A N/APalladium Equity Partners V, L.P. 2019 26,666,667 - - (986,777) N/A N/AWCAS XIII, L.P. 2019 71,000,000 - - - N/A N/A
Alternative Assets Manager Performance Detail
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Teachers' Retirement System of New York City 53Performance Overview as of December 31, 2018
Page 58 of 204
Information provided by the New York City Retirement Systems Consultants. Interim returns are subject to change and may differ due to differences in accounting and performance methodologies.
Vintage Year Style Sector Original
Commitment Total
Contributions Total
Distrubutions Market Value Total Value
Multiple Net IRR% TOTAL PRIVATE REAL ESTATE 4,679,922,279 3,540,307,272 2,281,548,007 2,686,792,216 1.40 9.9%
TOTAL PRIVATE REAL ESTATE Colony Realty Partners II 2006 Core Portfolio 15,000,000 18,499,529 6,718,272 - 0.36 -13.3%JP Morgan Strategic Property Fund 2006 Core Portfolio 86,000,000 120,620,329 25,993,896 195,703,675 1.84 8.0%Prologis Targeted US Logistics Fund 2006 Core Portfolio 10,000,000 13,698,009 4,305,931 18,296,012 1.65 5.4%Prudential PRISA 2006 Core Portfolio 36,000,000 38,793,503 14,227,721 50,849,203 1.68 4.8%RREEF America REIT II 2006 Core Portfolio 36,000,000 47,527,452 24,127,835 51,855,117 1.60 5.2%UBS Trumbull Property Fund 2006 Core Portfolio 106,000,000 161,379,613 105,983,523 146,597,769 1.57 7.0%Heitman America Real Estate Trust, L.P. 2007 Core Portfolio 48,000,000 76,202,709 28,202,709 105,730,532 1.76 8.0%JP Morgan Special Situation Property Fund 2007 Core Portfolio 15,000,000 23,760,253 12,398,526 21,657,888 1.43 4.8%Prudential PRISA II 2007 Core Portfolio 63,374,139 67,585,272 20,570,792 95,146,538 1.71 5.8%RREEF America REIT III 2007 Core Portfolio 15,000,000 15,000,000 8,526,095 - 0.57 -7.5%LaSalle Property Fund 2010 Core Portfolio 104,000,000 49,798,310 18,047,281 72,088,090 1.81 10.7%Almanac Realty Securities VI 2012 Core Portfolio 100,000,000 62,200,176 59,066,639 28,119,492 1.40 12.9%Almanac Realty Securities VI (Sidecar III) 2012 Core Portfolio 35,000,000 11,707,370 6,971,053 11,829,171 1.61 18.8%NYC Asset Investor #2 2013 Core Portfolio 145,000,000 141,006,673 39,423,481 189,322,309 1.62 14.9%MetLife Core Property Fund 2014 Core Portfolio 80,000,000 80,000,000 14,310,739 99,482,663 1.42 9.7%Almanac Realty Securities VII 2015 Core Portfolio 65,000,000 46,264,149 11,850,062 46,557,835 1.26 14.1%Almanac Realty Securities VII (Sidecar III) 2015 Core Portfolio 20,000,000 10,684,035 1,214,221 12,897,998 1.32 17.8%USAA Eagle Real Estate Fund 2015 Core Portfolio 98,000,000 91,275,045 6,732,351 102,631,945 1.20 8.8%Artemis Co-Investment1 2016 Core Portfolio 70,000,000 68,271,808 25,084,128 57,091,462 1.20 21.9%Brookfield Premier Real Estate Partners 2016 Core Portfolio 119,000,000 127,126,425 8,126,425 147,713,380 1.23 12.0%Exeter Core Industrial Club Fund II 2016 Core Portfolio 37,000,000 21,811,500 2,708,837 24,107,217 1.23 14.3%Jamestown Premier Property Fund 2016 Core Portfolio 64,961,594 61,138,545 26,310,575 47,336,103 1.20 9.8%Carlyle Property Investors 2017 Core Portfolio 119,000,000 124,280,899 5,280,900 128,969,684 1.08 6.8%Lion Industrial Trust 2017 Core Portfolio 98,000,000 89,378,806 6,378,808 107,465,115 1.27 15.1%Almanac Realty Securities VIII 2018 Core Portfolio 51,000,000 128,301 - (89,749) N/A N/AAlmanac Realty Securities VIII (Sidecar II) 2018 Core Portfolio 34,000,000 99,491 - 95,198 N/A N/AArtemis Income and Growth Fund 2018 Core Portfolio 101,000,000 - - - N/A N/AHeitman Core Real Estate Debt Income Trust 2018 Core Portfolio 59,000,000 21,267,927 - 21,482,039 N/A N/ACanyon-Johnson Urban 2002 Non-Core Portfolio 15,000,000 13,742,215 16,418,450 - 1.19 11.1%OCM Real Estate Opportunities Fund IIIA 2003 Non-Core Portfolio 15,000,000 15,000,000 23,027,038 539,402 0.02 1.3%Blackstone Real Estate Partners IV L.P. 2004 Non-Core Portfolio 25,000,000 31,994,609 41,692,052 2,845,983 1.39 10.0%The City Investment Fund I 2004 Non-Core Portfolio 120,000,000 118,337,757 119,671,892 211,008 1.01 0.3%Tishman Speyer Citigroup Alt Inv V&VI NYC 2004 Non-Core Portfolio 100,000,000 72,402,952 252,300,326 - 3.48 57.5%Canyon-Johnson Urban II 2005 Non-Core Portfolio 30,000,000 26,966,111 11,923,957 102,328 0.45 -10.5%Apollo Real Estate Investment Fund V 2006 Non-Core Portfolio 5,000,000 5,000,000 3,785,344 1,624,715 1.08 1.0%
Alternative Assets Manager Performance Detail
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Teachers' Retirement System of New York City 54Performance Overview as of December 31, 2018
Page 59 of 204
Information provided by the New York City Retirement Systems Consultants. Interim returns are subject to change and may differ due to differences in accounting and performance methodologies.
Vintage Year Style Sector Original
Commitment Total
Contributions Total
Distrubutions Market Value Total Value
Multiple Net IRR%American Value Partners Fund I 2007 Non-Core Portfolio 25,000,000 17,872,806 18,806,245 2,002,466 1.16 3.2%Blackstone Real Estate Partners VI L.P. 2007 Non-Core Portfolio 50,000,000 54,622,277 106,539,002 2,402,963 1.99 13.4%Carlyle Realty Partners V, L.P. 2007 Non-Core Portfolio 15,000,000 18,977,503 22,863,103 3,738,634 1.40 8.4%Metropolitan Workforce Housing Fund 2007 Non-Core Portfolio 10,500,000 10,509,770 12,352,222 396,950 1.21 3.9%Thor Urban Property Fund II 2007 Non-Core Portfolio 12,500,000 17,123,783 17,119,140 5,303,932 1.31 7.8%UrbanAmerica II 2007 Non-Core Portfolio 11,000,000 10,218,031 1,166,806 - 0.11 -24.8%Blackstone Real Estate Partners Europe III - USD 2008 Non-Core Portfolio 50,000,000 42,729,929 68,787,209 4,263,291 1.71 16.2%Capri Urban Investors 2008 Non-Core Portfolio 40,000,000 40,000,000 18,350,614 11,319,060 0.74 -4.2%JPM Urban REN PTY FD 2008 Non-Core Portfolio 16,360,625 4,206,523 4,206,523 - 1.00 0.0%Silverpeak Legacy Partners III 2008 Non-Core Portfolio 30,000,000 12,281,062 3,839,750 1,796,416 0.46 -12.2%Stockbridge Real Estate III 2008 Non-Core Portfolio 22,500,000 22,498,458 14,024,794 12,233,086 1.17 2.3%BlackRock Carbon Capital III Co-Investments 2009 Non-Core Portfolio 40,000,000 43,757,162 53,189,633 - 1.22 8.9%Westbrook Real Estate Fund VIII, L.P. 2009 Non-Core Portfolio 50,000,000 59,574,065 68,952,803 9,919,540 1.32 11.6%Canyon Johnson Urban Fund III 2010 Non-Core Portfolio 25,000,000 24,976,013 33,642,984 29,449 1.35 11.9%Carlyle Realty Partners VI, L.P. 2011 Non-Core Portfolio 70,000,000 75,378,878 105,802,596 9,663,756 1.53 21.3%H/2 Special Opportunities Fund II 2011 Non-Core Portfolio 40,000,000 40,045,335 57,031,777 4,392,532 1.53 14.5%Brookfield Strategic Real Estate Partners 2012 Non-Core Portfolio 125,000,000 130,063,581 132,810,888 77,964,954 1.62 16.4%Taconic New York City Investment Fund 2012 Non-Core Portfolio 70,000,000 29,272,728 46,945,824 4,664,523 1.76 16.0%KTR Industrial Fund III 2013 Non-Core Portfolio 70,000,000 31,827,047 49,651,783 - 1.56 40.5%Lone Star Real Estate Fund III 2013 Non-Core Portfolio 190,000,000 181,714,995 219,505,226 24,788,404 1.34 15.0%NYC Asset Investor #1 2013 Non-Core Portfolio 60,000,000 67,104,915 27,516,679 56,636,441 1.25 6.8%NYC Asset Investor #3 2013 Non-Core Portfolio 96,000,000 60,399,037 10,583,936 65,815,537 1.26 9.2%Carlyle Realty Partners VII, L.P. 2014 Non-Core Portfolio 120,000,000 100,348,477 61,680,779 74,057,520 1.35 15.2%DivcoWest Fund IV 2014 Non-Core Portfolio 25,000,000 24,750,416 35,901,622 5,020,462 1.65 26.3%DRA Growth and Income Fund VIII 2014 Non-Core Portfolio 75,000,000 88,882,536 50,801,318 63,306,884 1.28 12.3%H/2 Special Opportunities Fund III 2014 Non-Core Portfolio 65,000,000 65,000,000 40,143,455 42,318,347 1.27 11.4%Avanath Affordable Housing Fund II 2015 Non-Core Portfolio 10,000,000 10,108,439 872,910 14,237,886 1.49 13.4%Tristan European Property Investors Special Opp IV 2015 Non-Core Portfolio 65,890,863 45,982,444 2,851,980 48,181,924 1.11 10.6%DivcoWest Fund V 2016 Non-Core Portfolio 78,000,000 37,727,003 55,991 39,328,617 1.04 4.1%Exeter Industrial Value Fund IV, L.P. 2016 Non-Core Portfolio 34,000,000 18,700,000 - 20,175,113 1.08 12.3%H/2 Special Opportunities Fund IV 2016 Non-Core Portfolio 119,000,000 17,614,360 968,067 15,826,366 0.95 -3.3%Pramerica Real Estate Capital VI 2016 Non-Core Portfolio 68,105,305 33,991,777 15,139,898 25,101,496 1.18 16.8%PW Real Estate Fund III 2016 Non-Core Portfolio 66,223,453 37,994,577 4,873,219 46,796,229 1.27 26.6%Westbrook Real Estate Fund X Co-Investment 2016 Non-Core Portfolio 47,000,000 23,922,497 5,377,886 21,475,937 1.12 11.6%Basis Investment Group Real Estate Fund I 2017 Non-Core Portfolio 19,400,000 7,223,295 2,185,211 5,740,819 1.10 14.5%DRA Growth and Income Fund IX 2017 Non-Core Portfolio 56,000,000 30,816,366 8,448,887 28,019,070 1.18 19.7%NYCRS-KKR CMBS Retention Partners 2017 Non-Core Portfolio 159,000,000 94,811,529 5,458,840 117,085,602 1.29 30.8%Aermont Capital Real Estate Fund IV 2018 Non-Core Portfolio 84,726,300 - - - N/A N/ABrookfield Strategic Real Estate Partners III, L.P. 2018 Non-Core Portfolio 193,000,000 - - - N/A N/AKKR Real Estate Partners Americas II 2018 Non-Core Portfolio 135,380,000 34,329,885 1,718,551 34,527,890 N/A N/A
Alternative Assets Manager Performance Detail
Through December 31, 2018
Teachers' Retirement System of New York City 55Performance Overview as of December 31, 2018
Page 60 of 204
Information provided by the New York City Teachers’ Retirement System Consultants
Vintage Year Original
Commitment Total
Contributions Total
Distrubutions Market Value Total Value
Multiple Net IRR% TOTAL INFRASTRUCTURE 1,321,590,397 759,382,919 177,073,196 773,071,367 1.25 13.0%
TOTAL INFRASTRUCTURE INVESTMENTS Brookfield Infrastructure Fund II, L.P. 2013 140,000,000 111,143,370 28,516,435 134,239,863 1.46 12.7%IFM Global Infrastructure Fund 2014 140,000,000 186,921,633 77,977,373 181,359,288 1.39 12.3%Global Energy & Power Infrastructure Fund II 2014 90,000,000 76,072,593 43,446,148 62,491,206 1.39 37.3%KKR Global Infrastructure Investors II L.P. 2014 100,000,000 96,352,746 10,469,307 103,000,602 1.18 10.8%Global Infrastructure Partners III-A/B, L.P. 2016 139,000,000 98,533,290 2,206,347 97,483,272 1.01 1.1%Brookfield Infrastructure Fund III, L.P. 2016 119,000,000 44,294,936 3,480,393 44,857,135 1.09 8.2%Actis Energy 4 2016 72,600,000 37,911,673 5,591,532 37,896,000 1.15 18.6%EQT Infrastructure III (No.2) SCSp 2017 63,651,870 39,624,432 2,639,560 44,699,900 NM NMASF VII Infrastructure L.P. 2017 65,000,000 7,185,857 2,238,593 6,435,647 NM NMAxium Infrastructure North America 2017 65,448,527 40,239,511 295,744 40,233,663 NM NMNYCRS EIG Energy Partners, L.P. 2017 64,710,000 6,906,254 211,764 6,986,708 NM NMNYCRS EIG Energy Partners Co-Investment, L.P. 2018 16,180,000 - - - NM NMKKR Global Infrastructure Investors III L.P. 2018 75,000,000 5,196,625 - 4,583,792 NM NMGlobal Energy & Power Infrastructure Fund III, L.P. 2018 75,000,000 - - - NM NMCardinal NR Sidecar Holdings L.P. 2018 9,000,000 9,000,000 - 8,804,290 NM NMEQT Infrastructure IV (No.2) USD SCSp 2019 87,000,000 - - - NM NM
Alternative Assets Manager Performance Detail
Through December 31, 2018
Teachers' Retirement System of New York City 56Performance Overview as of December 31, 2018
Page 61 of 204
Information provided by Alpha FrontierAbove data is not final and subject to change
Vintage YearCommitment - Closing (Base)
Contributions Cumulative (Local)
Distributions Cumulative Final Market Value
3 Month Base%
Inception IRR%
TOTAL OPPORTUNISTIC FIXED INCOME 2,613,845,318 2,603,781,673 1,274,256,241 1,986,611,001 3.33% 7.13%Avenue Special Situations Fund V, L.P. 2007 25,261,658 25,650,392 33,533,622 - NMAvenue Europe Special Sit. Fund, L.P. 2008 20,583,660 18,559,393 35,192,684 - NMPIMCO DiSCO Fund, L.P. 2008 150,000,000 150,427,750 204,457,599 - 11.23%Torchlight Debt Opportunity Fund III, LLC 2009 50,000,000 53,306,159 79,307,054 - 13.36%Avenue Special Situations Fund VI (A), L.P. 2011 70,000,000 71,766,544 71,272,284 4,899,123 -1.39% 1.39%GoldenTree Managed Account 2011 140,000,000 131,253,192 - 205,361,719 5.26% 6.96%Marathon Centre Street Partnership, L.P. - Asset Class 2011 218,750,000 287,000,000 110,250,000 269,829,442 5.13% 6.29%AG Centre Street Partnership, L.P. - CC Asset Class 2012 180,000,000 163,800,000 47,626,130 159,854,040 0.06% 5.22%Apollo Centre Street Partnership,L.P. 2012 268,750,000 378,412,071 194,679,878 235,166,025 2.78% 4.63%FCO MA Centre Street L.P. 2012 140,000,000 264,262,523 155,042,754 167,520,156 1.82% 8.90%OHA Centre Street Partnership, L.P. 2012 175,000,000 244,955,346 69,955,346 252,896,734 4.03% 7.92%Contrarian Centre Street Partnership, L.P. - Asset Class 2013 90,000,000 90,000,000 - 94,829,968 2.69% 1.30%Lone Star Fund VIII (U.S.), L.P. 2013 130,000,000 127,970,674 120,412,004 38,925,073 -0.16% 13.08%Oaktree Opportunities Fund IX, L.P. 2013 100,000,000 100,000,000 42,895,430 73,450,776 5.97% 3.50%Ares Centre Street Partnership, L.P. 2014 140,000,000 128,117,072 - 180,416,692 2.77% 10.04%Brightwood Capital Fund III, L.P. 2015 35,000,000 28,403,806 10,443,229 24,144,128 2.12% 6.44%Torchlight Debt Opportunity Fund V, LP 2015 67,000,000 46,900,000 6,909,717 52,160,488 1.17% 12.83%Brightwood Capital Fund IV, LP 2016 87,500,000 43,750,000 3,648,982 45,533,674 2.99% 12.81%ICG Centre Street Partnership, L.P. 2017 120,000,000 102,959,917 62,228,179 48,157,042 2.98% 9.12%KKR OFI SMA 2017 294,000,000 102,106,348 26,401,348 88,080,594 6.28% 16.32%Maranon Centre Street Partnership, L.P. 2018 112,000,000 44,180,485 - 45,385,328 1.70% 6.31%
Alternative Assets Manager Performance Detail
Through March 31, 2019
Teachers' Retirement System of New York City 57Performance Overview as of March 31, 2019
Page 62 of 204
Teachers' Retirement Systemof New York City
Appendix DFootnotes
Teachers' Retirement System of New York City 58Performance Overview as of March 31, 2019
Page 63 of 204
•The Barclays Capital Aggregate (then known as the Lehman Brothers Aggregate) was used prior to 1/1/89. Effective 1/1/89, in the Government
Sector, maturities of less than 5 years were dropped from the Salomon and Lehman indices. From that date until 7/1/99 the benchmark was the
NYC Core + 5, from Lehman.
•Effective 7/1/94, the NYC Core + 5 Index includes BBB rated securities.
•Effective 7/1/99, the basis of the NYC Index was changed from Lehman Brothers to Salomon. Also effective 7/1/99, only Salomon indices have
been used to compare all fixed income managers.
•Effective 4/1/03, the name of the benchmark provider was changed from Salomon to Citigroup.
•Effective 7/1/09, the Core+5 program was restructured.
•The U.S. Gov’t sector benchmark Index was changed from the Citigroup Core+5 Treasury/Gov’t Sponsored Index to the Citigroup Core+5
Treasury/Agency Index.
•The Corporate and Yankee sectors were combined to form the new Investment Grade Credit sector. The benchmark for the new combined sector
is the customized Citigroup Credit Index. For historical performance purposes, the old Corporate sector Index is linked to the new Credit sector
Index.
•There were no changes to the Mortgage sector Index.
•The total Core+5 results and benchmark returns combine the three sectors. Historical total Core+5 returns continue to include the old Corporate
and Yankee sector returns.
Footnotes
Through March 31, 2019
Teachers' Retirement System of New York City 59Performance Overview as of March 31, 2019
Page 64 of 204
General Notes • Estimated management fees for public market investments are calculated on an accrual basis without adjustment for management fee
caps. Alternative investment fees are recorded on a cash basis. Since not all alternative managers currently provide detailed fee
disclosure, the alternative investment fees noted here are not comprehensive.
• Public Market returns are Net of Manager Fees for periods after January 2014 and Gross of investment advisory fees for other periods
unless otherwise indicated.
• Public market excess returns for periods prior to 2014 are based on Gross performance.
Page Specific Pages 8 - 13 - Portfolio Asset Allocation
• Rebalancing Ranges: the minimum and maximum weights that actual Asset Allocation may reach before rebalancing between Asset
Classes is necessary.
Pages 14 - 16 - Performance Attribution: Total Plan
• Plan Return at Policy Weights: the return of the Total Plan assuming actual Asset Class results were maintained at target (Adjusted
Policy) weights. Figure = (Return of Asset Class 1* Target Weight) plus (Return Of Asset Class 2* Target Weight) plus (……)
• Allocation Effect = Total Plan Return minus Plan Return At Adjusted Policy Weights. Allocation is the Contribution to Performance
resulting from an overweight or underweight to an asset class. E.g. an underweight to an Asset Class that under-performs results in a
positive Allocation Effect and vice versa.
• Selection Effect = Equal to the Custom Benchmark (Adjusted Policy Index) Return minus Plan Return at Adjusted Policy Weights. This
illustrates how the Managers have added or removed value based on their Security Selection decisions, e.g., If the manager’s Actual
Returns are higher than the Implied Return there will be a positive Selection Effect.
• Policy Index = Custom Benchmark
The “policy index” is a custom benchmark representing the weighted average return of the weighted benchmark indexes for each major
investment program. Weights may reflect an adjustment of actual policy for outstanding commitments for new or revised programs,
such as for private market programs, which are invested gradually, or for any new or updated program requiring the completion of RFPs
and contracts. The policy index/custom benchmark is calculated monthly based on adjusted policy weights at the beginning of each
month.
Glossary of Terms
Through March 31, 2019
Teachers' Retirement System of New York City 60Performance Overview as of March 31, 201906/07/2019 10:26:37 AM
Page 65 of 204
The indexes and most recent policy weights are as follows:
U.S. Equity: Russell 3000 * 31.51%
International Developed (EAFE) Markets: MSCI World ex USA IMI Net * 11.40%
Int'l Active- Global: MSCI World Net Dividends Index* 0.35%
Emerging Markets: MSCI Custom TRS Emerging Markets (Net)* 8.93%
International Emerging Managers FoF: NYC Blended Custom Benchmark for FoF * 0.72%
REITs: Dow Jones Real Estate Securities * 0.00%
Private Equity: Russell 3000 + 300 b.p. per annum * 6.00%
Private Real Estate – Core: NFI - ODCE Net * 2.69%
Private Real Estate – Non Core: NFI - ODCE Net + 200bps * 1.34%
Infrastructure: CPI + 4% * 1.24%
US Treasury Short Term: FTSE USBIG Treasury 1-3Y * 0.00%
US Treasury Intermediate: FTSE Treasury/Agency 1-10 Y * 0.00%
Total Active Government: NYC Treasury Agency + 5 * 0.00%
US Treasury Long Duration: FTSE Treasury 10+ * 10.74%
Core FI-Developing Managers: BBG Barc Agg * 0.00%
Core FI-Emerging Managers: BBG Barc Agg * 0.00%
Mortgage: FTSE Mortgage Index * 4.12%
ETI: ETI Custom Benchmark * 0.86%
Investment Grade Credit: NYC – Investment Grade Credit * 4.98%
Glossary of Terms
Through March 31, 2019
Teachers' Retirement System of New York City 61Performance Overview as of March 31, 201906/07/2019 10:26:37 AM
Page 66 of 204
High Yield: Bloomberg Barclays US High Yield 2% Issuer Capped * 6.07%
Bank Loans: Credit Suisse Leveraged Loan * 2.00%
TIPS: BBG BARC Gbl Inf-Lk: US TIPS (Dly) * 4.19%
Convertible Bonds: BofAML All Convertibles Ex Mandatory * 0.00%
Opportunistic Fixed: OFI - JPMGHY / CSFB 50/50 Blend Plus 300 b.p. per annum * 2.86%
Page 17 – Allocation and Selection Effects - Asset Class Breakdown • This chart aims to break down the Allocation and Selection Effects shown on the Performance Attribution pages. The aim of the Page is
to show the asset classes where Managers are either out performing or under performing their benchmark and to show the basis point
effect that this is having on Plan performance.
Glossary of Terms
Through March 31, 2019
Teachers' Retirement System of New York City 62Performance Overview as of March 31, 201906/07/2019 10:26:37 AM
Page 67 of 204
ETI Quarterly Report (Public):
Teachers' Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 3/31/2019
Lenders*Contractual Commitment1
Current Market Value1
Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars Units Dollars UnitsCommitments Q1(included in total)Bronx $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0Brooklyn 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Manhattan 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Queens 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Staten Island 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Outside of NYC 0.00 0 0.00 0 0.00 0 1.86 114 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0
Total $0.00 0 $0.00 0 $0.00 0 $1.86 114 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $0.00 0Delivered Q1(included in total)Bronx $0.00 0 $0.00 0 $0.00 0 $3.98 136 $0.00 0 $0.00 0 $0.00 0 $1.13 90 $0.00 0 $0.00 0 $0.00 0Brooklyn 0.00 0 0.00 0 0.00 0 0.29 7 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Manhattan 0.00 0 0.00 0 0.00 0 0.84 67 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Queens 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Staten Island 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Outside of NYC 0.00 0 0.00 0 0.00 0 0.34 12 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0
Total $0.00 0 $0.00 0 $0.00 0 $5.45 222 $0.00 0 $0.00 0 $0.00 0 $1.13 90 $0.00 0 $0.00 0 $0.00 0Total CommitmentsBronx $0.00 0 $3.25 157 $0.00 0 $42.47 1,689 $1.57 61 $0.00 0 $0.00 0 $0.00 0 $0.00 0 $1.09 101 $0.00 0Brooklyn 1.71 212 6.02 179 0.00 0 14.03 819 1.11 95 0.00 0 0.00 0 2.49 130 2.39 156 2.11 359 0.00 0Manhattan 0.00 0 0.00 0 0.46 39 13.89 435 2.76 174 0.00 0 0.00 0 3.88 103 4.31 155 2.04 83 0.00 0Queens 0.00 0 0.00 0 0.00 0 6.64 389 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Staten Island 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Outside of NYC 0.00 0 2.11 41 0.00 0 4.59 254 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0
Total $1.71 212 $11.38 377 $0.46 39 $81.61 3,586 $5.44 330 $0.00 0 $0.00 0 $6.37 233 $6.70 311 $5.25 543 $0.00 0Historical InvestmentsBronx $1.75 60 $10.83 645 $0.00 0 $66.41 4,667 $1.54 117 $0.00 0 $0.00 0 $1.13 90 $1.09 48 $0.00 0 $0.00 0Brooklyn 1.86 54 4.55 302 0.00 0 92.18 3,996 5.46 401 0.00 0 0.33 7 0.00 0 0.00 0 0.00 0 0.00 0Manhattan 2.24 100 3.24 283 2.66 197 52.29 3,552 6.92 407 1.59 123 0.25 15 0.95 100 0.00 0 0.00 0 0.00 0Queens 5.62 293 0.66 54 0.00 0 22.42 925 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0Staten Island 0.00 0 0.00 0 0.00 0 0.23 8 0.00 0 0.00 0 0.00 0 0.36 67 0.00 0 0.00 0 0.00 0Outside of NYC 0.60 39 0.00 0 0.00 0 14.09 461 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0 0.00 0
Total $12.06 546 $19.27 1,284 $2.66 197 $247.61 13,609 $13.92 925 $1.59 123 $0.58 22 $2.43 257 $1.09 48 $0.00 0 $0.00 0*Lenders :
1 Dollar amount listed in millions
LISC BE
NYC HDC
HDC$10.00$0.00
LIIF NCBCI NHS WF
Public/Private Apartment Rehabilitation Program (PPAR)
$30.00 $40.00 $9.00 $250.00 $25.00 $12.00 $3.00 $20.00 $10.00 $10.00BOA CCD CFSB CPC
$8.40 $19.69 $2.08 $143.52 $12.91
Bank of Citi Community Carver Federal The Community Low Income NCB Capital Neighborhood Wells Fargo Local Initiatives Bellwether
$1.57 $0.33 $2.60 $1.18 $0.00
Impact Housing Service EnterpriseAmerica Development Savings Bank Preservation Corp Investment Fund Support Corp
Page 69 of 204
Teachers' Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 3/31/2019
Lenders*Contractual Commitment1
Current Market Value1
Dollars UnitsCommitments Q1(included in total)Bronx $0.00 0Brooklyn 0.00 0Manhattan 0.00 0Queens 0.00 0Staten Island 0.00 0Outside of NYC 1.86 114
Total $1.86 114Delivered Q1(included in total)Bronx $5.11 226Brooklyn 0.29 7Manhattan 0.84 67Queens 0.00 0Staten Island 0.00 0Outside of NYC 0.34 12
Total $6.57 312Total CommitmentsBronx $48.38 2,008Brooklyn 29.85 1,950Manhattan 27.35 989Queens 6.64 389Staten Island 0.00 0Outside of NYC 6.70 295
Total $118.92 5,631Historical InvestmentsBronx $82.73 5,627Brooklyn 104.37 4,760Manhattan 70.14 4,777Queens 28.70 1,272Staten Island 0.59 75Outside of NYC 14.68 500
Total $301.21 17,011
1 Dollar amount listed in millions
All Lender Totals$419.00$192.28
Public/Private Apartment Rehabilitation Program (PPAR)
Bronx$82.73 (28%) 5,627 Units
Brooklyn$104.37 (35%)
4,760 Units
Manhattan$70.14 (23%) 4,777 Units
Queens$28.70 (10%) 1,272 Units
Staten Island$0.59 (0%)
75 Units
Outside of NYC$14.68 (5%)
500 Units
Historical Investments Since Inception AII PPAR Lenders
Bronx$48.38 (41%) 2,008 Units
Brooklyn$29.85 (25%) 1,950 Units
Manhattan$27.35 (23%)
989 Units
Queens$6.64 (6%) 389 Units
Staten Island$0.00 (0%)
0 Units
Outside of NYC$6.70 (6%) 295 Units
Current Commitments AII PPAR Lenders
Page 70 of 204
Teachers' Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 3/31/2019
AFL-CIO Housing Investment Trust (HIT)Market Value $292.58 million¹
NYC Community Investment Initiative (NYCCII)
Borough Investments Units2 Investments Units2 Investments Units2
Bronx $27,600,000 1,886 $52,827,900 802 $80,427,900 2,688Brooklyn 49,501,800 3,230 103,890,446 5,616 153,392,246 8,846Manhattan 172,021,700 6,908 174,075,200 813 346,096,900 7,721Queens 0 0 17,760,000 1,149 17,760,000 1,149Staten Island 0 0 6,414,554 693 6,414,554 693Outside NYC 0 0 100,000,000 137 100,000,000 137Total $249,123,500 12,024 $454,968,100 9,210 $704,091,600 21,234
HIT Home Mortgage Program
Borough $ Amount Loans $ Amount Loans $ Amount LoansBronx $32,544,168 41 $218,082,108 296 $250,626,276 337Brooklyn 116,575,736 138 864,892,271 1,115 981,468,007 1,253Manhattan 10,742,253 12 214,244,680 265 224,986,933 277Queens 82,399,317 64 894,399,418 973 976,798,735 1,037Staten Island 106,039,089 191 359,980,460 439 466,019,549 630Total $348,300,563 446 $2,551,598,937 3,088 $2,899,899,500 3,534
TEACHERS Loans Phase I: 133 Phase II: 2,022 Total: 2,155
1Interest is reinvested2Low/Moderate Income Units
NYCCII Phase I: 2002 - 2005
NYCCII Phase II: 2006 - 2013
Grand Total
NYCCII Phase I: 2002 - 2005
NYCCII Phase II: 2006 - 2013
Grand Total
Bronx$80,427,900
11%2,688 Units
Brooklyn$153,392,246
22%8,846 Units
Manhattan$346,096,900
49%7,721 Units
Queens$17,760,000
3%1,149 Units
Staten Island$6,414,554
1%693 Units
Outside NYC$100,000,000
14%137 Units
NYCCII Multifamily Program
Bronx$250,626,276
9%337 Loans
Brooklyn$981,468,007
34%1,253 Loans
Manhattan$224,986,933
8%277 Loans
Queens$976,798,735
34%1,037 Loans
Staten Island$466,019,549
16%630 Loans
Home Mortgage Program
Page 71 of 204
Teachers' Pension Fund - Economically Targeted Investments Quarterly Report
The City of New York - Office of the Comptroller Collateral Benefits as of 3/31/2019
AFL-CIO Housing Investment Trust (HIT)NYC Workforce Housing Initiative: 2009 - 2015
Investments LMI UnitsBorough Since Inception Since InceptionBronx $5,000,000 776Brooklyn 16,051,087 710Manhattan 214,252,488 4,627Queens 58,293,425 3,226Staten Island 0 0Total $293,597,000 9,339
Bronx$5,000,000
2%776 Units
Brooklyn$16,051,087
5%710 Units
Manhattan$214,252,488
73%4,627 Units
Queens$58,293,425
20%3,226 UnitsStaten Island
$00%
0 Units
HIT Workforce Housing Initiative
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The City of New York - Office of the Comptroller Collateral Benefits as of 3/31/2019
AFL-CIO Housing Investment Trust (HIT)HIT Housing Investment Strategy: 2015 - Q1 2019
Investments LMI UnitsBorough Q1 Investments Since Inception Q1 LMI Units Since InceptionBronx $0 $35,980,000 0 494Brooklyn 0 38,300,000 0 144Manhattan 0 211,058,000 0 3,140Queens 0 5,000,000 0 306Staten Island 0 0 0 0Outside NYC 0 18,300,000 0 32Total $0 $308,638,000 0 4,116
Bronx$35,980,000
12%494 Units
Brooklyn$38,300,000
12%144 Units
Manhattan$211,058,000
68%3,140 Units
Queens$5,000,000
2%306 Units
Staten Island$00%
0 Units
Outside NYC$18,300,000
6%32 Units
HIT Housing Investment Strategy
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The City of New York - Office of the Comptroller Collateral Benefits as of 3/31/2019
RBC ACCESS CAPITAL STRATEGIES (Since Inception 2/1/07)
$157.5 million Allocated (35% of total account)Market Value $145.12 million
Multifamily Investments DetailQ1 Total Q1 Total
Bronx $0 $22,686,610 0 18,982Brooklyn 0 10,152,179 0 8,959Manhattan 0 26,345,347 0 6,357Queens 0 6,611,500 0 902Staten Island 0 1,950,260 0 75Total TEACHERS Multifamily Investments $0 $67,745,896 0 35,275
Multifamily Total All Systems $0 $193,559,702 0 35,275
Single Family Investments DetailQ1 Total Q1 Total
Bronx $0 $19,631,245 0 274Brooklyn 0 50,862,562 0 639Manhattan 0 4,696,178 0 56Queens 0 78,402,945 0 899Staten Island 0 47,951,057 0 559Total TEACHERS Single Family Investments $0 $201,543,986 0 2,427
Single Family Total All Systems $0 $575,839,960 0 2,427
Other Investments DetailQ1 Total Q1 Total
Bronx $0 $236,250 0 1Brooklyn 0 1,886,641 0 8Manhattan 0 851,517 0 5Queens 0 190,201 0 3Staten Island 0 0 0 0Total TEACHERS Other Investments $0 $3,164,609 0 17
Other Investments Total All Systems $0 $9,041,740 0 17
Grand Total TEACHERS $0 $272,454,491
Grand Total All Systems $0 $778,441,402
1 Certain bond investment amounts are allocated pro rata across boroughs based upon unit count.2 If not indicated otherwise, superintendent units are allocated based on building size.
$ Invested1 Units2
$ Invested Units
$ Invested Loans
Bronx$22,686,610
33%18,982 Units
Brooklyn$10,152,179
15%8,959 Units
Manhattan$26,345,347
39%6,357 Units
Queens$6,611,500
10%902 Units
Staten Island$1,950,260
3%75 Units
RBC Access Multifamily Investments Since Inception TEACHERS
Bronx$19,631,245
10%274 Units
Brooklyn$50,862,562
25%639 UnitsManhattan
$4,696,1782%
56 Units
Queens$78,402,945
39%899 Units
Staten Island$47,951,057
24%559 Units
RBC Access Single Family Investments Since Inception TEACHERS
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Private Equity Quarterly Report (Public):
Teachers’ Retirement System of the City of New York – Public Material Fourth Quarter 2018 Report
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Teachers’ Retirement System of the City of New York Fourth Quarter 2018 Report
Proprietary and Confidential | Page 2
Content
Section 1 – Portfolio Update
Section 2 – Portfolio Assessment
Appendix A – Glossary of Terms
Appendix B – Disclosure Statements
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Section 1: Portfolio Update
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Portfolio Snapshot
Hamilton Lane was engaged by the Teachers’ Retirement System of the City of New York (“TRS”) in October 2010 to provide alternative investment consulting services in accordance with the investment objectives of the TRS Private Equity portfolio (the “Portfolio”). This report represents the review by Hamilton Lane of TRS’s Portfolio and is based upon information made available to Hamilton Lane by the general partners sponsoring each of the partnership investments in the Portfolio as of December 31, 2018, with highlights through March 31, 2019.
Private Equity Allocation: TRS has a target allocation of 6.0% +/- 3.0% to Private Equity. As of December 31, 2018, Private Equity constituted 5.8% of TRS plan. (Plan value is $69.147 billion as of December 31, 2018.)
Performance: As of December 31, 2018, the Portfolio consists of 175 partnerships and 93 underlying fund managers. The Portfolio has generated a since inception internal rate of return (“IRR”) of 10.07% and a total value multiple of 1.4x.
Portfolio Exposures: The Corporate Finance/Buyout strategy represents 65% of the Portfolio’s total exposure, Special Situations/Turnaround represents 10%, Secondaries represent 9%, Growth Equity accounts for 6%, Co-Investment represents 6%, Venture Capital represents 3%, and Energy represents the remaining 1%. The Portfolio has significant exposure to North America, with 72% of the underlying company market value based in the region.
$ millions 9/30/2018 12/31/2018 ChangeActive Partnerships 175 175 -Active GP Relationships 94 93 (1)Capital Committed(1) $8,368.4 $8,483.5 $115.2Liquidated Commitments $291.9 $387.3 $95.4Commitments Sold $288.5 $288.5 -Unfunded Commitment $2,853.2 $2,893.6 $40.4Capital Contributed $6,811.4 $7,042.6 $231.2Capital Distributed $5,621.4 $5,904.6 $283.2Market Value $4,130.0 $4,044.4 ($85.6)Total Value Multiple 1.43x 1.41x (0.02x)Since Inception IRR 10.35% 10.07% (28 bps)Avg. Age of Active Commitments 6.5 years 6.6 years 0.1 years
(1) The "change" in capital committed and active commitments from the prior quarter reflects currency adjustments from existing foreign denominated funds and four commitments made during the quarter.
Portfolio Snapshot
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Portfolio Overview
Commitments
The table below highlights the funds that have closed year-to-date as of December 31, 2018.
During the fourth quarter, the Portfolio closed on three new investments, totaling $219.3 million, which are detailed below:
KKR European Fund V, L.P. - USD ($89.0 million) The fund will pursue control investments in Europe, with a focus on the UK, the DACH region, the Nordics, France, Italy, Spain and Benelux. The General Partner employs a generalist approach to sectors; however, it will not invest in Energy and Natural Resources through the fund. Grain Communications Opportunity Fund II, L.P. ($22.5 million) The fund, a 2015 EM Program commitment, will opportunistically pursue communication investments across North America, including fiber, spectrum and cell tower assets.
Palladium Equity Partners V, L.P. ($26.7 million) The fund will target under-managed, founder-owned businesses across a broad range of sectors which stand to benefit from a growing United States Hispanic population. Palladium seeks to capitalize on these opportunities through its broad sourcing networks in the Hispanic community and transform these businesses into professionals enterprises positioned for growth.
Lexington Capital Partners IX, L.P. ($81.1 million) The fund will pursue secondary transactions within the United States and Europe, focusing on quality partnership interests managed by high quality sponsors operating across its target strategies: buyout, venture capital and growth equity.
2/22/2018 EQT VIII SCSP Corporate Finance/Buyout - Mega $89.3/€78.03/23/2018 Siris Partners IV, L.P. Corporate Finance/Buyout - Mid $71.03/29/2018 Bridgepoint Europe VI, L.P. Corporate Finance/Buyout - Large $97.9/€85.53/29/2018 Bridgepoint Europe VI Co-Invest Co-Investment $24.5/€21.45/30/2018 Platinum Equity Small Cap Fund, L.P. Special Situations $32.56/4/2018 Crestview Partners IV (FF), L.P. Co-Investment $19.06/4/2018 Crestview Partners IV, L.P. Corporate Finance/Buyout - Mid $57.06/8/2018 Platinum Equity Capital Partners IV, L.P. (Co-Invest) Co-Investment $22.06/25/2018 EQT VIII SCSP (Co-Invest) Co-Investment $32.5/€28.47/3/2018 Raine Partners III, L.P. Growth Equity $28.07/25/2018 WCAS XIII, L.P. Corporate Finance/Buyout - Large $71.08/31/2018 Vista Equity Partners Fund VII, L.P. Corporate Finance/Buyout - Mega $142.011/5/2018 KKR European Fund V, L.P. - USD Corporate Finance/Buyout - Large $89.0
12/10/2018 Grain Communications Opportunity Fund II, L.P. Corporate Finance/Buyout - Small $22.512/14/2018 Palladium Equity Partners V, L.P. Corporate Finance/Buyout - Mid $26.712/28/2018 Lexington Capital Partners IX, L.P. Secondaries $81.1
Total $930.9EUR to USD Exchange rate used was 1.1445. GBP to USD Exchange rate used was 1.2736.
Year to Date Commitments as of December 31, 2018
Commitment Amount($ in Millions)Partnership StrategyClosing Date
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Subsequent Closings
Warburg Pincus Global Growth, L.P. ($114.0 million) The fund will invest globally across the General Partner's industries of focus: industrial & business services, healthcare & consumer, natural resources, financial services and TMT, allowing for the development of top-down and bottom-up thesis generation. In addition to investing globally across a diversified group of sectors, Warburg maintains the ability to invest across venture, growth and buyout opportunities.
ASF VIII B NYC Co-Invest, L.P. ($79.0 million) The fund, a co-investment sleeve of the flagship fund, will pursue secondary transactions in the United States, Europe and opportunistically in Asia, focusing on limited partner interests in high quality managers. The General Partner’s strong brand name and relationships with institutions as well as its ability to complete large investments differentiate it from peers.
ASF VIII, L.P. ($158.0 million) The fund will pursue secondary transactions in the United States, Europe and opportunistically in Asia, focusing on limited partner interests in high quality managers. The General Partner’s strong brand name and relationships with institutions as well as its ability to complete large investments differentiate it from peers.
Lindsay Goldberg V, L.P. ($79.0 million) The fund will pursue founder- and family-owned companies that require long-term capital for institutionalization and growth. The General Partner primarily targets control positions in North America and Europe while working alongside founders to implement value creation initiatives and build sustainable businesses.
LCP IX Co-invest Partners B, L.P. ($28.4 million) The fund, a co-investment sleeve of the flagship fund, will pursue secondary transactions within the United States and Europe, focusing on quality partnership interests managed by high quality sponsors operating across its target strategies: buyout, venture capital and growth equity.
1/16/2019 Warburg Pincus Global Growth, L.P. Growth Equity $114.03/1/2019 ASF VIII B NYC Co-Invest, L.P. Co-Investment $79.03/1/2019 ASF VIII, L.P. Secondaries $158.04/26/2019 Lindsay Goldberg V, L.P. Corporate Finance/Buyout $79.05/13/2019 LCP IX Co-invest Partners B, L.P. Co-Investment $28.4
Total $458.4
Subsequent Commitments After December 31, 2018
Closing Date Partnership StrategyCommitment Amount
($ in Millions)
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Portfolio Performance Summary The chart below is a graphical depiction of the IRR performance of the Portfolio with respect to 3-Month, 6-Month, 1-Year, 3-Year, 5-Year, and Since Inception time periods. The Portfolio is benchmarked against the ThomsonOne/ Cambridge Pooled IRR, ThomsonOne/Cambridge Upper Quartile IRR and the Russell 3000 Public Market Equivalent (“PME+”) plus 300 basis points.
Note: Private Equity benchmark is provided by ThomsonOne/Cambridge and reflects U.S. Buyout Funds Pooled IRR and Upper Quartile IRR as of December 31, 2018, for funds
with vintage years 1999 to 2018. PME+ is the Russell 3000 Total Return Index and incorporates the PME + methodology. This calculation includes a 3% premium.
• As private equity is a long term asset class, the most significant time horizon is the since inception time period. Performance on a since inception basis for the fourth quarter of 2018 decreased 28 basis points from the prior quarter, with the Portfolio generating an IRR of 10.07%.
o Relative to the benchmarks, the since inception IRR is underperforming the ThomsonOne/ Cambridge Pooled IRR by 376 basis points, the ThomsonOne/Cambridge Upper Quartile IRR by 1,113 basis points, and Russell 3000 PME+ plus 300 basis points by 217 basis points.
• Performance on a one-year basis for the fourth quarter of 2018 decreased 579 basis points from the prior quarter, with the Portfolio generating an IRR of 11.03% as of December 31, 2018.
o Relative to the benchmarks, the one-year IRR is outperforming the ThomsonOne/Cambridge Pooled IRR by 29 basis points and the Russell 3000 PME+ plus 300 basis points by 1,149 basis points, but is underperforming the ThomsonOne/Cambridge Upper Quartile IRR by 947 basis points.
(0.82%)
3.16%
11.03%
13.09%
10.99%
10.07%
(1.22%)
2.58%
10.74%
14.33%
13.50%
13.83%
4.06%
8.84%
20.50%
22.11%
21.50%
21.20%
(11.26%)
(5.78%)
(3.16%)
11.87%
10.94%
12.24%
(15.00%) (10.00%) (5.00%) 0.00% 5.00% 10.00% 15.00% 20.00% 25.00%
3 Month
6 Month
1 Year IRR
3 Year IRR
5 Year IRR
Since Inception IRR
IRR Performancevs. Benchmarks
as of December 31, 2018
IRR Thomson One/Cambridge Pooled IRR
Thomson One/Cambridge Upper Quartile IRR Russell 3000 PME+ plus 300bps
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Quarterly Value Analysis
The table below details quarterly performance of the Portfolio for the year ending December 31, 2018.
• Over the past twelve months, the Portfolio has experienced a total of $408.5 million in net value appreciation.
o The since inception IRR of 10.07% represents a decrease of 28 basis points when compared to the since inception IRR from the prior quarter.
o The $33.6 million of net value loss during the fourth quarter of 2018 was largely driven by volatility in the public markets
Year Ended3/31/2018 6/30/2018 9/30/2018 12/31/2018 12/31/2018
Beginning Market Value $3,728.2 $3,838.1 $4,004.0 $4,130.0 $3,728.2Paid-In Capital 164.0 139.1 189.4 231.2 723.7Distributions (149.4) (161.5) (221.9) (283.2) (816.0)
Net Value Change 95.3 188.3 158.5 (33.6) 408.5Ending Market Value $3,838.1 $4,004.0 $4,130.0 $4,044.4 $4,044.4Unfunded Commitments $2,749.5 $2,755.1 $2,853.2 $2,893.6 $2,893.6Total Exposure $6,587.6 $6,759.1 $6,983.2 $6,938.0 $6,938.0Point-to-Point IRR 2.56% 4.93% 3.98% (0.82%) 11.03%Since Inception IRR 10.00% 10.22% 10.35% 10.07% 10.07%
$ millions
Portfolio Summary
Quarter Ended
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Performance by Strategy The table below details IRR performance of the Portfolio with respect to Investment Strategy. The Portfolio is benchmarked against the ThomsonOne/Cambridge Median Quartile IRR, and the ThomsonOne/Cambridge Upper Quartile IRR.
Corporate Finance/Buyout $5,384,649,606 11.14% 12.94% 19.68%Corporate Finance/Buyout - Mega 2,172,194,579 11.47% 10.25% 16.84%Corporate Finance/Buyout - Large 1,555,827,483 16.32% 13.38% 18.51%Corporate Finance/Buyout - Mid 901,203,806 9.74% 11.21% 18.54%Corporate Finance/Buyout - Small 755,423,737 7.94% 13.89% 20.92%
Co-Invest(2) 411,899,971 8.92% 9.54% 16.20%Energy 217,500,000 (1.69%) 4.64% 12.58%Growth Equity 410,371,863 10.47% 13.62% 20.71%Secondaries 845,125,000 13.12% 13.30% 17.66%Special Situations 744,000,000 18.60% 11.55% 20.66%Other(2) 470,000,000 3.93% 9.54% 16.20%
Venture Capital 420,000,000 3.37% 4.20% 10.96%Mezzanine(2) 50,000,000 12.90% 9.54% 16.20%
Performance by Investment Strategy
Investment StrategyCapital
Committed(1) IRRThomsonOne/
Cambridge Median IRR (2)
ThomsonOne/Cambridge
Upper IRR (2)
(1)Commitments in the above table do not include liquidated/sold investments.(2)Co-Invest and Mezzanine benchmarks reflect the ThomsonOne/Cambridge Global All Private Equity benchmark.
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Vintage Year Performance The table below details IRR performance of the Portfolio with respect to Vintage Year. The Portfolio is benchmarked against the ThomsonOne/Cambridge Median Quartile IRR, ThomsonOne/Cambridge Upper Quartile IRR, and the Russell 3000 Public Market Equivalent (“PME+”).
1999 $65,000,000 7.49% 9.29% 14.15% 6.33% 1.16%2000 35,000,000 5.72% 14.35% 22.32% 5.52% 0.21%2001 50,000,000 18.83% 20.25% 27.66% 7.63% 11.20%2002 35,000,000 15.11% 17.57% 26.55% 6.83% 8.28%2003 85,000,000 19.73% 14.87% 20.35% 6.55% 13.19%2004 209,000,000 2.90% 10.85% 14.34% 7.56% (4.66%)2005 234,225,800 5.34% 8.24% 13.09% 6.83% (1.49%)2006 557,924,886 7.83% 9.68% 14.88% 8.64% (0.82%)2007 506,332,175 6.61% 12.98% 16.07% 11.31% (4.70%)2008 718,965,280 11.63% 14.08% 20.88% 12.91% (1.28%)2009 42,500,000 10.73% 22.02% 26.19% 14.34% (3.61%)2010 45,000,000 10.59% 16.03% 18.64% 11.73% (1.14%)2011 572,410,994 16.33% 15.04% 21.09% 12.17% 4.16%2012 589,750,000 16.72% 18.37% 27.06% 9.74% 6.98%
2013 659,600,000 12.53% 15.92% 19.90% 7.52% 5.01%2014 769,282,629 17.06% 19.45% 23.94% 7.24% 9.82%2015 643,066,391 18.22% 13.42% 22.16% 4.63% 13.59%2016 557,000,000 19.81% 7.86% 16.46% 2.42% 17.38%2017 778,858,383 N/M N/M N/M N/M N/M2018 1,088,504,903 N/M N/M N/M N/M N/M2019 241,125,000 N/M N/M N/M N/M N/M
PME Spread(4)
Performance by Vintage Year
ThomsonOne/Cambridge
Median IRR (2)Capital Committed(1) IRR
ThomsonOne/Cambridge
Upper IRR (2)PME Return(3)Vintage Year
(1) Commitments in the above table do not include liquidated/sold investments.(2) ThompsonOne/Cambridge Benchmark - US Buyouts as of 12/31/2018(3) PME Return is the Russell 3000 Total Return Index and incorporates the PME+ methodology.(4) PME Spread is the percentage difference between the IRR and PME Benchmark for each respective vintage year.
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Performance by Geographic Focus
The table below details IRR performance of the Portfolio with respect to Geographic Focus.
North America $5,782,938,067 $5,097,472,789 $4,566,491,273 $2,843,576,026 10.63% 1.45xWestern Europe 1,199,072,034 710,186,309 354,552,623 523,081,615 7.00% 1.24xGlobal/Rest of World 1,501,536,339 1,234,921,323 983,577,570 677,783,409 8.84% 1.35x
Total $8,483,546,440 $7,042,580,421 $5,904,621,466 $4,044,441,050 10.07% 1.41x
Paid-In Capital Capital Distributed Reported Market Value
IRR Total Value Multiple
Performance Summary by Region(1)(2)
Capital CommittedRegion
Note: Commitments in the above table do not include liquidated/sold investments.
(1)Prior to a partnership being 75% drawn, region focus is based on the GP-stated geographic strategy. Subsequent to a partnership being 75% drawn, fund geographic focus is based on actual portfolio company exposure by total invested. Partnerships with less than 75% of total invested capital allocated to one geographic region are classified as Global.
(2)Fund Geographic Focus is based on a number of factors, including the GP-stated geographic focus, the number of investments within each region, invested capital by region, the location of the firm’s offices and investment professionals, and the underlying fund currency.
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Cash Flow Drivers
The chart below highlights the cash flows of the Portfolio over the past five quarters ended March 31, 2019.
$164.0
$139.1
$189.4$231.2
$212.9
($149.4)($161.5)
($221.9)
($283.2)
($165.2)
($400.0)
($300.0)
($200.0)
($100.0)
-
$100.0
$200.0
$300.0
First Quarter 2018 Second Quarter 2018 Third Quarter 2018 Fourth Quarter 2018 First Quarter 2019
$ m
illio
ns
Paid-In Capital Capital Distributed
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Portfolio Exposures
The pie charts below represent the strategic and geographic diversification of the Portfolio as of December 31, 2018. Strategy is measured by total exposure, which is the sum of the market value and the unfunded commitments and provides a snapshot of the Portfolio’s future diversification. Geography is measured by the Portfolio’s exposed market value of the underlying portfolio companies.
• The Portfolio is focused in the Corporate Finance/Buyout strategy, with 65% of the total exposureattributable to this strategy.
• With respect to geography, the Portfolio is concentrated in North America, with 72% of the Portfolio’sunderlying market value attributable to this region.
o The remaining 28% of the Portfolio’s exposure is diversified between Western Europe, Asia and‘Rest-of-World’.
o Roughly 7% of the Portfolio’s current exposed market value is based in New York.
• About 4%, or roughly $154.4 million, of the Portfolio’s current exposed market valueis based in New York City.
As of December 31, 2018
Sum of Current Exposed Market Value % of Total
North America $3,330.8 73%
U.S. (non-NY State) $3,028.9 66%
U.S. (NY State) $301.9 7%
New York City $154.3 4%
Non-New York City $147.6 3%
Western Europe $909.2 20%
Rest of World $270.0 6%
Asia $58.8 1%
Total $4,568.8 100%
Corporate Finance/Buyout
65%
Venture Capital
3%
SpecialSituations/ Turnaround
10%
Energy1%
Secondaries9% Growth Equity
6%
Co-Invest6%
Strategic Diversificationby Total Exposure
As of December 31, 2018
North America73%
Asia Pacific1%
Western Europe20%
Rest of World6%
Underlying Investment Diversificationby Geographic Location
As of December 31, 2018
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The pie chart below represents the industry diversification of the Portfolio as of December 31, 2018. Industry diversification is measured by the Portfolio’s exposed market value of the underlying portfolio companies.
Financials5%
Consumer Staples3%
Consumer Discretionary
13%Health Care
14%
Energy & Utilities5%
Materials4%
Communication Services
5%
Industrials14%
Information Technology
21%Real Estate
1%
FoF Holding15%
Underlying Investment Diversificationby Industry
As of December 31, 2018
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Teachers’ Retirement System of the City of New York Fourth Quarter 2018 Report
Section 2: Portfolio Assessment
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Vintage Year
InvestmentFirst
DrawdownCommitted
CapitalPaid-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%)
Teachers' Retirement System of the City of New YorkPrivate Equity Portfolio
As of December 31, 2018 (in USD)
Page 91 of 204
Vintage Year
InvestmentFirst
DrawdownCommitted
CapitalPaid-In Capital Distributed Capital Market Value Multiple IRR2 PME Return3 PME Spread4
Teachers' Retirement System of the City of New YorkPrivate Equity Portfolio
As of December 31, 2018 (in USD)
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%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/A2017 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
$9,162,676,368 $7,042,580,421 $5,904,621,466 $4,044,441,050 1.41x 10.07% 9.24% 0.83%
Vintage Year
InvestmentFirst
DrawdownCommitted
CapitalPaid-In Capital Distributed Capital Market Value Multiple IRR2 PME Benchmark3 PME Spread4
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, December 31, 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 Benchmark for each respective partnership.
**Please note that the NYCTRS - 2015 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $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
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Teachers' Retirement System of the City of New YorkCommitments By Vintage Year
As of December 31, 2018
Funded Commitments exclude additional fees.Unfunded Commitments include recallable returns of capital.
$0.0
$200.0
$400.0
$600.0
$800.0
$1,000.0
$1,200.0
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019Funded Commitments $98.1 $91.1 $95.1 $120.6 $83.6 $311.8 $361.3 $681.0 $624.0 $853.9 $67.3 $49.6 $509.3 $589.7 $565.5 $666.7 $389.8 $386.7 $326.1 $56.7 $0.0
Unfunded Commitments $0.0 $5.6 $2.1 $1.0 $10.0 $7.6 $35.3 $18.0 $42.0 $56.8 $0.2 $2.5 $76.9 $68.0 $148.3 $181.4 $270.8 $238.7 $455.5 $1,031.8 $241.1
$ in Millions
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Teachers' Retirement System of the City of New YorkPortfolio Strategic Diversification AsMeasured By Reported Market Value
As of December 31, 2018
Corporate Finance/Buyout
62%
Energy1%
Co-Invest5%
Growth Equity9%
Secondaries8%
Special Situation10%
Venture Capital5%
As of December 31, 2018
Corporate Finance/Buyout
62%
Energy2%
Co-Invest5%
Growth Equity8%
Secondaries8%
Special Situation10%
Venture Capital5%
As of September 30, 2018
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Teachers' Retirement System of the City of New YorkPublic Vs. Private HoldingsAs of December 31, 2018
(1) Portfolio Company information as of September 30, 2018 for Cypress Merchant Banking Partners II, LP, FdG Capital Partners, L.P., Markstone Capital Partners, L.P., NGN BioMed Opportunity II, L.P., Solera Partners, L.P. were not available at the time of this analysis. Market
values for underlying holdings have been carried forward from last quarter.
Public5%
Private95%
Based on Number of Companies (1)
Public7%
Private93%
Based on Reported Market Value (1)
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Teachers’ Retirement System of the City of New York Fourth Quarter 2018 Report
Appendix A: Glossary of Terms
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Teachers’ Retirement System of the City of New York Fourth Quarter 2018 Report
Page A - 1
Additional Fees: The amount of capital an investor pays into a fund/investment that does not count against the investors’ commitment. Additional fees typically consist of management fees or late-closing interest expense.
Capital Committed: An investor’s financial obligation to provide a set amount of capital to the investment.
Capital Contributed: Capital contributed from an investor’s capital commitment to fund partnership investments, organizational expenses and management fees.
Capital Distributed: Cash or stock disbursed to the investors of an investment.
Co/Direct Investment: A direct investment is a purchased interest of an operating company. A co-investment is a direct investment made alongside a partnership.
Corporate Finance/Buyout: Funds seeking to make controlling and non-controlling investments in established companies which have the potential to achieve greater value through improved performance.
Cost Basis: Capital contributions less return of principal.
Fund-of-Funds: An investment vehicle which invests in other private equity partnerships.
Fund/Investment Size: The total amount of capital committed by investors to a fund.
Investment Category: Used to identify investments in one of the following categories: co/direct investments, fund-of-funds, primary funds, secondary fund-of-funds or secondary purchases.
Investment Strategy: A sub-classification of a partnership’s investment type, such as Co/Direct Investment, Corporate Finance/Buyout, Mezzanine, Real Estate, Special Situation, Venture Capital.
Life Cycle Period: The current stage of a partnership depending on the percentage contributed to date. Life cycle periods are investment and realization.
Mezzanine: An investment strategy involving the purchase of subordinated debt. These securities exist between the senior debt and equity of a holding’s capital structure. Subordinated debt carries a lower level of risk than pure equity structures because they generate current income and have a more senior position in the company's capital structure.
Net Internal Rate Of Return (“IRR”): The discount rate that equates the net present value of the partnership’s cash outflows with its inflows and residual value at the time of calculation. The calculation is net of management fees and the general partner’s carried interest.
Originator: The institution responsible for recommending a client commit to an investment.
Ownership Percentage: The investor’s percent of ownership as measured by capital committed divided by fund/investment size.
Paid-In Capital: The amount of capital an investor has contributed to a partnership, which includes capital contributions and additional fees.
Pooled Average IRR: An IRR calculation which aggregates cash flows (paid-in capital and capital distributed) and the reported market values of each investment within a portfolio to create one portfolio investment and return.
Portfolio Holding Exposure: The limited partner's pro rata allocation to an underlying investment based on the ownership percentage of the partnership.
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Teachers’ Retirement System of the City of New York Fourth Quarter 2018 Report
Page A - 2
Primary Fund: Defines when the investor acquired an interest in the partnership. Primary fund is the investment category when an investor participates in a closing at the inception of the partnership.
Private Equity Partnership: A professionally managed pool of capital that generally invests in unlisted companies or securities. Common investment strategies include corporate finance/buyout, mezzanine, special situations and venture capital.
Realized Multiple: Ratio of cumulative distributions to paid-in capital.
Return On Investment ("ROI"): A calculation based on the total value (market value plus distributions) divided by paid-in capital for an investment.
Reported Market Value: The investment’s capital account balance at quarter end, which includes the general partner’s reported value of the underlying holdings and other assets and liabilities.
Secondary Fund-of-Funds: A private equity vehicle formed to purchase active partnership interests from an investor.
Secondary Purchase: A purchase of an existing partnership interest or pool of partnership interests from an investor.
Special Situation: Partnerships that invest using a unique strategy. Examples include distressed and turnaround, industry focused and multi-stage partnerships.
Total Exposure: Calculated by the summation of market value and unfunded commitments.
Venture Capital: An investment strategy that provides start-up or growth capital to companies in the early stages of development. Venture investments generally involve a greater degree of risk, but have the potential for higher returns.
Vintage Year: The year in which a partnership makes its first capital call for an investment into a portfolio company/holding.
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Teachers’ Retirement System of the City of New York Fourth Quarter 2018 Report
Appendix B: Disclosure Statement
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Teachers’ Retirement System of the City of New York Fourth Quarter 2018 Report
Page B - 1
Non-public information contained in this report is confidential and intended solely for dissemination to Teachers’ Retirement System of the City of New York and/or its Affiliates. Hamilton Lane has prepared this report to enable Teachers' Retirement System of the City of New York and/or its Affiliates to assess the performance and status of its alternative investment portfolio. The calculations contained in this document are made by Hamilton Lane based on information provided by the general partner (e.g. cash flows and valuations), and have not been prepared, reviewed or approved by the general partners. Hamilton Lane hereby disclaims any liability resulting from any unauthorized dissemination of the attached information.
The information contained in this report may include forward-looking statements regarding the funds presented or their portfolio companies. Forward-looking statements include a number of risks, uncertainties and other factors beyond the control of the funds or the portfolio companies, which may result in material differences in actual results, performance or other expectations. The information presented is not a complete analysis of every material fact concerning each fund or each company. The opinions, estimates and analyses reflect our current judgment, which may change in the future.
All opinions, estimates and forecasts of future performance or other events contained herein are based on information available to Hamilton Lane as of the date of this presentation and are subject to change. Past performance of the investments described herein is not indicative of future results. Certain of the information included in this presentation has not been reviewed or audited by independent public accountants. Certain information included herein has been obtained from sources that Hamilton Lane believes to be reliable but the accuracy of such information cannot be guaranteed.
The past performance information contained in this report is not necessarily indicative of future results and there is no assurance that the funds will achieve comparable results or that they will be able to implement their investment strategy or achieve their investment objectives. The actual realized value of currently unrealized investments will depend on a variety of factors, including future operating results, the value of the assets and market conditions at the time of disposition, any related transaction costs and the timing and manner of sale, all of which may differ from the assumptions and circumstances on which the current unrealized valuations are based.
Any tables, graphs or charts relating to past performance included in this report are intended only to illustrate the performance of the funds or the portfolio companies referred to for the historical periods shown. Such tables, graphs and charts are not intended to predict future performance and should not be used as the basis for an investment decision.
Page 100 of 204
Teachers’ Retirement System of the City of New York | 12.31.2018 www.hamiltonlane.com Proprietary and Confidential | 13
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Seoul 12F, Gangnam Finance Center 152 Teheran-ro, Gangnam-gu Seoul 06236 Republic of Korea +82 2 6191 3200
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Toronto 150 King St. West Suite 200 Toronto, Ontario Canada M5HJ89 +1 647 715 9457
Page 101 of 204
Vintage
YearInvestment
First
Drawdown
Committed
CapitalPaid-In Capital Distributed Capital Market Value Multiple IRR
2PME Return
3PME Spread
4
Active Investments
1999 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%)
Teachers' Retirement System of the City of New York
Private Equity Portfolio
As of December 31, 2018 (in USD)
Page 102 of 204
Vintage
YearInvestment
First
Drawdown
Committed
CapitalPaid-In Capital Distributed Capital Market Value Multiple IRR
2PME Return
3PME Spread
4
Teachers' Retirement System of the City of New York
Private Equity Portfolio
As of December 31, 2018 (in USD)
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%
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/M
2018 Apollo Investment Fund IX, L.P. N/A 256,000,000 - - (2,693,802) N/A N/A N/A N/A
2017 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/A
2018 EQT VIII SCSP 8/10/2018 89,270,386 783,920 - (307,678) -0.39x N/M N/M N/M
2018 Bridgepoint Europe VI Co-Invest N/A 24,463,519 - - - N/A N/A N/A N/A
2018 Siris Partners IV, L.P. N/A 71,000,000 - - (450,818) N/A N/A N/A N/A
2018 Crestview Partners IV (FF), L.P. N/A 19,000,000 - - - N/A N/A N/A N/A
2018 Crestview Partners IV, L.P. N/A 57,000,000 - - - N/A N/A N/A N/A
2018 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/M
2018 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/M
2018 EQT VIII SCSP (Co-Invest) 11/2/2018 32,425,356 4,832,691 - 4,862,123 1.01x N/M N/M N/M
2018 Vista Equity Partners Fund VII, L.P. N/A 142,000,000 - - (117,899) N/A N/A N/A N/A
2019 KKR European Fund V, L.P. - USD N/A 89,000,000 - - - N/A N/A N/A N/A
2019 Lexington Capital Partners IX, L.P. N/A 81,125,000 - - - N/A N/A N/A N/A
2017 Palladium Equity Partners V, L.P. N/A 26,666,667 - - (986,777) N/A N/A N/A N/A
2019 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
$9,162,676,368 $7,042,580,421 $5,904,621,466 $4,044,441,050 1.41x 10.07% 9.24% 0.83%
Vintage
YearInvestment
First
Drawdown
Committed
CapitalPaid-In Capital Distributed Capital Market Value Multiple IRR
2PME Return
3PME Spread
4
Commitments Closed Subsequent to December 31, 2018
2019 ASF VIII B NYC Co-Invest, L.P. N/A $79,000,000 - - - N/A N/A N/A N/A
2019 ASF VIII, L.P. N/A 158,000,000 - - - N/A N/A N/A N/A
2019 LCP IX Co-invest Partners B, L.P. N/A 28,375,000 - - - N/A N/A N/A N/A
2019 Lindsay Goldberg V, L.P. N/A 79,000,000 - - - N/A N/A N/A N/A
2019 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, December 31, 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 Benchmark for each respective partnership.
**Please note that the NYCTRS - 2015 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $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 Investments
Total Portfolio
Total Commitments Closed Subsequent to as of Date
Total Active Investments
Page 103 of 204
Real Estate Quarterly Report (Public):
216-522-0330
127 PUBLIC SQUARE, SUITE 5050CLEVELAND, OH 44114
NEW YORK CITY RETIREMENT SYSTEMS
REAL ESTATE PORTFOLIO
PERFORMANCE MEASUREMENT REPORT
Fourth Quarter 2018
____________________________________________________________________________________________________STEPSTONE REAL ESTATE
Page 105 of 204
TABLE OF CONTENTS
I. Executive Summary12234569
II. Market Overview 10 - 18
III. Portfolio Review192020202122232324252526272829
Portfolio Exposure by Region and Property Type................................................................................................................Portfolio Performance..........................................................................................................................................................
By Strategy and Region...................................................................................................................................................... By Investment Manager.....................................................................................................................................................Portfolio Cash Flow Analysis................................................................................................................................................. Year-to-Date Cash Flow Activity........................................................................................................................................ Quarterly Cash Flow Activity.............................................................................................................................................. Invested Capital by Vintage Year.......................................................................................................................................
Investment Performance...................................................................................................................................................... Since Inception Performance............................................................................................................................................. Portfolio Periodic Returns vs. Benchmark......................................................................................................................... Performance by Vintage Year............................................................................................................................................ Performance by Strategy...................................................................................................................................................Portfolio Diversification........................................................................................................................................................
Core and Non-Core Performance vs. Benchmarks...............................................................................................................Portfolio Profile.....................................................................................................................................................................Portfolio Allocation...............................................................................................................................................................Fund Contribution to Portfolio Return.................................................................................................................................Portfolio Compliance Checklist.............................................................................................................................................
Quarterly Highlights..............................................................................................................................................................
Performance Summary.........................................................................................................................................................Portfolio Performance vs. Benchmarks................................................................................................................................Portfolio Diversification........................................................................................................................................................
____________________________________________________________________________________________________STEPSTONE REAL ESTATE
Page 106 of 204
IMPORTANT INFORMATION
None of StepStone is undertaking to provide impartial investment advice, or to give advice in a fiduciary capacity, in
connection with any investor’s continued engagement of StepStone.
All data is as of December 31, 2018, unless otherwise noted.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. ACTUAL PERFORMANCE MAY VARY.
This document is meant only to provide a broad overview for discussion purposes. All information provided here is subject
to change. This document is for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or
a recommendation for any security, or as an offer to provide advisory or other services by StepStone Group LP, StepStone
Group Real Assets LP, StepStone Group Real Estate LP, Swiss Capital Invest Holding (Dublin) Ltd, Swiss Capital Alternative
Investments AG or their subsidiaries or affiliates (collectively, “StepStone”) in any jurisdiction in which such offer,
solicitation, purchase or sale would be unlawful under the securities laws of such jurisdiction. The information contained in
this document should not be construed as financial or investment advice on any subject matter. StepStone expressly
disclaims all liability in respect to actions taken based on any or all of the information in this document.
This document is confidential and solely for the use of StepStone and the existing and potential clients of StepStone to
whom it has been delivered, where permitted. By accepting delivery of this presentation, each recipient undertakes not to
reproduce or distribute this presentation in whole or in part, nor to disclose any of its contents (except to its professional
advisors), without the prior written consent of StepStone. While some information used in the presentation has been
obtained from various published and unpublished sources considered to be reliable, StepStone does not guarantee its
accuracy or completeness and accepts no liability for any direct or consequential losses arising from its use. Thus, all such
information is subject to independent verification by prospective investors.
An investment involves a number of risks and there are conflicts of interest.
Each of StepStone Group LP, StepStone Group Real Assets LP and StepStone Group Real Estate LP is an investment adviser
registered with the Securities and Exchange Commission (“SEC”). StepStone Group Europe LLP is authorized and regulated
by the Financial Conduct Authority, firm reference number 551580. Swiss Capital Invest Holding (Dublin) Ltd (“SCHIDL”) is
an SEC Registered Investment Advisor and Swiss Capital Alternative Investments AG (“SCAI”) (together with SCHIDL, “Swiss
Cap”) is registered as a Relying Advisor with the SEC. Such registrations do not imply a certain level of skill or training and
no inference to the contrary should be made.
StepStone Group LP, its affiliates and employees are not in the business of providing tax, legal or accounting advice. Any tax‐
related statements contained in these materials are provided for illustration purposes only and cannot be relied upon for
the purpose of avoiding tax penalties. Any taxpayer should seek advice based on the taxpayer’s particular circumstances
from an independent tax advisor.
Prospective investors should inform themselves and take appropriate advice as to any applicable legal requirements and
any applicable taxation and exchange control regulations in the countries of their citizenship, residence or domicile which
might be relevant to the subscription, purchase, holding, exchange, redemption or disposal of any investments. Each
prospective investor is urged to discuss any prospective investment with its legal, tax and regulatory advisors in order to
make an independent determination of the suitability and consequences of such an investment.
All valuations are based on current values calculated in accordance with StepStone's Valuation Policies and may include
both realized and unrealized investments. Due to the inherent uncertainty of valuation, the stated value may differ
significantly from the value that would have been used had a ready market existed for all of the portfolio investments, and
the difference could be material. The long‐term value of these investments may be lesser or greater than the valuations
provided.
The presentation is being made based on the understanding that each recipient has sufficient knowledge and experience to
evaluate the merits and risks of investing in private market products. All expressions of opinion are intended solely as
general market commentary and do not constitute investment advice or a guarantee of returns. All expressions of opinion
are as of the date of this document, are subject to change without notice and may differ from views held by other
businesses of StepStone.
Page 107 of 204
I. Executive Summary
Performance Summary
As of December 31, 2018. In USD millions.
DECEMBER 31, 2018 SEPTEMBER 30, 2018 DECEMBER 31, 2017 Quarterly Change Yearly Change
Number of Managers 47 47 0 0
Number of Investments 76 78 2 0
Number of Active Investments 68 70 2 0
Number of Active Managers 43 43 0 0
Committed Capital1 $4,628.0 $4,133.5 $70.9 $565.4
Contributions $3,423.2 $3,197.9 $117.1 $342.4
Distributions $2,076.7 $1,851.3 $205.4 $430.9
Market Value $2,715.7 $2,544.2 ‐$28.9 $142.6
Total Gain/(Loss) $1,369.2 $1,197.5 $58.8 $230.5
Unfunded Commitment2 $1,512.4 $1,166.7 -$75.2 $270.5
Total Exposure3 $4,228.1 $3,710.9 -$104.1 $413.1
Net DPI 0.61x 0.58x 0.04x 0.07x
TVM Gross of Fees5,8 1.47x 1.46x ‐0.05x ‐0.04x
IRR Gross of Fees6,8 13.2% 13.5% ‐0.1% ‐0.4%
TVM Net of Fees5,7,8 1.40x 1.37x 0.00x 0.03x
IRR Net of Fees6,7,8
47
78
70
43
$4,698.9
$3,540.3
$2,282.1
$2,686.8
$1,428.1
$1,437.2
$4,124.0
0.64x
1.42x
13.1%
1.40x
9.9% 10.0% 10.0% 0.0% ‐0.1%
StepStone Group LP (“StepStone”) was engaged by NYCTRS to provide Real Estate services for prospective investment opportunities,
as well as portfolio management on NYCTRS’s portfolio (the “Portfolio”). Inception date of the Portfolio was on December 2002.
The following table illustrates the Portfolio's since inception investment performance as of December 31, 2018 as well as the change
in performance from the prior quarter‐end and the end of the same quarter in the prior year. The Portfolio’s since inception net
Internal Rate of Return (“IRR”) now stands at 9.9% at December 31, 2018, which is down 3 basis points quarter‐over‐quarter.
1Committed Capital represents original commitments to partnership investments.
2Unfunded Commitment represents the aggregate remaining commitments to partnership investments.
3Total Exposure represents the sum of Market Value and Unfunded Commitment.
4DPI, or Distributed to Paid‐In Multiple, is a performance metric that measures distributions received relative to capital interest. DPI is calculated as Distributions divided by Contributions.
5TVM, or Total Value Multiple, is a performance metric that measures total value created by the Portfolio relative to Contributions, without consideration for time. TVM is calculated as Total
Value, which is comprised of Market Value plus Distributions, divided by Contributions.
6IRR, or Internal Rate of Return, is a performance metric that is calculated based on the Portfolio's daily cash flows and market value as of quarter‐end. IRR is net of fund manager's fees,
expenses, and carried interest.
7TVM and IRR Net of fees represent TVM and IRR net of fees.
8DPI, TVM and IRR are since inceptions values up until the current quarter.
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.
NYCTRS Quarterly Report Page 1
Page 108 of 204
Portfolio Performance vs. Benchmarks
Portfolio Diversification
$ % of Total $ % of Total $ % of Total
$1,782.9 66.5% $392.4 27.3% $2,175.3 52.7%
$903.9 33.7% $1,044.8 72.7% $1,948.7.8 47.3%
$2,686.7 100.0% $1,437.2 100.0% $4,463.2 100.0%
$79.5 3.0% $121.4 6.8% $200.9 4.5%
$290.0 10.8% $461.4 25.9% $752.7 16.9%
% of Total $ $ $
92.0% $2,472.3 $1,638.4 $4,110.6
6.2% $166.8 $110.5 $277.3
1.2% $31.2 $20.7 $51.8
0.6% $16.1 $10.6 $26.7
100.0% $2,686.7 $1,437.2 $4,463.2
Rest of World
Total
Allocations by Region
USD in millions
North America
Europe
Asia
TOTAL GROSS RETURNS vs. BENCHMARKS
(for period ended December 31, 2018)
Total
Debt
Emerging
The following graph illustrates the Portfolio's total TWR versus the benchmark as of December 31, 2018
The NCREIF Fund Index – Open End Diversified
Core Equity (“NFI‐ODCE”) is a capitalization‐
weighted return index with an inception date
of December 31, 1977. The NFI‐ODCE contains
data from 25 core, open‐end funds investing in
the United States. For the current quarter, the
NFI‐ODCE contained performance data from
2,922 investments, totaling over $252.6 billion
of gross real estate assets. The NFI‐ODCE
differs from the NCREIF Property Index
because it includes leverage, reports returns
gross and net of fees, and all reporting funds
must qualify according the NFI‐ODCE
diversification and other standards (e.g., fund‐
level leverage below 40%).
The referenced benchmark is shown for
general market comparison and is not meant
to represent any particular fund. An investor
cannot directly invest in the NFI‐ODCE index.
Moreover, the benchmark does not reflect
commissions or fees that may be charged to
an investments product based on the index,
which may materially affect the performance
data presented.
The Portfolio's Total Time Weighted Returns ("TWR") are measured against the NFI‐ODCE benchmark plus 100 basis points.
Market Value Unfunded Commitment Total Exposure
Market Value Unfunded Commitment Total Exposure
* The allocations are based on net real estate value of each investment reported by the managers.
Allocations by Strategy
USD in millions
Core
Non‐Core
1.4%
8.2%
9.8%
11.4%
7.0%
5.2%
8.4% 8.3%
10.4%
7.0%
8.3%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Qtr 1‐Year 3‐Year 5‐Year 10‐Year Since Inception
Total TWR NFI‐ODCE + 100 bps
NYCTRS Quarterly Report Page 2
1.8%
Page 109 of 204
Core and Non‐Core Performance vs. Benchmarks
The following graphs measure the Portfolio's Core and Non‐Core performance against chosen benchmarks. The Portfolio's Core Time
Weighted Returns are benchmarked against the NFI‐ODCE. The Portfolio uses IRR by vintage year as a measurement of its Non‐Core
performance. A public market equivalent ("PME") of 60% Russell 3000 and 40% Barclays Capital Aggregate Bond Index is used to measure
the Portfolio's Non‐Core Performance. The PME is calculated using the Portfolio cash flows to produce a return that would have been
earned if the Portfolio cash flows were invested in the PME.
‐15%
‐10%
‐5%
0%
5%
10%
15%
20%
25%
30%
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Non‐Core IRR vs PME Returns
3rd Quartile 2nd Quartile PME Returns Non‐Core IRR
1.8%
8.9%
9.5%
10.9%
6.6%
5.4%
1.5%
7.4% 7.3%
9.4%
6.0%5.6%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
Qtr 1‐Year 3‐Year 5‐Year 10‐Year Since Inception
Core TWR NFI‐ODCE
NYCTRS Quarterly Report Page 3
Page 110 of 204
Portfolio Profile
Total Plan Assets: $69,147,000,000
Total Real Estate Allocation (%): 9.0
Total Real Estate Allocation ($): $6,223,230,000
Total Real Estate Market Value: $2,686,792,216
Real Estate Unfunded Commitments: $1,437,213,253
Total Real Estate Exposure: $4,123,005,469
Number of Managers: 47
Number of Investments: 78
Quarter TWR: 1.4%
1‐Year TWR: 8.2%
2‐Year TWR: 9.1%
3‐Year TWR: 9.8%
5‐Year TWR: 11.4%
10‐Year TWR: 7.0%
15‐Year TWR: 10.7%
ITD TWR: 5.2%
ITD Net IRR: 9.9%
Benchmark NFI‐ODCE + 100 bps 8.3%
ITD Net Equity Multiple: 1.40
(for period ended December 31, 2018)
Portfolio Statistics
(for period ended December 31, 2018)
Net Returns
New York City Retirement Systems has allocated 9% of the total plan to Real Estate. The Real Estate Portfolio's
objective is to generate a total net return that exceeds the Benchmark NFI‐ODCE +100 bps total net return measured
over full market cycles.
NYCTRS Quarterly Report Page 4
Page 111 of 204
Portfolio Allocation
Total Plan Assets ($): $69,147,000,000
Real Estate Allocation (%): 9.0
Real Estate Allocation ($): $6,223,230,000
Real Estate Core Allocation (%): 5.0
Real Estate Core Allocation ($): $3,457,350,000
Real Estate Non‐Core Allocation (%): 4.0
Real Estate Non‐Core Allocation ($): $2,765,880,000
Funded (Market Value) Core/Core Plus Portfolio: $1,782,936,685
Funded (Market Value) Non‐Core Portfolio: $903,822,531
Unfunded Core/Core Plus Portfolio: $392,386,631
Unfunded Non‐Core Portfolio: $1,044,823,622
Core/Core Plus Portfolio: $1,782,936,685
Non‐Core Portfolio: $903,822,531
Total Portfolio: $2,686,792,216
Core/Core Plus Committed: $1,815,335,733
Non‐Core Committed: $2,597,225,921
Total $ Commitment: $4,412,561,654
Core/Core Plus Total Exposure: $2,175,323,316
Non‐Core Total Exposure: $1,948,682,153
Total Portfolio Exposure: $4,124,005,469
% Total Exposure on Real Estate Allocation: 71.8%
% Total Exposure on Total Plan Assets: 6.5%
% Core/Core Plus Funded (Market Value) of Total Plan Assets: 2.6%
% Non‐Core Funded (Market Value) of Total Plan Assets: 1.3%
% Funded (Market Value) of Total Plan Assets: 3.9%
% Funded (Market Value) of Total Real Estate Allocation: 43.2%
NYC TRS ‐ Real Estate
Style Sector Allocation
Funded (Market Value) Statistics
Funded (Market Value) and Committed Statistics
NYCTRS Quarterly Report Page 5
Page 112 of 204
Fund Contribution to Portfolio Return
* Excluding liquidated investments
-0.08%-0.06%
-0.05%-0.05%
-0.04%-0.03%-0.03%
-0.02%-0.02%-0.02%-0.02%
-0.01%-0.01%-0.01%-0.01%-0.01%
-0.01%
-0.01%-0.00%-0.00%
-0.00%-0.00%-0.00%-0.00%
-0.00%-0.00%
0.00%
0.00%
0.01%
0.01%0.01%0.01%
0.01%
0.01%
0.03%
0.04%0.04%
0.06%
-0.03%-0.02%
-0.01%
-0.01%-0.01%
-0.01%
-0.00%
-0.00%
0.00%0.00%0.00%0.00%
0.01%
0.01%0.01%
0.01%
0.01%
0.02%0.02%0.02%0.02%0.02%
0.03%
0.08%0.09%
-0.1% -0.1% 0.0% 0.0% 0.1% 0.1%
NYC Asset Investor #3PW Real Estate Fund III
H2 Special Opportunities IIIH2 Special Opportunities IV
Brookfield Strategic Real Estate PartnersLone Star Real Estate Fund III, L.P.
NYC Asset Investor #1Heitman America Real Estate Trust, L.P.
Almanac Realty Securities VIBlackstone Real Estate Partners IV L.P.
H2 Special Opportunities Fund IIKKR Real Estate Partners Americas II
Carlyle Realty Partners VI, L.P.MetLife Core Property Fund
Carlyle Realty Partners V, L.P.DivcoWest Fund V
American Value Partners Fund INYCRS-KKR CMBS Retention Partners
Capri Urban InvestorsAlmanac Realty Securities VIII
Prudential PRISA IIStockbridge Real Estate III
Almanac Realty Securities VI (Sidecar III)Thor Urban Property Fund II
Westbrook Real Estate Fund VIII, L.P.Blackstone Real Estate Partners Europe III - USD
Jamestown Premier Property FundDivcoWest Fund IV
Blackstone Real Estate Partners VI L.P.The City Investment Fund I
Metropolitan Workforce Housing FundAlmanac Realty Securities VIII (Sidecar II)
Canyon-Johnson Urban IICanyon Johnson Urban Fund III
Basis Investment Group Real Estate Fund IHeitman Core Real Estate Debt Income Trust
Exeter Core Industrial Club Fund IIJP Morgan Special Situation Property Fund
Prudential PRISADRA Growth and Income Fund IX
RREEF America REIT IIApollo Real Estate Investment Fund V
Almanac Realty Securities VII (Sidecar III)LaSalle Property Fund
Exeter Industrial Value Fund IV, L.P.Pramerica Real Estate Capital VI
Silverpeak Legacy Partners IIIPrologis Targeted US Logistics Fund
DRA Growth and Income Fund VIIIAlmanac Realty Securities VII
Westbrook Real Estate Fund X Co-InvestmentUSAA Eagle Real Estate FundUBS Trumbull Property Fund
JP Morgan Strategic Property FundCarlyle Property Investors
Artemis Co-InvestmentAvanath Affordable Housing II
Brookfield Premier Real Estate PartnersTaconic New York City Investment Fund
Carlyle Realty Partners VII, L.P.Tristan European Property Investors Special Opp IV
NYC Asset Investor #2Lion Industrial Trust
Percent Contribution to Current‐Quarter Return
Core
Non-Core
Ab
ove Average
Below
Average
NYCTRS Quarterly Report Page 6
Page 113 of 204
* Excluding liquidated investments
-0.33%
-0.23%
-0.22%
-0.22%
-0.07%
-0.07%
-0.06%
-0.05%
-0.04%
-0.04%
-0.04%
-0.04%
-0.03%
-0.03%
-0.02%
-0.02%
-0.02%
-0.02%
-0.01%
-0.01%
-0.00%
-0.00%
-0.00%
-0.00%
0.00%
0.00%
0.01%
0.01%
0.01%
0.01%
0.01%
0.03%
0.03%
0.05%
0.08%
0.10%
0.28%
0.39%
-0.07%
-0.07%
-0.06%
-0.05%
-0.04%
-0.02%
-0.01%
-0.01%
-0.01%
0.00%
0.00%
0.01%
0.01%
0.01%
0.02%
0.05%
0.05%
0.05%
0.05%
0.09%
0.21%
0.37%
-0.7% -0.5% -0.3% -0.1% 0.2% 0.4% 0.6%
KKR Real Estate Partners Americas II
NYC Asset Investor #1
NYC Asset Investor #3
Lone Star Real Estate Fund III, L.P.
JP Morgan Strategic Property Fund
Almanac Realty Securities VI
PW Real Estate Fund III
H2 Special Opportunities III
UBS Trumbull Property Fund
NYCRS-KKR CMBS Retention Partners
Heitman America Real Estate Trust, L.P.
Thor Urban Property Fund II
Stockbridge Real Estate III
H2 Special Opportunities IV
Capri Urban Investors
DivcoWest Fund V
MetLife Core Property Fund
Carlyle Realty Partners VI, L.P.
Blackstone Real Estate Partners IV L.P.
H2 Special Opportunities Fund II
Carlyle Realty Partners V, L.P.
Almanac Realty Securities VI (Sidecar III)
American Value Partners Fund I
Pramerica Real Estate Capital VI
NYC Asset Investor #2
Jamestown Premier Property Fund
Westbrook Real Estate Fund VIII, L.P.
Prudential PRISA
Blackstone Real Estate Partners VI L.P.
Tristan European Property Investors Special Opp IV
Metropolitan Workforce Housing Fund
Canyon Johnson Urban Fund III
The City Investment Fund I
Canyon-Johnson Urban II
RREEF America REIT II
Basis Investment Group Real Estate Fund I
Carlyle Property Investors
Blackstone Real Estate Partners Europe III - USD
Prudential PRISA II
LaSalle Property Fund
Silverpeak Legacy Partners III
DivcoWest Fund IV
JP Morgan Special Situation Property Fund
Avanath Affordable Housing II
Apollo Real Estate Investment Fund V
USAA Eagle Real Estate Fund
Taconic New York City Investment Fund
Westbrook Real Estate Fund X Co-Investment
Almanac Realty Securities VII (Sidecar III)
Exeter Core Industrial Club Fund II
Prologis Targeted US Logistics Fund
Artemis Co-Investment
Exeter Industrial Value Fund IV, L.P.
DRA Growth and Income Fund VIII
Almanac Realty Securities VII
DRA Growth and Income Fund IX
Brookfield Premier Real Estate Partners
Carlyle Realty Partners VII, L.P.
Lion Industrial Trust
Brookfield Strategic Real Estate Partners
Percent Contribution to 1‐Year Return
Core
Non-Core
Ab
ove Average
Below
Average
NYCTRS Quarterly Report Page 7
Page 114 of 204
* Excluding liquidated investments
-0.21%
-0.10%
-0.07%
-0.04%
-0.04%
-0.04%
-0.02%
-0.02%
-0.02%
-0.01%
-0.01%
-0.01%
-0.00%
-0.00%
-0.00%
-0.00%
-0.00%
0.00%
0.00%
0.01%
0.01%
0.02%
0.02%
0.04%
0.05%
0.05%
0.07%
0.33%
-0.19%
-0.18%
-0.08%
-0.07%
-0.05%
-0.05%
-0.05%
-0.04%
-0.04%
-0.02%
-0.01%
-0.01%
-0.00%
0.03%
0.05%
0.06%
0.37%
0.66%
-0.4% -0.2% 0.0% 0.2% 0.4% 0.6% 0.8%
NYC Asset Investor #1
JP Morgan Strategic Property Fund
UBS Trumbull Property Fund
Capri Urban Investors
Heitman America Real Estate Trust, L.P.
Stockbridge Real Estate III
MetLife Core Property Fund
Almanac Realty Securities VI
LaSalle Property Fund
Prudential PRISA II
Prudential PRISA
Lone Star Real Estate Fund III, L.P.
Thor Urban Property Fund II
RREEF America REIT II
Tristan European Property Investors Special Opp IV
Westbrook Real Estate Fund VIII, L.P.
Carlyle Realty Partners VI, L.P.
USAA Eagle Real Estate Fund
Blackstone Real Estate Partners IV L.P.
American Value Partners Fund I
Almanac Realty Securities VI (Sidecar III)
Jamestown Premier Property Fund
Carlyle Realty Partners V, L.P.
Silverpeak Legacy Partners III
JP Morgan Special Situation Property Fund
H2 Special Opportunities Fund II
Taconic New York City Investment Fund
Metropolitan Workforce Housing Fund
The City Investment Fund I
Canyon Johnson Urban Fund III
Canyon-Johnson Urban II
Apollo Real Estate Investment Fund V
Blackstone Real Estate Partners VI L.P.
Blackstone Real Estate Partners Europe III - USD
DivcoWest Fund IV
NYC Asset Investor #3
Almanac Realty Securities VII (Sidecar III)
Avanath Affordable Housing II
Prologis Targeted US Logistics Fund
H2 Special Opportunities III
DRA Growth and Income Fund VIII
Almanac Realty Securities VII
Carlyle Realty Partners VII, L.P.
Brookfield Strategic Real Estate Partners
NYC Asset Investor #2
Artemis Co-Investment
Percent Contribution to 3‐Year Return
Core
Non-Core
Ab
ove Average
Below
Average
NYCTRS Quarterly Report Page 8
Page 115 of 204
Portfolio Compliance Checklist
Category Requirement
BenchmarkComprised of NFI‐ODCE plus 100 basis
points
Core/Core Plus (5% of RE Allocation)
Non‐Core (4% of RE Allocation)
Target of 9%
Currently Funded at 3.9%
Property Type Diversification
Up to 40% Multifamily
Up to 35% Industrial
Up to 45% Office
Up to 35% Retail
Up to 25% Hotel
Up to 20% Other
Geographic DiversificationDiversified geographically
Max 25% Ex‐U.S.
LTV 65.0%
Manager Exposure 15% of real estate allocation
Portfolio Composition
Real Estate Allocation
Portfolio Status
Portfolio returns outperform the
benchmark over the three and five‐year
time periods.
The portfolio is funded (market value)
and committed at 71.7% of real estate
allocation with a portfolio composition of
52.7% core/core plus and 42.3% non‐
core. Based on market value, the
Portfolio is 66.5% core/core plus and
33.7% non‐core
Funded (market value) and committed
dollars place the portfolio at 6.5% of total
plan assets.
All property type allocations are in
compliance.
All geographic allocations are in
compliance.
The leverage (35.2%) is in compliance.
All manager allocations are in
compliance.
NYCTRS Quarterly Report Page 9
Page 116 of 204
StepStone Real Estate
Market Commentary
Winter 2018
Year-over-year Global real estate transaction volume grew 3.9% in 2018 to $944 billion, led by a 17.9% increase in North America volume. The Global level is -2.7% below the current cycle peak of $970 billion in 2015 and -8.2% below the prior cycle high of $1.0 trillion in 2007.
_______________________________________
Figure 1| Annual Global Transaction Volume
_______________________________________
Source: Real Capital Analytics (12/31/18)
North America posted 51% of Global volume, marking the first time in the current cycle for North America to represent a majority of transaction activity. Ongoing concerns over Brexit contributed to a -10.0% decline in Europe, Middle East and Africa (EMEA) to $305 billion. US - China Trade War concerns and China’s recent implementation of capital controls contributed to Asia’s volume decline of -2.3% to $159 billion.
_______________________________________
Figure 2| Regional Share of Global Transaction Volume
_______________________________________
Source: Real Capital Analytics (12/31/18)
The investor demand demonstrated by the increased transaction volume has led to increased valuations across most developed markets. These increased valuations occurred as many central banks were tightening leading to spread compression globally in the fourth quarter. The cap rate spread in Frankfurt was highest among major global developed markets, ending the year at 5.16%. In contrast, Hong Kong ended the year with the lowest cap rate spread at -0.64%. The cap rate spread for New York Office was 1.60% as of December 31, 2018.
_______________________________________
Figure 3| Office Cap Rate Spread to 10 Year Sovereign Debt
_______________________________________
Source: Bloomberg (12/31/18)
$1028
$445
$239
$412
$533$583
$724
$834
$970
$869$908
$944
$
$200
$400
$600
$800
$1000
$1200
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Tran
sact
ion
Volu
me
($ b
illio
n)
50%
34%24%
35%41%
47% 46% 45% 49% 50% 45%51%
13%
19%
27%
26%21%
21% 20% 18% 15% 17%18%
17%
37%47% 49%
39% 38% 33% 35% 37% 36% 34% 37% 32%
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018Americas Asia EMEA
5.16%
4.30%3.99%
3.11% 3.08%
1.60% 1.51%
-0.64%Frankfurt Tokyo Paris Toronto London New York Sydney Hong
Kong
NYCTRS Quarterly Report Page 10
Page 117 of 204
Fundraising and Dry Powder
2018 continued the trend of large managers getting larger and limited partners reducing the number of manager relationships. The number of funds closed in 2018 (298) was the lowest level in over five years and down 25% relative to 2017 (406). At $118 billion, the amount of capital raised in 2018 was the lowest level since 2013.
_______________________________________
Figure 4| Real Estate Funds Closed by Year
_______________________________________
Source: Preqin (12/31/18).
The two hundred funds targeting North America received $72 billion, which was 61% of all capital closed in 2018. The sixty-three Europe and twenty-two Asia targeted funds received $30 billion and $15 billion, respectively.
_______________________________________
Figure 5| Real Estate Funds Closed by Region
_______________________________________
Source: Preqin (12/31/18).
More Value-Added (115) strategies closed than Opportunistic (68) in 2018. However, the Opportunistic funds closed on more capital than the Value-Added funds, with $43 billion and $36 billion, respectively. There was $26 billion raised by the fifty-four debt funds that closed in 2018.
_______________________________________
Figure 6| Real Estate Funds Closed by Strategy
_______________________________________
Source: Preqin (12/31/18).
358 363395 393 401 406
298
88109 122
139 130 132118
0
50
100
150
200
250
300
350
400
450
2012 2013 2014 2015 2016 2017 2018
Date of Final Close
No. of Funds Closed Aggregate Capital Raised ($bn)
200
63
2213
72
3015
0.50
50
100
150
200
250
North America Europe Asia Rest of World
No. of Funds Closed Aggregate Capital Raised ($bn)
25 22
115
68
54
2.2 3.9
3643
26
0
20
40
60
80
100
120
140
Core Core-Plus Value Added Opportunistic Debt
No. of Funds Closed Aggregate Capital Raised ($bn)
NYCTRS Quarterly Report Page 11
Page 118 of 204
Shift from Core and Gateway Markets
Contributions to US Core Open-Ended funds has decreased over the past few years as investors react to heightened valuations and lower yields. The aggregate contribution queue for the funds in the NCREIF ODCE Index ended 2018 at $3.8 billion, which is about one-third of the peak levels in 2014 when there were $10.8 billion of committed capital waiting to be called.
Of the twenty-five ODCE funds, fourteen have contribution queues and seven have redemption queues. One fund in particular makes up $2.2 billion of the $2.3 billion redemption queue.
_______________________________________
Figure 7| Core Contribution and Redemption Queues ($bil.)
_______________________________________
Source: StepStone Real Estate (12/31/18).
As investor demand diminishes a bit in the Core segment, there is a related movement of capital into secondary and tertiary markets. The Major Markets of Boston, New York, Washington DC, Chicago, San Francisco and Los Angeles have
seen values grow slower than the Non-Major Markets for each of the last six quarters.
_______________________________________
Figure 8| Major vs Non-Major Market
_______________________________________
Source: Moody’s Commercial Property Price Index (12/31/18).
With falling yields and slowing appreciation, one-year total returns for NCREIF in 2018 of 6.72% were below the long-term historical income returns of 7.21%.
_______________________________________
Figure 8| Core Contribution and Redemption Queues
_______________________________________
Source: NCREIF (12/31/18).
$1.5
$6.2
$7.5$7.0
$10.6 $10.8
$8.9
$6.1 $6.2
$3.8
($6.2)
($.3) ($.4) ($.1) ($.1) ($.0) ($.2)
($1.9)
($.3)
($2.3)
$208.2
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Contribution Queue
Redemption Queue
Total Net Assets in Core Funds
133.5
150.4
125.2
0
20
40
60
80
100
120
140
160
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
Inde
x Va
lue
National All PropertyMajor MarketsNon Major Markets
-25%
-20%
-15%
-10%
-5%
0%
5%
10%
15%
20%
78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18
Retu
rn
Year
Income Return
Appreciation Return
Average Total Return
Average Income Return
Average Appreciation Return
NYCTRS Quarterly Report Page 12
Page 119 of 204
US Fundamentals Remain Strong
All four of the main NCREIF property types produced positive returns for the four quarters ending in December. Industrials led with 14.3%, followed by Office (6.8%), Apartments, (6.1%) and Retail (2.2%). Concerns over store closings and e-commerce led to year-over-year value declines of -2.4% for the Retail sector. These same factors contributed to a 9.1% appreciation gain for Industrials.
Vacancy has fallen below the year ago levels for all major property types in the NCREIF Property Index (“NPI”). Industrial (3.2%) and Office (10.4%) vacancies are at 10-year lows.
_______________________________________
Figure 9| US Vacancy
_______________________________________
Source: NCREIF (12/31/18). Data reflect the prior 40 quarters.
NOI Growth for Industrials (9.6%) is at a 10-year high. Other sectors are at, or below, the long-term average level for NOI Growth.
_______________________________________
Figure 10| Four Quarter NOI Growth
_______________________________________
Source: NCREIF (12/31/18). Data reflect the prior 40 quarters.
NPI cap rates are near record lows (4.3%) and have compressed below year ago levels for all property types except Retail (4.7%). Industrial (4.5%) and Office (4.2%) cap rates are at 10-year lows.
_____________________________________
Figure 11| Cap Rates
_______________________________________
Source: NCREIF (12/31/18). Data reflect the prior 40 quarters.
6.0% 6.3%
3.2%
10.4%
6.9%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
NPI Apartment Industrial Office Retail
Vaca
ncy
AverageCurrentPrior 4 Qtrs
4.1%5.4%
9.6%
2.1% 2.2%
-10%
-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
NPI Apartment Industrial Office Retail
4 Q
uart
er N
OI G
row
th R
ate
AverageCurrentPrior 4 Qtrs
4.3%4.2%
4.5%
4.2%
4.7%
4.0%
4.5%
5.0%
5.5%
6.0%
6.5%
7.0%
7.5%
8.0%
NPI Apartment Industrial Office Retail
Cap
Rate
AverageCurrentPrior 4 Qtrs
NYCTRS Quarterly Report Page 13
Page 120 of 204
US Apartment Sector
Apartment supply has exceeded demand for eight straight quarters, which is causing vacancy to rise and rents to fall.
There were a little more than 53,000 new Apartment units completed across the US in the fourth quarter, the lowest quarterly level in over two years. The four quarter total units supplied through 4Q18 was about 244,000, which is 1.2% below the four-quarter level through 4Q17.
Demand in the quarter was around 41,000 units, which is the lowest level in over five years.
Vacancy has risen to 4.9% through December, up 30 basis points from the 4.6% one year prior. Vacancy is much tighter for the BC-Class units (3.6%) compared to A-Class units (6.2%).
Absorption for the quarter was highest in New York (4.5%), Denver (3.7%) and Austin (3.3%).
_______________________________________
Figure 12| Apartment Supply & Demand
_______________________________________
Source: REIS (12/31/18).
Rent growth for A-Class units in the quarter was 4.6%, which is inline with the year ago growth levels. Given the tighter vacancy, BC-Class units are seeing accelerating rent growth. Rent growth in the quarter for the non-luxury
segment was 4.4%, which up 30+% from the year ago period.
Rent growth was highest in Phoenix (8.4%), Atlanta (7.5%) and Denver (7.0%).
With $51 billion of transaction activity in the quarter, the Apartment segment led all property types and was 31% of activity for the quarter. Volume in the quarter was up 12% compared to the same quarter a year ago.
Los Angeles and Dallas were virtually even for annualized volume through the end of the quarter, though Dallas is coming off even higher levels in late 2017. If combined, Manhattan and the NYC Burroughs would have led the transaction activity for the quarter. San Francisco posted the highest year-over-year growth in transaction volume (105%). Among the ten largest markets by volume, Denver saw the largest year-over-year decline (-23%).
_______________________________________
Figure 13| Apartment Transaction Activity
_______________________________________
Source: Real Capital Analytics (12/31/18).
0%
1%
2%
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Demand Supply Vacancy
-125% -100% -75% -50% -25% 0% 25% 50% 75% 100% 125%
-$12 -$10 -$8 -$6 -$4 -$2 $ $2 $4 $6 $8 $10 $12
Los AngelesDallas
ManhattanHouston
AtlantaNYC Boroughs
PhoenixDenver
ChicagoSeattleAustin
DC VA burbsOrlando
Raleigh/DurhamTampa
DC MD burbsSan Francisco
CharlottePhiladelphiaSan Antonio
Las VegasBoston
No NJInland Empire
Portland
Year over Year Change in Volume (%)
12 Month Volume ($ billion)
Volume
Change (YoY)
NYCTRS Quarterly Report Page 14
Page 121 of 204
US Industrial Sector
Industrial demand has exceeded supply since 2011, which has resulted in tight vacancy and strong NOI growth.
After growing for five straight years, demand growth is beginning to slow. The 128 million square feet of demand is 13% below the year ago level. That said, supply has not kept up with the demand that has come from online retailers and logistics firms. Reis forecasts that new supply will step down over the next few years.
Vacancy has fallen to 7.0% through December, down 40 basis points from the 7.4% one year prior. Vacancy is tighter for modern logistics facilities and in-fill locations that can serve “last mile” distribution. Vacancy is tightest in the west coast markets of Los Angeles (4.7%), Orange County (6.6%) and Seattle (6.7%).
Absorption for the quarter was highest in Denver (2.9%), Riverside (2.8%) and Indianapolis (2.6%).
_______________________________________
Figure 14| Industrial Supply & Demand
_______________________________________
Source: REIS (12/31/18).
Year-over-year rent growth of 2.8% was slightly ahead of the five-year average of 2.5% from 2012 to 2017. That said, the industrial rent growth was down from the 5.7% level posted for
the year ago period as demand comes off slightly. Rent growth was highest in Fort Worth (4.2%), Riverside (4.1%) and Chicago (4.0%).
With $27 billion of transaction activity in the quarter, the Industrial segment has overcome the retail sector as the third largest sector behind apartment and office. Volume in the quarter was up 25% compared to the same quarter a year ago.
Chicago had the highest amount of annualized volume through the end of the quarter, followed by Dallas and Los Angeles. Among the ten largest markets by volume, Los Angeles saw the largest year-over-year decline (-15%) and Seattle saw the largest increase (132%). Memphis, the headquarters of logistics leader UPS, saw the highest year-over-year volume growth (153%).
_______________________________________
Figure 15| Industrial Transaction Activity
_______________________________________
Source: Real Capital Analytics (12/31/18).
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-$8 -$6 -$4 -$2 $ $2 $4 $6 $8
ChicagoDallas
Los AngelesInland Empire
AtlantaSeattle
No NJHoustonSan JosePhoenix
NYC BoroughsEast Bay
BostonOrange Co
Miami/Dade CoDenver
BaltimoreColumbusSan Diego
MinneapolisIndianapolis
MemphisOrlando
PhiladelphiaSan Francisco
Year over Year Change in Volume (%)
12 Month Volume ($ billion)
Volume
NYCTRS Quarterly Report Page 15
Page 122 of 204
US Office Sector
Despite record employment levels, Office vacancy is rising as supply has exceeded demand for 10 of the past 11 quarters.
There were 11 msf new Office space completed across the US in the fourth quarter, which is below the 12 msf delivered in the same period a year ago. The one-year total supplied through 4Q18 was about 43 msf, which is slightly below the four-quarter level of 45 msf through 4Q17.
The calendar year demand level in 2018 was the lowest level since 2013.
Vacancy has risen to 16.7% through December, up 30 basis points from the 16.4% one year prior. Vacancy is tighter for the A-Class space (15.3%) compared to B-Class space (18.4%).
Absorption for the quarter was highest in the tech driven markets of San Jose (5.1%), San Francisco (4.6%) and Denver (2.7%).
_______________________________________
Figure 16| Office Supply & Demand
_______________________________________
Source: REIS (12/31/18).
Rent growth for A-Class space in the quarter was 2.6%, which is above the year ago growth level of 1.5%. Rental growth in BC-Class space was 2.4%, compared to 1.8% for the year ago.
Rent growth was highest in San Jose (5.0%), Orange County (4.0%) and Denver (3.7%).
With $41 billion of transaction activity in the quarter, the Office segment was behind only Apartments and was 24% of activity for the quarter. Volume in the quarter was nearly flat, growing only 1.2% compared to a year ago.
Large Office markets of Boston and Los Angeles saw significant volume declines of -9% and -34%, respectively. Among the 10 largest Office markets, Chicago saw the largest year-over-year increase in transaction volume (67%).
In advance of the Amazon HQ2 announcement, the NYC Burroughs posted the highest growth in transaction volume (92.4%). Among the ten largest markets by volume, Denver saw the largest year-over-year decline (-23%). The other, and ultimate, winner in the HQ2 process was Washington DC, where CBD volume fell -7% and suburban volume grew 6%.
_______________________________________
Figure 17| Office Transaction Activity
_______________________________________
Source: Real Capital Analytics (12/31/18).
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-$20 -$16 -$12 -$8 -$4 $ $4 $8 $12 $16 $20
ManhattanBoston
Los AngelesChicagoSeattle
San JoseDC
DallasSan FranciscoDC VA burbs
AtlantaPhoenixDenver
NYC BoroughsHouston
Orange CoSan Diego
East BayPhiladelphia
Raleigh/DurhamAustinNo NJ
MinneapolisCharlottePortland
Year over Year Change in Volume (%)
12 Month Volume ($ billion)
Volume
Change (YoY)
NYCTRS Quarterly Report Page 16
Page 123 of 204
US Retail Sector
Though Retail supply remains well below pre-GFC levels, it has exceeded demand for eight straight quarters.
There were a little more than 1.9 million square feet of new Retail space completed across the US in the fourth quarter. The four-quarter total supplied through 4Q18 was about 8 million square feet, which is 40% below the four-quarter level through 4Q17.
Demand in the four quarters ending 4Q18 was about 70% lower than the year ago levels.
Vacancy has risen to 10.2% through December, up 20 basis points from the 10.0% one year prior. With mall closings, vacancy is lower in 2018 than 2011, when vacancies hit 11.1%
Absorption for the quarter was highest in West and South markets of Sacramento (1.7%) Seattle (1.3%), and Orlando (1.1%).
_______________________________________
Figure 18| Retail Supply & Demand
_______________________________________
Source: REIS (12/31/18).
Rent growth for Retail was below inflation at 1.5%, down from 1.9% a year ago.
Rent growth was highest in San Jose (4.1%), Orlando (3.0%) and Los Angeles (2.7%).
With $17 billion of transaction activity in the quarter, the Retail segment was the lowest of the main property types and was 15% of activity for the quarter. Volume in the quarter was up 31% compared to the same quarter a year ago, which was the largest increase among the main property types.
Among the ten largest markets by volume, San Diego saw the largest year-over-year increase (120%). San Jose had the largest volume increase with a gain of almost 250%.
It is worth noting that only three of the Top 25 markets saw a decline in volume, led by the relatively small Broward County with a 37% decline.
_______________________________________
Figure 19| Retail Transaction Activity
_________________________________
Source: Real Capital Analytics (12/31/18).
0%
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-250% -200% -150% -100% -50% 0% 50% 100% 150% 200% 250%
-$8 -$6 -$4 -$2 $ $2 $4 $6 $8
Los AngelesManhattan
ChicagoDallas
HoustonLas Vegas
AtlantaSan Diego
NYC BoroughsNo NJ
SeattleInland Empire
PhoenixMiami/Dade Co
DenverBoston
DC VA burbsTampa
DC MD burbsSan Jose
San FranciscoLong IslandOrange Co
BrowardBaltimore
Year over Year Change in Volume (%)
12 Month Volume ($ billion)
Volume
Change (YoY)
NYCTRS Quarterly Report Page 17
Page 124 of 204
Disclosures
This document is for information purposes only and has been compiled with publicly available information. StepStone makes no guarantees of the accuracy of the information provided. This information is for the use of StepStone’s clients and contacts only. This report is only provided for informational purposes. This report may include information that is based, in part or in full, on assumptions, models and/or other analysis (not all of which may be described herein). StepStone makes no representation or warranty as to the reasonableness of such assumptions, models or analysis or the conclusions drawn. Any opinions expressed herein are current opinions as of the date hereof and are subject to change at any time. StepStone is not intending to provide investment, tax or other advice to you or any other party, and no information in this document is to be relied upon for the purpose of making or communicating investments or other decisions. Neither the information nor any opinion expressed in this report constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service.
Past performance is not a guarantee of future results. Actual results may vary.
Each of StepStone Group LP, StepStone Group Real Assets LP and StepStone Group Real Estate LP is an investment adviser registered with the Securities and Exchange Commission. StepStone Group Europe LLP is authorized and regulated by the Financial Conduct Authority, firm reference number 551580.
Manager references herein are for illustrative purposes only and do not constitute investment recommendations.
NYCTRS Quarterly Report Page 18
Page 125 of 204
• Subsequent Investment Commitments —
Subsequent to quarter‐end through February 6th, 2019, the Program has not closed on Blackstone Real Estate Partners IX. In
addition, the Program increased its commitments to LaSalle Property Fund, Lion Industrial Trust, and USAA Eagle Real Estate
Fund.
III. Portfolio Review
Quarterly Highlights
• Cash Flow Activity —
During the fourth quarter of 2018, the Portfolio made $117.1 million of contributions and received $205.4 million of distributions,
for a net cash inflow of $88.3 million, compared to a net cash inflow of $12.6 million during the third quarter
of 2018. Contributions increased 87.4% from the prior quarter and decreased 43.9% from the fourth quarter of 2017. The
most recent four quarter average of the Program's contributions is $85.6 million. Distributions increased 269.9% from the
prior quarter and increased 164.6% from the fourth quarter of 2017. The most recent four quarter average of the Program's
distributions is $107.7 million.
• Recent Portfolio Activity —
During the fourth quarter of 2018, net of cash flow activity, the Portfolio valuation decreased by $29.4 million, or 1.1%, from the
prior quarter. During the last twelve months, net of cash flow activity, the Portfolio valuation increased by $142.1 million, or
5.6%, from the quarter ended December 31, 2017.
NYCTRS Quarterly Report Page 19
Page 126 of 204
Investment Performance
Since Inception Performance
USD in millionsDECEMBER 31,
2018
SEPTEMBER 30,
2018
DECEMBER 31,
2017
Quarterly
Change Yearly Change
Number of Managers 47 47 47 0 0
Number of Investments 78 76 78 2 0
Committed Capital1 $4,698.9 $4,628.0 $4,133.5 $70.9 $565.4
Contributions $3,540.3 $3,423.2 $3,197.9 $117.1 $342.4
Distributions $2,282.1 $2,076.7 $1,851.3 $205.4 $430.9
Market Value $2,686.8 $2,715.7 $2,544.2 ‐$28.9 $142.6
Total Gain (Loss) $1,428.1 $1,369.2 $1,197.5 $58.8 $230.5
Unfunded Commitment2 $1,437.2 $1,512.4 $1,166.7 -$75.2 $270.5
Total Exposure3 $4,124.0 $4,228.1 $3,710.9 -$104.1 $413.1
DPI4,8 0.64x 0.61x 0.58x 0.04x 0.07x
TVM Gross of Fees5,8 1.42x 1.47x 1.46x ‐0.05x ‐0.04x
IRR Gross of Fees6,8 13.1% 13.2% 13.5% ‐0.1% ‐0.4%
TVM Net of Fees5,7,8 1.40x 1.40x 1.37x 0.00x 0.03x
IRR Net of Fees6,7,8 9.9% 10.0% 10.0% 0.0% ‐0.1%
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.
Portfolio Periodic Returns vs. Benchmark
As of December 31, 2018 3‐Month 1‐Year 3‐Year 5‐Year 10‐Year Since Inception
NYCRS Net TWR 1.4% 8.2% 9.8% 11.4% 7.0% 5.2%
NYCRS Outperformance (Underperformance) ‐1.3% ‐1.2% 0.5% 0.0% ‐1.0% ‐4.1%
Benchmark: NFI‐ODCE + 100 bps 2.8% 9.3% 9.2% 11.4% 8.0% 9.3%
6IRR, or Internal Rate of Return, is a performance metric that is calculated based on the Portfolio's quarterly cash flows and market value as of quarter‐end. IRR is net of fund manager's fees, expenses, and
carried interest.
7TVM and IRR Net of fees represent TVM and IRR net of fees.8DPI, TVM and IRR are since inceptions values up until the current quarter.
1Committed Capital represents original commitments to partnership investments.2Unfunded Commitment represents the aggregate remaining commitments to partnership investments.3Total Exposure represents the sum of Market Value and Unfunded Commitment.
4DPI, or Distributed to Paid‐In Multiple, is a performance metric that measures distributions received relative to capital interest. DPI is calculated as Distributions divided by Contributions.
5TVM, or Total Value Multiple, is a performance metric that measures total value created by the Portfolio relative to Contributions, without consideration for time. TVM is calculated as Total Value, which is
comprised of Market Value plus Distributions, divided by Contributions.
NYCTRS Quarterly Report Page 20
Page 127 of 204
Performance by Vintage Year
Vintage
Year
Committed
Capital Contributions Distributions
Market
Value
Unfunded
Commitment
Total
Exposure TVM IRR
PME
Returns
PME
Returns
Spread1
2002 15.0 13.7 16.4 0.0 0.0 0.0 1.2x 11.1% 8.8% 2.3%
2003 15.0 15.0 23.6 0.0 0.0 0.0 1.6x 9.8% 6.6% 3.3%
2004 245.0 222.7 413.7 3.1 0.0 3.1 1.9x 25.1% 7.7% 17.4%
2005 30.0 27.0 11.9 0.1 3.0 3.1 0.4x ‐10.5% 7.6% ‐18.0%
2006 294.0 405.5 185.1 464.9 0.5 465.4 1.6x 6.1% 6.7% ‐0.6%
2007 265.4 311.9 248.5 236.4 15.5 251.8 1.6x 6.5% 7.1% ‐0.6%
2008 158.9 121.7 109.2 29.6 10.2 39.8 1.1x 2.5% 8.6% ‐6.2%
2009 90.0 103.3 122.1 9.9 4.3 14.2 1.3x 10.4% 9.7% 0.8%
2010 129.0 74.8 51.7 72.1 54.3 126.5 1.7x 10.9% 7.6% 3.3%
2011 110.0 115.4 162.8 14.1 46.1 60.1 1.5x 18.3% 7.8% 10.5%
2012 330.0 233.2 245.8 122.6 64.8 187.4 1.6x 15.6% 6.7% 9.0%
2013 561.0 482.1 346.7 336.6 69.3 405.9 1.4x 13.9% 5.5% 8.5%
2014 365.0 359.0 202.8 284.2 69.5 353.7 1.4x 12.9% 5.2% 7.7%
2015 258.9 204.3 23.5 225.8 69.9 295.6 1.2x 11.0% 4.1% 7.0%
2016 703.3 448.3 88.6 443.7 303.3 747.0 1.2x 12.9% 3.6% 9.3%
2017 470.4 346.5 27.8 387.3 142.6 529.9 1.2x 15.8% 1.1% 14.7%
2018 658.1 55.8 1.7 56.0 602.8 658.8 1.0x 10.9% N/A N/A
Total 4,412.6 3,540.3 2,282.1 2,686.8 1,437.2 4,124.0 1.4x 9.9% 6.62% 3.3%
As of December 31, 2018.
The following table and chart illustrate the Portfolio's since inception investment performance by vintage year as of December 31,
2018 relative to a blended PME benchmark comprised of Russell 3000 and Barclays Capital Aggregate Bond Index at a 50/50 ratio.
The PME benchmark is used to measure the Portfolio's performance, using the respective vintage year Portfolio cash flows to
produce a return that would have been earned if those same vintage year cash flows were invested in the PME.
0.0x
0.2x
0.4x
0.6x
0.8x
1.0x
1.2x
1.4x
1.6x
1.8x
2.0x
‐15.0%
‐10.0%
‐5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Vintage Year
TVM
IRR
IRR (Measure) PME Returns TVM
NYCTRS Quarterly Report Page 21
Page 128 of 204
Performance by Strategy
USD in millions
Strategy/Sub‐
Strategy
Committed
Capital Contributions Distributions
Market
Value
Unfunded
Commitment
Total
Exposure TVM IRR PME
Returns1
PME
Returns
Spread2
Core 1,815.3 1,589.5 482.6 1,782.9 392.4 2,175.3 1.43x 7.6% 5.7% 2.0%
Non‐Core 2,597.2 1,950.8 1,799.5 903.9 1,044.8 1,948.7 1.39x 13.4% 7.9% 5.5%
Total 4,412.6 3,540.3 2,282.1 2,686.8 1,437.2 4,124.0 1.40x 9.9% 6.62% 3.3%
Emerging Manager 230.6 124.2 60.5 79.5 121.4 200.9 1.13x 4.1% N/A N/A
Debt 939.6 496.0 342.2 290.0 461.4 751.4 1.27x 15.2% N/A N/A
As of December 31, 2018.
The following chart illustrates the IRR and TVM of the Portfolio's various strategies and sub‐strategies side by side. Both metrics are important to measure
investment returns. IRR takes into account the time value of money and is generally favored by investors that are more yield driven over shorter investment
horizons. The TVM equity multiple is the ratio of distributions plus current market value over the amount of capital contributed.
1 The PME is comprised of Russell 3000 and Barclays Capital Aggregate Bond Index at the ratios of 40/60, 60/40 and 50/50 for Core, Non‐Core and Total Portfolio, respectively, except that BofA Merrill Lynch US High Yield
Index is the benchmark for NYCRS‐KKR CMBS Retention Partners, a non‐core investment.
2 Spread is calculated as IRR minus the PME for NYCRS.
The following table and charts illustrate the Portfolio's since inception investment performance by strategy and sub‐strategy as of December 31, 2018.
0.00x
0.20x
0.40x
0.60x
0.80x
1.00x
1.20x
1.40x
1.60x
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
Core Non‐Core Total Emerging Manager Debt
Strategy
TVM
IRR
IRR TVM
NYCTRS Quarterly Report Page 22
Page 129 of 204
Portfolio Diversification
$ % of Total $ % of Total $ % of Total
$1,782.9 66.4% $392.4 27.3% $2,175.3 52.7%
$903.9 33.6% $1,044.8 72.7% $1,948.7 47.3.3%
$2,686.8 100.0% $1,437.2 100.0% $4,124.0 100.0%
$79.5 3.0% $121.4 6.8% $200.9 4.5%
$290.0 10.8% $461.4 25.9% $752.7 16.9%
% of Total $ $ $
92.0% $2,472.3 $1,638.4 $4,110.6
6.2% $166.8 $110.5 $277.3
1.2% $31.2 $20.7 $51.8
0.6% $16.1 $10.6 $26.7
100.0% $2,686.8 $1,437.2 $4,124.0
Rest of World
Total
Total Exposure
USD in millions
Core
Allocations by RegionMarket Value
* The allocations are based on net real estate value of each investment reported by the managers.
The following charts outline the Portfolio's diversification by strategy and geographic regions, the limits of
which are governed by the Policy Statement and Annual Plan.
Unfunded Commitment Total Exposure
USD in millions
North America
Europe
Asia
Non‐Core
Total
Emerging
Debt
Allocations by StrategyMarket Value Unfunded Commitment
NYCTRS Quarterly Report Page 23
Page 130 of 204
By Investment Manager
As of December 31, 2018, the Portfolio was diversified by investment manager, with 43 active managers and $5.12 billion total
exposure.
4.9%3.9%
9.9%
7.4%
4.9%
7.1%
43.5%
4.8%
4.6%
4.4%4.6%
Portfolio Total Exposure by Investment Manager
Almanac Realty Investors
Artemis Real Estate Partners
Brookfield
Carlyle Group, The
JP Morgan Private Investments
Kohlberg Kravis Roberts & Co
Other
PGIM Real Estate
The Blackstone Group
The Related Companies
Westbrook Partners
NYCTRS Quarterly Report Page 24
Page 131 of 204
Portfolio Cash Flow Analysis
Year to Date Cash Flow Activity
During the year‐to‐date period ended December 31, 2018, the Portfolio contributed US$342.4 million and received US$430.9 million
of distributions, for a net cash inflow of US$88.4 million. The graph below illustrates recent cash flow activity by quarter.
The following yearly and quarterly cash flow analysis is based on actual Portfolio cash flows during those time periods.
($112.8)
($194.8) ($214.6)($171.3)
($377.1)($418.2) ($417.1)
($574.4)
($342.4)
$24.0$73.6 $55.3
$119.3
$288.2$339.7
$271.3
$374.1$430.9
($800)
($600)
($400)
($200)
$0
$200
$400
$600
2010 2011 2012 2013 2014 2015 2016 2017 2018
CONTRIBUTIONS DISTRIBUTIONS NET CASH FLOW
43%
57%
YTD 2018 Total Contributed by Strategy
Core
Non‐Core
39%
61%
YTD 2018 Total Distributed by Strategy
Core
Non‐Core
2%
22%
76%
YTD 2018 Total Distributed by Strategy
Emerging Managers
Debt
Remaining
10%
33%57%
YTD 2018 Total Contributed by Sub‐Strategy
Emerging Managers
Debt
Remaining
NYCTRS Quarterly Report Page 25
Page 132 of 204
QUARTERLY CASH FLOW ACTIVITY
During the fourth quarter of 2018, the Portfolio contributed US$117.1 million and received US$205.4 million of distributions, for a
net cash inflow of US$88.3 million. The graph below illustrates recent cash flow activity by quarter.
($123.2)
($48.9)
($91.7)
($153.3)($174.3)
($75.3)
($116.2)
($208.7)
($75.2)($87.6)
($62.5)
($117.1)
$29.2
$78.0 $77.2 $87.0
$53.5
$128.9
$66.9
$124.8
$64.6$84.8 $76.1
$205.4
($250)
($200)
($150)
($100)
($50)
$0
$50
$100
$150
$200
$250
Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
2016 2017 2018
CONTRIBUTIONS DISTRIBUTIONS NET CASH FLOW
48%
52%
Q4 2018 Contributed by Strategy
Core
Non‐Core
38%
62%
Q4 2018 Distributed by Strategy
Core
Non‐Core
2%
23%
75%
Q4 2018 Total Distributed by Strategy
Emerging Managers
Debt
Remaining
9%
35%57%
Q4 2018 Total Contributed by Strategy
Emerging Managers
Debt
Remaining
NYCTRS Quarterly Report Page 26
Page 133 of 204
Invested Capital by Vintage Year
The following chart illustrates cumulative capital contributions as a percentage of total capital commitments, by fund vintage year, as
of December 31, 2018.
The following chart illustrates cumulative capital contributions relative to unfunded commitment, by fund vintage year, as of
December 31, 2018.
100% 100%91%
100%94% 94% 95%
70% 70%
84%89%
84%79%
70%77%
52%
9% 6% 6% 5%
30% 30%
16%11%
16%21%
30%23%
48%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
2002 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018Vintage Year
Unfunded Commitments by Vintage Year (%)
Funded Commitment* Unfunded Commitment
15.0
245.0
27.0
293.5249.9
148.785.7 74.7 63.9
265.2
491.7
295.5
189.0
400.0327.8
55.33.0
0.5
15.5
10.2
4.3 54.3 46.1
64.8
69.3
69.5
69.9
303.3
142.6 602.8
$0
$100
$200
$300
$400
$500
$600
$700
$800
2002 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
USD
in m
illions
Vintage Year
Funded and Unfunded Commitment by Vintage Year (USD)
Funded Commitment* Unfunded Commitment
* Funded Commitment includes expired or released commitments and recallable distributions.
NYCTRS Quarterly Report Page 27
Page 134 of 204
Portfolio Exposure
Geography NYC TRS ‐ RE1 NFI ODCE2
New York State 17.9% 9.2%
US East (Non‐NY) 17.2% 21.6%
US East 35.1% 30.8%
US Midwest 7.7% 8.9%
US South 17.8% 18.9%
US West 27.9% 41.4%
US Not Allocated 3.5% 0.0%
United States 92.0% 100.0%
Europe 6.2% 0.0%
Asia 1.2% 0.0%
Remaining 0.6% 0.0%
Total 100.0% 100.0%
Property Type NYC TRS ‐ RE1 NFI ODCE2
Office 24.4% 33.9%
Industrial 15.8% 18.1%
Retail 13.9% 18.6%
Residential 34.0% 25.3%
Hotel 4.4% 0.3%
Healthcare 0.4% 0.0%
Other Property 7.1% 3.8%
Total 100.0% 100.0%
1 The Teachers Retirement System of the City of New York allocations are based on net real estate value of each investment reported by the managers.
2 The NFI‐ODCE Geography and Property Type diversification are for illustrative purposes only. It is not a Teachers Retirement System of the City of New York objective to track the NFI‐ODCE allocations
24.4%
15.8%
13.9%
34.0%
4.4%
7.1%
0.4%
Office
Industrial
Retail
Residential
Hotel
Other Property
Healthcare
35.1%
7.7%
17.8%
27.9%
3.5%6.2%
1.2% 0.6%
US East
US Midwest
US South
US West
US Not Allocated
Europe
Asia
Remaining
NYCTRS Quarterly Report Page 28
Page 135 of 204
Portfolio Performance
INVESTMENT
Vintage
Year
First Draw‐
down Committed Capital Contributions Distributions Market Value
Unfunded
Commitment Total Exposure TVM IRR
IRR
Quarile‐Private iQ4
Almanac Realty Securities VI 2012 06/2012 $100,000,000 $62,200,176 $59,066,639 $28,119,492 $0 $28,119,492 1.4x 12.9% N/A
Almanac Realty Securities VI (Sidecar III) 2012 08/2012 $35,000,000 $11,707,370 $6,971,053 $11,829,171 $0 $11,829,171 1.6x 18.8% N/A
Almanac Realty Securities VII 2015 04/2015 $65,000,000 $46,264,149 $11,850,062 $46,557,835 $24,000,021 $70,557,856 1.3x 14.1% N/A
Almanac Realty Securities VII (Sidecar III) 2015 12/2015 $20,000,000 $10,684,035 $1,214,221 $12,897,998 $9,357,894 $22,255,892 1.3x 17.8% N/A
Almanac Realty Securities VIII 2018 12/2018 $51,000,000 $128,301 $0 ‐$89,749 $50,871,699 $50,781,950 N/M N/M N/A
Almanac Realty Securities VIII (Sidecar II) 2018 12/2018 $34,000,000 $99,491 $0 $95,198 $33,900,509 $33,995,707 N/M N/M N/A
Artemis Co‐Investment1 2016 02/2016 $70,000,000 $68,271,808 $25,084,128 $57,091,462 $15,593,750 $72,685,212 1.2x 21.9% N/A
Artemis Income and Growth Fund 2018 NA $101,000,000 $0 $0 $0 $101,000,000 $101,000,000 N/A N/A N/A
Brookfield Premier Real Estate Partners 2016 11/2016 $119,000,000 $127,126,425 $8,126,425 $147,713,380 $0 $147,713,380 1.2x 12.0% N/A
Carlyle Property Investors 2017 07/2017 $119,000,000 $124,280,899 $5,280,900 $128,969,684 $0 $128,969,684 1.1x 6.8% N/A
Exeter Core Industrial Club Fund II 2016 05/2016 $37,000,000 $21,811,500 $2,708,837 $24,107,217 $15,188,500 $39,295,717 1.2x 14.3% N/A
Heitman America Real Estate Trust, L.P.2 2007 03/2007 $48,000,000 $76,202,709 $28,202,709 $105,730,532 $0 $105,730,532 1.8x 8.0% N/A
Heitman Core Real Estate Debt Income Trust 2018 11/2018 $59,000,000 $21,267,927 $0 $21,482,039 $37,732,073 $59,214,112 N/M N/M N/A
Jamestown Premier Property Fund 2016 02/2016 $64,961,594 $61,138,545 $26,310,575 $47,336,103 $12,961,594 $60,297,697 1.2x 9.8% N/A
JP Morgan Special Situation Property Fund 2007 01/2007 $15,000,000 $23,760,253 $12,398,526 $21,657,888 $0 $21,657,888 1.4x 4.8% N/A
JP Morgan Strategic Property Fund 2006 12/2006 $86,000,000 $120,620,329 $25,993,896 $195,703,675 $0 $195,703,675 1.8x 8.0% N/A
LaSalle Property Fund 2010 07/2010 $104,000,000 $49,798,310 $18,047,281 $72,088,090 $54,000,000 $126,088,090 1.8x 10.7% N/A
Lion Industrial Trust 2017 01/2017 $98,000,000 $89,378,806 $6,378,808 $107,465,115 $15,000,000 $122,465,115 1.3x 15.1% N/A
MetLife Core Property Fund 2014 07/2014 $80,000,000 $80,000,000 $14,310,739 $99,482,663 $0 $99,482,663 1.4x 9.7% N/A
NYC Asset Investor #2 2013 07/2013 $145,000,000 $141,006,673 $39,423,481 $189,322,309 $9,332,791 $198,655,100 1.6x 14.9% N/A
Prologis Targeted US Logistics Fund 2006 10/2006 $10,000,000 $13,698,009 $4,305,931 $18,296,012 $0 $18,296,012 1.7x 5.4% N/A
Prudential PRISA 2006 09/2006 $36,000,000 $38,793,503 $14,227,721 $50,849,203 $0 $50,849,203 1.7x 4.8% N/A
Prudential PRISA II 2007 06/2007 $63,374,139 $67,585,272 $20,570,792 $95,146,538 $0 $95,146,538 1.7x 5.8% N/A
RREEF America REIT II 2006 10/2006 $36,000,000 $47,527,452 $24,127,835 $51,855,117 $0 $51,855,117 1.6x 5.2% N/A
UBS Trumbull Property Fund 2006 09/2006 $106,000,000 $161,379,613 $105,983,523 $146,597,769 $0 $146,597,769 1.6x 7.0% N/A
USAA Eagle Real Estate Fund 2015 12/2015 $98,000,000 $91,275,045 $6,732,351 $102,631,945 $13,447,799 $116,079,744 1.2x 8.8% N/A
Core3 $1,815,335,733 $1,589,506,129 $482,560,797 $1,782,936,685 $392,386,631 $2,175,323,316 1.4x 7.6%1 Emerging managers
4 Quartiles based on Private iQ Real Estate Benchmarks ‐ Global All Real Estate for Non‐Core funds by region: U.S., Europe and Global are not applicable to Core funds
2 Debt investments
3 Total includes liquidated investments
NYCTRS Quarterly Report Page 29
Page 136 of 204
INVESTMENT
Vintage
Year
First Draw‐
down Committed Capital Contributions Distributions Market Value
Unfunded
Commitment Total Exposure TVM IRR
IRR
Quarile‐Private iQ4
Aermont Capital Real Estate Fund IV 2018 NA $84,726,300 $0 $0 $0 $84,726,300 $84,726,300 N/M N/M N/M
American Value Partners Fund I1 2007 10/2007 $25,000,000 $17,872,806 $18,806,245 $2,002,466 $7,127,194 $9,129,660 1.2x 3.2% Third
Apollo Real Estate Investment Fund V 2006 06/2006 $5,000,000 $5,000,000 $3,785,344 $1,624,715 $500,000 $2,124,715 1.1x 1.0% Second
Avanath Affordable Housing II1 2015 07/2015 $10,000,000 $10,108,439 $872,910 $14,237,886 $277,614 $14,515,500 1.5x 13.4% Second
Basis Investment Group Real Estate Fund1,2 2017 11/2017 $19,400,000 $7,223,295 $2,185,211 $5,740,819 $13,717,589 $19,458,408 1.1x 14.5% First
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 $14,463,130 1.7x 16.2% First
Blackstone Real Estate Partners IV L.P. 2004 05/2004 $25,000,000 $31,994,609 $41,692,052 $2,845,983 $0 $2,845,983 1.4x 10.0% Second
Blackstone Real Estate Partners VI L.P. 2007 07/2006 $50,000,000 $54,622,277 $106,539,002 $2,402,963 $3,912,723 $6,315,686 2.0x 13.4% First
Brookfield Strategic Real Estate Partners 2012 09/2012 $125,000,000 $130,063,581 $132,810,888 $77,964,954 $24,103,056 $102,068,010 1.6x 16.4% Second
Brookfield Strategic Real Estate Partners III, L.P. 2018 NA $193,000,000 $0 $0 $0 $193,000,000 $193,000,000 N/M N/M N/M
Canyon Johnson Urban Fund III 2010 03/2010 $25,000,000 $24,976,013 $33,642,984 $29,449 $344,184 $373,633 1.3x 11.9% Third
Canyon‐Johnson Urban II 2005 05/2005 $30,000,000 $26,966,111 $11,923,957 $102,328 $3,033,889 $3,136,217 0.4x ‐10.5% Fourth
Capri Urban Investors 2008 06/2008 $40,000,000 $40,000,000 $18,350,614 $11,319,060 $0 $11,319,060 0.7x ‐4.2% Fourth
Carlyle Realty Partners V, L.P. 2007 08/2007 $15,000,000 $18,977,503 $22,863,103 $3,738,634 $3,498,131 $7,236,765 1.4x 8.4% Second
Carlyle Realty Partners VI, L.P. 2011 09/2011 $70,000,000 $75,378,878 $105,802,596 $9,663,756 $46,050,411 $55,714,167 1.5x 21.3% First
Carlyle Realty Partners VII, L.P. 2014 07/2014 $120,000,000 $100,348,477 $61,680,779 $74,057,520 $64,342,240 $138,399,760 1.4x 15.2% Second
DivcoWest Fund IV 2014 01/2014 $25,000,000 $24,750,416 $35,901,622 $5,020,462 $2,247,328 $7,267,790 1.7x 26.3% First
DivcoWest Fund V 2016 12/2016 $78,000,000 $37,727,003 $55,991 $39,328,617 $40,272,997 $79,601,614 1.0x 4.1% Third
DRA Growth and Income Fund IX 2017 03/2017 $56,000,000 $30,816,366 $8,448,887 $28,019,070 $30,403,339 $58,422,409 1.2x 19.7% First
Exeter Industrial Value Fund IV, L.P. 2016 09/2017 $34,000,000 $18,700,000 $0 $20,175,113 $15,300,000 $35,475,113 1.1x 12.3% Second
H2 Special Opportunities Fund II2 2011 02/2011 $40,000,000 $40,045,335 $57,031,777 $4,392,532 $0 $4,392,532 1.5x 14.5% Second
H2 Special Opportunities III2 2014 12/2014 $65,000,000 $65,000,000 $40,143,455 $42,318,347 $0 $42,318,347 1.3x 11.4% Second
H2 Special Opportunities IV22016 11/2016 $119,000,000 $17,614,360 $968,067 $15,826,366 $102,300,851 $118,127,217 1.0x ‐3.3% Fourth
KKR Real Estate Partners Americas II2 2018 02/2018 $135,380,000 $34,329,885 $1,718,551 $34,527,890 $101,569,747 $136,097,637 N/M N/M N/M
Lone Star Real Estate Fund III, L.P.2 2013 02/2014 $190,000,000 $181,714,995 $219,505,226 $24,788,404 $11,891,059 $36,679,463 1.3x 15.0% Second
Metropolitan Workforce Housing Fund1 2007 07/2007 $10,500,000 $10,509,770 $12,352,222 $396,950 $0 $396,950 1.2x 3.9% Third
NYC Asset Investor #1 2013 06/2013 $60,000,000 $67,104,915 $27,516,679 $56,636,441 $12,514,030 $69,150,471 1.3x 6.8% Fourth
NYC Asset Investor #3 2013 09/2013 $96,000,000 $60,399,037 $10,583,936 $65,815,537 $35,600,962 $101,416,499 1.3x 9.2% Fourth
NYCRS‐KKR CMBS Retention Partners2 2017 09/2017 $159,000,000 $94,811,529 $5,458,840 $117,085,602 $64,514,602 $181,600,204 1.3x 30.8% First
Pramerica Real Estate Capital VI 2016 04/2017 $68,105,305 $33,991,777 $15,139,898 $23,854,097 $44,965,632 $68,819,729 1.1x 16.8% First
PW Real Estate Fund III 2016 10/2016 $66,223,453 $37,994,577 $4,873,219 $46,796,229 $28,228,836 $75,025,065 1.4x 26.6% First
1 Emerging managers 4 Quartiles based on Private iQ Real Estate Benchmarks ‐ Global All Real Estate for Non‐Core funds by region: U.S., Europe and Global
2 Debt investments
3 Total includes liquidated investments
NYCTRS Quarterly Report Page 30
Page 137 of 204
INVESTMENT
Vintage
Year
First Draw‐
down Committed Capital Contributions Distributions Market Value
Unfunded
Commitment Total Exposure TVM IRR
IRR
Quarile‐Private iQ4
Silverpeak Legacy Partners III 2008 06/2008 $30,000,000 $12,281,062 $3,839,750 $1,796,416 $0 $1,796,416 0.5x ‐12.2% Fourth
Stockbridge Real Estate III 2008 09/2008 $22,500,000 $22,498,458 $14,024,794 $12,233,086 $1,542 $12,234,628 1.2x 2.3% Fourth
Taconic New York City Investment Fund 2012 07/2012 $70,000,000 $29,272,728 $46,945,824 $4,664,523 $40,727,272 $45,391,795 1.8x 16.0% Second
The City Investment Fund I 2004 03/2004 $120,000,000 $118,337,757 $119,671,892 $211,008 $0 $211,008 1.0x 0.3% Third
Thor Urban Property Fund II 2007 10/2008 $12,500,000 $17,123,783 $17,119,140 $5,303,932 $928,471 $6,232,403 1.3x 7.8% Second
Tristan European Property Investors Special Opp IV 2015 12/2015 $65,890,863 $45,982,444 $2,851,980 $49,431,361 $22,766,947 $72,198,308 1.1x 10.6% Third
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 $14,230,101 1.3x 11.6% Second
Westbrook Real Estate Fund X Co‐Investment 2016 07/2016 $47,000,000 $23,922,497 $5,377,886 $21,475,937 $28,506,374 $49,982,311 1.1x 11.6% Second
Non‐Core3 $2,597,225,921 $1,950,801,144 $1,799,544,557 $903,855,531 $1,044,826,622
TOTAL3 $4,412,561,654 $3,540,307,272 $2,282,105,354 $2,686,792,216 $1,437,213,253
$1,948,005,153 1.4x 13.4%
$4,4124400564691.4x 9.9%1 Emerging managers
4 Quartiles based on Private iQ Real Estate Benchmarks ‐ Global All Real Estate for Non‐Core funds by region: U.S., Europe and Global
2 Debt investments
3 Total includes liquidated investments
NYCTRS Quarterly Report Page 31
Page 138 of 204
Infrastructure Quarterly Report (Public):
Infrastructure Monitoring Report
For the period ended December 31, 2018
Report Prepared For:
Teachers’ Retirement System of the City of New York
Page 140 of 204
Teachers’ Retirement System of the City of New York Infrastructure Monitoring Report
Table of Contents
I. Executive Summary .................................................................................................................................................. 1
Allocation Summary .............................................................................................................................................. 1 Performance Summary ......................................................................................................................................... 2 Portfolio Performance vs. Benchmarks ................................................................................................................. 3 Portfolio Diversification ........................................................................................................................................ 3
II. Infrastructure Market Overview .............................................................................................................................. 4
Market Update ...................................................................................................................................................... 4
III. Portfolio Review ....................................................................................................................................................... 6
Quarterly Highlights .............................................................................................................................................. 6 Performance by Vintage Year .......................................................................................................................... 7 Performance by Strategy and Industry Focus.................................................................................................. 7 Performance by Geographic Focus .................................................................................................................. 7
Portfolio Diversification ........................................................................................................................................ 8 By Strategy, Geography and Industry Focus .................................................................................................... 8 By Investment Manager .................................................................................................................................. 8
Portfolio Cash Flow Analysis ................................................................................................................................. 9 Quarterly Cash Flow Activity ........................................................................................................................... 9 Annual Cash Flow Activity ............................................................................................................................... 9 Net Funded and Unfunded Commitments by Vintage Year .......................................................................... 10
Portfolio Company-Level Analysis ....................................................................................................................... 11 Geographic Exposure and Performance ........................................................................................................ 11 Industry Exposure and Performance ............................................................................................................. 11 Public Market Exposure ................................................................................................................................. 12
IV. Risk Management Matrix ....................................................................................................................................... 13
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Teachers’ Retirement System of the City of New York Infrastructure Monitoring Report
Important Information This document is meant only to provide a broad overview for discussion purposes. All information provided here is subject to change. This document is for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation for any security, or as an offer to provide advisory or other services by StepStone Group LP, StepStone Group Real Assets LP, StepStone Group Real Estate LP, Swiss Capital Invest Holding (Dublin) Ltd, Swiss Capital Alternative Investments AG or their subsidiaries or affiliates (collectively, “StepStone”) in any jurisdiction in which such offer, solicitation, purchase or sale would be unlawful under the securities laws of such jurisdiction. The information contained in this document should not be construed as financial or investment advice on any subject matter. StepStone expressly disclaims all liability in respect to actions taken based on any or all of the information in this document. This document is confidential and solely for the use of StepStone and the existing and potential clients of StepStone to whom it has been delivered, where permitted. By accepting delivery of this presentation, each recipient undertakes not to reproduce or distribute this presentation in whole or in part, nor to disclose any of its contents (except to its professional advisors), without the prior written consent of StepStone. While some information used in the presentation has been obtained from various published and unpublished sources considered to be reliable, StepStone does not guarantee its accuracy or completeness and accepts no liability for any direct or consequential losses arising from its use. Thus, all such information is subject to independent verification by prospective investors.
The presentation is being made based on the understanding that each recipient has sufficient knowledge and experience to evaluate the merits and risks of investing in private market products. All expressions of opinion are intended solely as general market commentary and do not constitute investment advice or a guarantee of returns. All expressions of opinion are as of the date of this document, are subject to change without notice and may differ from views held by other businesses of StepStone. None of StepStone Group LP or any of its affiliates (collectively, “StepStone”) is undertaking to provide impartial investment advice, or to give advice in a fiduciary capacity, in connection with any investor’s continued engagement of StepStone.
All valuations are based on current values calculated in accordance with StepStone’s Valuation Policies and may include both realized and unrealized investments. Due to the inherent uncertainty of valuation, the stated value may differ significantly from the value that would have been used had a ready market existed for all of the portfolio investments, and the difference could be material. The long-term value of these investments may be lesser or greater than the valuations provided.
StepStone Group LP, its affiliates and employees are not in the business of providing tax, legal or accounting advice. Any tax-related statements contained in these materials are provided for illustration purposes only and cannot be relied upon for the purpose of avoiding tax penalties. Any taxpayer should seek advice based on the taxpayer’s particular circumstances from an independent tax advisor. Prospective investors should inform themselves and take appropriate advice as to any applicable legal requirements and any applicable taxation and exchange control regulations in the countries of their citizenship, residence or domicile which might be relevant to the subscription, purchase, holding, exchange, redemption or disposal of any investments. Each prospective investor is urged to discuss any prospective investment with its legal, tax and regulatory advisors in order to make an independent determination of the suitability and consequences of such an investment.
An investment involves a number of risks and there are conflicts of interest. Each of StepStone Group LP, StepStone Group Real Assets LP and StepStone Group Real Estate LP is an investment adviser registered with the Securities and Exchange Commission (“SEC”). StepStone Group Europe LLP is authorized and regulated by the Financial Conduct Authority, firm reference number 551580. Swiss Capital Invest Holding (Dublin) Ltd (“SCHIDL”) is an SEC Registered Investment Advisor and Swiss Capital Alternative Investments AG (“SCAI”) (together with SCHIDL, “Swiss Cap”) is registered as a Relying Advisor with the SEC. Such registrations do not imply a certain level of skill or training and no inference to the contrary should be made.
All data is as of December 31, 2018 unless otherwise noted. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. ACTUAL PERFORMANCE MAY VARY.
Page 142 of 204
1 of 13
Teachers’ Retirement System of the City of New York Infrastructure Monitoring Report
I. Executive Summary The Teachers’ Retirement System of the City of New York (“NYC TRS”) established the Infrastructure Program (the “Program”) in December of 2012 on behalf of its beneficiaries to participate in attractive long-term investment opportunities and to provide diversification to its overall pension investment portfolio. The inclusion of infrastructure in the NYC TRS pension portfolio allows for global investments in facilities or assets that provide core essential services critical to the operation and development of economies. Typically infrastructure investments have high barriers to entry due to significant capital expenditure requirements, exclusive long term contracts or regulatory requirements. Infrastructure investments are comprised of long useful-life assets with high tangible value and relatively low value erosion over time. The Program seeks to invest in opportunities in a variety of infrastructure sectors, including but not limited to, transportation, energy, power, utilities, water, wastewater, communications and social infrastructure. StepStone Group LP (“StepStone”) was engaged by NYC TRS on October 20, 2014 to provide infrastructure advisory services for prospective investment opportunities and monitoring and reporting services for existing and new investments. Since inception through December 31, 2018, the Program has committed US$1.3 billion to 16 partnership investments (the “Portfolio”). This quarterly monitoring report covers the performance of the Portfolio as of December 31, 2018 as well as significant activity that occurred during the fourth quarter of 2018. Allocation Summary NYC TRS has an Infrastructure allocation target of 2% of total pension assets. As of December 31, 2018, the market value of NYC TRS Infrastructure Program represented approximately 1.1% of total pension assets, a 14 basis point increase from the prior quarter. As the Program matures, the percentage of its market value relative to the total NYC TRS pension assets will continue to increase.
*NYC TRS total Pension Assets are as of quarter-end (or, if not yet available, the most recent month-end prior to quarter-end) as reported by The New York City Comptroller's Office on www.comptroller.nyc.gov.
US$ in millions*December 31, 2018 September 30, 2018 December 31, 2017
Quarterly Change
YearlyChange
Total Pension Assets* $69,147.0 $74,030.0 $71,698.0 ($4,883.0) ($2,551.0)
Total Infrastructure Assets $773.1 $721.7 $532.7 $51.3 $240.4
% Allocation to Infrastructure (Target of 2%) 1.1% 1.0% 0.7% +14 bps +38 bps
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Teachers’ Retirement System of the City of New York Infrastructure Monitoring Report
Performance Summary As of December 31, 2018, the Infrastructure Program has achieved a Total Value to Paid-In multiple of 1.3x invested capital and an IRR of 13.0%. Note that, given the relative immaturity of the Portfolio and underlying fund investments, the current performance to-date is not meaningful.
* Note that amounts may not total due to rounding. Past performance is not necessarily indicative of future results and there can be no assurance that the investment will
achieve comparable results or avoid substantial losses. 1 Committed Capital is presented net of any commitment releases or expirations and reflects foreign currency exchange rate fluctuations. Note that the Base/(US$) committed
capital for foreign currency-denominated investments as of respective quarter-end dates is calculated as follows: (total net amount funded in Base currency) + (unfunded commitment in Local currency * quarter-end exchange rate). StepStone utilizes S&P Capital IQ as the source for quarter-end exchange rates to calculate committed capital.
2 Exposure represents the sum of Market Value and Unfunded Commitment. 3 DPI, or Distributed to Paid-In Multiple, is a performance metric that measures distributions received relative to capital invested. DPI is calculated as Distributed Capital divided
by Contributed Capital. 4 TVPI, or Total Value to Paid-In Multiple, is a performance metric that measures total value created by the Portfolio relative to capital invested, without consideration for time.
TVPI is calculated as Total Value, which is comprised of Market Value plus Distributed Capital, divided by Contributed Capital. 5 IRR, or Internal Rate of Return, is a performance metric that is calculated based on the Portfolio’s daily cash flows and market value as of quarter-end. IRR is net of fund managers’
fees, expenses and carried interest. 6 TVPI and IRR Net of StepStone fees represent TVPI and IRR net of fees paid by NYC TRS to StepStone through the quarter-end date.
US$ in millions*December 31, 2018 September 30, 2018 December 31, 2017
Quarterly Change
YearlyChange
Number of Managers 10 10 10 0 0
Number of Investments 16 14 12 2 4
Committed Capital1 $1,321.6 $1,228.0 $1,064.0 $93.6 $257.6
Contributed Capital $759.4 $672.1 $499.9 $87.2 $259.5
Distributed Capital $177.1 $134.9 $85.1 $42.2 $92.0
Market Value $773.1 $721.7 $532.7 $51.3 $240.4
Total Value $950.1 $856.6 $617.7 $93.5 $332.4
Total Gain/(Loss) $190.8 $184.5 $117.9 $6.3 $72.9
Unfunded Commitment $650.0 $636.0 $599.0 $14.0 $51.0
Exposure2 $1,423.1 $1,357.8 $1,131.7 $65.3 $291.4
DPI3 0.2x 0.2x 0.2x 0.0x 0.1x
TVPI4 1.3x 1.3x 1.2x 0.0x 0.0x
IRR5 13.0% 14.1% 13.5% -1.1% -0.5%
TVPI Net of StepStone Fees6 1.3x 1.3x 1.2x 0.0x 0.0x
IRR Net of StepStone Fees6 12.9% 14.0% 13.4% -1.1% -0.5%
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Teachers’ Retirement System of the City of New York Infrastructure Monitoring Report
Portfolio Performance vs. Benchmarks The performance benchmark for the Infrastructure Portfolio is to meet or exceed the Consumer Price Index (“CPI”) plus 4% net of fees over a rolling 5-year period. The Infrastructure Portfolio’s performance is also measured against a dollar-weighted public benchmark, which produced the return that would have been earned if NYC TRS’s infrastructure cash flows were invested in an index of 50% Russell 3000® and 50% Barclays U.S. Aggregate®. The Infrastructure Portfolio is expected to generate a total return, net of investment management fees, of at least 6.5%. The following graph illustrates Portfolio IRR performance versus benchmarks as of December 31, 2018.
Portfolio Diversification The Program’s objective is to build a Portfolio that is diversified by investment strategy, asset type, and geography. The target investment strategy ranges are as follows:
• Core Infrastructure Investments: 60% to 100%; and
• Non-Core Infrastructure Investments: 0% to 40%.
Actual percentages may differ substantially from these targets during the initial years of the Program. The following table illustrates the current diversification of the Portfolio by fund strategy, geography and industry focus.
13.0%
5.5%
3.4%
0%
2%
4%
6%
8%
10%
12%
14%
NYC TRSIRR ¹
Consumer Price Index (“CPI”) + 4% ²
Russell 3000 (50%)/Barclays US Agg (50%) ³
%
Market Value Unfunded Commitment Exposure
As of December 31, 2018. (US$ In millions) $ % of Total $ % of Total $ % of TotalBy Strategy:
Core 690.5 89.3% 583.4 89.8% 1,273.9 89.5%
Non-Core 82.6 10.7% 66.6 10.2% 149.2 10.5%Total 773.1 100.0% 650.0 100.0% 1,423.1 100.0%
By Geographic Focus:
Global 261.7 33.9% 176.5 27.2% 438.2 30.8%
North America 15.8 2.0% 74.2 11.4% 90.0 6.3%OECD 495.6 64.1% 399.3 61.4% 894.9 62.9%Total 773.1 100.0% 650.0 100.0% 1,423.1 100.0%
By Industry Focus:
Diversified 665.7 86.1% 438.5 67.5% 1,104.2 77.6%Energy 107.4 13.9% 211.5 32.5% 318.9 22.4%Total 773.1 100.0% 650.0 100.0% 1,423.1 100.0%
1NYC TRS since inception Internal Rate of Return (“IRR”) is calculated based on the Portfolio’s daily cash flows and market value as of quarter-end. IRR is net of fund managers’ fees, expenses and carried interest. Past performance is not necessarily indicative of future results. 2Consumer Price Index ("CPI") benchmark represents the compound annual growth rate of the Consumer Price Index for All Urban Consumers and All Items, as provided by the U.S. Department of Labor: Bureau of Labor Statistics, calculated over a five-year rolling period plus a 4.0% premium. 3 Benchmark is a dollar-weighted PME+ calculation of daily changes in 50% of the Russell 3000® Index and 50% of the Barclays U.S. Aggregate® Index. These index comparisons are being provided solely for informational purposes as an indication of returns that could be earned by investors by making similar investments in the indexes and should not be relied upon for any purpose. 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.
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II. Infrastructure Market Overview Market Update1 Towards the end of 2018, the US policy outlook grew increasingly uncertain, and commodity prices came under pressure. US crude oil prices dropped below US$50 per barrel in Q4 2018 for the first time in more than a year after Saudi Arabia and Iran increased production and exports. Despite this, central banks in Canada and the US are expected to continue rate hikes in 2019. The US economy posted solid growth in Q4 2018, while Canada’s economy slowed as oil prices slumped. There was strong activity with midstream in North America, with total completed transactions in the sector of c.US$2.0 billion over the quarter. Notable midstream transactions that reached financial close during the quarter include a US$950 million Caprock midstream acquisition by Blackstone and its portfolio company, EagleClaw Midstream. Q4 2018 marked another quarter of strong deal flow for the renewables sector. A joint venture comprising Axium and Manulife acquired a further 55% interest in AltaGas’s British Columbia hydroelectric generation portfolio for C$1.4 billion, bringing the joint venture’s total interest in the portfolio to 90%. Additionally, GE Energy Financial Services announced the sale of a US$1.0 billion portfolio of 20 renewable energy, contracted natural gas-fired generation and midstream assets to Apollo Global Management. Consolidated Edison’s US$1.6 billion acquisition of a 981MW renewable energy portfolio from Sempra Energy also reached financial close. Activity was similarly robust in the utilities sector. Aqua America agreed to acquire SteelRiver’s natural gas distribution company, Peoples Gas, for an enterprise value of US$4.3 billion. Oncor acquired InfraREIT, a Texas electric transmission company, for an enterprise value of US$2.2 billion. The acquisition implies a transaction multiple of 12.6x EBITDA. Lastly, SteelRiver announced the sale of the Trans Bay Cable, a 53-mile electricity transmission line, to NextEra Energy for US$1.0 billion.
In Europe, M&A activity in the transport sector continued to be robust during the fourth quarter of 2018. In the airports sub-sector, Vinci acquired a 50.01% stake in Gatwick Airport for £2.9 billion in equity, with the transaction valuing the asset at approximately 20x EBITDA. Following the transaction, Vinci will manage 50.01% of the asset and GIP, which previously managed the whole asset, will manage 49.99%. In the rolling stock sub-sector, Morgan Stanley closed its public tender offer for all outstanding shares in VTG AG, a listed German railcar lessor, originally launched in July 2018. Morgan Stanley acquired a further 42% stake in the company, increasing its holding to 71%, with the transaction implying an acquisition multiple of approximately 13x EBITDA. In the carparking sub-sector, Indigo, which is backed by Ardian, agreed to sell its UK, Germany, Czech Republic and Slovakia subsidiaries to its Spanish peer, Saba Infraestructuras, for an undisclosed fee. In the telecommunications sector, Italy’s Benetton sold a 20% stake in Cellnex, a Spanish telecom towers group, to ADIA, and a 6% stake to GIC. The deal valued Cellnex at approximately 18x EBITDA. Also, Digital Colony acquired Open Cell, an indoor mobile signal systems provider, for an undisclosed amount. In the utilities sector, AIMCo agreed to acquire a majority stake in Eolia Renovables, a Spanish wind and solar developer, from Oaktree for an undisclosed amount. Separately, Orsted reached financial close on the £4.5 billion sale of its 50% stake in the under-construction 1.2GW Hornsea 1 Project to GIP. The project is the largest offshore wind project in the world. In the storage sector, IFM and Vitol announced the acquisition of a 50% stake in VTTI, an owner and operator of oil and refined products terminals in the Netherlands, from Buckeye Partners for US$975 million in equity.
In Latin America, activity was robust and concentrated in the power, renewables, and transport sectors in Brazil. The largest brownfield transactions closing over the quarter included the acquisition of Ascenty Data Centers in Brazil by a joint venture between Digital Realty and Brookfield Infrastructure for US$2.3 billion. China’s State Grid also acquired an additional 48% stake in a Brazilian renewable energy developer, CPFL Energias Renováveis, for US$1.0 billion, bringing its total ownership to 95%. Greenfield activity dominated larger transactions occurring over the quarter. Brazil had various transmission line projects granted, including the Bel Monte Transmission Line II requiring capital of US$2.2 billion and won by State Grid, the Paraiso Transmission Line requiring US$287 million, and Santa Cantarina Transmission Line requiring US$353 million. A Chilean transmission project requiring capital of US$435 million was also granted to Transelec. The transport sector was also active. A concession for Ruta del Cacao, a highway project in Colombia requiring capital of US$625 million, was granted to a 1 Data used in this section is Q4 2018 data from InfraNews and Preqin.
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consortium that included the Ashmore Group and Ferrovial. A concession for a new terminal project at the International Airport in Florianópolis (US$385 million) was awarded to Zurich Airport, and a concession for the expansion of runways and terminals at the International Airport in Porto Alegre (US$601 million) was awarded to Fraport. Both airports are in Brazil.
Several notable transactions occurred in Australia, particularly in the renewables sector. In the wind sub-sector, the largest project to reach financial close was Tilt Renewables’ 336MW Dundonnell Wind Farm. The A$560 million project is located 23km north-east of Mortlake in the Western District of Victoria. It will be powered by 80 wind turbines and construction is anticipated to commence in January 2019. In the solar sub-sector, the largest project to reach financial close was Maoneng’s 255MW Sunraysia Solar Farm. The project achieved financial close with the sale of a 90.1% stake to John Laing. The project will be one of the largest utility scale solar farms in Australia. In social infrastructure, a consortium comprising the Link Group, the Commonwealth Bank of Australia and Morgan Stanley Infrastructure acquired Property Exchange Australia (“PEXA”), an electronic property settlement company, from existing shareholders. The consortium acquired PEXA for an enterprise value of A$1.6 billion. Additionally, AMP Capital’s Community Infrastructure Fund (“CommIF”) reached financial close on its acquisition of a further 6.8% stake in the Victorian Desalination Plant. CommIF acquired the additional stake for A$100 million from InfraRed Capital. This increased its total stake to 16.5%, giving it the largest ownership interest in the asset.
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III. Portfolio Review Quarterly Highlights
• New Investment Commitments – During the fourth quarter of 2018, the Program closed on two new investments totaling US$96.0 million. This is shown in the table below.
• Subsequent Investment Commitments – Subsequent to quarter-end, the Program closed on two new investment commitments totaling US$186.9 million. This is shown in the table below.
• Cash Outflow Decreased – During the fourth quarter of 2018, the Program made US$87.2 million of contributions and received US$42.2 million of distributions, for a net cash outflow of US$45.0 million. This compared to a net cash outflow of US$62.6 million during the prior quarter.
• Valuation Increased – During the fourth quarter of 2018, net of cash flow activity, the valuation of the Portfolio increased by approximately US$6.3 million, or 0.8%, from the prior quarter. The valuation increase primarily reflects the increase in value of underlying investments in Actis Energy 4.
• New Underlying Fund Investments – During the fourth quarter of 2018, 13 new investment positions were added to the Portfolio.
• No Company Exits – There were no exits of investment positions during the quarter.
US$ in millions
InvestmentMonth and Year
ClosedVintage
YearStrategy Geographic Focus Industry Focus Committed Capital
Cardinal NR Sidecar Holdings L.P. October 2018 2018 Infrastructure North America Diversified $9.0
EQT Infrastructure IV (No.2) USD SCSp December 2018 2019 Infrastructure OECD Diversified 87.0
Total $96.0
InvestmentMonth and Year
ClosedVintage
YearStrategy Geographic Focus Industry Focus Committed Capital
Ardian Infrastructure Fund V B S.C.S., SICAV-RAIF March 2019 2019 Infrastructure OCED Diversified $73.7
Global Infrastructure Partners IV, L.P. March 2019 2019 Infrastructure OCED Diversified 113.2
Total $186.9
US$ in millions
Company Fund(s)Investment
DateStage Industry Country
Exposed Invested Capital
Exposed Market Value
TVM
N.A. Residential Energy Infrastructure Business Brookfield Infrastructure Fund III, L.P. Oct-18 Private Utilities Canada 11.1 11.3 1.0x
Western Renewables Partners LLC Global Energy & Power Infrastructure Fund II Nov-18 Private Renewables United States 9.5 9.5 1.0x
Western Canadian Midstream Business Brookfield Infrastructure Fund III, L.P. Oct-18 Private Midstream United States 8.3 8.5 1.0x
SFR Fibre S.A.S. KKR Global Infrastructure Investors II L.P. Nov-18 Private Telecom France 6.8 6.8 1.0x
Hornsea 1 Global Infrastructure Partners III, L.P. Nov-18 Private Renewables United Kingdom 5.7 5.7 1.0x
N.A. Residential Energy Infrastructure Business Cardinal NR Sidecar Holdings L.P. Oct-18 Private Utilities Canada 5.4 5.3 1.0x
Saur SAS EQT Infrastructure III (No.2) SCSp Nov-18 Private Utilities France 5.0 5.0 1.0x
U.S. Data Center Business Brookfield Infrastructure Fund III, L.P. Dec-18 Private Telecom United States 4.9 4.9 1.0x
SFR Filiale SAS KKR Global Infrastructure Investors III L.P. Nov-18 Private Telecom United States 3.8 3.8 1.0x
Axium Quatro AcquisitionCo AxInfra US II LP Dec-18 Private Conventional Power United States 3.5 3.5 1.0x
Limetree Bay Ventures LLC Global Energy & Power Infrastructure Fund II Nov-18 Private Midstream United States 3.0 3.0 1.0x
ASF Lecco ASF VII Infrastructure L.P. Dec-18 Private Other Italy 1.0 1.2 1.2x
Opdenergy, S.A.U. NYCRS EIG Energy Partners, L.P. Dec-18 Private Utilities Spain 0.1 0.1 1.0x
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Performance by Vintage Year The following table illustrates the Portfolio’s since-inception investment performance by vintage year as of December 31, 2018. Note that the performance of funds that are less than two years old is not meaningful.
Performance by Strategy and Industry Focus The following table illustrates the Portfolio’s since-inception investment performance by strategy and industry focus as of December 31, 2018.
Performance by Geographic Focus The following table and charts illustrate the Portfolio’s since-inception investment performance by geographic focus as of December 31, 2018.
*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.
As of December 31, 2018 (US$ in millions)
Vintage Year
CommittedCapital
Contributed Capital
Distributed Capital
Market Value
TotalValue
Total Gain/(Loss)
UnfundedCommitment
Exposure DPI TVPI IRR
2013 $140.0 $111.1 $28.5 $134.2 $162.8 $51.6 $35.2 $169.5 0.3x 1.5x 12.7%
2014 330.0 359.3 131.9 346.9 478.7 119.4 34.5 381.3 0.4x 1.3x 14.4%
2016 330.6 180.7 11.3 180.2 191.5 10.8 162.6 342.8 0.1x 1.1x 5.7%
2017 258.8 94.0 5.4 98.4 103.7 9.8 169.7 268.1 NM NM NM
2018 175.2 14.2 - 13.4 13.4 - 161.0 174.4 NM NM NM
2019 87.0 - - - - - 87.0 87.0 NM NM NM
Total $1,321.6 $759.4 $177.1 $773.1 $950.1 $190.8 $650.0 $1,423.1 0.2x 1.2x 13.0%
As of December 31, 2018 (US$ in millions)
Strategy/Industry Committed
Capital Contributed
Capital Distributed
Capital Market
Value TotalValue
Total Gain/(Loss)
UnfundedCommitment
Exposure DPI TVPI IRR
Core $1,185.3 $681.8 $168.8 $690.5 $859.3 $177.5 $583.4 $1,273.9 0.2x 1.3x 12.6%
Diversified 939.4 598.9 125.2 621.0 746.2 147.3 412.2 1,033.2 0.2x 1.2x 11.2%
Energy 245.9 83.0 43.7 69.5 113.1 30.2 171.2 240.7 0.5x 1.4x 35.9%
Non-Core 136.3 77.5 8.2 82.6 90.8 13.3 66.6 149.2 0.1x 1.1x 23.3%
Diversified 63.7 39.6 2.6 44.7 47.3 7.7 26.3 71.0 0.1x 1.1x 28.6%
Energy 72.6 37.9 5.6 37.9 43.5 5.6 40.3 78.2 0.1x 1.1x 18.6%
Total $1,321.6 $759.4 $177.1 $773.1 $950.1 $190.8 $650.0 $1,423.1 0.2x 1.2x 13.0%
As of December 31, 2018 (US$ in millions)
Geographic Focus Committed
Capital Contributed
Capital Distributed
Capital Market
Value TotalValue
Total Gain/(Loss)
UnfundedCommitment
Exposure DPI TVPI IRR
Global $395.3 $233.0 $40.2 $261.7 $301.9 $68.9 $176.5 $438.2 0.2x 1.3x 13.3%
North America 89.9 15.9 0.2 15.8 16.0 0.1 74.2 90.0 0.0x 1.0x 1.4%
OECD 836.4 510.5 136.6 495.6 632.2 121.7 399.3 894.9 0.3x 1.2x 12.9%
Total $1,321.6 $759.4 $177.1 $773.1 $950.1 $190.8 $650.0 $1,423.1 0.2x 1.2x 13.0%
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Portfolio Diversification By Strategy, Geography and Industry Focus
The Program’s objective is to build a Portfolio that is diversified by investment strategy, asset type, and geography. The target investment strategy ranges are as follows:
• Core Infrastructure Investments: 60% to 100%; and
• Non-Core Infrastructure Investments: 0% to 40%.
Actual percentages may differ substantially from these targets during the initial years of the Program. The following table illustrates the current diversification of the Portfolio by fund strategy, geography and industry focus.
By Investment Manager
As of December 31, 2018, the Program had made 16 investment commitments to ten managers. NYC TRS seeks to limit its exposure to any single manager to no more than 10% of the total Real Assets Program when fully invested. As the Program matures and closes on additional commitments, the single manager exposure is expected to decline significantly. Below is the Portfolio’s current exposure by manager.
Market Value Unfunded Commitment Exposure
As of December 31, 2018. (US$ In millions) $ % of Total $ % of Total $ % of TotalBy Strategy:
Core 690.5 89.3% 583.4 89.8% 1,273.9 89.5%
Non-Core 82.6 10.7% 66.6 10.2% 149.2 10.5%Total 773.1 100.0% 650.0 100.0% 1,423.1 100.0%
By Geographic Focus:
Global 261.7 33.9% 176.5 27.2% 438.2 30.8%
North America 15.8 2.0% 74.2 11.4% 90.0 6.3%OECD 495.6 64.1% 399.3 61.4% 894.9 62.9%Total 773.1 100.0% 650.0 100.0% 1,423.1 100.0%
By Industry Focus:
Diversified 665.7 86.1% 438.5 67.5% 1,104.2 77.6%Energy 107.4 13.9% 211.5 32.5% 318.9 22.4%Total 773.1 100.0% 650.0 100.0% 1,423.1 100.0%
20.9%
13.3%
12.7%
11.2%
11.1%
10.2%
5.7%
5.5%
4.7%4.6%
Brookfield
Kohlberg Kravis Roberts & Co
IFM Investors
BlackRock
EQT Partners
Global Infrastructure Partners
EIG Management Company
Actis Capital, LLP
Ardian
Axium Infrastructure
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Portfolio Cash Flow Analysis Quarterly Cash Flow Activity During the fourth quarter of 2018, the Program made US$87.2 million of contributions and received US$42.2 million of distributions, for a net cash outflow of US$45.0 million. As of December 31, 2018, 13 fund investments in the Portfolio had cash flow activity. As the Program’s commitment and investment activity increases, net cash outflow is expected to increase. The graph below illustrates cash flow activity since inception by calendar quarter.
Annual Cash Flow Activity During 2018, the Program made US$259.5 million of contributions and received US$92.0 million of distributions, for a net cash outflow of US$167.5 million. The graph below illustrates cash flow activity since inception by calendar year.
($14.3)($5.0)
($21.6)
($106.7)
($41.9) ($47.1)
($83.3) ($87.2)
$3.5
$40.3
$11.5 $10.1 $24.4
$4.7 $20.7
$42.2
($120.0)
($100.0)
($80.0)
($60.0)
($40.0)
($20.0)
$0.0
$20.0
$40.0
$60.0
Q1 2017 Q2 2017 Q3 2017 Q4 2017 Q1 2018 Q2 2018 Q3 2018 Q4 2018
US$
in m
illio
ns
Calendar Quarter
Contributed Distributed Net Cash Flow
($10.3)($32.0)
($196.4)
($113.6)($147.6)
($259.5)
$0.0 $3.3 $5.9 $10.4
$65.4 $92.0
($300.0) ($250.0) ($200.0) ($150.0) ($100.0)
($50.0) $0.0
$50.0 $100.0 $150.0
2013 2014 2015 2016 2017 2018
US$
in m
illio
ns
Calendar Year
Contributed Distributed Net Cash Flow
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Net Funded and Unfunded Commitments by Vintage Year The following chart illustrates the Portfolio’s net funded commitments (defined as total contributions inside commitment less any returns of excess capital and recallable distributions) as a percentage of total capital commitments, by fund vintage year, as of December 31, 2018. Overall, the Portfolio was 49.2% unfunded as of quarter-end.
Net Funded and Unfunded Commitment by Vintage Year (%)
The following chart illustrates the Portfolio’s net funded commitments relative to total capital commitments, by fund vintage year, as of December 31, 2018. Overall, the Portfolio had US$650.0 million of unfunded commitments as of quarter-end.
Net Funded and Unfunded Commitment by Vintage Year (US$ millions)
25.2%10.4%
49.2%
65.6%
91.9%100.0%
49.2%
74.8%89.6%
50.8%
34.4%
8.1%
50.8%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
2013 2014 2016 2017 2018 2019 Total
%
Vintage Year Unfunded Commitments Net Funded Commitment
$162.6 $169.7 $161.0 $87.0
$650.0
$104.8 $295.5
$168.0 $89.1
$671.6
$140.0
$330.0 $330.6 $258.8
$175.2 $87.0
$1,321.6
$0
$200
$400
$600
$800
$1,000
$1,200
$1,400
2013 2014 2016 2017 2018 2019 Total
US$
in m
illio
ns
Vintage Year Unfunded Commitments Net Funded Commitment
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Portfolio Company-Level Analysis As of quarter-end, the Portfolio had exposure to 115 unique unrealized portfolio companies/investment positions. As the Portfolio matures, the number of unique portfolio companies/investment positions is expected to increase significantly. On the individual fund level, all current investments are within the single investment limitation of 15% of total fund size. The Program’s individual portfolio investment exposure is relatively concentrated as a result of the relative immaturity of the Program. Geographic Exposure and Performance The following charts illustrate the Portfolio’s current exposure and performance by geographic region at the portfolio company level.
Industry Exposure and Performance The following charts illustrate the Portfolio’s current exposure and performance by industry at the portfolio company level.
*Multiples may not add to total multiple due to rounding.
1.3x 1.2x1.0x
1.1x
1.5x
1.0x1.2x
0.2x0.1x
0.3x 0.1x0.1x
0.2x
1.4x1.3x
1.3x1.2x
1.5x
1.1x
1.3x
-
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
Europe (29) North America(64)
Latin America (13) Asia/Australia (7) Africa (2) Middle East (1) Total Portfolio(116)
Mul
tiple
of I
nves
ted
Capi
tal
Company Performance by Geography
RVPI DPI
0.2x
45.7%
31.9%
14.6%
5.8%1.2% 0.8%
Geography Exposure by Current Market Value
North America Europe
Latin America Asia/Australia
Middle East Africa
1.2x 1.2x 1.1x1.0x
1.3x1.1x 1.2x 1.2x
0.2x 0.2x 0.2x
0.2x
0.0x0.2x 0.2x
1.4x 1.3x 1.4x
1.2x
1.4x 1.3x1.2x
1.3x
-
0.2
0.4
0.6
0.8
1.0
1.2
1.4
1.6
1.8
2.0
Renewables(38)
Transportation(17)
Utilities (16) Other (9) Telecom (11) Midstream (21) ConventionalPower (4)
Total Portfolio(116)
Mul
tiple
of I
nves
ted
Capi
tal
Company Performance by Industry
RVPI DPI
28.3%
26.1%18.0%
11.8%
11.6%
2.4% 1.7%
Industry Exposure by Current Market Value
Transportation RenewablesMidstream UtilitiesTelecom OtherConventional Power
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Public Market Exposure As of quarter-end, publicly traded investments comprised 16.8% of the Portfolio’s exposed market value. The following chart illustrates the current public market exposure at the portfolio company level.
Public Market Exposure Current Market Value
83.2%
16.8%
Private Public
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IV. Risk Management Matrix
Category Requirement Status Status Notes
Allocation NYC TRS has an Infrastructure allocation target of 2% of total pension assets.
The market value of NYC TRS Infrastructure Program represents approximately 1.1% of total pension assets. As the Program matures, its market value as a percentage of the total NYC TRS pension assets and the total Infrastructure Program is expected to increase.
Performance vs. Benchmarks
The performance benchmark for the Infrastructure Portfolio is to meet or exceed: (i) The Consumer Price Index (“CPI”) plus 4% net of fees over a rolling 5-year period and (ii) A dollar-weighted PME+ (“PME”) calculation of daily changes in 50% of the Russell 3000® Index and 50% of the Barclays U.S. Aggregate® Index. The Infrastructure Portfolio is expected to generate a total return, net of investment management fees, of at least 6.5%.
As of December 31, 2018, the Portfolio outperformed the CPI and PME benchmark by 7.4% and 9.6%, respectively. However, given the relative immaturity of the Portfolio, the current performance to-date versus benchmarks is not meaningful.
Strategy Diversification
Core Infrastructure Investments: 60-100% Non-Core Infrastructure Investments: 0-40% Actual percentages may differ substantially from these targets during the initial years of the Program.
The Program is in compliance with the Core/Non-Core allocation ranges. Currently the Program has 89.5% exposure to Core investments and 10.5% exposure to Non-Core investments.
Asset Type & Location Diversification
The Program will seek diversification by asset type, revenue drivers, and geography. The portfolio may include a variety of assets including but not limited to electricity transmission, pipelines, airports, toll roads, communication towers and electric generators, windmills etc. to vary the sources of revenue to the portfolio.
Given the relative immaturity of the Portfolio, it is not yet diversified by asset type. The asset types and geographic location of current Portfolio investments are in compliance with the Program’s Investment Policy Statement and Permissible Markets.
Leverage The average leverage of all investments in the Program is to be no higher than 65%. The Program is in compliance with the average leverage
limitation. The current leverage level is 37.3%1.
Single Investment Size & Manager Diversification
The maximum commitment to a single investment is limited to no more than 15% of the aggregate committed capital of each fund. The maximum commitment to a single manager is limited to 10% of the total Real Assets Program allocation when fully invested.
On the individual fund level, all current investments are in compliance with the single investment limitation of 15% of total fund size. The Program is in compliance with the single manager limitation of 10% of the total Infrastructure Program. The Program’s manager exposure is currently relatively concentrated as a result of the relative immaturity of the Program. Manager diversification is expected to increase as the Program closes on new investment commitments.
1The Program’s leverage level is calculated by using a weighted average of each underlying investment’s leverage and Net Asset Value as of December 31, 2018.
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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.
Page 156 of 204
Risk Quarterly Report (Public):
BarraOne Total Plan Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: March 31, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 72,831,468,034POSITIONS: 24,053 ACCEPTED: 23,603
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 7.80
Benchmark Risk 7.54
Active Risk 0.94
Portfolio Beta 1.03
Effective Duration 2.63
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk RiskContribution %CR to TR
Total 72,831,468,034 100.00 7.80 7.80 100.00
EQUITY 45,159,446,690 62.01 12.17 7.46 95.67
FIXED INCOME 27,672,021,344 37.99 3.06 0.34 4.33
Asset Class Allocation
0
20
40
60
80
EQUITY FIXED INCOME0
25
50
75
100
Weight (%) %CR to Total Risk
Weights (%)%CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 7.80 100.00 1.00 0.94 100.00 1.00
Local Market Risk 7.29 93.47 0.99 0.86 91.73 0.96
Common Factor Risk 7.27 93.17 0.99 0.81 86.43 0.93
Equity 6.80 87.23 0.97 0.25 26.67 0.50
Fixed Income 0.26 3.31 0.22 -0.01 -0.86 -0.06
Private Real Estate 0.14 1.74 0.58 -0.00 -0.31 -0.02
Private Equity 0.07 0.89 0.09 0.57 60.91 0.78
Selection Risk 0.02 0.30 0.05 0.05 5.30 0.23
Currency Risk 0.51 6.53 0.46 0.08 8.27 0.30
Active Risk from Risk Factors
-20
0
20
40
60
80
Private Equity Equity Private Real
Estate
Fixed Income Selection Risk Currency Risk%
CR
to A
ctiv
e T
ota
l R
isk
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BarraOne Total Plan Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: March 31, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 72,831,468,034POSITIONS: 24,053 ACCEPTED: 23,603
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Risk Contribution Breakdown by Risk Type
Risk Contribution
Asset Name Mkt Value Weight (%) Eff Weight (%) Total Risk %CR to Total Risk Port Risk Contribution Equity Fixed Income Hedge Fund Commodity Private Real Estate Private Equity Currency Asset Specific
Total 72,831,468,034 100.00 100.00 7.80 100.00 7.80 6.80 0.26 0.00 0.00 0.14 0.07 0.51 0.02
EQUITY 45,159 ,446 ,690 62 .01 62 .01 12 .17 95 .67 7 .46 6 .72 0 .01 0 .00 0 .00 0 .14 0 .07 0 .51 0 .02
FIXED INCOME 27,672 ,021 ,344 37 .99 37 .99 3 .06 4 .33 0 .34 0 .09 0 .25 0 .00 0 .00 0 .00 0 .00 0 .00 0 .00
0.00 2.00 4.00 6.00 8.00
FIXED INCOME
EQUITY
Equity Fixed Income Hedge Fund Commodity Private Equity Private Real Estate Currency Asset Specific
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BarraOne Total Plan Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: March 31, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 72,831,468,034POSITIONS: 24,053 ACCEPTED: 23,603
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Allocation Selection
Allocation Selection Active
Asset Class Active Weight(%) Volatility Correlation Risk Contribution Volatility Correlation Risk Contribution Risk Contribution
Active Total Risk 0.00 0.94 0.94
EQUITY 0.01 4.52 0.18 0.00 1.51 0.99 0.92 0.92
FIXED INCOME -0.01 7.37 -0.18 0.00 0.36 0.13 0.02 0.02
-0.01
-0.005
0
0.005
0.01
EQUITY FIXED INCOME0
0.25
0.5
0.75
1
Active Weight(%) Allocation Risk Contribution Selection Risk Contribution Active Risk Contribution
Weights (%)Risk Contribution
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Page 160 of 204
BarraOne Total Plan Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: March 31, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 72,831,468,034POSITIONS: 24,053 ACCEPTED: 23,603
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Region
Weight (%)
Region Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total Tracking Error
Total 100.00 100.00 0.00 7.80 0.94 100.00 0.01
N America 76.63 78.69 -2.06 6.91 0.64 68.10 0.00
EMEA 11.50 9.51 1.99 13.16 0.15 15.55 0.02
Asia Pacific 9.71 10.13 -0.42 12.84 0.12 12.47 0.01
Latin-S America 1.60 1.20 0.40 22.60 0.03 3.42 0.05
Rest of World 0.28 0.47 -0.19 8.92 0.00 0.31 -0.01
N/A 0.28 0.00 0.28 8.39 0.00 0.15 0.01
-20%
0%
20%
40%
60%
80%
N America EMEA Asia Pacific Latin-S America Rest of World N/A
Portfolio Weight Benchmark Weight Active Weight
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BarraOne Total Plan Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: March 31, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 72,831,468,034POSITIONS: 24,053 ACCEPTED: 23,603
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total TrackingError
Total 100.00 100.00 0.00 7.80 0.94 100.00 0.01
United States 74 .65 76 .24 -1 .59 6 .82 0 .58 61 .02 -0 .00
United Kingdom 3.26 2 .23 1 .02 14 .33 0 .05 5 .48 0 .03
Japan 2 .70 2 .69 0 .00 15 .10 0 .01 1 .59 0 .01
S. Korea 1 .64 1 .18 0 .46 18 .16 0 .01 1 .43 0 .03
India 1 .54 0 .83 0 .71 20 .81 0 .03 3 .45 0 .04
Taiwan 1.29 1 .01 0 .29 15 .80 0 .00 0 .46 0 .02
Brazil 1 .24 0 .66 0 .58 32 .78 0 .05 5 .66 0 .08
Germany 1 .24 1 .08 0 .16 15 .22 0 .02 1 .63 0 .03
France 1 .17 1 .32 -0 .15 14 .79 0 .01 0 .56 0 .03
Canada 1 .16 1 .65 -0 .49 10 .42 0 .01 0 .63 0 .01
Switzerland 1 .13 1 .00 0 .13 12 .79 0 .01 0 .97 0 .02
Netherlands 0 .79 0 .64 0 .15 14 .64 0 .01 1 .41 0 .02
South Africa 0 .66 0 .54 0 .12 29 .86 0 .01 1 .38 0 .04
Hong Kong 0 .53 0 .42 0 .11 18 .87 0 .00 0 .18 0 .01
Mexico 0 .52 0 .34 0 .18 21 .30 0 .01 1 .23 0 .04
Australia 0 .48 0 .80 -0 .32 14 .82 -0 .00 -0 .47 0 .02
Indonesia 0 .42 0 .24 0 .17 22 .35 0 .01 0 .81 0 .03
Italy 0 .41 0 .32 0 .09 20 .45 0 .01 1 .06 0 .03
Ireland 0 .40 0 .18 0 .23 4 .81 -0 .00 -0 .16 -0 .00
Sweden 0.39 0 .33 0 .05 17 .75 0 .01 0 .68 0 .03
Spain 0 .38 0 .35 0 .04 15 .19 0 .00 0 .17 0 .02
Denmark 0 .37 0 .19 0 .18 16 .85 0 .01 0 .68 0 .03
Thailand 0 .35 0 .21 0 .14 16 .29 0 .00 0 .27 0 .02
Singapore 0 .33 0 .18 0 .16 14 .71 0 .00 0 .25 0 .01
N/A 0.29 0 .00 0 .29 8 .51 0 .00 0 .15 0 .01
Malaysia 0 .25 0 .20 0 .05 15 .10 0 .00 0 .14 0 .02
Luxembourg 0 .24 0 .21 0 .03 7 .17 -0 .00 -0 .00 -0 .01
Poland 0 .24 0 .11 0 .13 21 .48 0 .01 0 .67 0 .04
Chile 0 .17 0 .10 0 .07 18 .39 0 .00 0 .13 0 .02
Norway 0 .16 0 .10 0 .06 20 .64 0 .00 0 .39 0 .03 -20% 0% 20% 40% 60% 80%
Norway
Chile
Poland
Luxembourg
Malaysia
N/A
Singapore
Thailand
Denmark
Spain
Sweden
Ireland
Italy
Indonesia
Australia
Mexico
Hong Kong
South Africa
Netherlands
Switzerland
Canada
France
Germany
Brazil
Taiwan
India
S. Korea
Japan
United Kingdom
United States
Portfolio Weight Benchmark Weight Active Weight
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BarraOne Total Plan Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: March 31, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 72,831,468,034POSITIONS: 24,053 ACCEPTED: 23,603
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
-25% 0% 25% 50% 75% 100%
N/A
Frontier Market
EM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR(%)
CR to TR(%)
US Dollar 56,372,006,630.17 64.01 64.27
Euro 3,105,983,182.31 5.70 7.12
British Pound Sterling 2,098,742,735.14 5.48 4.66
Japanese Yen 1,951,067,075.76 1.42 3.53
Swiss Franc 782,391,906.87 0.99 1.50
Top Five Exposure $ CR toAR (%)
CR to TR(%)
Korean Won 1,182,985,775.34 1.41 2.62
Indian Rupee 1,108,213,652.20 3.45 2.08
New Taiwan Dollar 941,542,987.55 0.46 1.76
Brazilian Real 895,086,318.16 5.67 2.69
South African Rand 481,176,098.36 1.38 1.61
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 0.00 7.80 7.80 100.00 0.94 100.00
US Dollar 77 .40 80 .24 -2 .84 6 .69 5 .01 64 .27 0 .60 64 .01
Euro 4 .26 3 .39 0 .88 15 .20 0 .56 7 .12 0 .05 5 .70
British Pound Sterling 2 .88 1 .83 1 .05 15 .98 0 .36 4 .66 0 .05 5 .48
Japanese Yen 2 .68 2 .57 0 .11 15 .22 0 .28 3 .53 0 .01 1 .42
Korean Won 1.62 1 .15 0 .47 18 .29 0 .20 2 .62 0 .01 1 .41
Indian Rupee 1 .52 0 .81 0 .71 21 .07 0 .16 2 .08 0 .03 3 .45
New Taiwan Dollar 1 .29 1 .01 0 .29 15 .80 0 .14 1 .76 0 .00 0 .46
Brazilian Real 1 .23 0 .64 0 .59 33 .05 0 .21 2 .69 0 .05 5 .67
Swiss Franc 1 .07 0 .95 0 .12 13 .39 0 .12 1 .50 0 .01 0 .99
Canadian Dollar 0 .66 1 .08 -0 .42 15 .64 0 .09 1 .11 0 .00 0 .35
South African Rand 0 .66 0 .52 0 .14 29 .89 0 .13 1 .61 0 .01 1 .38
Hong Kong Dollar 0 .55 2 .51 -1 .97 18 .71 0 .06 0 .83 0 .04 4 .59
Mexican Peso 0 .45 0 .24 0 .22 24 .10 0 .06 0 .79 0 .01 1 .27
Australian Dollar 0 .44 0 .74 -0 .30 15 .44 0 .05 0 .70 -0 .01 -0 .54
Indonesian Rupiah 0 .39 0 .19 0 .20 23 .61 0 .04 0 .55 0 .01 0 .80
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BarraOne Total Plan Macro SummaryMacro factor models attribute the risk of the Barra Integrated Model to a far smaller set of factors. At the highest level, we use just six factors,representing the primary drivers of total risk and return for a global, multi-asset class portfolio that reduces the number of factors in an integratedfactor model by aggregating selected groups of factors into single factors. Tier I is the highlest level of the Macro Factor Scheme which has 6 factors.
COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: March 31, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 72,831,456,152POSITIONS: 24,053 ACCEPTED: 23,603
MODEL: BIM303L (Tier 1 Macro Factors)
For further documentation on Macro factors please refer to the Research Insight, Risk from Any Altitude: Using the BarraOne Macro Factors - March 2014 https://support.msci.com/docs/DOC-8681
Macro Fac tor Exposures
-1
0
1
2
3
Equity Credit Pure Alternatives Interest Rates Inflation Real Assets
Exposure Benchmark Exposure Active Exposure
Macro Fac tor R isk Contr ibut ion
-2
0
2
4
6
8
Equity Credit Pure Alternatives Interest Rates Inflation Real Assets-0.1
0
0.1
0.2
0.3
0.4
Portfolio Risk Contribution Active Portfolio Risk Contribution
Port RiskActive Port Risk
R isk Decomposi t ion
Exposure Contribution
Risk Source Exposure BenchmarkExposure
Active Exposure
Portfolio RiskContribution
% PortfolioRisk
Active Portfolio RiskContribution
% ActiveRisk
Total Risk - - - 7.81 100.00 0.94 100.00
Local Market Risk - - - 7.31 93.50 0.87 91.88
Common Factor Risk - - - 7.28 93.20 0.82 86.62
Equity 0.60 0.58 0.02 6.76 86.51 0.06 6.86
Credit 2.86 2.96 -0.10 0.45 5.76 -0.01 -0.55
Pure Alternatives 0.06 0.00 0.06 0.03 0.42 0.27 29.06
Interest Rates 2.65 2.55 0.09 -0.10 -1.28 -0.00 -0.04
Inflation 0.35 0.35 0.01 0.04 0.46 0.00 0.02
Real Assets 0.03 0.04 -0.01 0.16 2.09 -0.03 -3.15
Factor Residual Risk - - - -0.06 -0.76 0.51 54.43
Selection Risk - - - 0.02 0.30 0.05 5.27
Currency Risk - - - 0.51 6.50 0.08 8.12
T ier 1 Macro Fac tor Scheme has s ix fac tors
Factor Exposure Type DescriptionEquity Membership (weights) Global Public and Private EquityCredit Sensitivities (durations) Sensitivity to global credit spreadsPure Alternatives Membership (weights) Investment strategy return of Private Equity and
Hedge Funds net of public factor returnsInterest Rates Sensitivities (durations) Sensitivity to global interest ratesInflation Sensitivities (durations) Sensitivity to breakeven inflationReal Assets Membership (weights) Real Estate and Commodities
Fac tor Res idual R isk
Risk Source Portfolio RiskContribution
% PortfolioRisk
Active Portfolio RiskContribution
% ActiveRisk
Commodities 0.00 0.00 0.00 0.00
Equity 0.05 0.58 0.19 20.14
Fixed Income -0.13 -1.65 -0.00 -0.34
Hedge Fund 0.00 0.00 0.00 0.00
Private Equity 0.04 0.46 0.30 31.62
Private Real Estate -0.03 -0.35 0.03 2.70
Unassigned Factors 0.02 0.20 0.00 0.31
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BarraOne Total Plan Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: zTest_TEACHERS_Total Plan ANALYSIS DATE: March 31, 2019
BENCHMARK: zTest_TEACHERS_New_Policy MARKET VALUE: 72,831,468,034POSITIONS: 24,053 ACCEPTED: 23,603
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Stress Scenarios
Top 10 Best Scenarios Top 10 Worst Scenarios
Scenario Portfolio P&L Benchmark P&L Market Change ($)
$200 per Barrel - Positive Expectation S 6.20 6.02 4,512,877,995
2001 Fed Rate Cut 4.07 4.37 2,966,615,124
2003 Iraq War 2.25 2.18 1,640,932,729
1995 US Dollar Rally 1.63 1.40 1,189,487,932
1999 Brazilian Real Crisis (Peak) 1.28 0.97 935,158,575
1994 Mexican Peso Crisis 0.40 0.48 287,911,792
1997-1998 Asian Financial Crisis -0.11 -0.75 -76,686,000
1998 LTCM Collapse -1.25 -1.11 -910,059,188
1994 US Rate Hike -3.52 -4.84 -2,561,575,195
1989 - 1990 Nikkei Stock Price Correctio -3.55 -3.52 -2,582,186,262
Scenario Portfolio P&L Benchmark P&L Market Change ($)
2007-2009 Subprime and Credit Crisis -35.77 -35.29 -26,054,241,897
2008 - 2009 Global Financial Crisis -30.70 -29.54 -22,357,361,021
1987 Market Crash (Aug. to Nov.) -10.71 -10.54 -7,798,169,294
2007-2008 Equity Slow Grind -10.50 -10.40 -7,646,526,896
$200 per Barrel - Oil Supply Shock -10.21 -10.11 -7,434,150,630
1998 Russian Financial Crisis -9.36 -8.02 -6,814,854,200
2001 Sept 11 -8.19 -7.28 -5,961,287,442
2006 Emerging Market Crash -7.88 -7.22 -5,738,545,314
1990 Reunification of Germany -6.89 -5.97 -5,016,546,442
1973 - 1974 Oil Crisis -5.32 -5.09 -3,872,867,357
-5% -3% 0% 3% 5% 8%
1989 - 1990 Nikkei Stock Price Correction
1994 US Rate Hike
1998 LTCM Collapse
1997-1998 Asian Financial Crisis
1994 Mexican Peso Crisis
1999 Brazilian Real Crisis (Peak)
1995 US Dollar Rally
2003 Iraq War
2001 Fed Rate Cut
$200 per Barrel - Positive Expectation Spike
Portfolio P&L Benchmark P&L
-40% -30% -20% -10% 0%
1973 - 1974 Oil Crisis
1990 Reunification of Germany
2006 Emerging Market Crash
2001 Sept 11
1998 Russian Financial Crisis
$200 per Barrel - Oil Supply Shock
2007-2008 Equity Slow Grind
1987 Market Crash (Aug. to Nov.)
2008 - 2009 Global Financial Crisis
2007-2009 Subprime and Credit Crisis
Portfolio P&L Benchmark P&L
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BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: March 31, 2019
BENCHMARK: EQUITY MARKET VALUE: 45,159,446,690POSITIONS: 16,141 ACCEPTED: 15,782
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 12.17
Benchmark Risk 11.82
Active Risk 1.51
Portfolio Beta 1.02
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 45,159,446,690 100.00 12.17 12.17 100.00
Alternative 6,808,235,125 15.08 13.72 1.76 14.46
Public 38,351,211,565 84.92 12.32 10.41 85.54
Asset Class Allocation
0%
20%
40%
60%
80%
100%
Alternative Public
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 12.17 100.00 1.00 1.51 100.00 1.00
Local Market Risk 11.40 93.67 0.99 1.38 91.55 0.96
Common Factor Risk 11.36 93.36 0.99 1.30 86.31 0.94
Equity 11.02 90.55 0.98 0.37 24.46 0.50
Style 0.13 1.05 0.35 0.08 5.08 0.26
Industry 10.89 89.51 0.98 0.29 19.38 0.45
Fixed Income 0.01 0.11 0.30 0.00 0.33 0.12
Nominal Rates -0.01 -0.10 -0.26 -0.00 -0.04 -0.01
Credit 0.03 0.22 0.64 0.01 0.57 0.21
Private Real Estate 0.21 1.75 0.56 0.00 0.08 0.01
Private Equity 0.11 0.94 0.10 0.93 61.44 0.78
Selection Risk 0.04 0.32 0.06 0.08 5.24 0.23
Currency Risk 0.77 6.33 0.44 0.13 8.45 0.31
Active Risk from Risk Factors
0
20
40
60
80
Equity Private Equity Selection Risk Currency Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
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Page 166 of 204
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: March 31, 2019
BENCHMARK: EQUITY MARKET VALUE: 45,159,446,690POSITIONS: 16,141 ACCEPTED: 15,782
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Region
Weight (%)
Region Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total Tracking Error
Total 100.00 100.00 -0.00 12.17 1.51 100.00 0.02
Asia Pacific 15.45 15.74 -0.29 12.98 0.19 12.84 0.00
EMEA 15.97 12.59 3.38 14.92 0.21 13.64 0.03
Latin-S America 2.35 1.63 0.73 24.57 0.05 3.45 0.06
N America 65.95 69.80 -3.85 12.45 1.06 70.06 0.01
N/A 0.00 0.00 0.00 10.16 0.00 0.00 0.00
Rest of World 0.27 0.24 0.03 14.28 0.00 0.01 0.00
0
0.25
0.5
0.75
1
1.25
N America EMEA Asia Pacific Latin-S America Rest of World N/A-20
0
20
40
60
80
Active Risk Contribution Portfolio Weight Benchmark Weight Active Weight
Risk ContributionsWeights (%)
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Page 167 of 204
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: March 31, 2019
BENCHMARK: EQUITY MARKET VALUE: 45,159,446,690POSITIONS: 16,141 ACCEPTED: 15,782
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 12.17 1.51 100.00 0.02
United States 63 .52 66 .75 -3 .24 12 .46 0 .94 62 .50 0 .03
United Kingdom 4.62 2 .95 1 .67 16 .00 0 .07 4 .70 0 .05
Japan 4 .32 4 .15 0 .18 15 .22 0 .02 1 .22 0 .02
S. Korea 2 .62 1 .86 0 .76 18 .29 0 .02 1 .14 0 .04
India 2 .45 1 .31 1 .15 21 .07 0 .05 3 .23 0 .06
Taiwan 2.08 1 .62 0 .46 15 .80 0 .00 0 .29 0 .03
Brazil 1 .99 1 .03 0 .95 33 .00 0 .09 5 .74 0 .10
Germany 1 .85 1 .48 0 .37 16 .38 0 .02 1 .29 0 .05
France 1 .79 1 .95 -0 .16 15 .25 0 .01 0 .54 0 .04
Switzerland 1 .74 1 .54 0 .20 13 .36 0 .01 0 .85 0 .03
Canada 1 .14 1 .75 -0 .61 15 .55 0 .01 0 .68 0 .04
South Africa 1 .06 0 .84 0 .22 29 .93 0 .02 1 .27 0 .06
Netherlands 0 .94 0 .62 0 .32 18 .77 0 .02 1 .12 0 .05
Hong Kong 0 .86 0 .67 0 .19 18 .87 0 .00 0 .10 0 .02
Mexico 0 .73 0 .38 0 .35 24 .01 0 .02 1 .18 0 .07
Australia 0 .73 1 .20 -0 .47 15 .43 -0 .00 -0 .32 0 .03
Italy 0 .65 0 .41 0 .24 21 .06 0 .01 0 .91 0 .05
Indonesia 0 .63 0 .31 0 .32 23 .61 0 .01 0 .73 0 .05
Sweden 0.61 0 .46 0 .16 18 .06 0 .01 0 .52 0 .05
Denmark 0 .58 0 .31 0 .27 17 .11 0 .01 0 .57 0 .05
Thailand 0 .57 0 .33 0 .23 16 .29 0 .00 0 .21 0 .03
Spain 0 .53 0 .52 0 .01 17 .41 0 .00 0 .18 0 .04
Singapore 0 .53 0 .27 0 .25 15 .03 0 .00 0 .18 0 .03
Malaysia 0 .41 0 .31 0 .09 15 .10 0 .00 0 .10 0 .03
Poland 0 .38 0 .16 0 .22 21 .60 0 .01 0 .60 0 .06
Turkey 0 .24 0 .08 0 .17 35 .70 0 .01 0 .62 0 .07
Chile 0 .24 0 .15 0 .09 20 .64 0 .00 0 .13 0 .04
Norway 0 .24 0 .12 0 .12 21 .53 0 .00 0 .30 0 .05
Philippines 0 .24 0 .16 0 .08 17 .76 0 .00 0 .09 0 .04
Colombia 0 .18 0 .07 0 .11 23 .39 0 .00 0 .19 0 .05 -20% 0% 20% 40% 60% 80%
Colombia
Philippines
Norway
Chile
Turkey
Poland
Malaysia
Singapore
Spain
Thailand
Denmark
Sweden
Indonesia
Italy
Australia
Mexico
Hong Kong
Netherlands
South Africa
Canada
Switzerland
France
Germany
Brazil
Taiwan
India
S. Korea
Japan
United Kingdom
United States
Portfolio Weight Benchmark Weight Active Weight
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Page 168 of 204
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: March 31, 2019
BENCHMARK: EQUITY MARKET VALUE: 45,159,446,690POSITIONS: 16,141 ACCEPTED: 15,782
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
-20% 0% 20% 40% 60% 80%
N/A
Frontier Market
EM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 28,966,928,449.02 65.32 63.39
Euro 2,873,733,826.24 4.71 7.09
British Pound Sterling 2,073,803,599.98 4.72 4.87
Japanese Yen 1,951,067,075.76 1.22 3.70
Swiss Franc 782,307,838.81 0.86 1.57
Top Five Exposure $ CR to AR (%) CR to TR (%)
Korean Won 1,182,985,773.15 1.14 2.69
Indian Rupee 1,108,213,652.20 3.23 2.08
New Taiwan Dollar 941,542,936.84 0.29 1.82
Brazilian Real 895,086,318.16 5.74 2.77
South African Rand 481,176,098.36 1.27 1.65
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 -0.00 12.17 12.17 100.00 1.51 100.00
US Dollar 64 .14 68 .12 -3 .98 12 .44 7 .71 63 .39 0 .98 65 .32
Euro 6 .36 5 .46 0 .90 15 .64 0 .86 7 .09 0 .07 4 .71
British Pound Sterling 4 .59 2 .96 1 .63 16 .07 0 .59 4 .87 0 .07 4 .72
Japanese Yen 4 .32 4 .15 0 .18 15 .22 0 .45 3 .70 0 .02 1 .22
Korean Won 2.62 1 .86 0 .76 18 .29 0 .33 2 .69 0 .02 1 .14
Indian Rupee 2 .45 1 .31 1 .15 21 .07 0 .25 2 .08 0 .05 3 .23
New Taiwan Dollar 2 .08 1 .62 0 .46 15 .80 0 .22 1 .82 0 .00 0 .29
Brazilian Real 1 .98 1 .03 0 .95 33 .05 0 .34 2 .77 0 .09 5 .74
Swiss Franc 1 .73 1 .54 0 .19 13 .39 0 .19 1 .57 0 .01 0 .86
South African Rand 1 .07 0 .84 0 .22 29 .89 0 .20 1 .65 0 .02 1 .27
Canadian Dollar 1 .06 1 .75 -0 .69 15 .52 0 .14 1 .14 0 .01 0 .62
Hong Kong Dollar 0 .88 4 .05 -3 .17 18 .71 0 .11 0 .86 0 .09 6 .16
Mexican Peso 0 .73 0 .38 0 .35 24 .10 0 .10 0 .80 0 .02 1 .19
Australian Dollar 0 .71 1 .20 -0 .49 15 .44 0 .09 0 .72 -0 .01 -0 .34
Indonesian Rupiah 0 .63 0 .31 0 .32 23 .61 0 .07 0 .55 0 .01 0 .73
12 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 169 of 204
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: EQUITY ANALYSIS DATE: March 31, 2019
BENCHMARK: EQUITY MARKET VALUE: 45,159,446,690POSITIONS: 16,141 ACCEPTED: 15,782
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by GICS Sector
Weight (%)
GICS Sector Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 12.17 1.51 100.00 0.02
Communication Services 6.44 8.01 -1.57 13.52 0.09 5.64 0.02
Consumer Discretionary 10.15 9.90 0.26 14.93 0.18 12.04 0.04
Consumer Staples 5.97 6.83 -0.85 10.35 0.04 2.92 0.03
Energy 5.38 5.46 -0.08 19.37 0.10 6.33 0.06
Financials 13.36 15.03 -1.68 13.09 0.12 7.73 0.03
Health Care 11.36 10.68 0.68 13.69 0.23 15.51 0.05
Industrials 10.43 9.29 1.14 14.30 0.15 10.02 0.05
Information Technology 17.14 15.50 1.64 16.41 0.33 21.58 0.06
Materials 5.38 4.23 1.15 15.86 0.09 5.76 0.05
Others 5.73 7.07 -1.34 8.32 0.16 10.47 0.01
Real Estate 5.87 5.07 0.80 11.96 0.02 1.28 0.02
Utilities 2.78 2.92 -0.14 9.41 0.01 0.72 0.02
-10%
0%
10%
20%
30%
Communication
Services
Consumer
Discretionary
Consumer
Staples
Energy Financials Health Care Industrials Information
Technology
Materials Others Real Estate Utilities
Active Weight
Active Risk Contribution
Weights (%)
13 of 41
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Page 170 of 204
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: March 31, 2019
BENCHMARK: Public MARKET VALUE: 38,351,211,565POSITIONS: 15,813 ACCEPTED: 15,502
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 12.32
Benchmark Risk 12.31
Active Risk 0.92
Portfolio Beta 1.00
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 38,351,211,565 100.00 12.32 12.32 100.00
Emerging Markets 6,556,865,259 17.10 15.38 2.15 17.42
International FoF 528,538,195 1.38 12.28 0.16 1.28
REITS 1,227,597,634 3.20 13.13 0.24 1.97
U.S. Equity 21,229,335,359 55.36 13.11 6.97 56.53
World ex USA 8,808,875,117 22.97 13.12 2.81 22.79
Asset Class Allocation
0%
20%
40%
60%
Emerging Markets International FoF REITS U.S. Equity World ex USA
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 12.32 100.00 1.00 0.92 100.00 1.00
Local Market Risk 11.46 93.02 0.99 0.80 86.63 0.93
Common Factor Risk 11.41 92.60 0.99 0.66 71.82 0.85
Equity 11.41 92.60 0.99 0.66 71.82 0.85
Style 0.16 1.33 0.38 0.10 10.60 0.29
Industry 11.25 91.27 0.99 0.56 61.22 0.74
Selection Risk 0.05 0.42 0.06 0.14 14.81 0.38
Currency Risk 0.86 6.98 0.45 0.12 13.37 0.38
Active Risk from Risk Factors
0
20
40
60
80
Equity Selection Risk Currency Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
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Page 171 of 204
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: March 31, 2019
BENCHMARK: Public MARKET VALUE: 38,351,211,565POSITIONS: 15,813 ACCEPTED: 15,502
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Region
Weight (%)
Region Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total Tracking Error
Total 100.00 100.00 0.00 12.32 0.92 100.00 0.01
Asia Pacific 17.84 18.71 -0.88 12.97 0.47 51.10 -0.00
EMEA 16.36 14.97 1.39 14.94 0.12 13.59 0.02
Latin-S America 2.68 1.93 0.75 24.71 0.06 6.66 0.08
N America 62.82 64.11 -1.29 12.68 0.26 28.65 0.00
Rest of World 0.30 0.28 0.02 14.56 -0.00 -0.01 0.02
-0.2
0
0.2
0.4
0.6
N America Asia Pacific EMEA Latin-S America Rest of World-25
0
25
50
75
Active Risk Contribution Portfolio Weight Benchmark Weight Active Weight
Risk ContributionsWeights (%)
15 of 41
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Page 172 of 204
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: March 31, 2019
BENCHMARK: Public MARKET VALUE: 38,351,211,565POSITIONS: 15,813 ACCEPTED: 15,502
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 0.00 12.32 0.92 100.00 0.01
United States 60 .14 60 .48 -0 .34 12 .69 0 .04 4 .63 -0 .00
Japan 5 .09 4 .93 0 .16 15 .22 0 .02 2 .48 0 .00
United Kingdom 4.33 3 .51 0 .82 15 .93 0 .03 2 .96 0 .01
S. Korea 3 .07 2 .21 0 .86 18 .30 0 .02 2 .65 0 .03
India 2 .81 1 .55 1 .25 21 .07 0 .10 10 .62 0 .07
Taiwan 2.46 1 .93 0 .53 15 .80 0 .01 0 .77 0 .01
Brazil 2 .27 1 .23 1 .04 33 .30 0 .12 12 .98 0 .11
Switzerland 1 .96 1 .83 0 .13 13 .35 0 .01 0 .96 0 .01
Germany 1 .96 1 .76 0 .20 16 .84 0 .01 1 .41 0 .02
France 1 .75 2 .32 -0 .57 14 .98 -0 .01 -0 .67 0 .01
South Africa 1 .25 1 .00 0 .25 29 .93 0 .02 2 .54 0 .05
Canada 1 .16 2 .08 -0 .92 15 .88 -0 .00 -0 .15 0 .00
Hong Kong 1 .00 0 .80 0 .21 18 .91 0 .00 0 .38 -0 .01
Netherlands 0 .99 0 .73 0 .26 19 .36 0 .01 1 .15 0 .02
Mexico 0 .85 0 .45 0 .40 24 .12 0 .03 2 .95 0 .06
Australia 0 .81 1 .43 -0 .62 15 .61 -0 .00 -0 .34 0 .01
Indonesia 0 .73 0 .37 0 .36 23 .69 0 .02 2 .30 0 .05
Sweden 0.67 0 .54 0 .13 18 .15 0 .01 0 .56 0 .02
Thailand 0 .65 0 .40 0 .25 16 .32 0 .01 0 .71 0 .02
Denmark 0 .65 0 .37 0 .28 17 .16 0 .01 0 .97 0 .02
Italy 0 .63 0 .49 0 .14 22 .16 0 .01 0 .78 0 .02
Singapore 0 .59 0 .32 0 .26 15 .17 0 .00 0 .47 0 .01
Spain 0 .57 0 .61 -0 .04 17 .97 0 .00 0 .10 0 .02
Malaysia 0 .48 0 .37 0 .11 15 .10 0 .00 0 .27 0 .02
Poland 0 .36 0 .19 0 .17 21 .97 0 .01 0 .70 0 .03
Turkey 0 .29 0 .09 0 .19 35 .70 0 .01 1 .59 0 .07
Chile 0 .28 0 .18 0 .11 20 .84 0 .00 0 .28 0 .02
Philippines 0 .28 0 .19 0 .09 17 .76 0 .00 0 .35 0 .03
Norway 0 .27 0 .15 0 .12 22 .07 0 .00 0 .32 0 .01
Colombia 0 .21 0 .08 0 .13 23 .71 0 .00 0 .49 0 .03 -20% 0% 20% 40% 60% 80%
Colombia
Norway
Philippines
Chile
Turkey
Poland
Malaysia
Spain
Singapore
Italy
Denmark
Thailand
Sweden
Indonesia
Australia
Mexico
Netherlands
Hong Kong
Canada
South Africa
France
Germany
Switzerland
Brazil
Taiwan
India
S. Korea
United Kingdom
Japan
United States
Portfolio Weight Benchmark Weight Active Weight
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Page 173 of 204
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: March 31, 2019
BENCHMARK: Public MARKET VALUE: 38,351,211,565POSITIONS: 15,813 ACCEPTED: 15,502
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
-20% 0% 20% 40% 60% 80%
Frontier Market
EM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 23,292,163,501.42 18.01 60.10
Euro 2,497,580,170.27 3.19 7.26
Japanese Yen 1,950,599,519.78 2.48 4.36
British Pound Sterling 1,656,155,895.26 2.98 4.49
Swiss Franc 752,446,750.75 0.96 1.76
Top Five Exposure $ CR to AR (%) CR to TR (%)
Korean Won 1,177,983,574.88 2.64 3.16
Indian Rupee 1,077,297,101.39 10.62 2.39
New Taiwan Dollar 941,542,936.84 0.77 2.15
Brazilian Real 869,681,792.20 12.98 3.21
South African Rand 481,176,098.36 2.54 1.96
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 0.00 12.32 12.32 100.00 0.92 100.00
US Dollar 60 .73 62 .11 -1 .37 12 .68 7 .41 60 .10 0 .17 18 .01
Euro 6 .51 6 .49 0 .02 15 .70 0 .89 7 .26 0 .03 3 .19
Japanese Yen 5 .09 4 .93 0 .16 15 .22 0 .54 4 .36 0 .02 2 .48
British Pound Sterling 4 .32 3 .52 0 .80 15 .94 0 .55 4 .49 0 .03 2 .98
Korean Won 3.07 2 .21 0 .86 18 .30 0 .39 3 .16 0 .02 2 .64
Indian Rupee 2 .81 1 .55 1 .25 21 .07 0 .29 2 .39 0 .10 10 .62
New Taiwan Dollar 2 .46 1 .93 0 .53 15 .80 0 .27 2 .15 0 .01 0 .77
Brazilian Real 2 .27 1 .23 1 .04 33 .30 0 .40 3 .21 0 .12 12 .98
Swiss Franc 1 .96 1 .83 0 .13 13 .35 0 .22 1 .76 0 .01 0 .96
South African Rand 1 .25 1 .00 0 .25 29 .89 0 .24 1 .96 0 .02 2 .54
Canadian Dollar 1 .11 2 .08 -0 .97 15 .37 0 .14 1 .16 -0 .00 -0 .17
Hong Kong Dollar 1 .03 4 .82 -3 .79 18 .74 0 .12 1 .01 0 .28 30 .55
Mexican Peso 0 .85 0 .45 0 .40 24 .12 0 .12 0 .94 0 .03 2 .95
Australian Dollar 0 .79 1 .43 -0 .64 15 .62 0 .10 0 .80 -0 .00 -0 .36
Indonesian Rupiah 0 .73 0 .37 0 .36 23 .69 0 .08 0 .65 0 .02 2 .30
17 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 174 of 204
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public Equity ANALYSIS DATE: March 31, 2019
BENCHMARK: Public MARKET VALUE: 38,351,211,565POSITIONS: 15,813 ACCEPTED: 15,502
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by GICS Sector
Weight (%)
GICS Sector Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 0.00 12.32 0.92 100.00 0.01
Communication Services 7.08 8.57 -1.49 13.66 0.13 14.64 -0.02
Consumer Discretionary 10.66 10.68 -0.02 14.82 0.18 19.17 -0.00
Consumer Staples 6.60 7.43 -0.83 10.17 0.01 1.32 0.01
Energy 5.66 5.96 -0.30 19.51 0.11 12.09 0.02
Financials 15.18 16.49 -1.31 13.09 0.19 20.90 0.01
Health Care 11.12 11.19 -0.07 13.14 0.04 4.15 -0.00
Industrials 10.62 9.99 0.63 14.32 0.07 7.12 0.01
Information Technology 17.35 16.21 1.14 16.31 0.06 6.22 0.01
Materials 5.94 4.72 1.21 15.81 0.08 9.04 0.02
Others 0.73 0.02 0.71 5.61 -0.00 -0.43 0.01
Real Estate 6.33 5.60 0.73 12.40 0.04 4.65 0.00
Utilities 2.72 3.13 -0.41 10.74 0.01 1.13 0.01
-10%
0%
10%
20%
30%
Communication
Services
Consumer
Discretionary
Consumer
Staples
Energy Financials Health Care Industrials Information
Technology
Materials Others Real Estate Utilities
Active Weight
Active Risk Contribution
Weights (%)
18 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 175 of 204
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: March 31, 2019
BENCHMARK: Alternative MARKET VALUE: 6,808,235,125POSITIONS: 328 ACCEPTED: 280
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 13.72
Benchmark Risk 9.95
Active Risk 8.32
Portfolio Beta 1.10
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 6,808,235,125 100.00 13.72 13.72 100.00
Infrastructure 843,273,555 12.39 10.74 1.10 8.05
Private Equity 3,890,386,721 57.14 19.55 10.99 80.11
Private Real Estate 2,074,574,849 30.47 8.68 1.62 11.83
Asset Class Allocation
0%
20%
40%
60%
80%
100%
Infrastructure Private Equity Private Real Estate
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 13.72 100.00 1.00 8.32 100.00 1.00
Local Market Risk 13.44 98.00 1.00 8.16 98.12 0.99
Common Factor Risk 13.42 97.81 1.00 8.05 96.68 0.99
Equity 7.44 54.27 0.80 0.61 7.38 0.25
Style -0.03 -0.19 -0.06 0.02 0.23 0.04
Industry 7.47 54.45 0.80 0.60 7.15 0.25
Fixed Income 0.08 0.58 0.26 0.02 0.18 0.06
Nominal Rates -0.06 -0.42 -0.18 -0.02 -0.22 -0.06
Real Rates 0.00 0.00 0.00 -0.01 -0.18 -0.09
Credit 0.14 1.00 0.51 0.05 0.58 0.18
Private Real Estate 1.41 10.31 0.56 0.04 0.42 0.03
Private Equity 4.48 32.65 0.57 7.38 88.69 0.94
Selection Risk 0.03 0.19 0.04 0.12 1.44 0.12
Currency Risk 0.27 2.00 0.27 0.16 1.88 0.16
Active Risk from Risk Factors
0
20
40
60
80
100
Equity Fixed Income Private Equity Private Real
Estate
Selection Risk Currency Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
19 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 176 of 204
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: March 31, 2019
BENCHMARK: Alternative MARKET VALUE: 6,808,235,125POSITIONS: 328 ACCEPTED: 280
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Region
Weight (%)
Region Portfolio Benchmark Active Total Risk Active Risk CR % of Active TR MC to Total Tracking Error
Total 100.00 100.00 -0.00 13.72 8.32 100.00 0.08
Asia Pacific 2.04 0.00 2.04 18.58 0.01 0.14 0.01
EMEA 13.74 0.00 13.74 18.43 0.82 9.88 0.06
Latin-S America 0.49 0.00 0.49 29.83 0.09 1.04 0.18
N America 83.61 100.00 -16.39 14.30 7.40 88.89 0.03
N/A 0.02 0.00 0.02 10.16 0.00 0.00 0.01
Rest of World 0.10 0.00 0.10 21.15 0.00 0.04 0.03
0
2
4
6
8
N America EMEA Asia Pacific Latin-S America Rest of World N/A-50
0
50
100
150
Active Risk Contribution Portfolio Weight Benchmark Weight Active Weight
Risk ContributionsWeights (%)
20 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 177 of 204
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: March 31, 2019
BENCHMARK: Alternative MARKET VALUE: 6,808,235,125POSITIONS: 328 ACCEPTED: 280
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 0.00 13.72 8.32 100.00 0.08
United States 82 .54 100 .00 -17 .46 14 .29 7 .28 87 .48 0 .04
United Kingdom 6.26 0 .00 6 .26 19 .86 0 .39 4 .68 0 .07
France 2 .05 0 .00 2 .05 22 .22 0 .13 1 .61 0 .08
Germany 1 .23 0 .00 1 .23 15 .76 0 .05 0 .63 0 .05
Canada 0 .99 0 .00 0 .99 17 .91 0 .11 1 .38 0 .13
Italy 0 .74 0 .00 0 .74 21 .42 0 .04 0 .50 0 .07
China International 0 .72 0 .00 0 .72 26 .36 0 .01 0 .12 0 .03
Netherlands 0 .63 0 .00 0 .63 18 .56 0 .04 0 .46 0 .07
Poland 0 .47 0 .00 0 .47 27 .33 0 .02 0 .30 0 .06
Switzerland 0 .46 0 .00 0 .46 21 .11 0 .03 0 .33 0 .07
India 0 .45 0 .00 0 .45 26 .59 0 .00 0 .01 0 .01
Brazil 0 .39 0 .00 0 .39 35 .09 0 .08 0 .97 0 .22
Ireland 0 .34 0 .00 0 .34 14 .38 0 .01 0 .12 0 .04
Sweden 0.31 0 .00 0 .31 23 .78 0 .02 0 .25 0 .08
Spain 0 .31 0 .00 0 .31 16 .80 0 .01 0 .15 0 .05
Australia 0 .28 0 .00 0 .28 15 .30 0 .00 0 .02 0 .02
Denmark 0 .24 0 .00 0 .24 27 .03 0 .02 0 .20 0 .08
Portugal 0 .23 0 .00 0 .23 19 .18 0 .01 0 .13 0 .06
Singapore 0 .19 0 .00 0 .19 21 .87 0 .00 0 .00 0 .01
China 0 .18 0 .00 0 .18 20 .33 0 .00 0 .01 0 .01
Israel 0 .17 0 .00 0 .17 27 .46 0 .01 0 .16 0 .09
Belgium 0.16 0 .00 0 .16 23 .29 0 .01 0 .15 0 .09
Greece 0 .13 0 .00 0 .13 40 .74 0 .01 0 .12 0 .09
Thailand 0 .08 0 .00 0 .08 31 .61 0 .00 0 .00 0 .02
United Arab Emirates 0 .08 0 .00 0 .08 25 .55 0 .00 0 .04 0 .05
S. Korea 0 .07 0 .00 0 .07 31 .59 0 .00 0 .00 0 .02
Finland 0 .07 0 .00 0 .07 31 .82 0 .01 0 .06 0 .08
Norway 0 .06 0 .00 0 .06 10 .70 0 .00 0 .01 0 .02
Mexico 0 .05 0 .00 0 .05 22 .62 0 .01 0 .06 0 .11
Indonesia 0 .05 0 .00 0 .05 36 .17 -0 .00 -0 .00 0 .01 -25% 0% 25% 50% 75% 100%
Indonesia
Mexico
Norway
Finland
S. Korea
United Arab Emirates
Thailand
Greece
Belgium
Israel
China
Singapore
Portugal
Denmark
Australia
Spain
Sweden
Ireland
Brazil
India
Switzerland
Poland
Netherlands
China International
Italy
Canada
Germany
France
United Kingdom
United States
Portfolio Weight Benchmark Weight Active Weight
21 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 178 of 204
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: March 31, 2019
BENCHMARK: Alternative MARKET VALUE: 6,808,235,125POSITIONS: 328 ACCEPTED: 280
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
0% 20% 40% 60% 80% 100%
N/A
Frontier Market
EM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 5,674,764,947.60 87.43 84.83
British Pound Sterling 417,647,704.72 4.69 5.70
Euro 376,153,655.97 3.99 4.94
Canadian Dollar 53,532,442.50 1.40 1.07
CNH 46,891,752.05 0.09 0.51
Top Five Exposure $ CR to AR (%) CR to TR (%)
CNH 46,891,752.05 0.09 0.51
Polish Zloty 31,769,135.22 0.30 0.35
Indian Rupee 30,916,550.82 0.01 0.25
Brazilian Real 25,404,525.96 0.97 0.61
Chinese Yuan 6,569,505.84 0.01 0.05
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 -0.00 13.72 13.72 100.00 8.32 100.00
US Dollar 83 .35 100 .00 -16 .65 14 .17 11 .64 84 .83 7 .28 87 .43
British Pound Sterling 6 .13 0 .00 6 .13 20 .26 0 .78 5 .70 0 .39 4 .69
Euro 5 .52 0 .00 5 .52 18 .98 0 .68 4 .94 0 .33 3 .99
Canadian Dollar 0 .79 0 .00 0 .79 22 .30 0 .15 1 .07 0 .12 1 .40
CNH 0.69 0 .00 0 .69 24 .97 0 .07 0 .51 0 .01 0 .09
Polish Zloty 0 .47 0 .00 0 .47 27 .33 0 .05 0 .35 0 .02 0 .30
Indian Rupee 0 .45 0 .00 0 .45 26 .59 0 .03 0 .25 0 .00 0 .01
Swiss Franc 0 .44 0 .00 0 .44 22 .28 0 .05 0 .40 0 .03 0 .33
Brazilian Real 0 .37 0 .00 0 .37 36 .84 0 .08 0 .61 0 .08 0 .97
Swedish Krona 0 .31 0 .00 0 .31 23 .78 0 .04 0 .31 0 .02 0 .25
Australian Dollar 0 .28 0 .00 0 .28 15 .30 0 .02 0 .16 0 .00 0 .02
Danish Krone 0 .24 0 .00 0 .24 27 .03 0 .03 0 .24 0 .02 0 .20
Singapore Dollar 0 .19 0 .00 0 .19 22 .25 0 .01 0 .09 0 .00 0 .00
New Israeli Sheqel 0 .17 0 .00 0 .17 27 .46 0 .02 0 .17 0 .01 0 .16
Chinese Yuan 0 .10 0 .00 0 .10 34 .17 0 .01 0 .05 0 .00 0 .01
22 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 179 of 204
BarraOne Equity Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: March 31, 2019
BENCHMARK: Alternative MARKET VALUE: 6,808,235,125POSITIONS: 328 ACCEPTED: 280
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by GICS Sector
Weight (%)
GICS Sector Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 0.00 13.72 8.32 100.00 0.08
Communication Services 2.84 5.04 -2.20 16.03 0.19 2.26 0.05
Consumer Discretionary 7.30 5.76 1.54 19.36 0.76 9.19 0.08
Consumer Staples 2.41 3.63 -1.21 17.93 0.24 2.84 0.05
Energy 3.83 2.81 1.02 21.74 0.35 4.22 0.09
Financials 3.08 7.31 -4.23 15.65 0.18 2.13 0.04
Health Care 12.67 7.97 4.70 20.82 1.72 20.69 0.10
Industrials 9.39 5.63 3.76 17.06 0.90 10.77 0.08
Information Technology 15.91 11.71 4.19 22.29 2.31 27.82 0.11
Materials 2.26 1.64 0.62 21.34 0.26 3.13 0.10
Others 33.89 44.46 -10.57 9.48 1.24 14.91 0.01
Real Estate 3.31 2.25 1.06 9.72 0.14 1.72 0.03
Utilities 3.12 1.79 1.33 5.63 0.03 0.34 0.01
-20%
-10%
0%
10%
20%
30%
Communication
Services
Consumer
Discretionary
Consumer
Staples
Energy Financials Health Care Industrials Information
Technology
Materials Others Real Estate Utilities
Active Weight
Active Risk Contribution
Weights (%)
23 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 180 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: FIXED INCOME ANALYSIS DATE: March 31, 2019
BENCHMARK: Fixed Income MARKET VALUE: 27,672,021,344POSITIONS: 7,912 ACCEPTED: 7,821
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 3.06
Benchmark Risk 3.05
Active Risk 0.36
Portfolio Beta 1.00
Cont. to Eff. Duration 6.81
Convexity 0.83
Yield to Worst (%) 3.13
OAS to Swap (bp) 109.26
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 27,672,021,344 100.00 3.06 3.06 100.00
Alternative 1,673,292,367 6.05 6.66 0.07 2.32
Public 25,998,728,977 93.95 3.21 2.99 97.68
Asset Class Allocation
0%
20%
40%
60%
80%
100%
Alternative Public
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 3.06 100.00 1.00 0.36 100.00 1.00
Local Market Risk 3.05 99.72 1.00 0.36 100.68 1.00
Common Factor Risk 3.05 99.61 1.00 0.33 93.11 0.96
Equity 0.02 0.66 0.08 0.10 27.19 0.36
Style 0.00 0.02 0.01 0.03 8.65 0.27
Industry 0.02 0.64 0.09 0.07 18.53 0.29
Fixed Income 3.03 98.94 1.00 0.24 65.74 0.67
Nominal Rates 2.65 86.48 0.86 0.09 24.68 0.51
Real Rates 0.34 11.17 0.84 0.00 0.64 0.07
Credit 0.04 1.29 0.03 0.15 40.42 0.48
Selection Risk 0.00 0.11 0.03 0.03 7.57 0.28
Currency Risk 0.01 0.28 0.24 -0.00 -0.68 -0.07
Active Risk from Risk Factors
0
20
40
60
80
Fixed Income Equity Selection Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
24 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 181 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: FIXED INCOME ANALYSIS DATE: March 31, 2019
BENCHMARK: Fixed Income MARKET VALUE: 27,672,021,344POSITIONS: 7,912 ACCEPTED: 7,821
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio by Factor Breakdowns
Top 10 Spread FactorExposure (Residual) Correlation Contribution (Residual)
Spread Factor Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Swap Shift 0.14 3.52 2.71 0.81 0.00 0.33 -0.05 0.04 10.51
US BB 1.02 0.00 0.17 -0.16 -0.00 -0.19 0.00 0.03 8.85
US Conventional 30 yr Mortgage 0.37 0.30 0.52 -0.23 -0.00 -0.28 0.02 0.02 6.49
US Swap Butterfly 0.06 -1.21 -0.47 -0.74 -0.00 -0.31 0.01 0.01 4.12
US GNMA 30 yr Mortgage Spread 0.31 0.13 0.22 -0.08 -0.00 -0.19 0.00 0.00 1.30
US Swap Twist 0.08 0.02 0.57 -0.54 -0.00 -0.09 -0.00 0.00 1.10
US Consumer Discretionary BB 0.93 0.02 0.03 -0.01 -0.00 -0.18 0.00 0.00 0.68
US Consumer Staples BBB 0.34 0.03 0.05 -0.02 -0.00 -0.29 0.00 0.00 0.65
US Telecom BB 1.16 0.03 0.03 -0.01 -0.00 -0.18 0.00 0.00 0.52
US Telecom BBB 0.57 0.04 0.05 -0.01 -0.00 -0.24 0.00 0.00 0.51
%CR to Active Risk by Duration Buckets
0%
20%
40%
60%
-INF to 0 0 to 3 3 to 5 5 to 7 7 to 10 10 to +INF N/A
Porfolio Weight
(%)
Benchmark
Weight (%)
ACR (%)
Top 10 Term StructureExposure (Residual) Correlation Contribution (Residual)
Term Structure Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Butterfly 0.13 0.80 -0.39 1.19 0.00 0.42 -0.03 0.06 17.78
US Twist 0.18 3.13 2.75 0.38 0.00 0.37 0.34 0.03 7.00
US Inflation-protected 0.32 0.35 0.28 0.07 0.00 0.27 0.01 0.01 1.72
EUR Shift 0.41 0.02 0.00 0.02 0.00 0.10 0.00 0.00 0.21
US Shift 0.48 5.85 5.80 0.05 0.00 0.02 2.31 0.00 0.14
EUR Implied Volatility 10.47 -0.00 0.00 -0.00 -0.01 -0.06 0.00 0.00 0.05
US Municipal Twist 0.22 0.01 0.00 0.01 0.00 0.14 0.00 0.00 0.04
EUR Twist 0.21 0.00 0.00 0.00 0.00 0.16 0.00 0.00 0.04
FR Twist 0.22 0.00 0.00 0.00 0.00 0.14 0.00 0.00 0.00
GB Shift 0.48 0.00 0.00 0.00 0.00 0.03 0.00 0.00 0.00
Key Rate DurationKey Rate Duration
Cont. To Eff. Dur 1 Yr 2 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs 20 Yrs 25 Yrs 30 Yrs 40 Yrs 50 Yrs
Portfolio 6.80 0.12 0.22 0.65 0.96 0.76 0.47 0.76 1.64 0.95 0.01 0.00
Benchmark 6.63 0.08 0.16 0.83 1.24 0.87 0.45 0.72 1.28 0.70 0.01 0.00
Active 0.16 0.03 0.06 -0.19 -0.28 -0.12 0.02 0.04 0.37 0.25 -0.00 0.00
-1.0
0.0
1.0
2.0
1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10
Yrs
15
Yrs
20
Yrs
25
Yrs
30
Yrs
40
Yrs
50
Yrs
Portfolio
Benchmark
Active
25 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 182 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: FIXED INCOME ANALYSIS DATE: March 31, 2019
BENCHMARK: Fixed Income MARKET VALUE: 27,672,021,344POSITIONS: 7,912 ACCEPTED: 7,821
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 0.00 3.06 0.36 100.00 0.00
United States 92 .82 91 .71 1 .11 3 .18 0 .33 91 .14 0 .00
Canada 1 .20 1 .48 -0 .28 3 .87 0 .00 0 .69 -0 .00
United Kingdom 1.04 1 .06 -0 .02 3 .62 0 .00 0 .46 -0 .00
Ireland 0 .78 0 .31 0 .47 1 .52 0 .00 0 .03 -0 .00
N/A 0.76 0 .00 0 .76 8 .52 0 .01 4 .09 0 .01
Luxembourg 0 .62 0 .55 0 .08 7 .19 0 .00 0 .17 -0 .01
Netherlands 0 .54 0 .67 -0 .13 5 .04 -0 .00 -0 .15 -0 .00
Germany 0 .24 0 .42 -0 .18 2 .07 0 .00 0 .04 -0 .00
Israel 0 .19 0 .03 0 .16 3 .14 -0 .00 -0 .06 -0 .00
Mexico 0 .17 0 .27 -0 .11 4 .95 0 .00 0 .07 -0 .00
France 0 .14 0 .28 -0 .14 9 .96 0 .00 0 .38 -0 .00
Switzerland 0 .14 0 .13 0 .01 2 .36 0 .00 0 .04 -0 .00
Spain 0 .14 0 .07 0 .07 3 .08 -0 .00 -0 .02 -0 .00
Euro. Monetary Union 0 .13 0 .00 0 .13 7 .11 0 .00 0 .06 -0 .00
Caymans 0 .11 0 .04 0 .07 7 .84 0 .00 0 .49 0 .02
Belgium 0.09 0 .16 -0 .07 7 .70 0 .00 0 .02 0 .00
United Arab Emirates 0 .07 0 .03 0 .04 5 .37 -0 .00 -0 .04 -0 .00
Indonesia 0 .07 0 .14 -0 .07 9 .11 0 .00 0 .03 -0 .00
Colombia 0 .07 0 .09 -0 .02 7 .32 -0 .00 -0 .00 -0 .00
Australia 0 .06 0 .14 -0 .09 5 .86 0 .00 0 .03 -0 .00
India 0 .06 0 .05 0 .01 7 .91 -0 .00 -0 .02 -0 .01
Japan 0 .05 0 .33 -0 .28 2 .47 0 .00 0 .14 -0 .00
Chile 0 .05 0 .03 0 .02 4 .93 -0 .00 -0 .02 -0 .00
New Zealand 0 .04 0 .03 0 .01 9 .73 -0 .00 -0 .01 -0 .00
Venezuela 0 .04 0 .00 0 .04 10 .00 -0 .00 -0 .01 -0 .00
Italy 0 .04 0 .18 -0 .14 10 .53 0 .00 0 .36 -0 .01
Austria 0 .03 0 .02 0 .01 28 .94 0 .00 0 .29 0 .02
S. Korea 0 .03 0 .06 -0 .03 4 .16 -0 .00 -0 .00 -0 .00
Puerto Rico 0 .03 0 .00 0 .03 16 .67 0 .00 0 .33 0 .04
Bermuda 0.03 0 .04 -0 .01 2 .68 0 .00 0 .12 -0 .00 -25% 0% 25% 50% 75% 100%
Bermuda
Puerto Rico
S. Korea
Austria
Italy
Venezuela
New Zealand
Chile
Japan
India
Australia
Colombia
Indonesia
United Arab Emirates
Belgium
Caymans
Euro. Monetary Union
Spain
Switzerland
France
Mexico
Israel
Germany
Netherlands
Luxembourg
N/A
Ireland
United Kingdom
Canada
United States
Portfolio Weight Benchmark Weight Active Weight
26 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 183 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: FIXED INCOME ANALYSIS DATE: March 31, 2019
BENCHMARK: Fixed Income MARKET VALUE: 27,672,021,344POSITIONS: 7,912 ACCEPTED: 7,821
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
-50% 0% 50% 100% 150%
N/A
EM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 27,405,078,181.15 95.50 99.43
Euro 232,249,356.07 4.01 0.52
British Pound Sterling 24,939,135.16 0.18 0.02
Danish Krone 4,071,121.00 -0.01 0.01
Canadian Dollar 2,961,934.55 0.26 0.01
Top Five Exposure $ CR to AR (%) CR to TR (%)
CNH 189,658.28 -0.00 0.00
New Taiwan Dollar 50.71 -0.00 0.00
Korean Won 2.19 0.00 0.00
Mexican Peso 0.06 -0.00 0.00
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 0.00 3.06 3.06 100.00 0.36 100.00
US Dollar 99 .04 100 .00 -0 .96 3 .07 3 .04 99 .43 0 .34 95 .50
Euro 0 .84 0 .00 0 .84 10 .37 0 .02 0 .52 0 .01 4 .01
British Pound Sterling 0 .09 0 .00 0 .09 12 .90 0 .00 0 .02 0 .00 0 .18
Danish Krone 0 .01 0 .00 0 .01 12 .36 0 .00 0 .01 -0 .00 -0 .01
Canadian Dollar 0 .01 0 .00 0 .01 96 .70 0 .00 0 .01 0 .00 0 .26
Norwegian Krone 0 .01 0 .00 0 .01 54 .81 0 .00 0 .00 0 .00 0 .06
Swedish Krona 0 .00 0 .00 0 .00 25 .30 0 .00 0 .00 0 .00 0 .00
CNH 0.00 0 .00 0 .00 12 .54 0 .00 0 .00 -0 .00 -0 .00
Australian Dollar 0 .00 0 .00 0 .00 11 .92 0 .00 0 .00 -0 .00 -0 .00
Singapore Dollar 0 .00 0 .00 0 .00 4 .17 0 .00 0 .00 -0 .00 -0 .00
Swiss Franc 0 .00 0 .00 0 .00 72 .54 0 .00 0 .00 0 .00 0 .00
New Zealand Dollar 0 .00 0 .00 0 .00 8 .86 0 .00 0 .00 0 .00 0 .00
New Taiwan Dollar 0 .00 0 .00 0 .00 3 .70 0 .00 0 .00 -0 .00 -0 .00
Korean Won 0.00 0 .00 0 .00 7 .03 0 .00 0 .00 0 .00 0 .00
Mexican Peso 0 .00 0 .00 0 .00 11 .60 0 .00 0 .00 -0 .00 -0 .00
27 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 184 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: FIXED INCOME ANALYSIS DATE: March 31, 2019
BENCHMARK: Fixed Income MARKET VALUE: 27,672,021,344POSITIONS: 7,912 ACCEPTED: 7,821
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Bond Sector
Weight (%)
Sector Portfolio Benchmark Active Cont. To Eff. Dur Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 0.00 6.80 3.06 0.36 100.00 0.00
Government 49 .19 43 .05 6 .14 4 .96 5 .02 0 .12 32 .24 0 .00
Mortgage Backed Security 8 .34 14 .62 -6 .28 0 .37 3 .09 0 .01 2 .87 -0 .00
Financial 7 .77 6 .11 1 .66 0 .22 2 .09 0 .01 2 .06 -0 .00
Consumer Discretionary 7 .13 7 .93 -0 .79 0 .19 3 .80 0 .01 2 .16 -0 .00
Others 3 .74 2 .65 1 .09 0 .02 6 .55 0 .12 34 .26 0 .01
Health Care 3 .47 3 .90 -0 .43 0 .13 3 .36 0 .01 1 .85 -0 .00
Industrial 3 .46 3 .85 -0 .39 0 .08 3 .50 0 .01 1 .41 -0 .00
Energy 3 .17 3 .25 -0 .08 0 .15 8 .19 0 .00 0 .20 -0 .01
Materials 2 .50 2 .22 0 .28 0 .07 4 .98 -0 .00 -0 .45 -0 .01
Telecommunications 2 .34 3 .08 -0 .73 0 .09 5 .44 0 .00 0 .99 -0 .01
Utility 1 .75 1 .57 0 .18 0 .09 3 .15 -0 .00 -0 .01 0 .00
Technology 1 .73 1 .81 -0 .09 0 .09 3 .22 0 .01 1 .65 0 .00
Agency 1 .29 1 .60 -0 .31 0 .10 4 .26 0 .00 0 .70 0 .00
Consumer Staples 1 .24 1 .76 -0 .53 0 .06 3 .21 0 .00 0 .01 -0 .00
Asset Backed Security 0 .98 0 .11 0 .87 0 .04 3 .04 0 .01 2 .34 0 .01
Transportation 0 .67 0 .65 0 .02 0 .03 2 .43 -0 .00 -0 .06 0 .00
Commercial Mortgage Backed 0 .45 0 .06 0 .39 0 .02 3 .02 0 .00 1 .07 0 .01
Sovereign 0 .40 1 .12 -0 .71 0 .02 4 .33 0 .00 0 .74 -0 .00
Collateralized Loan Obligat 0 .19 0 .00 0 .19 0 .05 70 .42 0 .05 15 .11 0 .28
Local/Provincial 0 .17 0 .20 -0 .03 0 .01 5 .82 0 .00 0 .59 0 .00
Collateralized Debt Obligat 0 .01 0 .00 0 .01 -0 .00 14 .20 0 .00 0 .07 0 .02
Supranational 0 .00 0 .45 -0 .45 0 .00 1 .35 0 .00 0 .22 -0 .00
Covered bond 0 .00 0 .00 -0 .00 0 .00 0 .59 0 .00 0 .00 -0 .00
-20% 0% 20% 40% 60%
Mortgage Backed Security
Consumer Discretionary
Telecommunications
Sovereign
Consumer Staples
Health Care
Industrial
Agency
Technology
Energy
Transportation
Utility
Materials
Asset Backed Security
Others
Financial
Government
Portfolio Weight Benchmark Weight Active Weight
28 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 185 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: FIXED INCOME ANALYSIS DATE: March 31, 2019
BENCHMARK: Fixed Income MARKET VALUE: 27,672,021,344POSITIONS: 7,912 ACCEPTED: 7,821
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Moody's Rating
Weight (%)
Rating Portfolio Benchmark Active Cont. To Eff. Dur Spread Duration Total Risk Active Risk CR %CR to Active TR
Total 100.00 100.00 0.00 6.80 7.24 3.06 0.36 100.00
Aaa 58.12 59 .64 -1 .52 5 .44 9 .49 4 .66 0 .13 35 .95
Aa1 0.22 0 .29 -0 .07 0 .02 8 .74 4 .63 0 .00 0 .32
Aa2 0.17 0 .67 -0 .50 0 .02 10 .24 5 .24 -0 .00 -0 .01
Aa3 0.18 0 .61 -0 .43 0 .01 8 .15 3 .97 0 .00 0 .07
A1 0.55 1 .50 -0 .95 0 .04 7 .81 3 .84 0 .00 0 .29
A2 1.32 1 .42 -0 .10 0 .09 6 .54 3 .19 0 .00 0 .51
A3 1.63 2 .04 -0 .42 0 .12 7 .34 3 .68 -0 .00 -0 .32
Baa1 1.91 2 .24 -0 .33 0 .14 7 .30 3 .64 -0 .00 -0 .24
Baa2 2.12 2 .51 -0 .39 0 .15 7 .05 3 .55 -0 .00 -0 .01
Baa3 2.18 2 .00 0 .18 0 .11 5 .20 2 .66 0 .00 0 .12
Ba1 1.64 2 .42 -0 .78 0 .05 4 .21 3 .38 0 .00 1 .36
Ba2 2.39 2 .90 -0 .51 0 .06 3 .18 2 .86 0 .00 0 .59
Ba3 3.60 4 .12 -0 .51 0 .10 3 .29 3 .28 0 .00 0 .83
B1 3.38 3 .58 -0 .20 0 .07 2 .97 4 .57 -0 .00 -0 .17
B2 4.11 4 .48 -0 .37 0 .07 3 .10 5 .14 -0 .00 -0 .11
B3 2.86 2 .65 0 .21 0 .08 3 .20 5 .76 -0 .00 -0 .39
Caa1 1 .42 1 .34 0 .09 0 .03 2 .88 7 .59 0 .00 0 .50
Caa2 1 .15 0 .96 0 .20 0 .02 3 .22 9 .82 0 .00 0 .28
Caa3 0 .11 0 .12 -0 .01 0 .00 2 .99 9 .30 0 .00 0 .26
Ca 0.10 0 .15 -0 .04 0 .00 2 .47 5 .13 0 .00 0 .66
C 0.05 0 .02 0 .02 0 .00 8 .87 20 .88 0 .00 0 .38
WR 0.36 0 .42 -0 .05 0 .01 3 .33 8 .59 0 .00 0 .56
NR 0.14 0 .04 0 .10 0 .05 44 .63 95 .01 0 .05 14 .78
Not Rated 10 .27 3 .89 6 .38 0 .12 1 .70 2 .88 0 .16 43 .80
-20% 0% 20% 40% 60%
N/A
NR
WR
C
Ca
Caa3
Caa2
Caa1
B3
B2
B1
Ba3
Ba2
Ba1
Baa3
Baa2
Baa1
A3
A2
A1
Aa3
Aa2
Aa1
Aaa
Portfolio Weight Benchmark Weight Active Weight
29 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 186 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: March 31, 2019
BENCHMARK: Fixed Income MARKET VALUE: 25,998,728,977POSITIONS: 7,890 ACCEPTED: 7,802
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 3.21
Benchmark Risk 3.05
Active Risk 0.47
Portfolio Beta 1.04
Cont. to Eff. Duration 7.09
Convexity 0.91
Yield to Worst (%) 2.80
OAS to Swap (bp) 81.16
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 25,998,728,977 100.00 3.21 3.21 100.00
Alternative Credit 5,613,356,470 21.59 4.23 0.13 3.94
Fixed Income 20,385,372,507 78.41 4.10 3.08 96.06
Asset Class Allocation
0%
20%
40%
60%
80%
100%
Alternative Credit Fixed Income
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 3.21 100.00 1.00 0.47 100.00 1.00
Local Market Risk 3.21 100.00 1.00 0.47 100.00 1.00
Common Factor Risk 3.21 99.93 1.00 0.46 97.12 0.99
Equity -0.00 -0.03 -0.02 -0.02 -4.19 -0.40
Industry -0.00 -0.03 -0.02 -0.02 -4.08 -0.39
Fixed Income 3.21 99.96 1.00 0.48 101.31 0.98
Nominal Rates 2.93 91.17 0.91 0.18 37.43 0.72
Real Rates 0.36 11.33 0.84 0.02 4.32 0.36
Credit -0.08 -2.54 -0.06 0.28 59.57 0.80
Selection Risk 0.00 0.07 0.03 0.01 2.88 0.17
Active Risk from Risk Factors
-50
0
50
100
150
Fixed Income Equity Selection Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
30 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 187 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: March 31, 2019
BENCHMARK: Fixed Income MARKET VALUE: 25,998,728,977POSITIONS: 7,890 ACCEPTED: 7,802
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio by Factor Breakdowns
Top 10 Spread FactorExposure (Residual) Correlation Contribution (Residual)
Spread Factor Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US BB 1.02 0.00 0.17 -0.16 -0.01 -0.74 -0.00 0.12 26.26
US Conventional 30 yr Mortgage 0.37 0.32 0.52 -0.21 -0.00 -0.31 0.02 0.02 5.04
US Swap Shift 0.14 2.26 2.71 -0.45 -0.00 -0.22 -0.05 0.01 3.01
US Energy CCC 7.93 0.00 0.01 -0.00 -0.04 -0.51 -0.00 0.01 2.95
US Telecom B 1.97 0.03 0.04 -0.01 -0.01 -0.65 -0.00 0.01 2.09
US Industrials CCC 2.42 0.01 0.01 -0.01 -0.02 -0.66 -0.00 0.01 2.01
US Consumer Discretionary BB 0.93 0.02 0.03 -0.01 -0.01 -0.71 -0.00 0.01 1.98
US Financials BB 1.14 0.03 0.04 -0.01 -0.01 -0.55 0.00 0.01 1.94
US GNMA 30 yr Mortgage Spread 0.31 0.14 0.22 -0.07 -0.00 -0.39 0.00 0.01 1.85
US Health Care CCC 2.50 0.01 0.02 -0.01 -0.01 -0.59 -0.00 0.01 1.57
%CR to Active Risk by Duration Buckets
-50%
0%
50%
100%
-INF to 0 0 to 3 3 to 5 5 to 7 7 to 10 10 to +INF N/A
Porfolio Weight
(%)
Benchmark
Weight (%)
ACR (%)
Top 10 Term StructureExposure (Residual) Correlation Contribution (Residual)
Term Structure Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Shift 0.48 6.09 5.80 0.29 0.00 0.64 2.56 0.09 18.76
US Twist 0.18 3.40 2.75 0.65 0.00 0.65 0.39 0.07 15.61
US Inflation-protected 0.32 0.37 0.28 0.09 0.00 0.57 0.02 0.02 3.62
US Butterfly 0.13 0.89 -0.39 1.27 0.00 0.09 -0.04 0.01 2.92
US Inflation-protected 0.47 0.99 0.86 0.13 0.00 0.05 0.33 0.00 0.59
US Inflation-protected 0.15 -0.20 -0.18 -0.02 -0.00 -0.16 0.01 0.00 0.10
US Municipal Shift 0.44 0.01 0.00 0.00 0.00 0.27 0.00 0.00 0.09
US Municipal Twist 0.22 0.00 0.00 0.00 0.00 0.31 0.00 0.00 0.03
US Implied Volatility 15.30 -0.00 -0.00 0.00 0.00 0.01 0.01 0.00 0.01
US Municipal Butterfly 0.16 -0.00 -0.00 -0.00 -0.00 -0.09 0.00 0.00 0.00
Key Rate DurationKey Rate Duration
Cont. To Eff. Dur 1 Yr 2 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs 20 Yrs 25 Yrs 30 Yrs 40 Yrs 50 Yrs
Portfolio 7.09 0.10 0.22 0.65 0.98 0.78 0.48 0.79 1.72 0.99 0.01 0.00
Benchmark 6.63 0.08 0.16 0.83 1.24 0.87 0.45 0.72 1.28 0.70 0.01 0.00
Active 0.45 0.02 0.06 -0.18 -0.26 -0.09 0.03 0.07 0.44 0.29 -0.01 -0.00
-1.0
0.0
1.0
2.0
1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10
Yrs
15
Yrs
20
Yrs
25
Yrs
30
Yrs
40
Yrs
50
Yrs
Portfolio
Benchmark
Active
31 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 188 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: March 31, 2019
BENCHMARK: Fixed Income MARKET VALUE: 25,998,728,977POSITIONS: 7,890 ACCEPTED: 7,802
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 3.21 0.47 100.00 0.00
United States 94 .03 91 .71 2 .32 3 .33 0 .45 94 .53 0 .01
Canada 1 .20 1 .48 -0 .28 3 .39 0 .00 0 .83 -0 .01
United Kingdom 0.94 1 .06 -0 .12 3 .33 0 .01 1 .11 -0 .01
Ireland 0 .81 0 .31 0 .50 1 .47 -0 .00 -0 .65 -0 .00
Luxembourg 0 .60 0 .55 0 .05 6 .48 -0 .00 -0 .18 -0 .03
Netherlands 0 .51 0 .67 -0 .17 5 .38 -0 .00 -0 .52 -0 .01
Germany 0 .23 0 .42 -0 .19 1 .93 0 .00 0 .19 0 .00
Israel 0 .19 0 .03 0 .16 2 .97 -0 .00 -0 .43 -0 .01
Mexico 0 .18 0 .27 -0 .09 4 .95 0 .00 0 .45 -0 .01
Switzerland 0 .15 0 .13 0 .02 2 .33 -0 .00 -0 .03 -0 .01
France 0 .14 0 .28 -0 .14 7 .38 0 .00 0 .63 -0 .01
Spain 0 .12 0 .07 0 .05 2 .44 -0 .00 -0 .10 -0 .00
Belgium 0.09 0 .16 -0 .07 7 .70 -0 .00 -0 .08 0 .02
United Arab Emirates 0 .07 0 .03 0 .04 5 .20 -0 .00 -0 .05 -0 .01
Colombia 0 .07 0 .09 -0 .01 7 .32 0 .00 0 .03 -0 .00
Indonesia 0 .07 0 .14 -0 .06 9 .21 0 .00 0 .21 -0 .00
Caymans 0 .06 0 .04 0 .02 6 .67 -0 .00 -0 .25 -0 .03
Australia 0 .06 0 .14 -0 .08 5 .88 -0 .00 -0 .02 -0 .01
India 0 .06 0 .05 0 .01 7 .91 -0 .00 -0 .09 -0 .01
Japan 0 .06 0 .33 -0 .27 2 .47 0 .00 0 .24 0 .00
Chile 0 .05 0 .03 0 .03 4 .93 -0 .00 -0 .03 0 .00
New Zealand 0 .04 0 .03 0 .01 9 .73 -0 .00 -0 .07 -0 .03
Italy 0 .04 0 .18 -0 .14 10 .53 0 .01 1 .07 -0 .03
S. Korea 0 .04 0 .06 -0 .03 4 .16 0 .00 0 .03 0 .00
Panama 0.03 0 .05 -0 .03 6 .11 0 .00 0 .14 -0 .01
Bermuda 0.02 0 .04 -0 .02 2 .91 0 .00 0 .26 -0 .02
Norway 0 .02 0 .07 -0 .05 3 .23 -0 .00 -0 .03 0 .01
Sweden 0.02 0 .13 -0 .12 1 .49 0 .00 0 .24 -0 .00
Venezuela 0 .02 0 .00 0 .02 2 .62 -0 .00 -0 .05 -0 .01
Marshalls 0 .01 0 .04 -0 .02 2 .22 0 .00 0 .06 -0 .00 -25% 0% 25% 50% 75% 100%
Marshalls
Venezuela
Sweden
Norway
Bermuda
Panama
S. Korea
Italy
New Zealand
Chile
Japan
India
Australia
Caymans
Indonesia
Colombia
United Arab Emirates
Belgium
Spain
France
Switzerland
Mexico
Israel
Germany
Netherlands
Luxembourg
Ireland
United Kingdom
Canada
United States
Portfolio Weight Benchmark Weight Active Weight
32 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 189 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: March 31, 2019
BENCHMARK: Fixed Income MARKET VALUE: 25,998,728,977POSITIONS: 7,890 ACCEPTED: 7,802
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
-50% 0% 50% 100% 150%
EM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 25,998,654,978.95 100.00 100.00
British Pound Sterling 27,584.64 -0.00 -0.00
Euro 18,457.07 -0.00 0.00
Australian Dollar 15,627.70 -0.00 0.00
New Zealand Dollar 12,276.00 -0.00 0.00
Top Five Exposure $ CR to AR (%) CR to TR (%)
New Taiwan Dollar 50.71 -0.00 0.00
Korean Won 2.19 -0.00 0.00
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 -0.00 3.21 3.21 100.00 0.47 100.00
US Dollar 100 .00 100 .00 -0 .00 3 .21 3 .21 100 .00 0 .47 100 .00
British Pound Sterling 0 .00 0 .00 0 .00 8 .67 -0 .00 -0 .00 -0 .00 -0 .00
Euro 0 .00 0 .00 0 .00 6 .88 0 .00 0 .00 -0 .00 -0 .00
Australian Dollar 0 .00 0 .00 0 .00 8 .13 0 .00 0 .00 -0 .00 -0 .00
New Zealand Dollar 0 .00 0 .00 0 .00 8 .86 0 .00 0 .00 -0 .00 -0 .00
New Taiwan Dollar 0 .00 0 .00 0 .00 3 .70 0 .00 0 .00 -0 .00 -0 .00
Korean Won 0.00 0 .00 0 .00 7 .03 0 .00 0 .00 -0 .00 -0 .00
33 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 190 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: March 31, 2019
BENCHMARK: Fixed Income MARKET VALUE: 25,998,728,977POSITIONS: 7,890 ACCEPTED: 7,802
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Bond Sector
Weight (%)
Sector Portfolio Benchmark Active Cont. To Eff. Dur Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 7.09 3.21 0.47 100.00 0.00
Government 52 .17 43 .05 9 .11 5 .26 5 .02 0 .31 64 .70 0 .03
Mortgage Backed Security 8 .85 14 .62 -5 .77 0 .40 3 .09 0 .01 1 .55 0 .01
Financial 7 .89 6 .11 1 .78 0 .23 2 .02 -0 .01 -1 .69 -0 .00
Consumer Discretionary 6 .64 7 .93 -1 .29 0 .19 3 .71 0 .03 6 .37 -0 .02
Health Care 3 .35 3 .90 -0 .55 0 .13 3 .31 0 .00 0 .86 -0 .00
Energy 3 .17 3 .25 -0 .07 0 .15 7 .93 -0 .00 -0 .37 -0 .03
Industrial 3 .16 3 .85 -0 .70 0 .07 3 .33 0 .01 2 .42 -0 .02
Materials 2 .43 2 .22 0 .21 0 .07 4 .74 -0 .02 -3 .50 -0 .02
Telecommunications 2 .38 3 .08 -0 .70 0 .10 5 .29 0 .02 5 .08 -0 .02
Technology 1 .75 1 .81 -0 .07 0 .09 3 .25 -0 .01 -1 .76 -0 .00
Utility 1 .47 1 .57 -0 .10 0 .09 3 .14 -0 .00 -0 .61 0 .01
Agency 1 .37 1 .60 -0 .23 0 .10 4 .27 0 .01 2 .36 0 .02
Others 1 .33 2 .65 -1 .32 0 .00 0 .15 0 .12 24 .65 -0 .02
Consumer Staples 1 .29 1 .76 -0 .47 0 .07 3 .26 -0 .00 -0 .61 0 .00
Asset Backed Security 1 .03 0 .11 0 .93 0 .04 2 .97 -0 .00 -0 .61 0 .01
Transportation 0 .69 0 .65 0 .04 0 .03 2 .46 -0 .00 -0 .49 0 .00
Commercial Mortgage Backed 0 .47 0 .06 0 .41 0 .02 2 .97 -0 .00 -0 .07 0 .01
Sovereign 0 .41 1 .12 -0 .71 0 .02 4 .44 0 .01 2 .56 -0 .01
Local/Provincial 0 .15 0 .20 -0 .06 0 .01 5 .31 -0 .00 -0 .17 0 .01
Supranational 0 .00 0 .45 -0 .45 0 .00 1 .35 -0 .00 -0 .65 0 .02
Covered bond 0 .00 0 .00 -0 .00 0 .00 0 .59 0 .00 0 .00 0 .00
Collateralized Debt Obligat 0 .00 0 .00 -0 .00 0 .00 0 .00 0 .00 0 .00 0 .00
-20% 0% 20% 40% 60%
Mortgage Backed Security
Others
Consumer Discretionary
Sovereign
Telecommunications
Industrial
Health Care
Consumer Staples
Agency
Utility
Energy
Technology
Transportation
Materials
Asset Backed Security
Financial
Government
Portfolio Weight Benchmark Weight Active Weight
34 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 191 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Public ANALYSIS DATE: March 31, 2019
BENCHMARK: Fixed Income MARKET VALUE: 25,998,728,977POSITIONS: 7,890 ACCEPTED: 7,802
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Moody's Rating
Weight (%)
Rating Portfolio Benchmark Active Cont. To Eff. Dur Spread Duration Total Risk Active Risk CR %CR to Active TR
Total 100.00 100.00 -0.00 7.09 7.35 3.21 0.47 100.00
Aaa 61.78 59 .64 2 .14 5 .78 9 .48 4 .66 0 .32 68 .30
Aa1 0.23 0 .29 -0 .06 0 .02 8 .74 4 .63 0 .00 0 .33
Aa2 0.20 0 .67 -0 .47 0 .02 9 .63 4 .77 -0 .00 -0 .10
Aa3 0.19 0 .61 -0 .42 0 .02 8 .15 3 .97 0 .00 0 .36
A1 0.59 1 .50 -0 .91 0 .05 7 .81 3 .84 0 .00 0 .24
A2 1.41 1 .42 -0 .01 0 .09 6 .54 3 .19 -0 .00 -0 .92
A3 1.73 2 .04 -0 .31 0 .13 7 .34 3 .68 -0 .00 -0 .75
Baa1 2.05 2 .24 -0 .19 0 .15 7 .36 3 .68 -0 .01 -1 .59
Baa2 2.27 2 .51 -0 .24 0 .16 7 .09 3 .57 -0 .00 -0 .24
Baa3 2.31 2 .00 0 .31 0 .12 5 .24 2 .67 0 .00 0 .10
Ba1 1.37 2 .42 -1 .05 0 .05 4 .21 3 .45 0 .03 7 .40
Ba2 2.51 2 .90 -0 .39 0 .06 3 .19 2 .88 0 .01 2 .12
Ba3 3.74 4 .12 -0 .37 0 .10 3 .29 3 .27 0 .01 1 .98
B1 3.46 3 .58 -0 .11 0 .07 2 .98 4 .58 -0 .00 -0 .88
B2 4.15 4 .48 -0 .34 0 .07 3 .10 5 .15 0 .00 0 .14
B3 2.83 2 .65 0 .18 0 .08 3 .17 5 .76 -0 .01 -2 .16
Caa1 1 .14 1 .34 -0 .20 0 .03 2 .81 7 .21 0 .01 2 .10
Caa2 0 .61 0 .96 -0 .35 0 .02 3 .19 10 .59 0 .03 5 .63
Caa3 0 .04 0 .12 -0 .07 0 .00 2 .44 16 .51 0 .00 0 .97
Ca 0.01 0 .15 -0 .13 0 .00 2 .49 11 .44 0 .01 1 .50
C 0.01 0 .02 -0 .02 0 .00 4 .22 14 .81 0 .00 0 .31
WR 0.17 0 .42 -0 .25 0 .00 3 .30 5 .90 0 .00 0 .11
NR 0.08 0 .04 0 .04 0 .00 0 .61 0 .52 -0 .00 -0 .22
Not Rated 7 .11 3 .89 3 .22 0 .08 1 .38 0 .96 0 .07 15 .30
-20% 0% 20% 40% 60% 80%
N/A
NR
WR
C
Ca
Caa3
Caa2
Caa1
B3
B2
B1
Ba3
Ba2
Ba1
Baa3
Baa2
Baa1
A3
A2
A1
Aa3
Aa2
Aa1
Aaa
Portfolio Weight Benchmark Weight Active Weight
35 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 192 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: March 31, 2019
BENCHMARK: 50_HY-50_LEVLOAN, 50% JPM Global High Yield/50% CS Lvgd Loan MARKET VALUE: 1,673,292,367POSITIONS: 22 ACCEPTED: 19
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Total Plan Summary
Risk Summary
Statistic Value
Total Risk 6.66
Benchmark Risk 4.74
Active Risk 4.69
Portfolio Beta 1.00
Cont. to Eff. Duration 2.47
Convexity -0.51
Yield to Worst (%) 17.20
OAS to Swap (bp) 863.52
Asset Class Contribution to Risk
Asset Class Mkt Value Weight (%) Total Risk Risk Contribution %CR to TR
Total 1,673,292,367 100.00 6.66 6.66 100.00
Opportunistic Fixed Income 1,673,292,367 100.00 6.66 6.66 100.00
Asset Class Allocation
0%
25%
50%
75%
100%
125%
Opportunistic Fixed Income
Weight (%) %CR to Total Risk
Risk Factor Breakdown
Risk Decomposition
Portfolio Active
Risk Source Risk Contribution % Risk Correlation Risk Contribution % Risk Correlation
Total Risk 6.66 100.00 1.00 4.69 100.00 1.00
Local Market Risk 6.62 99.30 1.00 4.67 99.61 0.99
Common Factor Risk 6.44 96.70 0.98 4.25 90.65 0.95
Equity 3.15 47.22 0.83 2.13 45.42 0.56
Style 0.80 12.03 0.43 0.78 16.55 0.42
Industry 2.34 35.19 0.78 1.35 28.86 0.45
Fixed Income 3.29 49.33 0.84 2.11 44.94 0.55
Nominal Rates -0.31 -4.66 -0.29 0.01 0.27 0.04
Real Rates 0.00 0.00 0.15 0.02 0.42 0.06
Credit 3.60 53.99 0.84 2.07 44.24 0.57
Private Equity 0.01 0.15 0.04 0.01 0.30 0.05
Selection Risk 0.17 2.59 0.16 0.42 8.96 0.30
Currency Risk 0.05 0.70 0.08 0.02 0.39 0.03
Active Risk from Risk Factors
0
10
20
30
40
50
Equity Fixed Income Private Equity Selection Risk Currency Risk
% C
R t
o A
ctiv
e T
ota
l R
isk
36 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 193 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: March 31, 2019
BENCHMARK: 50_HY-50_LEVLOAN, 50% JPM Global High Yield/50% CS Lvgd Loan MARKET VALUE: 1,673,292,367POSITIONS: 22 ACCEPTED: 19
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio by Factor Breakdowns
Top 10 Spread FactorExposure (Residual) Correlation Contribution (Residual)
Spread Factor Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Swap Shift 0.14 23.12 3.78 19.34 0.00 0.67 1.55 1.81 38.63
US BB 1.02 0.00 3.16 -3.16 -0.00 -0.03 0.00 0.10 2.10
US Swap Butterfly 0.06 -11.54 -0.81 -10.73 -0.00 -0.13 0.10 0.09 1.93
US Consumer Discretionary CCC 3.25 0.18 0.03 0.15 0.00 0.08 0.36 0.04 0.85
US CCC 2.88 0.08 0.01 0.07 0.00 0.06 0.15 0.01 0.24
US Industrials CCC 2.42 0.13 0.01 0.12 0.00 0.04 0.19 0.01 0.22
US Energy CCC 7.93 0.04 0.00 0.04 0.00 0.04 0.13 0.01 0.21
EUR Swap Shift 0.16 0.46 0.00 0.46 0.00 0.13 0.01 0.01 0.20
US Materials CCC 3.19 0.07 0.01 0.07 0.00 0.04 0.12 0.01 0.19
GB Swap Shift 0.26 0.10 0.00 0.10 0.00 0.32 0.01 0.01 0.19
%CR to Active Risk by Duration Buckets
0%
20%
40%
60%
-INF to 0 0 to 3 3 to 5 5 to 7 7 to 10 10 to +INF N/A
Porfolio Weight
(%)
Benchmark
Weight (%)
ACR (%)
Top 10 Term StructureExposure (Residual) Correlation Contribution (Residual)
Term Structure Volatility Portfolio Benchmark Active MCAR Active Port to TR to AR to AR%
US Twist 0.18 -1.02 0.90 -1.92 -0.00 -0.10 0.02 0.03 0.69
US Inflation-protected 0.47 0.00 0.52 -0.52 -0.00 -0.07 0.00 0.02 0.37
EUR Implied Volatility 10.47 -0.00 0.00 -0.00 -0.02 -0.19 0.01 0.01 0.17
US Implied Volatility 15.30 -0.00 0.00 -0.00 -0.05 -0.30 0.00 0.00 0.06
US Inflation-protected 0.32 0.00 -0.56 0.56 0.00 0.01 -0.00 0.00 0.05
US Butterfly 0.13 -0.54 0.03 -0.57 -0.00 -0.01 -0.01 0.00 0.01
FR Shift 0.39 -0.02 0.00 -0.02 -0.00 -0.07 0.00 0.00 0.01
GB Twist 0.18 -0.01 0.00 -0.01 -0.00 -0.18 0.00 0.00 0.00
US Municipal Butterfly 0.16 -0.04 0.00 -0.04 -0.00 -0.01 -0.00 0.00 0.00
EUR Butterfly 0.10 -0.02 0.00 -0.02 -0.00 -0.02 0.00 0.00 0.00
Key Rate DurationKey Rate Duration
Cont. To Eff. Dur 1 Yr 2 Yrs 5 Yrs 7 Yrs 10 Yrs 15 Yrs 20 Yrs 25 Yrs 30 Yrs 40 Yrs 50 Yrs
Portfolio 2.30 0.46 0.36 0.52 0.56 0.24 0.15 0.10 0.02 0.17 0.01 0.06
Benchmark 1.83 0.03 -0.03 0.00 0.02 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Active 0.46 0.43 0.38 0.52 0.54 0.24 0.15 0.10 0.02 0.17 0.01 0.06
-0.2
0.0
0.2
0.4
0.6
1 Yr 2 Yrs 3 Yrs 5 Yrs 7 Yrs 10
Yrs
15
Yrs
20
Yrs
25
Yrs
30
Yrs
40
Yrs
50
Yrs
Portfolio
Benchmark
Active
37 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 194 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: March 31, 2019
BENCHMARK: 50_HY-50_LEVLOAN, 50% JPM Global High Yield/50% CS Lvgd Loan MARKET VALUE: 1,673,292,367POSITIONS: 22 ACCEPTED: 19
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Top 30 Countries by Weight%
Weight (%)
Country of Exposure Portfolio Benchmark Active Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 6.66 4.69 100.00 0.05
United States 73 .91 94 .64 -20 .74 7 .20 3 .92 83 .61 0 .02
N/A 12.54 0 .00 12 .54 8 .52 0 .43 9 .21 0 .03
United Kingdom 2.58 0 .63 1 .95 8 .75 0 .05 1 .04 0 .01
Euro. Monetary Union 2 .15 0 .00 2 .15 7 .11 0 .01 0 .12 0 .00
Canada 1 .17 1 .33 -0 .17 20 .10 0 .04 0 .77 0 .02
Netherlands 1 .05 0 .87 0 .18 8 .68 0 .01 0 .14 0 .00
Luxembourg 1 .04 1 .23 -0 .19 31 .95 0 .02 0 .51 0 .01
Caymans 0 .89 0 .17 0 .73 12 .86 0 .05 1 .01 0 .05
Austria 0 .57 0 .02 0 .55 28 .94 0 .04 0 .89 0 .07
Puerto Rico 0 .47 0 .00 0 .47 16 .67 0 .04 0 .81 0 .08
Spain 0 .42 0 .00 0 .42 10 .79 0 .01 0 .11 0 .01
Germany 0 .40 0 .13 0 .27 7 .48 0 .00 0 .05 0 .01
Venezuela 0 .40 0 .00 0 .40 15 .82 0 .00 0 .03 0 .00
Singapore 0 .31 0 .00 0 .31 4 .17 0 .00 0 .00 0 .00
Ireland 0 .31 0 .22 0 .09 10 .66 0 .00 0 .05 0 .01
Denmark 0 .24 0 .00 0 .24 12 .36 0 .00 0 .05 0 .01
Greece 0 .22 0 .00 0 .22 31 .90 0 .01 0 .31 0 .07
Brazil 0 .21 0 .00 0 .21 11 .02 0 .01 0 .16 0 .04
Israel 0 .19 0 .00 0 .19 7 .40 0 .00 0 .01 0 .00
France 0 .17 0 .18 -0 .01 67 .17 0 .03 0 .66 0 .03
Latvia 0 .16 0 .00 0 .16 9 .94 0 .00 0 .01 0 .00
N/A 0.11 0 .00 0 .11 13 .61 0 .00 0 .08 0 .03
Norway 0 .11 0 .02 0 .09 56 .13 0 .01 0 .19 0 .07
Sweden 0.09 0 .00 0 .09 53 .44 0 .00 0 .03 0 .01
United Arab Emirates 0 .07 0 .00 0 .07 9 .74 0 .00 0 .00 0 .00
Argentina 0 .06 0 .00 0 .06 10 .25 0 .00 0 .01 0 .01
Jersey 0 .05 0 .05 -0 .01 304 .65 0 .01 0 .20 0 .11
Bermuda 0.04 0 .04 0 .00 3 .24 -0 .00 -0 .01 0 .00
Iceland 0 .02 0 .00 0 .02 9 .29 0 .00 0 .00 0 .01
Indonesia 0 .01 0 .00 0 .01 6 .24 -0 .00 -0 .00 -0 .00 -25% 0% 25% 50% 75% 100%
Indonesia
Iceland
Bermuda
Jersey
Argentina
United Arab Emirates
Sweden
Norway
N/A
Latvia
France
Israel
Brazil
Greece
Denmark
Ireland
Singapore
Venezuela
Germany
Spain
Puerto Rico
Austria
Caymans
Luxembourg
Netherlands
Canada
Euro. Monetary Union
United Kingdom
N/A
United States
Portfolio Weight Benchmark Weight Active Weight
38 of 41
Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 195 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: March 31, 2019
BENCHMARK: 50_HY-50_LEVLOAN, 50% JPM Global High Yield/50% CS Lvgd Loan MARKET VALUE: 1,673,292,367POSITIONS: 22 ACCEPTED: 19
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Currency
Exposure by Market Developed Market Currency Emerging Market Currency
0% 25% 50% 75% 100% 125%
N/A
EM
US Dollar
Non-Dollar DM
Portfolio Weight Benchmark Weight %CR to Active Risk %CR to Total Risk
Top Five Exposure $ CR to AR (%) CR to TR (%)
US Dollar 1,406,423,202.19 87.12 82.81
Euro 232,230,899.00 11.10 14.75
British Pound Sterling 24,911,550.52 0.87 1.20
Danish Krone 4,071,121.00 0.05 0.09
Canadian Dollar 2,961,934.55 0.65 0.84
Top Five Exposure $ CR to AR (%) CR to TR (%)
CNH 189,658.28 0.00 0.01
Mexican Peso 0.06 0.00 0.00
Top 15 Currencies by Weight%
Weight (%)
Currency of Exposure Portfolio Benchmark Active Total Risk CR to TR CR to TR (%) CR to AR CR to AR (%)
Total 100.00 100.00 -0.00 6.66 6.66 100.00 4.69 100.00
US Dollar 84 .05 100 .00 -15 .95 6 .72 5 .52 82 .81 4 .09 87 .12
Euro 13 .88 0 .00 13 .88 10 .37 0 .98 14 .75 0 .52 11 .10
British Pound Sterling 1 .49 0 .00 1 .49 12 .91 0 .08 1 .20 0 .04 0 .87
Danish Krone 0 .24 0 .00 0 .24 12 .36 0 .01 0 .09 0 .00 0 .05
Canadian Dollar 0 .18 0 .00 0 .18 96 .70 0 .06 0 .84 0 .03 0 .65
Norwegian Krone 0 .11 0 .00 0 .11 54 .81 0 .02 0 .27 0 .01 0 .19
Swedish Krona 0 .02 0 .00 0 .02 25 .30 0 .00 0 .01 0 .00 0 .01
CNH 0.01 0 .00 0 .01 12 .54 0 .00 0 .01 0 .00 0 .00
Australian Dollar 0 .01 0 .00 0 .01 12 .46 0 .00 0 .01 0 .00 0 .00
Singapore Dollar 0 .01 0 .00 0 .01 4 .17 0 .00 0 .00 0 .00 0 .00
Swiss Franc 0 .01 0 .00 0 .01 72 .54 0 .00 0 .02 0 .00 0 .01
Mexican Peso 0 .00 0 .00 0 .00 11 .60 0 .00 0 .00 0 .00 0 .00
Japanese Yen 0 .00 0 .00 0 .00 7 .69 -0 .00 -0 .00 -0 .00 -0 .00
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Page 196 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: March 31, 2019
BENCHMARK: 50_HY-50_LEVLOAN, 50% JPM Global High Yield/50% CS Lvgd Loan MARKET VALUE: 1,673,292,367POSITIONS: 22 ACCEPTED: 19
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Bond Sector
Weight (%)
Sector Portfolio Benchmark Active Cont. To Eff. Dur Total Risk Active Risk CR %CR to Active TR MC to Active TR
Total 100.00 100.00 -0.00 2.30 6.66 4.69 100.00 0.05
Others 41 .14 50 .07 -8 .94 0 .30 9 .81 2 .58 55 .09 0 .02
Consumer Discretionary 14 .84 17 .73 -2 .88 0 .21 5 .16 0 .13 2 .87 0 .01
Industrial 8 .17 8 .63 -0 .46 0 .11 6 .49 0 .12 2 .54 0 .01
Utility 6 .00 1 .30 4 .70 0 .08 7 .57 0 .07 1 .49 0 .01
Financial 5 .96 5 .75 0 .21 0 .14 5 .30 0 .04 0 .80 0 .01
Health Care 5 .29 5 .09 0 .20 0 .06 4 .64 0 .03 0 .63 0 .00
Materials 3 .53 3 .44 0 .09 0 .09 12 .52 0 .05 1 .07 0 .01
Collateralized Loan Obligat 3 .17 0 .00 3 .17 0 .84 70 .42 1 .53 32 .68 0 .48
Energy 3 .14 1 .33 1 .81 0 .07 16 .68 0 .05 0 .99 0 .01
Government 2 .99 0 .00 2 .99 0 .33 5 .87 -0 .01 -0 .17 -0 .00
Telecommunications 1 .83 4 .12 -2 .29 0 .03 11 .13 0 .01 0 .15 0 .00
Technology 1 .43 0 .00 1 .43 0 .02 6 .07 0 .01 0 .13 0 .00
Local/Provincial 0 .56 0 .00 0 .56 0 .04 14 .01 0 .04 0 .83 0 .07
Mortgage Backed Security 0 .45 0 .00 0 .45 0 .02 3 .12 0 .00 0 .06 0 .01
Sovereign 0 .38 0 .00 0 .38 0 .00 16 .34 0 .00 0 .03 0 .00
Consumer Staples 0 .35 1 .45 -1 .11 -0 .06 18 .53 0 .01 0 .23 -0 .00
Transportation 0 .22 1 .08 -0 .86 0 .00 2 .52 0 .00 0 .00 0 .00
Collateralized Debt Obligat 0 .19 0 .00 0 .19 -0 .01 14 .20 0 .01 0 .23 0 .06
Asset Backed Security 0 .18 0 .00 0 .18 0 .01 9 .69 0 .01 0 .22 0 .06
Commercial Mortgage Backed 0 .16 0 .00 0 .16 0 .01 7 .55 0 .01 0 .12 0 .04
Agency 0 .03 0 .00 0 .03 0 .00 25 .71 0 .00 0 .01 0 .01
-20% 0% 20% 40% 60%
Others
Consumer Discretionary
Telecommunications
Consumer Staples
Transportation
Industrial
Materials
Health Care
Financial
Local/Provincial
Technology
Energy
Government
Collateralized Loan Obligation
Utility
Portfolio Weight Benchmark Weight Active Weight
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Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 197 of 204
BarraOne Fixed Income Summary COMPANY: NYCRS - TEACHERS CURRENCY: USDPORTFOLIO: Alternative ANALYSIS DATE: March 31, 2019
BENCHMARK: 50_HY-50_LEVLOAN, 50% JPM Global High Yield/50% CS Lvgd Loan MARKET VALUE: 1,673,292,367POSITIONS: 22 ACCEPTED: 19
MODEL: BIM303L
While this Report was prepared using sources, models, information and data believed to be reliable, the information contained herein, including, without limitation, any results or data provided to you by MSCI, Inc. (“MSCI”), are provided to you AS IS. All expressed or implied representations or warranties of any kind withrespect to the Report or the information contained herein, including, without limitation, warranties as to accuracy, completeness, timeliness, suitability, merchantability or use for a particular purpose are hereby disclaimed. Neither MSCI nor MSCI’s software or data providers shall be responsible or liable for results obtainedfrom use of the Report, or any information or analyses contained therein, or any losses, (whether direct, indirect, in contract, tort or otherwise) arising from any decision made or action taken by any party in reliance upon the Report, or for any delays, inaccuracies, errors in, or omissions of the Report.
Portfolio Allocation by Moody's Rating
Weight (%)
Rating Portfolio Benchmark Active Cont. To Eff. Dur Spread Duration Total Risk Active Risk CR %CR to Active TR
Total 100.00 100.00 -0.00 2.30 4.70 6.66 4.69 100.00
Aaa 1.24 0 .00 1 .24 0 .14 11 .45 6 .09 -0 .01 -0 .11
Aa2 -0 .35 0 .00 -0 .35 -0 .02 4 .87 6 .79 -0 .00 -0 .03
Baa1 -0 .29 0 .00 -0 .29 -0 .04 14 .13 10 .81 0 .00 0 .04
Baa2 -0 .18 0 .00 -0 .18 -0 .03 15 .71 10 .21 0 .00 0 .05
Baa3 0.18 0 .26 -0 .08 -0 .00 -1 .81 17 .08 0 .00 0 .04
Ba1 5.89 3 .46 2 .43 0 .07 4 .23 4 .46 0 .00 0 .03
Ba2 0.54 4 .73 -4 .20 0 .01 2 .31 3 .98 0 .00 0 .04
Ba3 1.43 6 .80 -5 .38 0 .03 3 .26 5 .97 0 .01 0 .27
B1 2.05 9 .20 -7 .15 0 .04 2 .68 4 .70 -0 .00 -0 .06
B2 3.54 14 .20 -10 .66 0 .05 3 .04 5 .21 -0 .00 -0 .11
B3 3.40 3 .79 -0 .39 0 .10 3 .55 6 .26 0 .02 0 .34
Caa1 5 .86 1 .25 4 .61 0 .09 3 .08 10 .39 0 .06 1 .32
Caa2 9 .58 1 .57 8 .01 0 .15 3 .26 10 .65 0 .12 2 .47
Caa3 1 .16 0 .19 0 .98 0 .02 3 .31 8 .67 0 .02 0 .46
Ca 1.50 0 .18 1 .32 0 .01 2 .47 5 .05 0 .03 0 .54
C 0.68 0 .00 0 .68 0 .05 9 .54 23 .55 0 .02 0 .42
WR 3.39 1 .15 2 .24 0 .08 3 .35 12 .22 0 .09 1 .97
NR 1.01 0 .00 1 .01 0 .84 101 .51 217 .34 1 .50 32 .00
Not Rated 59 .38 53 .21 6 .16 0 .71 2 .93 7 .02 2 .83 60 .32
-20% 0% 20% 40% 60%
N/A
NR
WR
C
Ca
Caa3
Caa2
Caa1
B3
B2
B1
Ba3
Ba2
Ba1
Baa3
Baa2
Baa1
Aa2
Aaa
Portfolio Weight Benchmark Weight Active Weight
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Report Provided by the Office of the New York City Comptroller Bureau of Asset Management
Page 198 of 204
APPENDICES:
Basket Clause
BASKET CLAUSE ANALYSIS
PREPARED BY THE NYC COMPTROLLER’S OFFICE FOR TRUSTEES OF THE TEACHERS’ RETIREMENT SYSTEM OF THE CITY OF NEW YORK
Trustee ReportingAs of 3/31/2019
This analysis shows basket consumption by investment mandate on a security look-through basis.
* Basket Eligible Assets are subject to the following thresholds - above which investment consumes basket capacity: 10% aggregate portfolio weight for investments in non-U.S. listed equities; 10% aggregate portfolio weight for real assets; and 10% aggregate portfolio weight for investments in high yield bonds and foreign debt issues that are registered with the SEC. To theextent that the value of investments in a particular category exceeds a threshold, the excess consumes basket capacity.
In the above table, the investment of cash held as collateral under the system’s securities lending program, is included as aNon-Basket Asset in the Cash/Equivalent line.
Basket Limit 25.00%Basket Consumed 23.24%Remaining Capacity 1.76%
Basket-Eligible Assets*Non-Basket Assets Non-Contributing Contributing Basket Assets Total
FIXED INCOME 28.50% 4.47% 0.01% 5.96% 38.94%U.S. Fixed 8.04% 3.78% 0.01% 5.69% 17.52%Cash/Equivalent 1.94% --- --- 0.00% 1.94%TIPS 4.23% --- --- ---- 4.23%Convertible Bonds 0.26% 0.00% 0.00% 0.00% 0.26%OFI 0.03% 0.10% 0.01% 2.49% 2.62%High Yield 0.34% 3.60% 0.00% 0.94% 4.89%Bank Loans 0.12% 0.05% 0.00% 2.24% 2.41%ETI Investments 0.82% --- --- 0.01% 0.83%Core/Core Plus 0.31% 0.02% --- 0.01% 0.34%
U.S. Structured 20.46% 0.69% --- 0.27% 21.42%Credit 3.35% 0.69% --- 0.08% 4.12%Mortgages 3.27% --- --- 0.19% 3.46%ST Treasury 2.77% --- --- ---- 2.77%Treasury/Agency 6.97% --- --- ---- 6.97%MT Treasury 0.01% --- --- ---- 0.01%LT Treasury 4.08% --- --- ---- 4.08%
EQUITY 29.05% 14.75% 11.60% 5.66% 61.06%Public Equity 29.03% 9.99% 11.60% 0.20% 50.82%U.S. Equity 26.76% 0.52% 0.60% 0.13% 28.01%EAFE 0.19% 5.44% 6.32% 0.04% 12.00%Emerging Markets 0.23% 3.97% 4.60% 0.03% 8.83%Global 0.22% 0.06% 0.07% 0.00% 0.35%Real Estate Equity 1.62% 0.00% 0.00% 0.00% 1.63%
Alternative Investments 0.02% 4.75% --- 5.47% 10.24%Infrastructure 0.00% 1.14% --- ---- 1.14%Private RE/Core 0.00% 2.39% --- 0.02% 2.41%Private RE/Non-Core 0.00% 1.22% --- ---- 1.22%Private Equity 0.02% --- --- 5.45% 5.47%
TOTAL ASSETS 57.55% 19.22% 11.61% 11.63% 100.00%Non-Basket: 76.76% Basket: 23.24%
Page 201 of 204
Liquidity Analysis
LIQUIDITY REPORTS
PREPARED BY THE NYC COMPTROLLER’S OFFICE FOR TRUSTEES OF THE TEACHERS’ RETIREMENT SYSTEM OF THE CITY OF NEW YORK
Trustee ReportingAs of 3/31/2019
AUM as of March 31, 2019
Liquid AssetsCurrent MV Today 1 Year 2 Years
PUBLIC EQUITY $38,452 $38,452 $38,452 $38,452
U.S. 22,479 22,479 22,479 22,479EAFE Equity 8,600 8,600 8,600 8,600Emerging Markets 7,109 7,109 7,109 7,109Global Equity 265 265 265 265
PUBLIC FIXED INCOME $26,685 $26,336 $26,638 $26,638
Short Term Securities 845 845 845 845U.S. Government 10,416 10,416 10,416 10,416Long Duration Treasury 0 0 0 0Mortgages
Core Mortgages 2,607 2,607 2,607 2,607ETI 639 290 592 592
Credit - Investment Grade 3,545 3,545 3,545 3,545Corporate - High Yield 3,666 3,666 3,666 3,666Corporate - Bank Loans 1,779 1,779 1,779 1,779UST - Inflation Protected 3,187 3,187 3,187 3,187
ALTERNATIVE ASSETS $9,669 $1,477 $1,969 $1,969
Private Equity 4,108 0 0 0Private Real Estate 2,744 0 0 0Infrastructure 848 0 0 0Opportunistic Fixed Income 1,969 1,477 1,969 1,969
Total Assets $74,806 $66,265 $67,059 $67,059
Total Illiquid $ $8,541 $7,747 $7,747Total Illiquid % 11.4% 10.4% 10.4%
Unfunded OFI Commitments $218Unfunded INF Commitments $835Unfunded PE Commitments $3,020Unfunded RE Commitments $1,826Total commitments $ $5,900Total commitments % 7.9%
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LIQUIDITY REPORTS
PREPARED BY THE NYC COMPTROLLER’S OFFICE FOR TRUSTEES OF THE TEACHERS’ RETIREMENT SYSTEM OF THE CITY OF NEW YORK
Trustee ReportingAs of 3/31/2019
TRS Liquidity Profile - Static Analysis 03/31/19
AUM as of March 31, 2019
Denominator Effect - Decrease AUM by One-ThirdTotal Illiquid $ $8,541 $7,747 $7,747Total Illiquid % 17.1% 15.5% 15.5%Note: Assumes zero realizations, no new commitments and a five-year investment period; funded out of liquids
Liquid AssetsCurrent MV Today 1 Year 2 Years
Total Assets $74,806 $66,265 $67,059 $67,059
Private Equity, Real Estate, Infrastructure and Opportunistic Fixed Income Stress caseUnfunded OFI Commitments 226 $44 $87Unfunded INF Commitments 708 $167 $334Unfunded PE Commitments Drawn $2,886 $604 $1,208Unfunded RE Commitments Drawn 1,691 $365 $730Total commitments $ $4,578 $1,180 $2,306Total commitments % 6.6% 1.6% 3.2%
Total Illiquid $ $8,927 $10,107Total Illiquid % 11.9% 13.5%Note: Assumes zero realizations, no new commitments and a five-year investment period; funded out of liquidsSee Assumptions Page for Full Details
Denominator Effect - Decrease AUM by One-ThirdTotal Illiquid $ $8,541 $8,927 $10,107Total Illiquid % 17.1% 17.9% 20.3%Note: Assumes zero realizations, no new commitments and a five-year investment period; funded out of liquids
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