Monthly Performance Review December 2016...Market Indicator Report December 31, 2016 *NCREIF NFI -...
Transcript of Monthly Performance Review December 2016...Market Indicator Report December 31, 2016 *NCREIF NFI -...
Monthly Performance ReviewDecember 2016
Prepared for the New York City Board of Education Retirement System
02.2017
THE CITY OF NEW YORKOFFICE OF THE COMPTROLLER
TABLE OF CONTENTS
Market Indicators for December & January ........................................................................................................................... 1
Contribution to Returns .......................................................................................................................................................... 5
Asset Allocation and Adjusted Policy Weight Mixes .............................................................................................................. 6
Classification of Investments. ................................................................................................................................................. 8
BERS’ Market Values 2016. ............................................................................................................................................... 11
BERS’ Market Values 2007-2016. ..................................................................................................................................... 12
Manager / Benchmark Comparison Report ......................................................................................................................... 13
Private Equity Fund Supplemental Details .......................................................................................................................... 20
Private Equity Cash Flow Tracker ....................................................................................................................................... 21
Real Estate Fund Supplemental Details ............................................................................................................................... 22
Real Estate Cash Flow Tracker ............................................................................................................................................ 23
MARKET INDICATORS1 Month 3 Month Fiscal YTD 1 Year 2 Year 3 Year 5 Year 10 Year
S&P 500 1.98 3.82 7.82 11.96 6.54 8.87 14.66 6.95S&P 400 MIDCAP 2.19 7.42 11.87 20.74 8.68 9.04 15.33 9.16RUSSELL 1000 1.88 3.83 8.01 12.05 6.34 8.59 14.69 7.08RUSSELL 2000 2.80 8.83 18.68 21.31 7.68 6.74 14.46 7.07RUSSELL 3000 1.95 4.21 8.79 12.74 6.43 8.43 14.67 7.07RUSSELL 3000 GROWTH 1.25 1.20 6.18 7.39 6.24 8.27 14.44 8.28RUSSELL 3000 VALUE 2.63 7.24 11.40 18.40 6.54 8.55 14.81 5.76
MSCI EAFE NET 3.42 (0.71) 5.67 1.00 0.09 (1.60) 6.53 0.75MSCI EMF NET 0.22 (4.16) 4.49 11.19 (2.74) (2.55) 1.28 1.84MSCI WORLD NET 2.39 1.86 6.81 7.51 3.23 3.80 10.41 3.83MSCI EUROPE SMID CAP NET 4.07 (2.87) 5.41 (2.11) 2.07 (0.46) 10.55 1.70MSCI AC WORLD ex US NET 2.56 (1.25) 5.57 4.50 (0.71) (1.78) 5.00 0.96
NYC - TREASURY AGENCY PLUS FIVE (0.27) (7.32) (7.76) 1.21 0.97 4.64 1.94 5.58Citigroup USBIG Treasury 1-3 Y Index 0.03 (0.43) (0.53) 0.86 0.69 0.66 0.55 2.08Citigroup USBIG Treasury/Agency 1-10 y (0.02) (2.15) (2.39) 1.06 1.10 1.55 1.02 3.45Citigroup Treasury 10+ (0.53) (11.71) (12.21) 1.33 0.02 7.98 2.57 6.72
CITIGROUP MORTGAGE (0.00) (1.98) (1.43) 1.59 1.57 3.07 2.04 4.30
NYC - INVESTMENT GRADE CREDIT 0.48 (3.05) (1.72) 5.56 2.41 3.93 3.83 5.12CITIGROUP BROAD INVESTMENT GRADE 0.12 (3.03) (2.56) 2.66 1.59 3.01 2.22 4.43
CITY OF NEW YORKNYC Board of Education Retirement System
Market Indicator ReportDecember 31, 2016
*NCREIF NFI - ODCE NET index return calculated on a quarterly basis Prepared by State Street Investment Analytics
1
MARKET INDICATORS1 Month 3 Month Fiscal YTD 1 Year 2 Year 3 Year 5 Year 10 Year
NYC - CORE PLUS FIVE 0.16 (3.61) (2.95) 3.20 1.79 3.71 2.71 4.98BARCLAYS AGGREGATE 0.14 (2.98) (2.53) 2.65 1.59 3.03 2.23 4.34
CITIGROUP BB & B 1.65 1.56 6.77 15.48 5.17 4.37 6.68 6.02CITIGROUP BB & B CAPPED 1.64 1.52 6.63 15.10 5.03 4.28 6.54 6.35BofA ML HIGH YIELD MASTER II 1.97 1.88 7.47 17.49 5.85 4.72 7.35 7.34
CSFB LEVERAGED LOAN 1.15 2.25 5.42 9.88 4.62 3.76 5.35 4.33
BARCLAYS GLOBAL US TIPS (0.10) (2.41) (1.47) 4.68 1.58 2.26 0.89 4.36
BofA ML U.S. Convertible – Yield Alternative 0.59 0.47 5.90 9.96 0.16 1.01 4.99 4.03BofA ML US Invt Grade Conv Bond Index 2.63 4.36 9.70 14.23 7.77 10.35 12.79 5.65BofA ML ALL CONVERTIBLES EX MANDATORY 1.29 2.61 10.21 11.71 4.23 5.90 11.18 6.97
DJ US SELECT REAL ESTATE 4.69 (2.53) (3.74) 6.65 5.55 13.67 11.75 4.53NCREIF NFI - ODCE NET* 1.88 1.88 3.75 7.79 10.83 11.04 11.16 4.84CPI + 4% 0.61 1.84 3.31 6.18 5.45 5.20
91 DAY TREASURY BILL 0.04 0.09 0.18 0.33 0.19 0.14 0.12 0.80
CITY OF NEW YORKNYC Board of Education Retirement System
Market Indicator ReportDecember 31, 2016
*NCREIF NFI - ODCE NET index return calculated on a quarterly basis Prepared by State Street Investment Analytics
2
MARKET INDICATORS1 Month 3 Month Fiscal YTD 1 Year 2 Year 3 Year 5 Year 10 Year
S&P 500 1.90 7.76 9.87 20.04 9.20 10.85 14.09 6.99S&P 400 MIDCAP 1.68 12.22 13.74 30.17 10.21 10.43 14.24 8.95RUSSELL 1000 2.01 8.02 10.19 20.81 8.91 10.50 14.06 7.09RUSSELL 2000 0.39 14.72 19.15 33.53 9.67 7.89 13.00 6.93RUSSELL 3000 1.88 8.52 10.84 21.73 8.95 10.28 13.97 7.07RUSSELL 3000 GROWTH 3.23 7.31 9.62 17.91 8.81 10.45 13.81 8.36RUSSELL 3000 VALUE 0.60 9.73 12.06 25.76 9.07 10.10 14.05 5.69
MSCI EAFE NET 2.90 4.30 8.74 12.03 1.28 0.71 6.04 0.97MSCI EMF NET 5.47 0.84 10.20 25.41 (0.41) 1.44 0.19 2.49MSCI WORLD NET 2.41 6.37 9.39 17.11 5.43 5.95 9.86 3.95MSCI EUROPE SMID CAP NET 3.45 5.58 9.05 9.82 3.87 1.28 9.63 1.93MSCI AC WORLD ex US NET 3.54 3.73 9.31 16.09 1.10 0.92 4.36 1.28
NYC - TREASURY AGENCY PLUS FIVE 0.29 (4.92) (7.49) (2.04) (1.42) 3.65 1.88 5.67Citigroup USBIG Treasury 1-3 Y Index 0.13 (0.23) (0.39) 0.39 0.50 0.65 0.56 2.07Citigroup USBIG Treasury/Agency 1-10 y 0.19 (1.49) (2.21) (0.32) 0.41 1.34 0.96 3.47Citigroup Treasury 10+ 0.40 (7.62) (11.86) (3.09) (3.94) 6.15 2.66 6.84
CITIGROUP MORTGAGE (0.04) (1.76) (1.46) 0.23 1.13 2.49 1.95 4.29
NYC - INVESTMENT GRADE CREDIT 0.39 (1.92) (1.34) 5.48 1.30 3.56 3.50 5.16CITIGROUP BROAD INVESTMENT GRADE 0.21 (2.09) (2.35) 1.52 0.66 2.59 2.09 4.45
CITY OF NEW YORKNYC Board of Education Retirement System
Market Indicator ReportJanuary 31, 2017
*NCREIF NFI - ODCE NET index return calculated on a quarterly basis Prepared by State Street Investment Analytics
3
MARKET INDICATORS1 Month 3 Month Fiscal YTD 1 Year 2 Year 3 Year 5 Year 10 Year
NYC - CORE PLUS FIVE 0.22 (2.50) (2.73) 1.97 0.68 3.16 2.55 5.01BARCLAYS AGGREGATE 0.20 (2.04) (2.34) 1.45 0.64 2.59 2.09 4.37
CITIGROUP BB & B 1.14 2.54 7.99 18.70 5.45 4.53 6.37 6.07CITIGROUP BB & B CAPPED 1.11 2.46 7.82 18.27 5.31 4.43 6.24 6.38BofA ML HIGH YIELD MASTER II 1.34 2.93 8.92 20.98 6.19 4.93 7.03 7.37
CSFB LEVERAGED LOAN 0.53 2.02 5.98 11.27 4.77 3.70 5.05 4.30
BARCLAYS GLOBAL US TIPS 0.84 (1.19) (0.64) 4.02 0.43 1.88 0.61 4.44
BofA ML U.S. Convertible – Yield Alternative 1.69 2.85 7.69 16.63 1.10 1.10 4.57 4.05BofA ML US Invt Grade Conv Bond Index 2.20 7.95 12.10 21.34 9.36 10.83 12.09 5.68BofA ML ALL CONVERTIBLES EX MANDATORY 2.81 7.14 13.31 23.26 6.26 6.22 10.63 7.04
DJ US SELECT REAL ESTATE (0.86) 2.39 (4.56) 10.13 1.72 11.88 10.16 3.54NCREIF NFI - ODCE NET* 0.00 1.88 3.75 7.79 10.83 11.04 11.16 4.84CPI + 4% 0.88 2.03 4.22 6.74 6.10 5.33
91 DAY TREASURY BILL 0.04 0.10 0.23 0.37 0.21 0.15 0.13 0.76
CITY OF NEW YORKNYC Board of Education Retirement System
Market Indicator ReportJanuary 31, 2017
*NCREIF NFI - ODCE NET index return calculated on a quarterly basis Prepared by State Street Investment Analytics
4
2/2/2017 2:45 PMLimited Access
NYC Board of Education Retirement System Contribution to Return - December 2016
1 Month - Total Fund 3 Months - Total Fund FYTD - Total Fund FY Ending 6/30/16 Total FY Ending 6/30/15 Total Return: 1.30% Return: 1.01% Return: 5.67% Return: 0.17% Return: 3.18%
(0.18) (0.19) 0.03 0.16 0.27
0.74 0.42
0.05 0.14 0.28
0.34 0.62
0.03 0.10 0.10 0.37
(0.11)
0.17
0.03
(0.44)
(0.31)
1.00
0.28
0.04
(0.16)
0.43
(0.68)
0.33
(0.30) 1.30
(1.78)
(0.76)
0.69 1.62 3.36
0.48
2.81
DOMESTIC EQUITY
DEVELOPED EQUITY
EMERGING MARKETS
CORE + 5
TIPS
ENHANCED YIELD
BANK LOANS
TARGETED
OTHER FIXED
PRIVATE EQUITY
REAL ASSETS
RESIDUAL
(0.01)-TIPS (0.00)-ETI 0.02-Oth FI 0.00-Res
Prepared by State Street
0.05-BL (0.02)-ETI 0.02-Oth FI (0.03)-Res
(0.07)-TIPS 0.12-BL (0.02)-ETI 0.02-Oth FI (0.08)-Res
(0.02)-EY 0.00-BL 0.05-ETI 0.03-Oth FI
(0.06)-EM (0.05)-TIPS 0.01-EY 0.06-BL 0.02-ETI 0.02-Oth FI
5
New York City Board of Education Retirement SystemPerformance Overview as of December 31, 2016Prepared by State Street
$4.8B Under Management
Asset Allocation
Relative Mix to New Policy Weights
Domestic Equity Emerging MarketsDeveloped Markets
Core +5 Enhanced Yield
Note: Brackets represent rebalancing ranges versus Policy.
TIPS
Private Equity
ETI CashPrivate Real Estate Bank Loans
Portfolio Asset Allocation: December 31, 2016
2.6%1.4%
-1.0%
1.8%
-0.8%
0.9%
-1.4%-3.1%
-0.5% -0.2% -0.2%
-1.4%
-10.0%
-6.0%
-2.0%
2.0%
6.0%
10.0%
Infrastructure
$1.8
36.4%
$0.7
13.9%
$0.8
16.0%
$0.2
4.5%
$0.3
6.8%
$0.3
5.2%
$0.1
2.6%
$0.1
2.3%
$0.3
5.6%
$0.0
0.6%
$0.3
5.3%
$0.0
0.9%
6
New York City Board of Education Retirement SystemPerformance Overview as of December 31, 2016Prepared by State Street
$4.8B Under Management
Asset Allocation
Relative Mix to Adjusted New Policy Weights
Domestic Equity Emerging MarketsDeveloped Markets
Core +5 Enhanced Yield
Note: Brackets represent rebalancing ranges versus Policy.
TIPS
Private Equity
ETI CashPrivate Real Estate Bank Loans
Portfolio Asset Allocation: December 31, 2016
0.0%
-1.0%
1.8%0.0% 0.0% 0.0%
-3.1%
-0.5% -0.2% -0.2%
0.0%
2.6%
-10.0%
-6.0%
-2.0%
2.0%
6.0%
10.0%
Note: On December 30, 2016 BERS' combined Fixed Income and Cashportfolios have a duration of 5.1 years. The duration of the Barclays USAggregate Index was 5.9 years on that date.
$1.8
36.4%
$0.7
13.9%
$0.8
16.0%
$0.2
4.5%
$0.3
6.8%
$0.3
5.2%
$0.1
2.6%
$0.1
2.3%
$0.3
5.6%
$0.0
0.6%
$0.3
5.3%
$0.0
0.9%
Infrastructure
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NEW YORK CITY BOARD OF EDUCATION RETIREMENT SYSTEMCLASSIFICATION OF INVESTMENTS
(as of December 31, 2016)
ASSET CLASS ALLOCATIONSActual Policy Target Adjustment Adjusted Policy
TOTAL EQUITIES $3,424.7 70.9% 70.0% NA 70.0% 65.0% - 75.0%TOTAL FIXED INCOME $1,407.1 29.1% 30.0% NA 30.0% 25.0% - 35.0%TOTAL ASSETS 100.0% 100.0% NA 100.0%
Actual Policy Target Adjustment Adjusted Policy
US Equities $1,759.4 36.4% 35.0% 1.4% 36.4% 32.4% - 40.4%Non-US Equities/EAFE $774.2 16.0% 17.0% NA 17.0% 15.0% - 19.0%Emerging Markets $329.2 6.8% 5.0% NA 5.0% 4.0% - 6.0%TOTAL PUBLIC EQUITY 59.2% 57.0% NA 58.4%* REAL ASSETS 6.5% 7.0% NA 6.5% 6.0% - 8.0%* PRIVATE EQUITY 5.2% 6.0% NA 5.2% 5.0% - 7.0%
TOTAL EQUITIES 70.9% 70.0% NA 70.0% 65.0% - 75.0%
Actual Policy Target Adjustment Adjusted Policy
US - Government $256.4 5.3% NAUS - Mortgage $143.3 3.0% NAUS - Investment Grade Credit $271.5 5.6% NATOTAL CORE + 5 13.9% 17.0% NA 17.0% 13.0% - 21.0%
High Yield $254.6 5.3% 5.5% NA 5.5%Bank Loans $112.0 2.3% 2.5% NA 2.5%Total High Yield & Bank Loans 7.6% 8.0% NA 8.0% 7.0% - 9.0%
TIPS $215.3 4.5% 5.0% NA 5.0% 4.0% - 6.0%**ETI $29.0 0.6% **2.0% NA ** 0.6%Cash $125.0 2.6% 0.0% NA 0.0% 0.0% - 5.0%TOTAL PUBLIC FIXED INCOME 29.1% 30.0% NA 30.0%
TOTAL FIXED INCOME 29.1% 30.0% NA 30.0% 25.0% - 35.0%*
**
***
In $MM Adjusted Target
Range ***
$4,831.8
In $MM Adjusted Target
Range ***
$2,862.8
$311.9
$250.0
$3,424.7
In $MM
Cor
e +5
17.0% 17.0% 13.0% - 21.0%
Adjusted Target Range ***
$671.2
** 0.6%
$1,407.1
7.0% 9.0%-
$366.6
$1,407.1Ranges for illiquid asset classes represent minimums and maximums which will be monitored and will influence pacing analysis but will not necessarily result in purchases or sales.
ETIs have a policy of 2% of the total Fund. The ETI adjusted policy % is shown for illustrative purposes only and is not included in the sub-totals. The ETI policy % is included within the policy % of the other asset classes.
Adjusted Target Ranges are calculated as follows: Total Equities: +/-5%; Total Fixed Income: +/-5%; US Equities: +/-4%; Non-US Equities/EAFE: +/-2%; Emerging Markets: +/-1%; Real Assets: +/-1%; Private Equity: +/-1%; Core +5: +/-4%; TIPS: +/-1%; High Yield & Bank Loans: +/-1%; Cash: 0-5%.
8
NEW YORK CITY BOARD OF EDUCATION RETIREMENT SYSTEMCLASSIFICATION OF INVESTMENTS
(as of December 31, 2016)
Adjustments to Long-Term Asset Allocation
1) Private Equity
2) Real Assets
Impact of Adjustments
1) Domestic Equity Policy Target % 35.0%Adjustment: 100% of uninvested Private Equity 0.8%Adjustment: 100% of uninvested Real Assets 0.5%Adjusted Domestic Equity Policy Target % 36.4%
100% of uninvested commitments will be invested in Domestic Equity.
100% of uninvested commitments will be invested in Domestic Equity.
9
NEW YORK CITY BOARD OF EDUCATION RETIREMENT SYSTEMCLASSIFICATION OF INVESTMENTS
(as of December 31, 2016)
Note: Totals may not equal 100% due to rounding
US Equities 61%
Non-US Equities/EAFE
27%
Emerging Markets
12%
Total Public Equities
US - Government 18%
US - Mortgage 10%
US - Investment Grade Credit
19% High Yield
18%
Bank Loans 8%
TIPS 15%
ETI 2%
Cash 9%
Total Fixed Income
10
$4,166 $4,166
$4,380 $4,455 $4,463 $4,495
$4,667 $4,686
$4,726
$4,683 $4,728
$4,832
$4,000$4,100$4,200$4,300$4,400$4,500$4,600$4,700$4,800$4,900
11
$2,525 $2,415
$1,996 $2,304
$2,918 $2,949 $3,458
$4,179 $4,408 $4,495
$4,832
$1,600$2,000$2,400$2,800$3,200$3,600$4,000$4,400$4,800$5,200
12
Assets
($MM)
%
of Total
Trailing
1 Month
Trailing
3 Month FYTD CYTD
FYE
06/30/16
CYE
12/31/15
CYE
12/31/14
Trailing
1 Year
Inception
Date
ASSET CLASS SUMMARY
BERS-TOTAL DOM EQUITY 1,759.39 36.41 1.87 4.40 9.03 12.57 1.26 0.39 11.14 12.57 Sep-01-91
BERS-TOTAL DEVELOPED EQUITY 774.17 16.02 2.09 (1.85) 8.00 5.93 (10.83) (4.98) (5.04) 5.93 Nov-01-92
BERS-TOTAL EMERGING (INTL) 329.23 6.81 0.59 (2.77) 7.82 12.53 (14.24) (15.14) 3.77 12.53 Nov-01-97
BERS-TOTAL STRUCTURED 671.19 13.89 0.26 (3.14) (2.12) 3.89 6.61 0.20 7.58 3.89 Jan-01-85
BERS-TOTAL TIPS MANAGERS 215.27 4.46 (0.12) (2.47) (1.52) 4.78 4.43 (0.85) 3.27 4.78 Jun-01-05
BERS-TOTAL HIGH YIELD 254.57 5.27 1.92 1.92 7.06 15.60 (0.38) (4.66) 2.75 15.60 Aug-01-97
BERS-TOTAL BANK LOANS 112.02 2.32 1.11 2.11 5.00 8.48 0.20 0.12 1.99 8.48 Dec-01-12
TOTAL BOE ETI (w/o cash) 29.04 0.60 (0.61) (3.74) (2.99) 2.31 8.61 3.30 6.96 2.31 Dec-01-84
BERS-TOTAL PRIVATE EQUITY 250.00 5.17 0.97 2.69 5.69 9.19 7.19 12.71 20.52 9.19 Jul-01-06
BERS-TOTAL REAL ASSETS 311.87 6.45 0.42 2.43 4.20 9.91 13.62 14.31 12.55 9.91 Dec-01-10
BERS-TOTAL CASH 123.58 2.56 0.05 0.08 0.22 0.56 0.47 0.40 0.27 0.56 Apr-01-04
SECURITY LENDING 1.45 0.03 Apr-01-04
BERS-TOTAL BOARD OF ED. 4,831.78 100.00 1.30 1.01 5.67 9.19 0.17 (0.44) 6.39 9.19 Jul-01-87
BERS-TOTAL EQUITY 2,862.79 59.25 1.79 1.97 8.61 10.66 (3.38) (2.33) 5.91 10.66 Apr-01-04
BERS-TOTAL FIXED INCOME (MINUS SS) 1,282.08 26.53 0.59 (1.63) 0.27 6.51 4.47 (0.81) 5.53 6.51 Apr-01-04
BERS-TOTAL PRIVATE EQUITY 250.00 5.17 0.97 2.69 5.69 9.19 7.19 12.71 20.52 9.19 Jul-01-06
BERS-TOTAL REAL ASSETS 311.87 6.45 0.42 2.43 4.20 9.91 13.62 14.31 12.55 9.91 Dec-01-10
BERS-TOTAL CASH 123.58 2.56 0.05 0.08 0.22 0.56 0.47 0.40 0.27 0.56 Apr-01-04
SECURITY LENDING 1.45 0.03 Apr-01-04
BERS-TOTAL BOARD OF ED. 4,831.78 100.00 1.30 1.01 5.67 9.19 0.17 (0.44) 6.39 9.19 Jul-01-87
Board of Education Policy Benchmark 1.58 1.02 5.04 8.83 0.75 (0.09) 6.93 8.83 Jun-01-94
Periods Ending December 31, 2016
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Limited Access
13
Ending Market
Value
($MM)
%
of Total 1 Month 3 Month FYTD CYTD 2015 2014
ASSET CLASS SUMMARY
BERS-TOTAL BOARD OF ED. 4,832 100.00 1.30 1.01 5.67 9.19 (0.44) 6.39
Board of Education Policy Benchmark 1.58 1.02 5.04 8.83 (0.09) 6.93Excess (0.28) 0.00 0.64 0.36 (0.36) (0.53)
BERS-TOTAL EQUITY (INCL PE & RA) 3,425 70.88 1.60 2.06 8.00 10.42 (0.43) 6.81
BERS-TOTAL FIXED INCOME (MINUS SS) 1,282 26.53 0.59 (1.63) 0.27 6.51 (0.81) 5.53
EQUITY SUMMARY
US EQUITYNYC BERS BLACKROCK R2000 GROWTH 36 0.75 1.37 3.53 13.08 11.29 (1.30) 5.50 RUSSELL 2000 GROWTH DAILY 1.36 3.57 13.12 11.32 (1.38) 5.60Excess 0.00 (0.05) (0.04) (0.02) 0.08 (0.11)
NYC BERS BLACKROCK R2000 VALUE 41 0.85 4.16 14.13 24.10 31.71 (7.38) 4.11 RUSSELL 2000 VALUE DAILY 4.13 14.07 24.19 31.74 (7.47) 4.22Excess 0.03 0.06 (0.08) (0.03) 0.09 (0.11)
Wellington Mgmt MCC 119 2.45 0.71 4.51 9.20 12.28 1.76 10.96S&P MID CAP 400 2.19 7.42 11.87 20.74 (2.18) 9.77Excess (1.48) (2.91) (2.66) (8.45) 3.94 1.19
NYC BERS BLACKROCK R1000 GROWTH 692 14.31 1.23 1.00 5.62 7.06 5.78 12.91RUSSELL 1000 GROWTH - DAILY 1.24 1.01 5.64 7.08 5.67 13.05Excess (0.01) (0.02) (0.02) (0.02) 0.12 (0.14)
NYC BERS BLACKROCK R1000 VALUE 733 15.16 2.50 6.66 10.38 17.31 (3.81) 13.39RUSSELL 1000 VALUE (DAILY) 2.50 6.68 10.39 17.34 (3.83) 13.45Excess 0.00 (0.01) (0.01) (0.03) 0.01 (0.06)
Periods Ending December 31, 2016
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
Limited Access
14
Ending Market
Value
($MM)
%
of Total 1 Month 3 Month FYTD CYTD 2015 2014
Periods Ending December 31, 2016
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
FUND OF FUNDSBERS-TOTAL FUND OF FUNDS 139 2.88 2.09 6.62 13.04 12.27 (3.72) 4.72Blended Russell 2000 & 3000 2.38 6.56 13.70 17.04 (1.93) 8.78Excess (0.28) 0.06 (0.67) (4.77) (1.79) (4.06)
BERS-TOTAL FIS 73 1.51 2.01 8.41 17.52 17.54 (4.25) 1.80RUSSELL 2000 (DAILY) 2.80 8.83 18.68 21.31 (4.41) 4.89Excess (0.79) (0.42) (1.16) (3.77) 0.17 (3.10)
BERS-TOTAL PROGRESS 67 1.38 2.18 4.75 8.58 7.21 (3.19) 7.77RUSSELL 3000 (DAILY) 1.95 4.21 8.79 12.74 0.48 12.56Excess 0.23 0.54 (0.21) (5.53) (3.67) (4.78)
NON - US EQUITYSprucegrove MTA (BOE) 357 7.38 2.90 2.43 11.17 11.14 (9.56) (3.19) MSCI EAFE VALUE NET (DAILY) 4.58 4.17 12.50 5.02 (5.68) (5.39)Excess (1.67) (1.74) (1.33) 6.12 (3.87) 2.21
Baillie Gifford MTA 330 6.83 1.28 (6.16) 5.21 0.70 (3.81) (6.66)MSCI EAFE GROWTH 2.21 (5.53) (0.84) (3.04) 4.09 (4.43)Excess (0.93) (0.63) 6.05 3.74 (7.90) (2.23)
Acadian 88 1.82 1.86 (1.58) 6.31 6.41 8.68 (4.92)S&P EPAC Small Cap USD NET 2.78 (3.38) 4.76 1.34 8.58 (3.43)Excess (0.92) 1.80 1.56 5.07 0.09 (1.49)
EMERGING MARKETSACADIAN 244 5.05 0.78 (2.60) 8.02 12.74 (15.14) 3.77MSCI EMERGING MARKETS 0.22 (4.16) 4.49 11.19 (14.92) (2.19)Excess 0.56 1.57 3.53 1.55 (0.22) 5.96CONY GT EM BLACKROCK 85 1.76
MSCI EMERGING MARKETS 0.22
Excess
Limited Access
15
Ending Market
Value
($MM)
%
of Total 1 Month 3 Month FYTD CYTD 2015 2014
Periods Ending December 31, 2016
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
FIXED INCOME SUMMARY
STRUCTRED FIXED INCOMEBlackrock Mortgages 143 2.97 0.03 (1.68) (0.99) 2.32 1.73
CITIGROUP MORTGAGE INDEX 0.00 (1.98) (1.43) 1.59 1.56
Excess 0.04 0.30 0.44 0.73 0.17
Prudential - Credit 137 2.84 0.62 (2.83) (1.54) 5.86 (0.22) 7.20NYC - Investment Grade Credit 0.48 (3.05) (1.72) 5.56 (0.65) 7.04Excess 0.14 0.22 0.18 0.30 0.43 0.16
Taplin Canida Habacht - Credit 117 2.43 0.77 (2.28) 0.31 8.02 (3.01) 8.68NYC - Investment Grade Credit 0.48 (3.05) (1.72) 5.56 (0.65) 7.04Excess 0.29 0.77 2.03 2.46 (2.36) 1.64
Prudential-Privest - Credit 17 0.35 0.07 (2.42) (0.66) 4.30 1.63 7.20NYC - Investment Grade Credit 0.48 (3.05) (1.72) 5.56 (0.65) 7.04Excess (0.41) 0.64 1.06 (1.26) 2.28 0.16
State Street Govt 126 2.61 (0.32) (7.34) (7.70) 1.23 0.45 12.21NYC - Treasury Agency Plus Five (0.27) (7.32) (7.76) 1.21 0.72 12.38Excess (0.05) (0.02) 0.06 0.01 (0.27) (0.16)
SSGA 1-3 Treasury Index 130 2.69
NYC - Treasury Agency Plus Five (0.27)
Excess
ENHANCED YIELDLoomis Sayles - High Yield 126 2.62 2.02 2.27 8.29 19.92 (7.07) 2.83NYC-Loomis (BoA MLMSTII 7-03/BB&B PRIOR) 1.97 1.88 7.47 17.49 (4.64) 2.50Excess 0.05 0.39 0.82 2.44 (2.43) 0.33
Shenkman - High Yield 128 2.65 1.82 1.58 5.87 11.62 (1.97) 2.66CITIGROUP BB & B 1.65 1.56 6.77 15.48 (4.21) 2.78Excess 0.16 0.03 (0.90) (3.85) 2.24 (0.13)
Limited Access
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Ending Market
Value
($MM)
%
of Total 1 Month 3 Month FYTD CYTD 2015 2014
Periods Ending December 31, 2016
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
BANK LOANSBabson BL 112 2.32 1.11 2.11 5.00 8.48 0.12 1.99CSFB LEVERAGED LOAN INDEX 1.15 2.25 5.42 9.88 (0.38) 2.06Excess (0.03) (0.14) (0.42) (1.39) 0.51 (0.07)
TIPSSSGA TIPS 215 4.46 (0.12) (2.47) (1.52) 4.78
BBG BARC Gbl Inf-Lk: US TIPS (Dly) (0.10) (2.41) (1.47) 4.68
Excess (0.02) (0.06) (0.05) 0.09
OTHER FIXEDAFL-CIO HOUSING INV TRUST 16 0.32 (0.31) (3.00) (2.47) 1.94 1.13 6.10BBG BARC Agg (Dly) 0.14 (2.98) (2.53) 2.65 0.55 5.97Excess (0.45) (0.02) 0.06 (0.71) 0.58 0.14
ACCESS RBC 6 0.12 (0.12) (2.13) (1.72) 1.61 1.83 6.66Access RBC Benchmark 0.01 (2.04) (1.76) 1.52 1.40 5.08Excess (0.13) (0.09) 0.04 0.09 0.43 1.58
CPC CONST FACILITY 0 0.01 12.90
CPC CONST BENCHMARK 0.27 2.90
Excess 10.01
CFSB-PPAR (GNMA) 0 0.00 (1.87) (6.43) (5.66) 3.21 5.90 15.34GNMA Plus 65bps 0.07 (1.40) (0.71) 2.28 2.02 6.65Excess (1.94) (5.03) (4.94) 0.93 3.88 8.69
CCD-PPAR (GNMA) 0 0.01 (1.77) (6.47) (5.69) 2.78 5.08 15.37GNMA Plus 65bps 0.07 (1.40) (0.71) 2.28 2.02 6.65Excess (1.84) (5.07) (4.98) 0.50 3.06 8.72
CCD-PPAR (FNMA) 1 0.02 (2.31) (7.15) (5.74) 3.71 6.69 25.71FNMA Plus 85bps 0.07 (1.95) (1.20) 2.38 2.50 7.13Excess (2.38) (5.20) (4.54) 1.33 4.20 18.58
Limited Access
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Ending Market
Value
($MM)
%
of Total 1 Month 3 Month FYTD CYTD 2015 2014
Periods Ending December 31, 2016
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
CPC-PPAR (FNMA) 1 0.02 (0.59) (6.10) (5.04) 6.15 8.96 13.91FNMA Plus 85bps 0.07 (1.95) (1.20) 2.38 2.50 7.13Excess (0.66) (4.15) (3.84) 3.77 6.46 6.78
JPMC-PPAR (FNMA) 2 0.04 (1.93) (7.77) (2.85) 7.94 6.18 12.06FNMA Plus 85bps 0.07 (1.95) (1.20) 2.38 2.50 7.13Excess (2.00) (5.83) (1.65) 5.56 3.68 4.93
BOA-PPAR (FNMA) 1 0.03 (2.22) (8.23) (6.76) 4.07 42.03 13.31FNMA Plus 85bps 0.07 (1.95) (1.20) 2.38 2.50 7.13Excess (2.29) (6.28) (5.56) 1.69 39.53 6.19
LIIF-PPAR (GNMA) 0 0.00 (0.75) (2.70) (2.78) 3.88 3.92 9.74GNMA Plus 65bps 0.07 (1.40) (0.71) 2.28 2.02 6.65Excess (0.82) (1.30) (2.06) 1.61 1.91 3.09
NCBCI-PPAR (GNMA) 0 0.00 (1.70) (5.99) (5.32) 3.51 5.53 16.66GNMA Plus 65bps 0.07 (1.40) (0.71) 2.28 2.02 6.65Excess (1.77) (4.59) (4.61) 1.23 3.52 10.01
LIIF-PPAR (FNMA) 1 0.02 (1.28) (7.19) (12.14) 5.03 6.29 38.12FNMA Plus 85bps 0.07 (1.95) (1.20) 2.38 2.50 7.13Excess (1.35) (5.24) (10.94) 2.65 3.79 30.99
NCBCI-PPAR (FNMA) 0 0.00 (1.66) (5.34) (5.12) 3.46 4.97 14.93FNMA Plus 85bps 0.07 (1.95) (1.20) 2.38 2.50 7.13Excess (1.73) (3.39) (3.92) 1.07 2.47 7.81
WELLS FARGO-PPAR MTA 2013 (FNMA) 0 0.00
FNMA Plus 85bps 0.07
Excess
Limited Access
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Ending Market
Value
($MM)
%
of Total 1 Month 3 Month FYTD CYTD 2015 2014
Periods Ending December 31, 2016
New York City Board of Education Retirement System
Manager / Benchmark Comparison Report
Rates of Return - Net Mgr
CASHBOARD OF ED. SHORT TERM 124 2.56 0.05 0.08 0.22 0.55 0.39
91 DAY T-BILL 0.04 0.09 0.18 0.33 0.05 0.02Excess 0.01 0.00 0.04 0.23 0.35
C/D - FAIL FLOAT EARNINGS 0 0.00
SECURITY LENDING 1 0.03
PRIVATE EQUITYBERS-TOTAL PRIVATE EQUITY 250 5.17 0.97 2.69 5.69 9.19 12.71 20.52
REAL ASSETSBERS-TOTAL PRIVATE REAL ESTATE 270 5.59 0.31 2.49 4.25 10.16 14.98 12.58
BERS-TOTAL INFRASTRUCTURE 42 0.86 1.14 2.01 3.86 8.08 9.15 9.58
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Vintage Year
Investment FirstDrawdown
Committed Capital
Paid-In Capital Distributed
Capital Market Value Multiple IRR1 PME
Benchmark2 PME Spread3
Active Investments2005 Mesirow Financial Private Equity Partnership Fund III, L.P. 7/20/2006 57,000,000$ 55,093,273$ 65,590,092$ 26,529,373$ 1.67x 8.84% 8.27% 0.57%2006 Mesirow Financial Private Equity Partnership Fund IV, L.P. 3/31/2008 25,000,000 22,217,233 17,128,759 17,989,009 1.58x 10.06% 11.81% (1.75%)2006 New York Fairview Private Equity Fund, L.P. 7/14/2006 19,000,000 17,320,307 14,505,103 9,050,146 1.36x 6.39% 9.01% (2.62%)2009 Mesirow Financial Private Equity Partnership Fund V, L.P. 3/7/2011 45,000,000 33,539,326 11,708,886 41,067,416 1.57x 15.56% 12.38% 3.18%2012 Platinum Equity Capital Partners III, L.P. 1/14/2013 15,000,000 11,885,481 9,531,748 9,437,732 1.60x 47.48% 12.34% 35.14%2012 Warburg Pincus Private Equity XI, L.P. 7/17/2012 25,000,000 22,078,677 3,451,330 25,202,759 1.30x 12.74% 10.60% 2.14%2013 Apollo Investment Fund VIII, L.P. 12/11/2013 20,000,000 11,312,743 918,136 11,695,407 1.11x 12.00% 6.72% 5.28%2013 Carlyle Partners VI, L.P. 7/3/2013 20,000,000 10,446,705 2,375,761 9,604,351 1.15x 8.76% 7.37% 1.39%2013 Landmark Equity Partners XV, L.P. 10/30/2013 19,000,000 7,176,383 3,094,856 5,292,773 1.17x 10.94% 8.62% 2.32%2013 Landmark Equity Partners XV, L.P. - Side Car 12/24/2013 6,000,000 2,748,267 1,023,058 2,493,588 1.28x 15.94% 5.10% 10.84%2013 CVC Capital Partners VI, L.P. 2/18/2014 17,434,949 6,273,435 118,425 6,106,754 0.99x (0.63%) 7.97% (8.60%)2013 Crestview Partners III, L.P. 3/3/2015 15,000,000 3,434,581 56,712 3,168,284 0.94x N/M N/M N/M2013 Crestview Partners III (Co-Investment B), L.P. 12/17/2015 5,000,000 1,677,857 70,233 1,660,225 1.03x N/M N/M N/M2014 ASF VI, L.P. 5/9/2014 15,000,000 7,887,740 502,688 9,077,929 1.21x 14.48% 7.08% 7.40%2014 ASF VI NYC Co-Invest, L.P. 5/9/2014 5,000,000 3,153,934 706,516 3,386,829 1.30x 17.50% 3.60% 13.90%2014 Carlyle Partners VI, L.P. - Side Car 9/23/2014 2,200,000 1,193,842 - 1,113,964 0.93x (5.30%) 6.99% (12.29%)2014 Lexington Capital Partners VIII, L.P. 1/8/2015 20,000,000 4,425,887 1,306,119 4,346,794 1.28x N/M N/M N/M2014 Vista Equity Partners Fund V, L.P. 9/8/2014 25,000,000 24,315,235 4,431,586 22,631,742 1.11x 9.73% 6.28% 3.45%2015 Centerbridge Capital Partners III, L.P. 5/21/2015 2,500,000 665,696 26,353 757,596 1.18x N/M N/M N/M2015 Siris Partners III, L.P. 5/4/2015 3,500,000 1,513,799 2,699 1,456,163 0.96x N/M N/M N/M2012 NYCBERS - 2012 Emerging Manager Program* 10/31/2014 25,000,000 8,057,778 339,488 8,247,267 1.07x N/M N/M N/M2015 American Securities Partners VII, L.P. 7/8/2016 8,000,000 725,329 73,119 612,219 0.94x N/M N/M N/M2015 ASF VII, L.P. 12/29/2015 10,000,000 815,913 67,895 875,911 1.16x N/M N/M N/M2015 ASF VII B NYC Co-Invest, L.P. 12/29/2015 6,000,000 600 - 600 1.00x N/M N/M N/M2015 NYCBERS - 2015 Emerging Manager Program** 2/22/2016 30,000,000 769,896 9,786 755,005 0.99x N/M N/M N/M2015 Warburg Pincus Private Equity XII, L.P. 12/21/2015 21,500,000 2,397,250 17,951 2,081,480 0.88x N/M N/M N/M2015 Welsh, Carson, Anderson & Stowe XII, L.P. 8/26/2015 10,000,000 2,815,523 - 2,987,931 1.06x N/M N/M N/M2015 Bridgepoint Europe V, L.P. 2/8/2016 8,401,212 2,351,975 - 2,380,394 1.01x N/M N/M N/M2015 Bridgepoint Europe V Co-Invest 8/16/2016 2,803,193 553,673 - 549,492 0.99x N/M N/M N/M2015 EQT VII, L.P. 1/8/2016 16,863,586 3,150,115 - 2,752,252 0.87x N/M N/M N/M2016 Vista Equity Partners Fund VI, L.P. 6/28/2016 16,000,000 3,427,412 15,158 3,442,186 1.01x N/M N/M N/M2016 Apax IX USD, L.P. N/A 13,000,000 - - - N/A N/A N/A N/A2017 Ares Corporate Opportunities Fund V, L.P. N/A 10,000,000 - - - N/A N/A N/A N/A2017 Green Equity Investors VII, L.P. N/A 10,000,000 - - - N/A N/A N/A N/A2017 BC European Capital X, L.P. N/A 11,222,715 - - - N/A N/A N/A N/A2017 BC European Capital X Metro Co-Investment L.P. N/A 4,489,086 - - - N/A N/A N/A N/ATotal Portfolio 564,914,740$ 273,425,865$ 137,072,457$ 236,753,571$ 1.37x 10.15% 9.34% 0.81%
Vintage Year
Investment FirstDrawdown
Committed Capital
Net Contributed
Capital
Net Distributed Capital
Market Value Multiple IRR1 PME Benchmark2 PME Spread3
Commitments Closed Subsequent to as of DateTotal Commitments Closed Subsequent to as of Date
Note: Where available, September 30, 2016 reported valuations were used. In the absense of September 30, 2016 reported values, market values have been adjusted forward using interim cashflows through September 30, 2016. The IRR calculated in the early years of a fund is not meaningful given the j-curve effect. The aggregate portfolio performance figures for IRR and multiple are as of September 30, 2016.
NYC Board of Education Retirement System Private Equity Portfolio
As of September 30, 2016 (in USD)
3PME Spread is the percentage difference between the IRR and PME Benchmark for each respective partnership.
2 The total PME is the Russell 3000 Total Return Index and incorporates the PME + methodology for all partnerships where distributions have occurred, and incorporates the PME methodologies for those partnerships that have not yet had any distributions to date. The fund PME is the Russell 3000 Total Return Index and incorporates the PME II methodology for all partnerships where distributions have occurred.
1Performance for funds with less than 8 quarters of activity is not yet meaningful.
**Please note that the NYCBERS - 2015 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $7.5 million has been committed as of September 30, 2016.
*Please note that the NYCBERS - 2012 Emerging Manager Program total commitment amount includes the full amount allocated to the Program, of which $14.7 million has been committed as of September 30, 2016.
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($ m
m)
NYC BERS Monthly PE Cash Flow Summary(as of December 31, 2016)
Contributions Distributions Net Cash Flow
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Vintage Year Fund Name Style Sector Capital Committed Contributions Distributions Market Value Equity Multiple Net IRR
2016 Exeter Industrial Core Club Fund II Core/Core Plus Portfolio 10,000,000 1,690,351 0 1,721,459 1.0 4.8
2016 Jamestown Premier Property Fund Core/Core Plus Portfolio 5,000,000 5,088,199 -406,253 4,859,471 1.0 10.2
2011 LaSalle Property Fund Core/Core Plus Portfolio 27,600,000 27,600,000 -5,583,673 36,911,119 1.5 12.2
2014 MetLife Core Property Fund Core/Core Plus Portfolio 15,000,000 15,000,000 -1,222,722 17,198,349 1.2 14.1
2013 NYC Asset Investor #2 LLC Core/Core Plus Portfolio 11,000,000 10,033,316 -1,418,064 10,920,298 1.2 13.6
2016 NYCRS Artemis Co-Investment Core/Core Plus Portfolio 11,000,000 1,215,783 0 1,659,886 1.4 69.9
2011 UBS Trumbull Property Fund Core/Core Plus Portfolio 41,400,000 55,911,470 -11,678,100 73,460,553 1.5 10.0
2016 USAA Eagle Real Estate Fund Core/Core Plus Portfolio 10,000,000 6,569,936 0 7,172,195 1.1 12.9
Core/Core Plus Portfolio 131,000,000 123,109,054 -20,308,812 153,903,331 1.4 10.9
2014 Blackstone Real Estate Partners Europe IV (USD Vehicle) Non-Core Portfolio 32,500,000 28,727,121 -4,228,029 27,787,862 1.1 7.9
2015 Blackstone Real Estate Partners VIII Non-Core Portfolio 16,500,000 6,505,592 -539,084 6,973,688 1.2 22.0
2012 Brookfield Strategic Real Estate Partners Non-Core Portfolio 10,000,000 10,372,239 -3,395,475 11,405,632 1.4 17.6
2014 Carlyle Realty Partners VII Non-Core Portfolio 25,000,000 12,230,806 -87,671 13,723,350 1.1 14.6
2016 Divco West Fund V Non-Core Portfolio 10,000,000 0 0 -49,887 n/a n/a
2016 European Property Investors Special Opportunities IV (EPISO IV) Non-Core Portfolio 11,176,931 1,636,835 -272,080 1,418,847 1.0 7.1
2011 Franklin Templeton Private Real Estate Fund Non-Core Portfolio 30,000,000 29,615,595 -24,668,795 15,426,811 1.4 20.5
2015 H/2 Special Opportunities Fund III Non-Core Portfolio 15,000,000 11,134,100 -251,391 12,455,261 1.1 19.9
2016 Lone Star Real Estate Fund V Non-Core Portfolio 23,100,000 0 0 -151,065 n/a n/a
2013 NYC Asset Investor #1 LLC Non-Core Portfolio 10,000,000 10,719,341 -1,395,024 11,978,093 1.2 14.0
2013 NYC Asset Investor #3 LLC Non-Core Portfolio 8,000,000 3,326,077 -31,308 3,348,498 1.0 1.2
2016 PW Real Estate Fund III LP Non-Core Portfolio 10,624,734 2,311,924 0 2,198,301 n/a n/a
2016 Westbrook Real Estate Fund X Non-Core Portfolio 10,000,000 526,316 0 549,409 1.0 23.6
Non-Core Portfolio 211,901,665 117,105,945 -34,868,857 107,064,800 1.2 15.2
Small Emerging Manager 11,000,000 1,215,783 0 1,659,886 1.4 69.9
New York City Board of Education Retirement System 342,901,665 240,215,000 -55,177,668 260,968,131 1.3 12.0
New York City Board of Education Retirement System as of September 30, 2016.
Source: PCG historical cash flow data. TTG cash flow data from Fund Managers, effective 2005. Note: The equity multiples and IRRs contained in this report are interim calculations based upon information provided by the investment managers of the New York City Retirement Systems, including cash flows and quarterly unaudited, or audited, valuations. The IRR calculated in early years of a fund life is not meaningful given the J-curve effect and can be significantly impacted by the timing of cash flows, investment strategy, investment pacing, and fund life. The calculations are not necessarily indicative of total fund performance, which can only be determined after the fund is liquidated and all capital contributed and earnings have been distributed to the investor. All data supplied is as of September 30, 2016. Note: The General Partner of the JPMorgan Urban Renaissance Fund terminated the Fund on February 23, 2010 and all capital contributed, including management fees, was returned to investors.
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‐$15,000,000
‐$10,000,000
‐$5,000,000
$0
$5,000,000
$10,000,000
Amou
ntBERS Monthly Real Estate Cash Flow Summary
(as of December 31, 2016)
Contributions Distributions Net Cash Flow
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