Monthly Performance Review December 2019 · 2020-03-19 · Monthly Performance Review December 2019...

Monthly Performance ReviewDecember 2019

Prepared for the New York City Police Pension Fund

02.2020

THE CITY OF NEW YORKOFFICE OF THE COMPTROLLER

TABLE OF CONTENTS

Market Indicators for December & January ......................................................................................................................... 1

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

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

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

Police Market Values 2019 .............................................................................................................................................. 18

Police Market Values 2010-2019 .................................................................................................................................... 19

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

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

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

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

Real Estate Cash Flow Tracker ........................................................................................................................................ 39

Infrastructure Fund Supplemental Details ........................................................................................................................ 40

Infrastructure Cash Flow Tracker ..................................................................................................................................... 41

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

S&P 500 3.02 9.07 10.92 31.49 12.13 15.27 11.70 13.56S&P 400 MIDCAP 2.81 7.06 6.97 26.20 5.93 9.26 9.03 12.72RUSSELL 1000 2.89 9.04 10.59 31.43 11.87 15.05 11.48 13.54RUSSELL 2000 2.88 9.94 7.30 25.52 5.69 8.59 8.23 11.83RUSSELL 3000 2.89 9.10 10.37 31.02 11.42 14.57 11.24 13.42RUSSELL 3000 GROWTH 2.97 10.67 11.89 35.85 15.31 19.89 14.23 15.05RUSSELL 3000 VALUE 2.80 7.48 8.80 26.26 7.44 9.32 8.20 11.71

MSCI EAFE NET 3.25 8.17 7.01 22.01 2.56 9.56 5.67 5.50MSCI EMF NET 7.46 11.84 7.09 18.42 0.58 11.57 5.61 3.68MSCI WORLD NET 3.00 8.56 9.14 27.67 7.96 12.57 8.74 9.47MSCI EUROPE SMID CAP NET 5.04 12.93 10.70 28.24 2.29 11.50 7.63 8.06MSCI AC WORLD ex US NET 4.33 8.92 6.96 21.51 2.11 9.87 5.51 4.97FTSE ALL WORLD EX US 4.35 9.10 7.46 22.20 2.59 10.29 6.15 5.58MSCI World ex USA IMI NR 3.40 8.36 7.45 22.91 2.40 9.49 5.79 5.66

1 YEAR TREASURY BILL YIELD + 4% 0.53 1.58 3.24 7.10 6.52 5.88 5.35 4.89HFRI FUND OF FUNDS COMPOSITE + 1% 1.75 3.29 2.57 9.42 2.99 4.91 3.38 3.85

NYC - TREASURY AGENCY PLUS FIVE (1.49) (2.26) 2.14 10.40 5.04 4.91 3.32 5.10FTSE USBIG Treasury 1-3 Y Index 0.21 0.51 1.09 3.56 2.55 1.84 1.38 1.21FTSE USBIG Treasury/Agency 1-10 y (0.04) 0.01 1.18 5.18 3.28 2.55 1.97 2.38

CITY OF NEW YORK NYC Police Pension Fund

Market Indicator ReportDecember 31, 2019

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

1


FTSE Treasury 10+ (2.80) (4.14) 3.48 14.89 6.17 6.98 4.14 7.06

FTSE MORTGAGE INDEX 0.28 0.77 2.28 6.68 3.80 3.36 2.64 3.20

NYC - INVESTMENT GRADE CREDIT 0.23 0.95 4.04 13.40 5.47 5.66 4.35 5.22FTSE BIG (0.09) 0.18 2.56 8.86 4.33 4.08 3.08 3.73

NYC - CORE PLUS FIVE (0.15) 0.13 3.01 10.35 4.80 4.70 3.53 4.40BARCLAYS AGGREGATE (0.07) 0.18 2.45 8.72 4.27 4.03 3.05 3.75

FTSE BB & B 1.82 2.65 4.01 14.50 5.95 6.31 5.85 7.20FTSE BB & B CAPPED 1.84 2.67 4.00 14.47 5.88 6.23 5.75 7.10ICE BofA US High Yield Index 2.09 2.61 3.86 14.41 5.74 6.32 6.13 7.50ICE BofA US High Yield Constrained 2.09 2.61 3.86 14.41 5.74 6.32 6.14 7.48

CSFB LEVERAGED LOAN 1.61 1.68 2.61 8.17 4.60 4.48 4.54 5.18

BARCLAYS GLOBAL US TIPS 0.38 0.79 2.15 8.43 3.47 3.32 2.62 3.36

ICE BofA US Convertibles - Yield Alter 1.91 4.13 6.17 15.40 7.20 7.94 4.76 5.95ICE BofA All IG US Convertibles 1.81 2.93 8.51 20.88 11.77 14.77 11.92 11.17ICE BofA All US Conv Ex Mandatory 2.32 7.46 7.43 22.89 11.21 12.69 9.23 10.59




2


DJ US SELECT REAL ESTATE (0.94) (1.23) 5.51 23.10 8.59 6.95 6.39 11.54CPI + 4% 0.55 1.83 3.26 6.38 6.21 6.20 5.8991 DAY TREASURY BILL 0.14 0.46 1.03 2.28 2.08 1.67 1.07 0.58




3


S&P 500 (0.04) 6.72 10.88 21.68 9.03 14.54 12.37 13.97S&P 400 MIDCAP (2.61) 3.10 4.18 11.27 3.07 7.70 8.70 12.79RUSSELL 1000 0.11 6.89 10.71 21.39 8.97 14.33 12.13 13.97RUSSELL 2000 (3.21) 3.68 3.86 9.21 2.65 7.28 8.23 11.88RUSSELL 3000 (0.11) 6.68 10.25 20.53 8.54 13.82 11.85 13.82RUSSELL 3000 GROWTH 2.02 9.81 14.15 26.94 12.68 19.41 15.05 15.80RUSSELL 3000 VALUE (2.37) 3.42 6.22 14.14 4.26 8.24 8.57 11.76

MSCI EAFE NET (2.09) 2.23 4.77 12.10 (0.97) 7.76 5.12 5.76MSCI EMF NET (4.66) 2.31 2.10 3.81 (5.64) 7.88 4.48 3.78MSCI WORLD NET (0.61) 5.22 8.47 17.73 4.89 11.45 9.00 9.87MSCI EUROPE SMID CAP NET (2.54) 5.30 7.89 14.97 (1.71) 9.31 7.10 8.09MSCI AC WORLD ex US NET (2.69) 2.42 4.09 9.94 (1.96) 7.62 4.96 5.21FTSE ALL WORLD EX US (2.72) 2.46 4.53 10.62 (1.48) 8.06 5.55 5.82MSCI World ex USA IMI NR (2.07) 2.66 5.22 12.14 (0.95) 7.64 5.43 5.90

1 YEAR TREASURY BILL YIELD + 4% 0.51 1.43 3.77 7.00 6.55 5.90 5.37 4.89HFRI FUND OF FUNDS COMPOSITE + 1% 0.37 3.11 2.99 7.04 1.98 4.67 3.42 3.92

NYC - TREASURY AGENCY PLUS FIVE 4.49 2.40 6.73 14.59 8.68 6.36 3.18 5.33FTSE USBIG Treasury 1-3 Y Index 0.54 0.72 1.64 3.83 2.98 1.98 1.38 1.18FTSE USBIG Treasury/Agency 1-10 y 1.41 1.13 2.61 6.20 4.50 2.97 1.94 2.39


Market Indicator ReportJanuary 31, 2020


4


FTSE Treasury 10+ 6.86 3.33 10.58 21.96 11.57 9.23 3.75 7.49

FTSE MORTGAGE INDEX 0.70 1.07 2.99 6.50 4.78 3.61 2.61 3.14

NYC - INVESTMENT GRADE CREDIT 2.53 2.98 6.68 14.09 7.31 6.40 4.33 5.31FTSE BIG 2.01 1.89 4.62 9.91 5.99 4.70 3.07 3.79

NYC - CORE PLUS FIVE 2.36 2.19 5.44 11.55 6.74 5.44 3.51 4.48BARCLAYS AGGREGATE 1.92 1.80 4.43 9.64 5.88 4.62 3.01 3.79

FTSE BB & B (0.10) 2.31 3.91 9.38 5.60 5.87 5.70 7.11FTSE BB & B CAPPED (0.09) 2.35 3.91 9.36 5.54 5.81 5.61 6.99ICE BofA US High Yield Index 0.00 2.37 3.87 9.39 5.41 5.85 5.99 7.34ICE BofA US High Yield Constrained 0.00 2.37 3.87 9.39 5.41 5.85 5.99 7.32

CSFB LEVERAGED LOAN 0.53 2.72 3.16 6.30 4.32 4.48 4.59 5.05

BARCLAYS GLOBAL US TIPS 2.10 2.64 4.29 9.23 5.00 3.74 2.41 3.41

ICE BofA US Convertibles - Yield Alter 1.55 4.91 7.82 12.91 7.78 7.90 5.12 6.06ICE BofA All IG US Convertibles 2.11 3.18 10.80 19.19 11.29 14.73 12.55 11.65ICE BofA All US Conv Ex Mandatory 3.02 8.86 10.67 18.31 11.26 12.77 10.12 11.07




5


DJ US SELECT REAL ESTATE 0.42 (1.87) 5.95 10.96 11.03 7.41 5.10 12.24NCREIF NFI - ODCE NET* 0.00 1.27 2.36 4.39 5.87 6.13 7.98 10.39CPI + 4% 0.47 1.61 3.68 6.58 6.07 6.11 6.0591 DAY TREASURY BILL 0.13 0.40 1.16 2.22 2.08 1.70 1.10 0.59




6

NYC Police Pension Fund Contribution to Return - December 2019

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

Return: 1.89% Return: 4.75% Return: 5.99% Return: 6.95% Return: 9.41%Prepared by State Street

0.16 0.16 0.38 0.55

0.19 0.44

0.83 1.20

0.20

0.09

0.22

0.35

0.21

(0.17) (0.23)

0.44

1.66

0.07

0.24

0.44

0.40

0.64

0.35 0.49

0.39

0.92 0.72 1.11

0.90

2.73 3.14

2.51

4.98

DOMESTIC EQUITY

WORLD EX-USA

EMERGING MARKETS

INTL FOF

HEDGE FUNDS

REITS

CORE + 5

TIPS

HIGH YIELD

BANK LOANS

CONVERTIBLE BONDS

OPPORTUNISTIC FIXED

TARGETED

OTHER FIXED

PRIVATE EQUITY

PRIVATE REAL ESTATE

INFRASTRUCTURE

RESIDUAL

0.02-Intl FoF 0.02-TIPS 0.02-BL 0.04-Conv 0.01-Opp FI (0.00)-ETI 0.00-Oth FI 0.03-PE 0.04-RE 0.02-Infra 0.00-Res

0.06-Intl FoF (0.02)-HF 0.04-TIPS 0.13-HY 0.03-BL 0.10-Conv 0.03-Opp FI (0.01)-ETI 0.01-Oth FI 0.04-Infra (0.05)-Res

0.05-Intl FoF (0.01)-HF 0.10-TIPS 0.05-BL 0.13-Conv 0.08-Opp FI 0.02-ETI 0.01-Oth FI 0.07-Infra 0.03-Res

(0.00)-World ex 0.13-EM 0.00-Intl FoF 0.00-REITS 0.06-BL 0.13-Conv 0.16-Opp FI 0.09-ETI 0.03-Oth FI 0.10-Infra 0.06-Res

0.04-Intl FoF 0.00-REITS (0.04)-Core+5 0.09-TIPS 0.08-HY 0.07-BL 0.14-Conv (0.01)-ETI 0.01-Oth FI 0.08-Infra (0.03)-Res

Information Classification: General

7

2.1%0.0% -0.1%

-0.7%-1.9% -1.7% -1.7%

0.3% 0.0%2.0%

0.6%

-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

$14.033.1%

Domestic US Equity World ex-USA Emerging Markets Private Equity

$3.89.0%

$2.55.9%

$2.76.3%

$2.76.3%

$0.92.1%

$1.43.3%

$0.00.0%

$0.82.0%

Private Real Estate – Non Core Opportunistic FIHigh Yield Hedge Funds REITS Convertible Bonds

$42.4B Under ManagementPortfolio Asset Allocation – Growth : December 31, 2019

Asset Allocation

Note: Brackets represent rebalancing ranges versus Policy.

New York City Police Pension Fund, Subchapter 2Performance Overview as of December 31, 2019Prepared by State Street

Int’l Emerging Managers FoF

$0.30.6%

$2.25.3%

8

$42.4B Under ManagementPortfolio Asset Allocation – Growth : December 31, 2019

Asset Allocation


Relative Mix to Adjusted Policy Weights

Asset Allocation


Note: On December 31, 2019 Police's combined Fixed Income and Cashportfolios have a duration of 7.7 years. The duration of the Barclays USAggregate Index was 5.9 years on that date.

Domestic US Equity World ex-USA Emerging Markets Private Equity Private Real Estate – Non Core Opportunistic FIHigh Yield Hedge Funds REITS Convertible Bonds Int’l Emerging Managers FoF

0.2% 0.3% 0.0% 0.0% 0.0% 0.0%

-2.5%

0.3% 0.0%2.0%

0.0%

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

10.00%

$14.033.1%

$3.89.0%

$2.76.3%

$2.76.3%

$0.92.1%

$1.43.3%

$0.00.0%

$0.82.0%

$0.30.6%

$2.25.3%

$2.55.9%

9

Asset Allocation

US Government Treasuries

$4.19.6%

1.7%0.4% 0.3% 0.4% 0.2% 0.2%

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

10.00%

Mortgages Investment Grade Credit Short Term

$0.20.4%

Relative Mix to New Policy Weights

$42.4B Under Management


$0.10.2%

$0.10.2%

Core Fixed Income-Emerging Managers Core Fixed Income-Developing Managers

Portfolio Asset Allocation – Deflation Protection : December 31, 2019

$1.22.8%

$1.22.9%

10


Asset Allocation



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

1.2%

-0.4% -0.6%0.4% 0.2% 0.2%

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

10.00%

Portfolio Asset Allocation – Deflation Protection : December 31, 2019

$0.10.2%

$0.10.2%

$0.20.4%

$4.19.6%

$1.22.9%

$1.22.8%


11

Asset Allocation

Infrastructure

$1.94.4%

-0.9%

0.4%

-1.1%-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

$1.22.9%

$0.71.6%

Relative Mix to New Policy Weights

$0.51.1%




Portfolio Asset Allocation – Inflation Protection : December 31, 2019

12

Asset Allocation

Infrastructure

0.0% 0.2% 0.0%-0.4%

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

10.00%

US TIPS Real Estate - Core Bank Loans





Portfolio Asset Allocation – Inflation Protection : December 31, 2019

$1.94.4%

$1.22.9%

$0.71.6%

$0.51.1%


13

NYC POLICE DEPARTMENT PENSION FUND

CLASSIFICATION OF INVESTMENTS

(as of December 31st, 2019)

ASSET CLASS ALLOCATIONSActual Policy Target Adjustment Adjusted Policy

TOTAL EQUITIES $28,534.7 67.3% 69.0% NA 67.3% 62.3% - 72.3%

TOTAL FIXED INCOME $13,855.3 32.7% 31.0% NA 32.7% 27.7% - 37.7%

TOTAL ASSETS 100.0% 100.0% NA 100.0%

Actual Policy Target Adjustment Adjusted Policy

US Equities $14,023.9 33.1% 31.0% 2.4% 33.4% 28.4% - 38.4%

Non-US Equities/EAFE $3,801.2 9.0% 9.0% 0.1% 9.1% 6.1% - 12.1%

Emerging Markets $2,489.3 5.9% 6.0% 0.0% 6.0% 3.0% - 9.0%

Non-US Emerging Mgrs. FoF $266.0 0.6% 0.0% NA 0.0% -

Real Estate Investment Trusts $0.0 0.0% 0.0% NA 0.0% 0.0% - 0.0%

TOTAL PUBLIC EQUITY 48.6% 46.0% 2.6% 48.6%

*HEDGE FUNDS 6.3% 6.0% NA 6.3% 3.3% - 9.3%

*REAL ESTATE - CORE 2.9% 4.0% NA 2.9% 0.9% - 4.9%

*REAL ESTATE - OPPORTUNISTIC 2.1% 4.0% NA 2.1% 0.1% - 4.1%

*PRIVATE EQUITY 6.3% 7.0% NA 6.3% 3.3% - 9.3%

PRIVATE INFRASTRUCTURE 1.1% 2.0% NA 1.1% 0.1% - 2.1%

TOTAL EQUITIES 67.3% 69.0% NA 67.3% 62.3% - 72.3%

Actual Policy Target Adjustment Adjusted Policy

U.S. Treasuries – All Maturities $2,497.9 5.9% 0.0% NA 0.0% -4.0% - 4.0%

U.S. Treasuries - Longer Than Twenty Years $1,592.0 3.8% 8.0% 0.5% 8.5% 4.5% - 12.5%

Core Mortgage-Backed Securities $800.4 1.9% 0.5% 0.9% 1.4% 0.4% - 2.4%

Credit - Investment Grade Corporates $1,189.4 2.8% 2.5% 0.9% 3.4% 2.4% - 4.4%

High Yield $2,230.9 5.3% 7.0% 0.9% 7.9% 4.9% - 10.9%

Bank Loans $689.1 1.6% 2.0% NA 2.0% 1.0% - 3.0%

Total High Yield & Bank Loans 6.9% 9.0% 0.9% 9.9% 4.9% - 10.9%

TIPS $1,867.5 4.4% 4.0% 0.2% 4.2% 3.2% - 5.2%

Convertible Bonds $834.2 2.0% 0.0% NA 0.0% 0.0% - 0.0%**

ETI $437.1 1.0% 2.0% NA 2.0% 1.0% - 3.0%

Cash $160.9 0.4% 0.0% NA 0.0% 0.0% - 0.0%

TOTAL PUBLIC FIXED INCOME 29.0% 26.0% NA 29.4%

*OPPORTUNISTIC FIXED INCOME 3.3% 5.0% NA 3.3% -0.7% - 5.3%

OTHER FIXED INCOME 0.4% 0.0% NA 0.0% 0.0% - 0.0%

TOTAL FIXED INCOME 32.7% 31.0% NA 32.7% 27.7% - 37.7%

*

**

***

$1,388.8

$167.1

$13,855.3

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

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

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

Estate Opportunistic: +/-2%; Private Equity: +/-3%; US Treasuries All Maturities: +/-4%; US Treasuries Longer than 20 Years: +/-4%; Mortgage Backed Securities: +/-1%; Investment Grade Corporates: +/-1%; TIPS: +/-1%; High

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

$28,534.7

In $MM Adjusted Target

Range***

$2,920.0

$12,299.5

$20,580.3

$2,679.3

$1,243.6

$891.0

$2,662.0

$478.4


Range***

$42,390.0


Range***


14




Adjustments to Long-Term Asset Allocation

1) Private Equity

2) Real Estate Core

3) Real Estate Opportunistic

4) Infrastructure

5) Opportunistic Fixed Income

6) Hedge Funds

Impact of Adjustments

1) U.S. Treasuries - Longer Than Twenty Years 8.0%

Adjustment: 12% of uninvested Real Estate Core 0.1%

Adjustment: 8% of uninvested Real Estate Opportunistic 0.2%

Adjustment: 5% of uninvested Private Infrastructure 0.0%

Adjustment: 10% of uninvested Hedge Funds 0.0%

Adjustment: 10% of uninvested Opportunistic Fixed Income 0.2%

Total U.S. Treasuries - Longer Than Twenty Years 8.5%

2) Credit - Investment Grade Corporates 2.5%




Adjustment: 20% of uninvested Hedge Funds -0.1%


Total Credit - Investment Grade Corporates 3.4%

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

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

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

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

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

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

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

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

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

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

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

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

will be invested in Mortgage Backed Securities.


15




3) Core Mortgage-Backed Securities 0.5%






Total Core Mortgage-Backed Securities 1.4%

4) High Yield Securities 7.0%


** Existing Convertibles holdings to be placeholder for HY Securities

Total High Yield Securities 7.9%

5) Domestic Equity 31.0%

Adjustment: 100% of uninvested Private Equity 0.7%

Adjustment: 40% of uninvested of uninvested Real Estate Core 0.4%




Total Domestic Equity 33.4%

6) Treasury Inflation Protected Securities 4.0%


Total Treasury Inflation Protected Securities 4.2%

7) Non-U.S. Equity - Emerging Markets 6.0%


Adjustment: 5% of uninvested Hedge Funds 0.0%

Total Non-U.S. Equity - Emerging Markets 6.0%

8) Non-U.S. Equity - Developed Mkts. 9.0%



Total Non-U.S. Equity 9.1%


16




Note: Totals may not equal 100% due to rounding

US Equities

68%

Non-US

Equities/EAFE

18%

Emerging

Markets

12%

Non-US Emerging

Mgrs. FoF

1%

Real Estate

Investment Trusts

0%

Total Public Equities

U.S. Treasuries – All Maturities

18% U.S. Treasuries -

Longer Than Twenty Years 11%

Core Mortgage-Backed Securities

6% Credit - Investment Grade Corporates

9% High Yield

16%

Bank Loans 5%

TIPS 13%

Convertible Bonds

6%

**ETI 3%

Cash 1%

*OPPORTUNISTIC FIXED INCOME

10%

OTHER FIXED INCOME

1%

Total Fixed Income


17

$38,483

$39,070

$39,729

$40,244

$39,354

$41,002

$40,662$40,828 $40,827

$41,334

$42,138$42,390

POLICE MARKET VALUESJANUARY 2019 - DECEMBER 2019

18

$19,829

$24,607 $25,273

$28,974

$33,894$33,208 $33,592

$38,043 $39,535 $41,002$42,390

13,00015,50018,00020,50023,00025,50028,00030,50033,00035,50038,00040,50043,00045,50048,000

POLICE PENSION FUND MARKET VALUES2010 - 2019

THE 10 YEAR RETURN FOR POLICE AS OF DECEMBER 31, 2019 IS 9.16%.

19

Assets ($MM)

% of Total

Trailing1 Month

Trailing3 Month FYTD CYTD

FYE06/30/19

CYE12/31/18

CYE12/31/17

CYE12/31/16

CYE12/31/15

CYE12/31/14

Trailing1 Year Inception Date

ASSET CLASS SUMMARY

POLICE-TOTAL DOMESTIC EQUITY 14,023.85 33.08 2.74 8.51 9.90 29.91 8.19 (5.54) 20.49 13.03 (0.10) 11.29 29.91 12/01/1984

POLICE-TOTAL WORLD ex-USA 3,801.23 8.97 4.42 10.43 8.16 25.20 (0.02) (14.63) 30.82 3.88 (0.84) (4.52) 25.20 04/01/2004

POLICE-TOTAL EMERGING MARKETS 2,489.27 5.87 7.15 11.18 6.09 17.77 2.12 (14.74) 38.36 11.36 (14.90) (1.43) 17.77 11/01/1996

POLICE-TOTAL INTL FOF 265.99 0.63 3.94 9.36 7.64 25.10 0.12 (15.05) 25.10 05/01/2017

POLICE-TOTAL HEDGE FUNDS 2,679.26 6.32 1.16 (0.24) (0.14) 4.69 3.91 2.38 9.60 3.08 (1.54) 5.21 4.69 07/01/2011

POLICE-TOTAL REAL ESTATE SECURITIES

POLICE-TOTAL STRUCTURED 6,079.80 14.34 (1.17) (1.55) 2.76 10.75 9.47 (0.89) 5.10 3.42 0.48 7.60 10.75 01/01/1985

POLICE-TOTAL CONVERTIBLE BONDS 834.17 1.97 2.25 5.08 6.78 16.94 6.85 (0.55) 14.31 6.80 (0.81) 8.99 16.94 07/01/2008

POLICE-TOTAL TIPS MANAGERS 1,867.55 4.41 0.38 0.82 2.13 8.44 4.82 (1.27) 3.09 4.68 (1.32) 3.45 8.44 06/01/2005

POLICE-TOTAL HIGH YIELD 2,230.91 5.26 1.75 2.47 4.23 14.63 7.07 (3.12) 6.59 14.86 (4.26) 2.45 14.63 10/01/1994

POLICE-TOTAL BANK LOANS 689.09 1.63 1.48 1.86 3.11 8.02 3.49 0.82 4.41 8.52 1.49 2.44 8.02 12/01/2012

POLICE-TOTAL OPPORTUNISTIC FIXED 1,388.78 3.28 0.22 0.82 2.34 5.29 5.15 6.23 7.83 8.41 (1.47) 8.70 5.29 10/01/2007

POLICE-TOTAL CORE FI- EMERGING MGRS 86.53 0.20 (0.10) 0.09 2.43 8.88 7.85 (0.05) 4.02 2.97 0.65 5.85 8.88 06/01/2012

POLICE-TOTAL CORE FI- DEVELOPING MGRS 80.52 0.19 0.22 0.53 2.68 9.79 7.75 (1.19) 3.98 3.66 1.08 5.57 9.79 05/01/2009

TOTAL POLICE ETI (w/o cash) 437.06 1.03 (0.43) (0.92) 2.09 8.67 9.31 0.82 3.62 2.51 3.82 7.83 8.67 12/01/1984

POLICE-TOTAL PRIVATE EQUITY 2,662.03 6.28 0.47 3.01 6.91 10.72 13.16 17.96 20.45 9.10 10.66 13.74 10.72 04/01/2004

POLICE-TOTAL PRIVATE REAL ESTATE 2,134.58 5.04 0.86 3.13 3.21 6.51 7.93 10.58 12.07 11.19 15.70 17.19 6.51 04/01/2004

POLICE-TOTAL INFRASTRUCTURE 478.44 1.13 1.68 3.43 6.64 12.51 12.11 14.61 17.41 9.15 13.28 12.49 12.51 12/01/2013

POLICE-TOTAL CASH 160.93 0.38 0.15 1.31 1.96 3.55 2.82 2.28 1.28 0.88 0.47 0.22 3.55 04/01/2004

SECURITY LENDING 0.00 0.00 04/01/2004

POLICE-TOTAL POLICE 42,389.99 100.00 1.89 4.75 5.99 17.41 6.95 (2.33) 16.56 8.86 0.23 7.34 17.41 07/01/1987

POLICE-TOTAL EQUITY 20,580.35 48.55 3.59 9.19 9.05 27.33 5.68 (8.80) 24.54 11.06 (2.06) 6.85 27.33 08/01/1993

POLICE-TOTAL HEDGE FUNDS 2,679.26 6.32 1.16 (0.24) (0.14) 4.69 3.91 2.38 9.60 3.08 (1.54) 5.21 4.69 07/01/2011

POLICE-TOTAL FIXED INCOME (MINUS SS) 13,694.40 32.31 0.02 0.24 3.12 10.65 7.67 (0.41) 5.28 5.78 (0.34) 6.28 10.65 04/01/2004

POLICE-TOTAL PRIVATE EQUITY 2,662.03 6.28 0.47 3.01 6.91 10.72 13.16 17.96 20.45 9.10 10.66 13.74 10.72 04/01/2004

POLICE-TOTAL REAL ESTATE SECURITIES

POLICE-TOTAL PRIVATE REAL ESTATE 2,134.58 5.04 0.86 3.13 3.21 6.51 7.93 10.58 12.07 11.19 15.70 17.19 6.51 04/01/2004

POLICE-TOTAL INFRASTRUCTURE 478.44 1.13 1.68 3.43 6.64 12.51 12.11 14.61 17.41 9.15 13.28 12.49 12.51 12/01/2013

POLICE-TOTAL CASH 160.93 0.38 0.15 1.31 1.96 3.55 2.82 2.28 1.28 0.88 0.47 0.22 3.55 04/01/2004

Securities Lending 0.00 0.00 04/01/2004

POLICE-TOTAL POLICE 42,389.99 100.00 1.89 4.75 5.99 17.41 6.95 (2.33) 16.56 8.86 0.23 7.34 17.41 07/01/1987

Police Policy Benchmark 2.01 4.85 6.49 18.80 7.58 (2.67) 16.04 9.23 0.41 8.16 18.80 06/01/1994

Periods Ending December 31, 2019

New York City Police Pension Fund

Manager / Benchmark Comparison Report

Rates of Return - Net Mgr

Information Classification: Limited Access

20

Ending Market Value ($MM)

% of Total 1 Month 3 Month FYTD CYTD

CYE 12/31/2018

CYE 12/31/2017

CYE12/31/2016

CYE12/31/2015

ASSET CLASS SUMMARY

POLICE-TOTAL POLICE 42,390 100.00 1.89 4.75 5.99 17.41 (2.33) 16.56 8.86 0.23Police Policy Benchmark 2.08 4.92 6.57 18.89 (2.67) 16.04 9.23 0.41Excess (0.20) (0.17) (0.57) (1.48) 0.35 0.52 (0.37) (0.18)

POLICE-TOTAL EQUITY (INCL ALTS & REITS) 28,535 67.31 2.82 7.08 7.43 21.24 (3.75) 22.00 10.30 0.38

POLICE-TOTAL FIXED INCOME 13,855 32.69 0.02 0.25 3.09 10.42 (0.35) 5.43 5.52 (0.29)

EQUITY SUMMARY

POLICE-TOTAL DOMESTIC EQUITY 14,024 33.08 2.74 8.51 9.90 29.91 (5.54) 20.49 13.03 (0.10)RUSSELL 3000 (DAILY) 2.89 9.10 10.37 31.02 (5.24) 21.13 12.74 0.48Excess (0.15) (0.59) (0.47) (1.11) (0.30) (0.64) 0.29 (0.57)

BlackRock US SCG R2000 48 0.11 2.12 11.24 6.69 28.39 (9.14) 22.26 11.29 (1.30)RUSSELL 2000 GROWTH DAILY 2.29 11.39 6.75 28.48 (9.31) 22.17 11.32 (1.38)Excess (0.17) (0.15) (0.06) (0.09) 0.17 0.09 (0.02) 0.08

BlackRock US SCV R2000 85 0.20 31.71 (7.38)RUSSELL 2000 VALUE DAILY 3.50 (12.86) 7.84 31.74 (7.47)Excess (0.03) 0.09

Brown Asset Mgmt US SCG 228 0.54 (2.06) 4.93 1.39 29.71 0.98 28.92 10.23 8.62RUSSELL 2000 GROWTH DAILY 2.29 11.39 6.75 28.48 (9.31) 22.17 11.32 (1.38)Excess (4.35) (6.46) (5.36) 1.23 10.29 6.75 (1.09) 10.00

William Blair-US SCG 121 0.29RUSSELL 2000 GROWTH DAILY 2.29Excess

Ceredex US SCV 0 0.00 (11.72) 10.61 29.38 (4.74)RUSSELL 2000 VALUE DAILY 3.50 (12.86) 7.84 31.74 (7.47)Excess 1.15 2.77 (2.36) 2.73

Dalton US SCV 159 0.38 3.53 8.39 9.52 24.83 (17.30) 8.38 25.01 (3.32)RUSSELL 2000 VALUE DAILY 3.50 8.49 7.87 22.39 (12.86) 7.84 31.74 (7.47)

Excess 0.03 (0.10) 1.65 2.44 (4.43) 0.55 (6.73) 4.15

Pzena-US SCV 84 0.20RUSSELL 2000 VALUE DAILY 3.50Excess

DFA US SCC 167 0.39 3.12 8.42 6.33 21.78 (12.54) 11.53 25.08 (3.86)RUSSELL 2000 (DAILY) 2.88 9.94 7.30 25.52 (11.01) 14.65 21.31 (4.41)Excess 0.23 (1.52) (0.97) (3.74) (1.52) (3.12) 3.77 0.56

Legal General US LMCE 1,230 2.90 2.34 5.69 8.31RUSSELL 1000 (DAILY) 2.89 9.04 10.59Excess (0.54) (3.35) (2.28)

RAFI US SCE 0 0.00 (11.57) 9.74 27.83 (6.65)RUSSELL 2000 (DAILY) 2.88 (11.01) 14.65 21.31 (4.41)Excess (0.56) (4.91) 6.52 (2.23)






21



CYE 12/31/2018

CYE 12/31/2017

CYE12/31/2016

CYE12/31/2015





Cooke and Bieler-US SCV 55 0.13RUSSELL 2000 VALUE DAILY 3.50Excess

Iridian US MCC 0 0.00 (23.30) 23.36 4.19 (3.71)RUSSELL MIDCAP (DAILY) 2.29 (9.06) 18.52 13.80 (2.44)Excess (14.24) 4.84 (9.60) (1.27)

Wellington US MCC 365 0.86 2.06 6.97 5.65 32.70 (7.35) 25.05 12.30 1.76S&P 400 MIDCAP INDEX (DAILY) 2.81 7.06 6.97 26.20 (11.08) 16.24 20.74 (2.18)

Excess (0.75) (0.09) (1.32) 6.50 3.73 8.80 (8.44) 3.93

BlackRock US LMC R1000 Core 8,280 19.53 2.88 9.02 10.56 31.48RUSSELL 1000 (DAILY) 2.89 9.04 10.59 31.43Excess 0.00 (0.02) (0.03) 0.06

PIMCO RAFI US LMCE 1,509 3.56 3.03 8.35 9.85 25.42 (6.92) 16.84 15.73 (3.09)RUSSELL 1000 (DAILY) 2.89 9.04 10.59 31.43 (4.78) 21.69 12.05 0.92Excess 0.14 (0.69) (0.74) (6.01) (2.13) (4.84) 3.68 (4.01)

SSGA Russell Top 200 1,617 3.81 3.10 9.77 11.72 31.74RUSSELL TOP 200 INDEX (DAILY) 3.11 9.79 11.74 31.75Excess (0.01) (0.02) (0.03) (0.01)

FUND OF FUNDSEssex US SCG - Legato 14 0.03 2.51 9.63 6.67 26.80 (5.25)RUSSELL 2000 GROWTH DAILY 2.29 11.39 6.75 28.48 (9.31)Excess 0.21 (1.76) (0.08) (1.68) 4.06

Dean US SCV - Legato 14 0.03 4.38 7.65 7.70 21.89 (12.49)RUSSELL 2000 VALUE DAILY 3.50 8.49 7.87 22.39 (12.86)Excess 0.88 (0.84) (0.17) (0.50) 0.37

Bridge City US SCG - Legato 18 0.04 1.55 5.81 6.98 24.49 0.89RUSSELL 2000 GROWTH DAILY 2.29 11.39 6.75 28.48 (9.31)Excess (0.74) (5.58) 0.24 (3.99) 10.19

Bowling US SCV - Legato 10 0.02 0.82 4.92 3.53 18.77 (19.60)RUSSELL 2000 VALUE DAILY 3.50 8.49 7.87 22.39 (12.86)Excess (2.68) (3.57) (4.34) (3.63) (6.74)

Altravue US SCV - Legato 10 0.02 5.11 6.22 6.28 20.05 (10.08)RUSSELL 2000 VALUE DAILY 3.50 8.49 7.87 22.39 (12.86)Excess 1.60 (2.27) (1.59) (2.34) 2.79

Lisanti US SCG - Legato 9 0.02 1.04 7.32 1.27 27.53RUSSELL 2000 GROWTH DAILY 2.29 11.39 6.75 28.48Excess (1.25) (4.08) (5.48) (0.96)

POLICE-TOTAL WORLD ex-USA 3,801 8.97 4.42 10.43 8.16 25.20 (14.63) 30.82 3.88 (0.84)WORLD ex-USA CUSTOM BM 3.40 8.36 7.45 22.91 (14.68) 26.40 1.15 0.49

Excess 1.02 2.08 0.71 2.30 0.05 4.42 2.73 (1.34)


22



CYE 12/31/2018

CYE 12/31/2017

CYE12/31/2016

CYE12/31/2015





Baillie Gifford WorldxUS LMCC 738 1.74 5.63 13.15 10.71 37.00 (15.37) 44.17 0.70 (3.81)NYC Developed Growth Benchmark 3.19 7.86 6.85 22.49 (14.09) 27.77 (3.04) 4.09Excess 2.44 5.29 3.85 14.51 (1.28) 16.40 3.74 (7.90)

Walter Scott WorldxUS LMCC 739 1.74 3.89 8.88 8.93 28.51 (7.68) 28.04 5.03 0.28NYC Developed Growth Benchmark 3.19 7.86 6.85 22.49 (14.09) 27.77 (3.04) 4.09Excess 0.70 1.02 2.08 6.02 6.41 0.27 8.07 (3.81)

Causeway WorldxUS LMCC 591 1.39 4.19 11.51 9.19 21.35 (18.34) 28.22 0.52 (2.39)NYC Developed Value Benchmark 3.19 7.86 6.85 22.49 (14.09) 22.77 5.02 (5.68)Excess 1.00 3.65 2.33 (1.14) (4.25) 5.45 (4.51) 3.29

Sprucegrove WorldxUS LMCC 647 1.53 4.80 9.74 3.89 17.62 (13.67) 27.15 11.10 (9.44)NYC Developed Value Benchmark 3.19 7.86 6.85 22.49 (14.09) 22.77 5.02 (5.68)Excess 1.61 1.89 (2.96) (4.87) 0.42 4.38 6.08 (3.75)

Acadian WorldxUS SCC 221 0.52 4.57 11.95 8.24 21.82 (19.22) 38.38 6.41 8.68S&P EPAC Small Cap USD NET 4.58 11.86 9.93 23.71 (18.58) 33.47 1.34 8.58Excess (0.02) 0.10 (1.69) (1.89) (0.65) 4.91 5.07 0.09

Algert EAFE SCC 57 0.13 4.84 13.21 9.75

MSCI EAFE SMALL CAP NET (DAILY) 4.37 11.52 11.03

Excess 0.47 1.69 (1.29)

Fidelity WorldxUS SCC 25 0.06 (18.22) 31.34 (0.91) 11.97

S&P EPAC Small Cap USD NET 4.58 (18.58) 33.47 1.34 8.58Excess 0.36 (2.13) (2.24) 3.38

SSGA WorldxUS LMC NYC Custom IDX 520 1.23 3.16 7.83 6.89 22.75 (14.05) 24.58 1.30 (0.54)NYC Custom World ex US Index 3.19 7.86 6.85 22.49 (14.09) 24.12 1.00 (0.81)Excess (0.03) (0.02) 0.03 0.26 0.04 0.47 0.30 0.27

SSGA WorldxUS SC Custom IDX 261 0.62 4.64 11.47 11.27 25.67 (17.97) 33.43 2.77 9.86World ex USA SC PASSIVE CUSTOM BM 4.63 11.40 11.10 25.41 (18.07) 33.31 2.18 9.59Excess 0.02 0.07 0.17 0.26 0.10 0.12 0.59 0.27

POLICE-TOTAL INTL FOF 266 0.63 3.94 9.36 7.64 25.10 (15.05)

MSCI ACWI ex USA IMI Net 4.41 9.20 7.33 21.63 (14.76)

Excess (0.47) 0.16 0.32 3.47 (0.29)

Osmosis-EAFE ACV - FIS 18 0.04 3.46 7.62 5.97 17.87 (14.24)

MSCI EAFE 3.25 8.17 7.01 22.01 (13.79)

Excess 0.21 (0.55) (1.04) (4.15) (0.45)

Redwood-EAFE ACG - FIS 12 0.03 2.65 8.43 7.12 25.78

MSCI EAFE + Canada Net Index 3.19 7.86 6.85 22.49

Excess (0.54) 0.58 0.27 3.29

Martin-EAFE ACG - FIS 10 0.02 2.64 4.97 4.89

MSCI EAFE 3.25 8.17 7.01

Excess (0.61) (3.20) (2.12)

Metis-EAFE ACV - FIS 6 0.01 3.85 12.34 10.97 20.24 (19.02)

MSCI EAFE 3.25 8.17 7.01 22.01 (13.79)

Excess 0.60 4.18 3.96 (1.77) (5.23)


23



CYE 12/31/2018

CYE 12/31/2017

CYE12/31/2016

CYE12/31/2015





Dundas-EAFE ACG - FIS 20 0.05 3.28 10.78 9.74 29.89 (9.87)MSCI EAFE + Canada Net Index 3.19 7.86 6.85 22.49 (14.09)Excess 0.09 2.93 2.89 7.40 4.22

Denali-EAFE ACV - FIS 12 0.03 2.73 7.42 3.63 11.77 (11.39)MSCI EAFE + Canada Net Index 3.19 7.86 6.85 22.49 (14.09)Excess (0.46) (0.43) (3.22) (10.72) 2.70

Change Global-EM ACV - FIS 14 0.03 9.33 10.15 4.56 14.52 (16.24)MSCI EMERGING MARKETS 7.46 11.84 7.09 18.42 (14.57)

Excess 1.87 (1.69) (2.53) (3.90) (1.68)

Aubrey-EM ACG - FIS 18 0.04 4.84 9.87 7.80 29.24 (16.69)MSCI EMERGING MARKETS 7.46 11.84 7.09 18.42 (14.57)Excess (2.62) (1.97) 0.71 10.81 (2.13)

Ativo-EAFE ACG - FIS 19 0.05 2.63 7.61 6.38 22.80 (12.11)MSCI EAFE + Canada Net Index 3.19 7.86 6.85 22.49 (14.09)Excess (0.56) (0.24) (0.47) 0.31 1.98

Ativo-WorldxUS ACC - Leading Edge 29 0.07 4.41 8.23 7.44 24.20MSCI AC WORLD ex US (NET) 4.33 8.92 6.96 21.51Excess 0.08 (0.69) 0.48 2.69

Blackcrane-WorldxUS ACC - Leading Edge 20 0.05 3.09 12.88 11.69 28.72 (23.36)MSCI ACWI ex USA IMI Net 4.41 9.20 7.33 21.63 (14.76)Excess (1.32) 3.68 4.36 7.09 (8.61)

Haven-WorldxUS LMCV - Leading Edge 24 0.06 4.25 9.41 7.84MSCI ACWI ex USA IMI Net 4.41 9.20 7.33Excess (0.16) 0.21 0.51

Henry James-WorldxUS LMCC - Leading Edge 32 0.08 4.76 10.11 7.37 28.41 (14.59)MSCI ACWI ex USA IMI Net 4.41 9.20 7.33 21.63 (14.76)Excess 0.34 0.91 0.05 6.78 0.16

Leading Edge Transition WorldxUS 0 0.00

Redwood-WorldxUS LMCC - Leading Edge 31 0.07 3.11 9.97 9.25 34.03 (16.23)MSCI ACWI ex USA IMI Net 4.41 9.20 7.33 21.63 (14.76)Excess (1.30) 0.77 1.92 12.40 (1.47)

POLICE-TOTAL EMERGING MARKETS 2,489 5.87 7.15 11.18 6.09 17.77 (14.74) 38.36 11.36 (14.90)MSCI EMERGING MARKETS 7.46 11.84 7.09 18.42 (14.57) 37.28 11.19 (14.92)Excess (0.31) (0.66) (1.00) (0.65) (0.17) 1.07 0.17 0.02

DFA EM 381 0.90 6.00 9.76 2.20 9.73 (12.06) 33.64 17.39 (19.39)MSCI EMERGING MARKETS 7.46 11.84 7.09 18.42 (14.57) 37.28 11.19 (14.92)Excess (1.46) (2.08) (4.89) (8.69) 2.50 (3.64) 6.20 (4.48)

Baillie Gifford EM 481 1.13 8.24 13.15 9.27 28.50 (15.37) 54.14 2.78 (8.00)

MSCI EMERGING MARKETS 7.46 11.84 7.09 18.42 (14.57) 37.28 11.19 (14.92)Excess 0.78 1.31 2.18 10.08 (0.80) 16.86 (8.41) 6.92


24



CYE 12/31/2018

CYE 12/31/2017

CYE12/31/2016

CYE12/31/2015





Parametric EM 332 0.78 5.74 8.59 3.97 14.20 (14.33) 29.65 13.87 (15.72)MSCI EMERGING MARKETS 7.46 11.84 7.09 18.42 (14.57) 37.28 11.19 (14.92)Excess (1.72) (3.25) (3.12) (4.22) 0.24 (7.63) 2.68 (0.80)

Acadian EM 415 0.98 7.95 11.45 5.97 15.71 (17.27) 40.45 12.65 (15.05)MSCI EMERGING MARKETS 7.46 11.84 7.09 18.42 (14.57) 37.28 11.19 (14.92)Excess 0.49 (0.39) (1.12) (2.71) (2.70) 3.16 1.46 (0.13)

BlackRock MSCI EM Core 881 2.08 7.23 11.71 7.17 18.76 (14.44) 37.26 11.17 (14.91)MSCI EMERGING MARKETS 7.46 11.84 7.09 18.42 (14.57) 37.28 11.19 (14.92)Excess (0.23) (0.12) 0.08 0.34 0.13 (0.02) (0.02) 0.01

POLICE-TOTAL HEDGE FUNDS 2,679 6.32 1.16 (0.24) (0.14) 4.69 2.38 9.60 3.08 (1.54)HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06) 8.84 1.52 0.73Excess (0.57) (3.50) (2.68) (4.70) 5.43 0.76 1.56 (2.27)

FUND OF FUNDS HEDGE FUNDS 139 0.33 (0.10) 0.37 1.85 2.31 1.84 2.84 1.86 (2.14)HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06) 8.84 1.52 0.73Excess (1.83) (2.90) (0.69) (7.08) 4.90 (6.01) 0.34 (2.88)

Altimeter Partners 63 0.15 (0.79) (0.57) 0.45 21.40 18.20 8.38

HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06) 8.84

Excess (2.52) (3.84) (2.09) 12.01 21.26 (0.46)

Brevan Howard AH Fund 161 0.38 (2.32) (15.36) (16.74) (13.14) 27.06

HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06)

Excess (4.05) (18.63) (19.28) (22.53) 30.12

CASPIAN SELECT CF 86 0.20 1.90 2.05 1.64 5.12 0.85 6.50 8.92 (10.46)HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06) 8.84 1.52 0.73Excess 0.17 (1.22) (0.90) (4.27) 3.91 (2.34) 7.40 (11.19)

D.E. SHAW COMPOSITE FD 271 0.64 (0.13) 0.83 4.90 10.90 11.59 10.67 6.14 15.05HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06) 8.84 1.52 0.73Excess (1.86) (2.44) 2.36 1.51 14.65 1.82 4.62 14.32

DL PARTNERS OPP LP 120 0.28 1.47 3.92 (0.55) 2.45

HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39

Excess (0.26) 0.65 (3.09) (6.94)

FIR TREE VAL FD 4 0.01 (6.81) (35.95) (52.06) (57.01) (3.45) 2.04 0.47 (7.59)HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06) 8.84 1.52 0.73Excess (8.54) (39.21) (54.60) (66.40) (0.39) (6.80) (1.05) (8.33)

Florin Court Capital 119 0.28 4.50 4.42 3.98 15.35

HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39

Excess 2.77 1.15 1.45 5.96

Gotham Asset Management 38 0.09 (2.04) (1.27) 1.03 0.46 (1.37) 1.11 6.40

HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06) 8.84 1.52

Excess (3.77) (4.54) (1.51) (8.93) 1.69 (7.73) 4.88

GRESHAM QUANT ACAR FD 54 0.13 12.24 10.16 (1.35)

HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54

Excess 10.51 6.89 (3.89)


25



CYE 12/31/2018

CYE 12/31/2017

CYE12/31/2016

CYE12/31/2015





GSA Capital Partners LP 178 0.42 (1.73) (5.95) 0.09 (0.97) (6.51)HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06)Excess (3.46) (9.21) (2.45) (10.36) (3.46)

JEFFERIES STRC ALPHA B 74 0.17 (2.58) (1.14) (0.60)HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54Excess (4.30) (4.41) (3.14)

KEY SQUARE GROUP LP 185 0.44 3.44 (4.07) (6.71) 0.49 (1.93)HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06)

Excess 1.71 (7.34) (9.25) (8.90) 1.12

LANSDOWNE EURO ABS OPP 85 0.20 (2.46) (6.14) (3.64)HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54Excess (4.19) (9.41) (6.18)

LUXOR CAPITAL 168 0.40 6.55 7.80 3.96 5.04 14.64 25.43 9.95 (18.59)HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06) 8.84 1.52 0.73Excess 4.82 4.53 1.42 (4.35) 17.70 16.59 8.43 (19.32)

PERRY CAPITAL LP 3 0.01 0.00 1.41 10.36 21.10 (11.07) (6.87) 8.07 (13.38)HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06) 8.84 1.52 0.73Excess (1.73) (1.86) 7.82 11.71 (8.01) (15.71) 6.55 (14.11)

Pharo Gaia Fund Ltd 190 0.45 1.74 3.02 (0.52) 9.58 0.15 27.22 13.51HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06) 8.84 1.52Excess 0.02 (0.25) (3.06) 0.19 3.20 18.37 11.99

PHARO MACRO FD 120 0.28 1.08 1.35 (2.57) 5.30 2.10 16.74 7.44 3.61HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06) 8.84 1.52 0.73Excess (0.65) (1.91) (5.11) (4.09) 5.16 7.89 5.92 2.88

QUEST PARTNERS LLC 167 0.39 (1.88) (3.25) 2.36 6.32 3.18HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06)Excess (3.61) (6.52) (0.18) (3.07) 6.23

SRS Investment Management 154 0.36 1.38 7.12 4.59 13.74 4.90 12.35 (2.80) 14.73

HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06) 8.84 1.52 0.73Excess (0.35) 3.86 2.05 4.35 7.95 3.51 (4.32) 14.00

STANDARD GENERAL 47 0.11 1.99 0.96 (9.31) (3.74) 6.51 7.10 11.23 (2.45)HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06) 8.84 1.52 0.73Excess 0.26 (2.30) (11.85) (13.13) 9.56 (1.74) 9.71 (3.18)

Turiya Capital Management 114 0.27 3.73 5.84 5.84 7.85 (21.01) 23.72 (9.19)HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54 9.39 (3.06) 8.84 1.52Excess 2.00 2.57 3.30 (1.55) (17.95) 14.87 (10.70)

VOLORIDGE AGGRESSIVE 36 0.08 2.24 0.67 11.82HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54Excess 0.51 (2.59) 9.28


26



CYE 12/31/2018

CYE 12/31/2017

CYE12/31/2016

CYE12/31/2015





VOLORIDGE FUND 104 0.24 3.75 2.89 14.86

HFRI Fund of Funds Composite Index + 1% 1.73 3.27 2.54

Excess 2.02 (0.38) 12.32

FIXED INCOME SUMMARY

POLICE-TOTAL STRUCTURED 6,080 14.34 (1.17) (1.55) 2.76 10.75 (0.89) 5.10 3.42 0.48NYC Custom Structured Index-Police (1.64) (2.26) 3.46 13.17 (1.29) 6.95

Excess 0.47 0.71 (0.70) (2.42) 0.39 (1.84)

BlackRock Mortgages 703 1.66 0.19 0.66 2.12 6.89 0.97 2.56 2.29 1.81

FTSE MORTGAGE INDEX 0.28 0.77 2.28 6.68 1.01 2.47 1.59 1.56Excess (0.09) (0.12) (0.15) 0.21 (0.04) 0.10 0.71 0.25

Neuberger Berman Mortgages 97 0.23 0.30 0.87 2.05 6.35 0.78 2.39 1.52 1.42FTSE MORTGAGE INDEX 0.28 0.77 2.28 6.68 1.01 2.47 1.59 1.56Excess 0.03 0.09 (0.22) (0.33) (0.23) (0.07) (0.07) (0.15)

T Rowe Price Credit 471 1.11 0.47 1.43 4.64 14.56 (2.39) 6.89 6.04 0.02NYC - Investment Grade Credit 0.23 0.95 4.04 13.40 (1.90) 6.04 5.56 (0.65)Excess 0.24 0.49 0.60 1.17 (0.48) 0.85 0.48 0.67

BlackRock Credit 222 0.52 0.32 1.15 4.16 14.09 (1.96) 6.44 5.48 (0.57)NYC - Investment Grade Credit 0.23 0.95 4.04 13.40 (1.90) 6.04 5.56 (0.65)

Excess 0.09 0.20 0.12 0.69 (0.05) 0.40 (0.07) 0.07

Prudential Credit 268 0.63 0.30 1.17 4.25 13.91 (1.93) 6.35 6.05 (0.32)NYC - Investment Grade Credit 0.23 0.95 4.04 13.40 (1.90) 6.04 5.56 (0.65)Excess 0.07 0.22 0.21 0.51 (0.02) 0.32 0.50 0.33

Taplin Credit 105 0.25 0.52 1.63 4.66 15.66 (3.47) 7.61 9.54 (3.98)NYC - Investment Grade Credit 0.23 0.95 4.04 13.40 (1.90) 6.04 5.56 (0.65)Excess 0.29 0.69 0.62 2.26 (1.56) 1.58 3.98 (3.34)

Fidelity Credit 124 0.29 0.48 1.35 4.18 14.79 (2.26) 6.28 5.80 (0.09)NYC - Investment Grade Credit 0.23 0.95 4.04 13.40 (1.90) 6.04 5.56 (0.65)Excess 0.25 0.40 0.13 1.40 (0.35) 0.25 0.24 0.56

SSGA LI Treasury 1,327 3.13 (1.48) (2.21) 2.33 10.66 (0.21) 5.01 1.62 0.49NYC - Treasury Agency Plus Five (1.49) (2.26) 2.14 10.40 (0.05) 4.66 1.21 0.72Excess 0.00 0.05 0.19 0.26 (0.16) 0.36 0.41 (0.24)

SSgA Int Gov Bond Index * 6 0.02 (0.03) 0.02 1.20 5.08 2.04

FTSE USBIG Treasury/Agency 1-10 y (0.04) 0.01 1.18 5.18 1.42

Excess 0.01 0.01 0.01 (0.09) 0.62

* Assets were in transition from 9/29/17 to 2/11/19

BlackRock LI Treasury 928 2.19 (1.43) (2.14) 2.20 10.49 (0.18) 4.79 1.21 0.66NYC - Treasury Agency Plus Five (1.49) (2.26) 2.14 10.40 (0.05) 4.66 1.21 0.72Excess 0.05 0.12 0.06 0.10 (0.13) 0.14 0.00 (0.06)

SSGA 1-3 Treasury Index ** 237 0.56 0.22 0.53 1.13 3.60 1.50 3.08

FTSE USBIG Treasury 1-3 Y Index 0.21 0.51 1.09 3.56 1.56 0.42

Excess 0.01 0.02 0.04 0.04 (0.06) 2.66

** Assets were in transition from 9/29/17 to 11/30/17


27



CYE 12/31/2018

CYE 12/31/2017

CYE12/31/2016

CYE12/31/2015





SSGA LT Treasury 10Y Plus 1,592 3.76 (2.79) (4.13) 3.50 14.89 (1.84) 8.54FTSE Treasury 10+ (2.80) (4.14) 3.48 14.89 (1.89) 8.60Excess 0.01 0.01 0.02 (0.01) 0.05 (0.07)

POLICE-TOTAL CORE FI- EMERGING MGRS 87 0.20 (0.10) 0.09 2.43 8.88 (0.05) 4.02 2.97 0.65BBG BARC Agg (Dly) (0.07) 0.18 2.45 8.72 0.01 3.54 2.65 0.55Excess (0.03) (0.09) (0.02) 0.16 (0.06) 0.48 0.32 0.10

Optimum Quantvest-Core - Progress 8 0.02 (0.33) (0.38) 1.86 7.93 0.33 2.64 2.61 0.61BBG BARC Agg (Dly) (0.07) 0.18 2.45 8.72 0.01 3.54 2.65 0.55

Excess (0.26) (0.56) (0.59) (0.79) 0.32 (0.90) (0.03) 0.06

Integrity-Core - Progress 8 0.02 (0.12) 0.14 2.37 8.56 (0.03) 3.93BBG BARC Agg (Dly) (0.07) 0.18 2.45 8.72 0.01 3.54Excess (0.05) (0.04) (0.08) (0.16) (0.04) 0.39

Ramirez-Core - Progress 22 0.05 (0.08) 0.16 2.80 9.67 0.07 4.47 3.64 1.12BBG BARC Agg (Dly) (0.07) 0.18 2.45 8.72 0.01 3.54 2.65 0.55Excess (0.01) (0.02) 0.34 0.95 0.06 0.93 0.99 0.57

New Century-Core Plus - Progress 23 0.05 0.01 0.14 2.18 8.52 0.12 4.04 2.37 (0.30)BBG BARC Agg (Dly) (0.07) 0.18 2.45 8.72 0.01 3.54 2.65 0.55Excess 0.08 (0.04) (0.27) (0.19) 0.11 0.50 (0.28) (0.85)

Pugh-Core Plus - Progress 26 0.06 (0.14) 0.12 2.55 8.92 (0.42) 4.12 3.48 0.79BBG BARC Agg (Dly) (0.07) 0.18 2.45 8.72 0.01 3.54 2.65 0.55Excess (0.07) (0.06) 0.09 0.21 (0.43) 0.58 0.83 0.24

POLICE-TOTAL HIGH YIELD 2,231 5.26 1.75 2.47 4.23 14.63 (3.12) 6.59 14.86 (4.26)High Yield Custom Benchmark 2.00 2.61 3.98 14.32 (2.34) 7.03 15.48 (4.21)Excess (0.25) (0.15) 0.24 0.31 (0.78) (0.44) (0.61) (0.05)

Oaktree High Yield 234 0.55 1.55 2.37 4.05 13.99 (3.42) 5.87 14.91 (4.75)BBG BARC US HY - 2% Issr Cap 2.00 2.61 3.98 14.32 (2.08) 7.50 17.13 (4.43)Excess (0.45) (0.25) 0.06 (0.32) (1.34) (1.63) (2.22) (0.31)

Neuberger Berman High Yield 325 0.77 1.83 2.54 4.35 14.18 (1.99) 5.77 14.72 (4.00)

BBG BARC US HY - 2% Issr Cap 2.00 2.61 3.98 14.32 (2.08) 7.50 17.13 (4.43)Excess (0.17) (0.08) 0.36 (0.14) 0.09 (1.74) (2.41) 0.44

Stone Harbor High Yield 213 0.50 2.04 2.28 3.05 14.12 (2.63) 5.86 13.01 (4.47)BBG BARC US HY - 2% Issr Cap 2.00 2.61 3.98 14.32 (2.08) 7.50 17.13 (4.43)Excess 0.04 (0.34) (0.93) (0.20) (0.54) (1.64) (4.11) (0.04)

T Rowe Price High Yield 666 1.57 1.55 2.39 4.64 15.60 (2.36) 6.79 12.36 (1.13)BBG BARC US HY - 2% Issr Cap 2.00 2.61 3.98 14.32 (2.08) 7.50 17.13 (4.43)Excess (0.45) (0.23) 0.66 1.28 (0.28) (0.71) (4.76) 3.31

Shenkman High Yield 326 0.77 1.62 2.39 4.26 14.29 (5.95) 6.86 11.72 (2.65)BBG BARC US HY - 2% Issr Cap 2.00 2.61 3.98 14.32 (2.08) 7.50 17.13 (4.43)Excess (0.38) (0.23) 0.27 (0.03) (3.86) (0.64) (5.40) 1.79


28



CYE 12/31/2018

CYE 12/31/2017

CYE12/31/2016

CYE12/31/2015





Brigade High Yield 110 0.26 2.75 3.40 4.17 15.23

BBG BARC US HY - 2% Issr Cap 2.00 2.61 3.98 14.32

Excess 0.75 0.78 0.19 0.91

Eaton Vance High Yield 112 0.26 1.69 2.38 4.32 14.62


Excess (0.31) (0.23) 0.33 0.30

Mackay Shields High Yield 133 0.31 1.68 2.59 4.27 14.40


Excess (0.32) (0.02) 0.29 0.08

Nomura High Yield 111 0.26 2.20 2.61 3.87 13.89


Excess 0.20 (0.01) (0.11) (0.43)

Transition High Yield 0 0.00

POLICE-TOTAL BANK LOANS 689 1.63 1.48 1.86 3.11 8.02 0.82 4.41 8.52 1.49CSFB LEVERAGED LOAN INDEX 1.61 1.68 2.61 8.17 1.14 4.25 9.88 (0.38)Excess (0.13) 0.18 0.49 (0.16) (0.32) 0.17 (1.35) 1.87

Barings Bank Loans 269 0.63 1.70 1.85 2.92 7.82 0.38 4.47 8.44 0.12CSFB LEVERAGED LOAN INDEX 1.61 1.68 2.61 8.17 1.14 4.25 9.88 (0.38)Excess 0.09 0.17 0.31 (0.36) (0.76) 0.22 (1.43) 0.50

Credit Suisse Bank Loans 282 0.66 1.30 1.85 3.17 8.31 1.04 4.66 8.94 2.57CSFB LEVERAGED LOAN INDEX 1.61 1.68 2.61 8.17 1.14 4.25 9.88 (0.38)Excess (0.31) 0.18 0.56 0.13 (0.10) 0.41 (0.93) 2.96

Guggenheim Bank Loans 2 0.01 1.24 3.82 7.84 2.07CSFB LEVERAGED LOAN INDEX 1.61 1.14 4.25 9.88 (0.38)Excess 0.10 (0.43) (2.03) 2.45

Pinebridge Bank Loans 136 0.32 1.46 1.92 3.37

CSFB LEVERAGED LOAN INDEX 1.61 1.68 2.61

Excess (0.16) 0.25 0.75

POLICE-TOTAL TIPS MANAGERS 1,868 4.41 0.38 0.82 2.13 8.44 (1.27) 3.09 4.68 (1.32)BBG BARC Gbl Inf-Lk: US TIPS (Dly) 0.38 0.79 2.15 8.43 (1.26) 3.01 4.68 (1.44)Excess 0.00 0.03 (0.01) 0.01 0.00 0.08 (0.01) 0.12

SSGA TIPS 1,400 3.30 0.38 0.81 2.13 8.44 (1.30) 3.06 4.68 (1.35)BBG BARC Gbl Inf-Lk: US TIPS (Dly) 0.38 0.79 2.15 8.43 (1.26) 3.01 4.68 (1.44)Excess 0.00 0.02 (0.02) 0.02 (0.03) 0.05 0.00 0.09

BlackRock TIPS 467 1.10 0.37 0.84 2.14 8.43 (1.18) 2.98 4.66 (1.24)BBG BARC Gbl Inf-Lk: US TIPS (Dly) 0.38 0.79 2.15 8.43 (1.26) 3.01 4.68 (1.44)Excess 0.00 0.05 0.00 0.00 0.09 (0.02) (0.02) 0.20

POLICE-TOTAL CONVERTIBLE BONDS 834 1.97 2.25 5.08 6.78 16.94 (0.55) 14.31 6.80 (0.81)ICE BofA All US Conv Ex Mandatory 2.32 7.46 7.43 22.89 0.65 15.70 11.71 (2.75)

Excess (0.07) (2.37) (0.65) (5.95) (1.19) (1.39) (4.90) 1.94


29



CYE 12/31/2018

CYE 12/31/2017

CYE12/31/2016

CYE12/31/2015





Advent Convertible Bonds 371 0.87 1.33 3.53 4.03 12.79 (1.92) 7.93 7.15 (1.38)ICE BofA US Convertibles - Yield Alter 1.91 4.13 6.17 15.40 (0.42) 9.45 9.96 (8.77)Excess (0.58) (0.60) (2.15) (2.61) (1.50) (1.52) (2.81) 7.40

Victory Convertible Bonds 464 1.09 2.99 6.36 9.09 20.49 0.66 20.63 6.46 (0.24)ICE BofA All IG US Convertibles 1.81 2.93 8.51 20.88 3.35 20.99 14.23 1.68Excess 1.19 3.43 0.57 (0.39) (2.69) (0.36) (7.77) (1.92)

POLICE-TOTAL CORE FI- DEVELOPING MGRS 81 0.19 0.22 0.53 2.68 9.79 (1.19) 3.98 3.66 1.08BBG BARC Agg (Dly) (0.07) 0.18 2.45 8.72 0.01 3.54 2.65 0.55Excess 0.29 0.35 0.22 1.08 (1.20) 0.43 1.02 0.53

LM Capital-Core Plus 40 0.09 0.23 0.46 2.63 9.75 (1.40) 3.92 3.38 1.02BBG BARC Agg (Dly) (0.07) 0.18 2.45 8.72 0.01 3.54 2.65 0.55Excess 0.30 0.28 0.18 1.03 (1.41) 0.38 0.74 0.47

GIA-Core Plus 41 0.10 0.22 0.61 2.72 9.84 (0.98) 4.03 3.93BBG BARC Agg (Dly) (0.07) 0.18 2.45 8.72 0.01 3.54 2.65Excess 0.29 0.43 0.26 1.12 (1.00) 0.49 1.29

POLICE-TOTAL OPPORTUNISTIC FIXED 1,389 3.28 0.22 0.82 2.34 5.29 6.23 7.83 8.41 (1.47)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42 17.40 0.63Excess (1.88) (2.26) (2.55) (9.37) 3.87 (1.59) (8.99) (2.10)

Avenue Special Situations Fund VI L.P. 3 0.01 0.00 1.12 1.67 (0.31) 12.41 (16.32) (10.10) (9.95)

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42 17.40 0.63Excess (2.10) (1.96) (3.22) (14.97) 10.05 (25.74) (27.50) (10.58)

Brightwood Capital Advisors III, LP 13 0.03 0.00 (0.89) (3.00) 2.92 11.00 5.22 1.78Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42 17.40Excess (2.10) (3.97) (7.89) (11.74) 8.64 (4.21) (15.63)

Brightwood Capital Advisors FD IV, LP 48 0.11 0.00 0.37 (0.44) 3.77 6.94 14.82Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42Excess (2.10) (2.71) (5.33) (10.90) 4.58 5.39

Fortress Ctr St Ptnrs 99 0.23 0.00 2.81 4.99 8.55 10.66 11.92 7.60 8.54Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42 17.40 0.63

Excess (2.10) (0.27) 0.10 (6.11) 8.30 2.49 (9.81) 7.92

ICG Centre St Partner 44 0.10 0.00 2.79 5.53 11.66 9.02Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36Excess (2.10) (0.29) 0.64 (3.00) 6.66

Lone Star Fd VIII 20 0.05 0.00 (1.70) (1.66) (4.95) 3.61 (5.55) (12.40) 28.73Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42 17.40 0.63Excess (2.10) (4.79) (6.55) (19.61) 1.25 (14.97) (29.81) 28.11

Oaktree Opp Fd IX 49 0.12 0.00 (1.44) 2.99 7.21 4.57 12.87 3.89 (9.30)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42 17.40 0.63Excess (2.10) (4.52) (1.90) (7.45) 2.21 3.45 (13.51) (9.92)

Torchlight Debt Oppy Fund III, LLC 0 0.00 46.29 22.40 120.31Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 2.36 9.42 17.40 0.63Excess 36.87 5.00 119.68


30



CYE 12/31/2018

CYE 12/31/2017

CYE12/31/2016

CYE12/31/2015





Torchlight Debt Opp V 17 0.04 0.18 2.04 4.51 6.55 14.55 16.29 12.07

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42 17.40

Excess (1.92) (1.04) (0.38) (8.12) 12.19 6.87 (5.33)

TORCHLIGHT DEBT OPP VI 19 0.05 0.00 2.24 2.32

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89

Excess (2.10) (0.85) (2.57)

Angelo Gordon Ct St Ptnrs 96 0.23 (0.43) 1.37 4.10 0.10 7.97 4.32 7.38 (6.05)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42 17.40 0.63

Excess (2.53) (1.71) (0.79) (14.57) 5.61 (5.10) (10.02) (6.68)

Apollo Centre Street Partnership, L.P 169 0.40 1.38 2.27 4.66 6.70 8.32 8.88 5.78 (11.35)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42 17.40 0.63Excess (0.72) (0.82) (0.23) (7.96) 5.96 (0.54) (11.63) (11.97)

Ares Centre Street 121 0.29 0.65 1.76 3.84 8.59 9.71 10.01 9.10 13.84Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42 17.40 0.63Excess (1.45) (1.32) (1.05) (6.07) 7.35 0.58 (8.30) 13.21

Contrarian Partnership, L.P 56 0.13 (0.29) (1.58) (2.74) (8.48) (4.51) 8.52 16.94 (8.12)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42 17.40 0.63Excess (2.39) (4.66) (7.63) (23.15) (6.87) (0.90) (0.46) (8.75)

FCO MA Centre Street II ER 5 0.01

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10

Excess

Golden Tree OD 137 0.32 2.38 2.97 3.87 11.60 (1.71) 7.08 10.28 2.33Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42 17.40 0.63Excess 0.28 (0.11) (1.02) (3.06) (4.08) (2.34) (7.12) 1.70

KKR NYC CREDIT A & B 87 0.21 (2.92) 2.78 3.43 2.77 26.50

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36

Excess (5.02) (0.31) (1.45) (11.90) 24.14

Maranon Partnership 45 0.11 0.70 1.88 3.98 7.72

Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66

Excess (1.40) (1.21) (0.91) (6.94)

Marathon Centre Street Partnership, L.P. 190 0.45 (0.74) (3.86) (2.56) 2.19 4.09 3.35 15.52 (4.74)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42 17.40 0.63Excess (2.84) (6.94) (7.45) (12.48) 1.73 (6.08) (1.88) (5.36)

Oak Hill Ctr St Ptnrs 169 0.40 0.60 1.24 2.54 6.70 7.72 13.66 13.18 (4.29)Opportunistic Fixed Income JPMGHY / CSFB 50/50 Blend Plus 300 2.10 3.08 4.89 14.66 2.36 9.42 17.40 0.63Excess (1.50) (1.84) (2.35) (7.97) 5.36 4.24 (4.23) (4.91)

TOTAL POLICE ETI (w/o cash) 437 1.03 (0.43) (0.92) 2.09 8.67 0.82 3.62 2.51 3.82

AFL-CIO Housing Investment Trust 171 0.40 (0.31) (0.43) 1.66 7.78 0.16 3.17 1.94 1.13

BBG BARC Agg (Dly) (0.07) 0.18 2.45 8.72 0.01 3.54 2.65 0.55Excess (0.24) (0.61) (0.79) (0.94) 0.15 (0.38) (0.71) 0.58


31



CYE 12/31/2018

CYE 12/31/2017

CYE12/31/2016

CYE12/31/2015





RBC Access MBS 92 0.22 0.22 0.36 2.25 7.21 0.49 2.64 1.61 1.83Access RBC Benchmark 0.15 0.40 1.77 6.05 1.17 1.96 1.52 1.40Excess 0.07 (0.03) 0.48 1.16 (0.69) 0.69 0.09 0.43

CPC Construction Facility 8 0.02 0.29 0.18 3.18 5.36 4.14 6.07 (3.95) 12.90CPC CONST BENCHMARK 0.30 0.91 1.92 4.09 3.99 3.34 3.03 2.90Excess (0.01) (0.73) 1.26 1.27 0.15 2.73 (6.99) 10.01

BOA PPAR GNMA 6 0.01 (0.61) (1.93) 1.08 8.44 2.42 4.08 3.13 8.04GNMA Plus 65bps 0.13 0.66 2.14 6.73 1.63 2.53 2.28 2.02Excess (0.74) (2.58) (1.05) 1.70 0.79 1.56 0.85 6.03

BOA PPAR FNMA 7 0.02 (1.30) (2.90) 3.93 13.54 2.33 5.21 4.07 42.03FNMA Plus 85bps 0.42 1.09 2.93 7.80 1.86 3.61 2.38 2.50Excess (1.72) (3.99) 1.00 5.74 0.47 1.60 1.69 39.53

CFSB PPAR GNMA 1 0.00 (0.43) (1.43) 0.32 5.91 0.99 3.83 3.21 5.90GNMA Plus 65bps 0.13 0.66 2.14 6.73 1.63 2.53 2.28 2.02Excess (0.56) (2.08) (1.82) (0.82) (0.65) 1.30 0.93 3.88

Citibank PPAR GNMA 3 0.01 (0.45) (1.93) 0.01 5.33 1.90 3.10 2.78 5.08GNMA Plus 65bps 0.13 0.66 2.14 6.73 1.63 2.53 2.28 2.02Excess (0.58) (2.59) (2.13) (1.41) 0.27 0.57 0.50 3.06

Citibank PPAR FNMA 6 0.01 (1.35) 0.19 9.08 19.71 2.63 5.26 3.71 6.69

FNMA Plus 85bps 0.42 1.09 2.93 7.80 1.86 3.61 2.38 2.50Excess (1.77) (0.90) 6.15 11.91 0.77 1.65 1.33 4.20

CPC PPAR FNMA 56 0.13 (1.39) (2.96) 2.94 13.18 2.31 5.06 6.15 8.96FNMA Plus 85bps 0.42 1.09 2.93 7.80 1.86 3.61 2.38 2.50Excess (1.81) (4.05) 0.01 5.38 0.45 1.45 3.77 6.46

POLICE-CPC PPAR GNMA 50 0.12 (0.38) (1.60) 0.03 4.95 0.63 2.29 2.21 5.24GNMA Plus 65bps 0.13 0.66 2.14 6.73 1.63 2.53 2.28 2.02Excess (0.51) (2.26) (2.10) (1.78) (1.00) (0.24) (0.07) 3.23

JPMC PPAR FNMA 24 0.06 (0.85) (2.44) 4.01 14.68 1.68 9.96 7.94 6.18FNMA Plus 85bps 0.42 1.09 2.93 7.80 1.86 3.61 2.38 2.50

Excess (1.28) (3.53) 1.08 6.88 (0.18) 6.35 5.56 3.68

LIIF PPAR GNMA 1 0.00 (0.20) (0.34) 1.13 5.54 2.53 2.52 3.88 3.92GNMA Plus 65bps 0.13 0.66 2.14 6.73 1.63 2.53 2.28 2.02Excess (0.33) (1.00) (1.01) (1.19) 0.89 (0.01) 1.61 1.91

LIIF PPAR FNMA 8 0.02 (1.31) (0.22) 6.48 16.35 2.27 9.55 5.03 6.29FNMA Plus 85bps 0.42 1.09 2.93 7.80 1.86 3.61 2.38 2.50Excess (1.73) (1.31) 3.55 8.55 0.41 5.94 2.65 3.79

LISC PPAR FNMA 1 0.00 (1.46) (3.03) 4.71 14.95FNMA Plus 85bps 0.42 1.09 2.93 7.80Excess (1.88) (4.11) 1.78 7.15

NCBCI PPAR GNMA 1 0.00 (0.20) (0.85) (0.21) 3.69 1.23 3.01 3.51 5.53GNMA Plus 65bps 0.13 0.66 2.14 6.73 1.63 2.53 2.28 2.02Excess (0.33) (1.50) (2.35) (3.04) (0.41) 0.48 1.23 3.52


32



CYE 12/31/2018

CYE 12/31/2017

CYE12/31/2016

CYE12/31/2015





NCBCI PPAR FNMA 0 0.00 (0.29) (0.28) 0.96 4.08 2.00 1.75 3.46 4.97FNMA Plus 85bps 0.42 1.09 2.93 7.80 1.86 3.61 2.38 2.50Excess (0.71) (1.37) (1.98) (3.72) 0.15 (1.86) 1.07 2.47

NHS PPAR GNMA 0 0.00 (0.14) (1.13) (0.83) 2.90 0.54 (2.93) 3.58 4.90GNMA Plus 65bps 0.13 0.66 2.14 6.73 1.63 2.53 2.28 2.02Excess (0.27) (1.79) (2.96) (3.84) (1.09) (5.46) 1.30 2.89

Wells Fargo PPAR FNMA 1 0.00 (1.48) (2.98) 4.58 21.71FNMA Plus 85bps 0.42 1.09 2.93 7.80 1.86 3.61

Excess (1.90) (4.06) 1.65 13.91

POLICE-TOTAL CASH 161 0.38 0.15 1.31 1.96 3.55 2.28 1.28 0.88 0.47ICE BofA US 3-Month Treasury Bill 0.14 0.46 1.03 2.28 1.87 0.86 0.33 0.05Excess 0.00 0.84 0.94 1.27 0.40 0.42 0.55 0.41

Short Term POLICE 161 0.38 0.14 0.43 0.99 2.25 1.96 1.13 0.89 0.47ICE BofA US 3-Month Treasury Bill 0.14 0.46 1.03 2.28 1.87 0.86 0.33 0.05Excess (0.01) (0.03) (0.03) (0.04) 0.08 0.27 0.56 0.41

Cash Account 0 0.00 1.40

KKR Cash Account 0 0.00

Securities Lending 0 0.00

POLICE-TOTAL PRIVATE EQUITY 2,662 6.28 0.47 3.01 6.91 10.72 17.96 20.45 9.10 10.66

POLICE-TOTAL PRIVATE REAL ESTATE 2,135 5.04 0.86 3.13 3.21 6.51 10.58 12.07 11.19 15.70

POLICE-TOTAL INFRASTRUCTURE 478 1.13 1.68 3.43 6.64 12.51 14.61 17.41 9.15 13.28

02/04/2020 11:26:12 AM


33

StepStone Group LP

New York City Police Pension Fund, Subchapter 2Private Equity Portfolio

As of September 30, 2019 (in USD)

Vintage Year

Investment First DrawdownCommitted

CapitalContributed

CapitalDistributed

CapitalMarket Value Multiple IRR1 PME

Benchmark2 PME Spread3

Active Investments1999 Cypress Merchant Banking Partners II, L.P. 3/29/1999 45,172,972$ 53,944,269$ 50,584,154$ 25,457$ 0.94x (1.2%) 5.5% (6.7%)1999 Lincolnshire Equity Fund II, L.P. 10/20/1999 11,038,409 11,556,880 22,613,645 387,241 1.99x 24.6% 7.0% 17.6%2000 Solera Partners, L.P. 5/26/2000 9,999,888 13,312,300 20,817,577 42,369 1.57x 7.4% 6.1% 1.3%2000 SCP Private Equity Partners II, L.P. 6/15/2000 25,000,000 28,057,160 10,857,159 2,912,179 0.49x (7.9%) 5.8% (13.7%)2001 Apollo Investment Fund V, L.P. 4/13/2001 35,000,000 54,551,027 107,618,495 307,090 1.98x 38.8% 8.3% 30.4%2001 CVC European Equity Partners III, L.P. 9/4/2001 25,000,000 29,700,915 74,439,614 1,638,050 2.56x 41.0% 10.8% 30.2%2002 Landmark Equity Partners XI, L.P. 10/23/2002 30,000,000 28,518,970 43,831,911 73,636 1.54x 23.3% 7.5% 15.8%2003 FS Equity Partners V, L.P. 1/20/2003 15,000,000 12,851,976 25,116,883 1,025,290 2.03x 15.3% 5.0% 10.4%2003 Blackstone Capital Partners IV, L.P. 2/26/2003 46,253,267 57,243,283 139,512,525 1,223,259 2.46x 36.3% 8.5% 27.8%2003 Ares Corporate Opportunities Fund, L.P. 4/1/2003 35,000,000 41,988,154 62,593,160 865,656 1.51x 13.2% 7.4% 5.8%2004 Markstone Capital Partners, LP 1/30/2004 10,000,000 11,724,772 4,955,651 68,054 0.43x (40.7%) 10.3% (51.0%)2004 FdG Capital Partners II LP 8/30/2004 25,000,000 26,938,873 31,142,933 1,432,788 1.21x 3.7% 6.7% (3.1%)2004 Lincolnshire Equity Fund III, L.P. 10/1/2004 15,000,000 15,001,893 21,199,805 5,806,955 1.80x 28.2% 11.2% 17.0%2004 Yucaipa American Alliance Fund I, LP 10/1/2004 20,000,000 29,967,488 35,202,784 1,913,554 1.24x 4.9% 10.6% (5.7%)2004 Aurora Equity Partners III L.P. 11/16/2004 15,000,000 16,238,039 26,230,763 110,920 1.62x 13.5% 9.9% 3.6%2004 Medica III Investments (International) L.P. 12/1/2004 10,000,000 10,000,000 4,237,089 2,406,000 0.66x (7.7%) (5.4%) (2.2%)2005 Palladium Equity Partners III, L.P. 11/12/2004 25,000,000 27,027,580 48,408,674 1,657,027 1.85x 14.4% 10.9% 3.5%2005 New Mountain Partners II, L.P. 1/12/2005 7,741,935 7,011,896 13,507,602 95,975 1.94x 13.6% 4.4% 9.2%2005 Carlyle Partners IV, L.P. 4/29/2005 50,000,000 51,537,550 100,903,803 1,292,873 1.98x 13.0% 4.1% 8.9%2005 Arlington Capital Partners II, L.P. 7/29/2005 20,000,000 20,236,733 35,601,071 105,863 1.76x 11.3% 6.7% 4.6%2005 Snow Phipps Group, L.P. 9/7/2005 10,000,000 11,913,742 10,457,308 5,383,870 1.33x 6.0% 10.9% (4.9%)2005 Blackstone Mezzanine Partners II, L.P. 10/10/2005 11,954,147 13,356,475 17,778,894 157,513 1.34x 7.8% 3.7% 4.1%2005 Psilos Group Partners III, L.P. 10/24/2005 12,500,000 13,287,792 6,410,270 8,770,210 1.14x 2.0% 7.4% (5.4%)2005 FirstMark Capital I, L.P. (fka FirstMark IV) 11/21/2005 10,000,000 10,927,097 30,744,500 44,733,861 6.91x 33.3% 10.4% 22.9%2005 USPF II Institutional Fund, L.P. 11/23/2005 20,000,000 26,379,750 30,753,066 2,814,511 1.27x 4.1% 7.7% (3.6%)2005 JP Morgan Fleming (Tranche A) 12/21/2005 40,000,000 39,999,862 40,254,441 10,863,077 1.28x 4.6% 10.7% (6.1%)2006 Aisling Capital II, LP 1/12/2006 2,500,000 2,945,044 2,852,895 128,000 1.01x 0.2% 7.7% (7.5%)2006 InterMedia Partners VII, L.P. 1/20/2006 12,500,000 14,599,097 14,795,867 (12,808) 1.01x 0.2% 9.7% (9.5%)2006 Falconhead Capital Partners II, L.P. 1/24/2006 15,000,000 16,846,651 16,818,185 4,783,595 1.28x 4.5% 8.8% (4.3%)2006 Terra Firma Capital Partners III, L.P. 3/8/2006 15,527,565 15,739,883 5,941,909 1,158,353 0.45x (9.6%) 9.8% (19.4%)2006 Blackstone Capital Partners V, L.P. 4/13/2006 42,087,697 44,811,462 71,184,501 1,627,773 0.39x (20.8%) 8.3% (29.2%)2006 Avista Capital Partners, L.P. 4/27/2006 20,000,000 26,295,958 32,016,285 382,840 1.23x 4.4% 6.3% (1.8%)2006 Apollo Investment Fund VI, L.P. 5/10/2006 45,000,000 57,919,123 86,669,134 904,655 1.51x 8.7% 7.6% 1.1%2006 Landmark Equity Partners XIII, L.P. 5/11/2006 10,000,000 9,611,868 10,450,828 2,153,667 1.31x 5.3% 6.5% (1.3%)2006 Ares Corporate Opportunities Fund II, L.P. 5/23/2006 15,000,000 16,464,580 27,087,441 383,830 1.67x 13.1% 3.8% 9.2%2006 Atlantic Equity Partners IV, L.P. 7/12/2006 25,124,928 24,311,807 4,274,904 13,025,307 0.71x (3.9%) 9.6% (13.5%)2006 Capital Partners Private Equity Income Fund, L.P. 8/23/2006 15,000,000 14,476,277 33,181,704 358,564 2.32x 21.1% 11.1% 10.0%2006 NB Co-Investment Partners LP 9/28/2006 60,000,000 60,616,170 85,745,060 3,677,745 1.48x 8.9% 5.9% 3.0%2006 Euro Choice III L.P. 11/21/2006 26,714,547 26,875,176 29,001,734 2,091,722 1.16x 2.9% 11.9% (9.1%)2006 Thomas, McNerney & Partners II, L.P. 11/30/2006 10,000,000 10,139,667 22,044,274 1,083,451 2.28x 16.8% 11.5% 5.3%2006 Catterton Partners VI, L.P. 12/14/2006 20,000,000 22,775,054 33,691,547 9,034,963 1.88x 11.6% 8.8% 2.8%2006 First Reserve Fund XI, L.P. 12/14/2006 20,000,000 21,253,053 13,771,618 1,048,085 0.70x (7.7%) 6.8% (14.6%)2006 Permira IV, L.P. 12/14/2006 16,163,732 17,521,812 25,230,306 2,140,324 1.56x 8.6% 9.4% (0.8%)2006 Arsenal Capital Partners II, LP 12/19/2006 10,000,000 12,185,086 19,374,928 4,034,797 1.92x 12.0% 11.8% 0.2%2006 RRE Ventures IV, L.P. 12/19/2006 15,000,000 19,052,223 12,141,259 13,552,623 1.35x 4.3% 10.8% (6.5%)2006 Coller International Partners V, L.P. 12/21/2006 10,000,000 8,744,365 11,598,430 656,234 1.40x 7.9% 10.6% (2.7%)2006 MidOcean Partners III, L.P. 12/21/2006 38,823,185 46,337,120 88,790,899 7,506,320 2.08x 13.0% 9.7% 3.3%2006 GF Capital Private Equity Fund, L.P. 12/22/2006 10,000,000 10,488,825 13,672,386 4,545,674 1.74x 11.7% 11.8% (0.1%)2006 The Fourth Cinven Fund 1/22/2007 13,551,531 14,218,068 20,526,269 (8,415) 1.44x 7.3% 7.5% (0.2%)2007 Pegasus Partners IV, L.P. 1/29/2007 15,000,000 18,225,016 13,800,466 3,013,122 0.92x (1.5%) 11.1% (12.6%)2007 Olympus Capital Asia III, L.P. 1/31/2007 20,000,000 23,404,664 11,953,414 5,030,518 0.73x (7.3%) 10.9% (18.2%)2007 FTVentures III, LP 3/1/2007 7,500,000 8,231,525 16,022,587 2,243,779 2.22x 15.7% 10.2% 5.5%2007 Highland Consumer Fund I LP 3/16/2007 10,000,000 10,016,060 5,683,154 2,468,125 0.81x (2.8%) 10.7% (13.5%)2007 Montreux Equity Partners IV, L.P. 3/27/2007 10,000,000 10,000,000 5,522,350 8,137,797 1.37x 4.7% 10.2% (5.5%)2007 Gleacher Mezzanine Fund II, L.P. 3/30/2007 10,000,000 9,197,768 12,187,028 82,467 1.33x 10.6% 11.7% (1.1%)2007 Quaker BioVentures II, L.P. 3/30/2007 15,000,000 14,294,055 12,327,681 2,704,093 1.05x 1.2% 12.6% (11.5%)2007 SCP Vitalife Partners II Fund 4/13/2007 15,000,000 15,074,774 1,184 7,437,320 0.49x (8.1%) 8.5% (16.6%)2007 Comvest Investment Partners III, L.P. 5/15/2007 15,000,000 19,429,668 26,719,980 44,218 1.38x 7.5% 11.4% (3.9%)2007 Constellation Venture Capital III, L.P. 5/22/2007 15,000,000 17,295,938 8,712,259 4,433,517 0.76x (4.4%) 15.2% (19.6%)2007 United States Power Fund III, L.P. 6/28/2007 15,000,000 17,746,993 18,308,108 3,815,792 1.25x 3.9% 9.4% (5.5%)2007 Carlyle Partners V, L.P. 7/6/2007 50,000,000 51,532,052 85,067,549 6,942,354 1.79x 13.7% 10.9% 2.8%2007 PCG Clean Energy & Technology Fund (East), LLC 7/6/2007 40,000,000 36,190,929 9,315,169 4,218,898 0.37x (13.5%) 13.0% (26.5%)2007 GSO Capital Opportunities Fund LP 7/16/2007 17,500,000 26,202,290 37,188,395 234,597 1.43x 17.3% 10.1% 7.2%2007 New Mountain Partners III, L.P. 8/9/2007 35,000,000 35,653,120 47,462,355 25,100,387 2.04x 13.3% 12.5% 0.8%2007 Vista Equity Partners Fund III, L.P. 10/3/2007 20,000,000 21,464,283 51,079,934 1,917,794 2.47x 27.0% 9.9% 17.1%2007 Trilantic Capital Partners IV L.P. 10/22/2007 45,856,523 47,868,579 70,629,425 4,848,679 1.58x 13.6% 11.0% 2.6%2007 Pine Brook Capital Partners, L.P. 1/11/2008 15,000,000 17,029,706 20,277,510 1,672,844 1.29x 6.9% 11.9% (5.0%)2008 Paladin III (NY City), L.P. 1/8/2008 30,000,000 40,816,457 29,846,139 49,606,390 1.95x 12.4% 12.0% 0.4%2008 Apollo Investment Fund VII, L.P. 1/28/2008 50,000,000 61,204,659 96,392,284 6,890,086 1.69x 22.5% 13.6% 8.9%2008 NGN BioMed Opportunity II, L.P. 2/11/2008 10,000,000 9,575,911 6,673,105 4,719,771 1.19x 2.6% 14.8% (12.2%)2008 Riverstone/Carlyle Global Energy & Power Fund IV, L.P. 3/3/2008 15,000,000 17,401,737 15,752,644 3,515,566 1.11x 2.8% 13.8% (11.0%)2008 Yucaipa American Alliance Fund II, LP 3/28/2008 50,000,000 68,624,624 64,729,129 46,078,208 1.61x 8.8% 12.2% (3.3%)2008 Milestone Partners III, L.P. 4/7/2008 15,000,000 16,394,499 13,980,609 1,652,464 0.95x (0.9%) 12.5% (13.4%)2008 Levine Leichtman Capital Partners IV, L.P. 4/8/2008 10,000,000 10,707,203 16,918,959 938,056 1.67x 18.1% 14.2% 3.9%2008 Yucaipa Corporate Initiatives Fund II, LP 6/23/2008 14,030,930 13,766,113 5,019,724 7,251,214 0.89x (1.7%) 11.9% (13.6%)2008 CVC European Equity Partners V, L.P. 7/21/2008 34,317,768 36,990,385 65,954,324 4,441,028 1.90x 16.1% 12.6% 3.4%2008 GI Partners Fund III L.P. 7/29/2008 17,500,000 18,907,003 29,446,617 254,736 1.57x 13.0% 15.3% (2.3%)2008 Ares Corporate Opportunities Fund III, L.P. 7/30/2008 25,000,000 30,529,012 48,455,941 17,860,418 2.17x 20.7% 12.1% 8.7%2008 GCM Grosvenor NYCPPF Emerging Manager Fund, L.P. 8/22/2008 59,909,091 74,528,874 67,933,539 38,416,366 1.43x 10.1% 13.2% (3.1%)2008 First Reserve Fund XII, L.P. 8/25/2008 20,000,000 22,216,378 10,934,313 3,476,998 0.65x (9.7%) 16.8% (26.5%)2008 Landmark Equity Partners XIV, L.P. 9/19/2008 27,250,000 26,486,183 30,262,189 4,540,016 1.31x 9.5% 14.4% (4.9%)2008 Crestview Partners II, L.P. 10/1/2008 22,500,000 26,177,948 33,800,196 9,250,261 1.64x 12.6% 14.5% (1.9%)2008 NB New York City Growth Fund IA 10/17/2008 4,835,960 4,835,960 1,670,495 1,762,177 0.71x (4.3%) 16.2% (20.5%)2008 Euro Choice IV L.P. 10/22/2008 19,318,851 17,913,130 17,681,123 7,598,775 1.41x 7.0% 13.1% (6.1%)2008 Avista Capital Partners II, L.P. 11/5/2008 35,000,000 46,025,380 71,901,724 5,354,454 1.68x 15.0% 14.7% 0.3%2008 Blue Wolf Capital Fund II, L.P. 11/14/2008 15,000,000 16,300,742 18,854,994 3,981,747 1.40x 7.8% 15.6% (7.9%)2008 Bridgepoint Europe IV 11/14/2008 13,325,040 13,523,775 16,932,358 3,518,534 1.51x 9.8% 14.7% (4.9%)2008 Aisling Capital III, LP 11/20/2008 7,000,000 7,901,520 17,653,606 912,061 2.35x 26.1% 14.2% 11.9%2008 Onex Partners III LP 12/10/2008 15,000,000 16,404,302 21,740,889 5,226,222 1.64x 12.2% 14.8% (2.7%)2009 NorthBound Emerging Manager Custom Fund LP 1/29/2009 20,000,000 17,467,088 23,789,323 5,533,933 1.68x 13.2% 14.4% (1.2%)2009 Welsh, Carson, Anderson & Stowe XI, L.P. 2/10/2009 22,500,000 22,500,000 29,116,850 7,778,772 1.64x 12.2% 14.6% (2.5%)2009 Scale Venture Partners III, LP 5/1/2009 10,000,000 9,894,906 25,501,764 2,566,039 2.84x 23.1% 13.7% 9.4%2009 FS Equity Partners VI, L.P. 7/27/2009 20,000,000 20,095,280 47,435,328 13,927,268 3.05x 24.2% 14.6% 9.6%2009 Lincolnshire Equity Fund IV, L.P. 8/5/2009 7,500,000 8,011,459 9,214,072 3,203,250 1.55x 10.6% 13.3% (2.8%)2009 Lexington Capital Partners VII, L.P. 12/3/2009 20,000,000 17,846,217 23,146,876 4,964,509 1.58x 14.0% 14.2% (0.2%)2010 Snow Phipps II, L.P. 1/8/2010 17,500,000 20,303,477 14,863,182 12,296,622 1.34x 8.7% 13.5% (4.8%)2010 Trident V, L.P. 4/29/2010 40,000,000 46,608,482 52,167,466 23,645,832 1.63x 11.2% 12.4% (1.2%)2010 Comvest Investment Partners IV, L.P. 10/21/2010 45,000,000 45,118,853 68,637,540 11,219,805 1.77x 28.5% 14.0% 14.5%2011 Blackstone Capital Partners VI, L.P. 1/24/2011 35,000,000 36,845,809 30,985,597 27,324,808 1.58x 12.5% 12.3% 0.2%2011 Ampersand 2011 3/11/2011 12,500,000 12,500,000 20,229,541 16,999,356 2.98x 22.0% 12.5% 9.4%2011 BDCM Opportunity Fund III, L.P. 4/8/2011 20,000,000 28,785,404 13,843,051 26,083,399 1.39x 8.5% 12.2% (3.7%)2011 AXA Secondary Fund V B L.P. 6/16/2011 80,000,000 65,913,645 95,170,893 10,599,498 1.60x 15.5% 14.7% 0.8%2011 Wellspring Capital Partners V, L.P. 7/1/2011 22,500,000 23,638,255 26,174,022 10,675,412 1.56x 15.4% 12.1% 3.4%2011 EQT VI, L.P. 8/1/2011 48,805,027 50,602,887 68,157,288 17,405,828 1.69x 13.7% 12.1% 1.6%2011 Pegasus Partners V, L.P. 8/16/2011 14,552,940 17,987,149 15,765,091 13,465,876 1.63x 12.5% 14.0% (1.4%)2011 BC European Capital IX 9/19/2011 66,051,371 71,523,240 69,266,266 41,121,494 1.54x 12.1% 13.2% (1.0%)2011 American Securities Partners VI, L.P. 11/18/2011 50,000,000 53,692,799 80,636,521 24,857,017 1.96x 21.8% 13.0% 8.8%2011 Vista Equity Partners Fund IV, L.P. 11/30/2011 70,000,000 71,618,867 91,762,767 47,290,398 1.94x 17.4% 13.4% 4.0%

34

StepStone Group LP

New York City Police Pension Fund, Subchapter 2Private Equity Portfolio

As of September 30, 2019 (in USD)

Vintage Year


CapitalContributed

CapitalDistributed



2012 Warburg Pincus Private Equity XI, L.P. 5/24/2012 80,000,000 85,115,264 69,770,201 68,087,917 1.62x 13.7% 12.2% 1.6%2012 Summit Partners Growth Equity Fund VIII-A, L.P. 6/14/2012 75,000,000 84,494,818 137,206,611 45,780,690 2.17x 26.9% 11.8% 15.1%2012 NYCPPF - 2012 Emerging Manager Program4 6/21/2013 47,000,000 47,135,675 20,021,253 52,981,890 1.55x 14.9% 11.0% 3.9%2012 Trilantic Capital Partners V L.P. 9/20/2012 50,000,000 54,211,330 51,264,770 31,742,630 1.53x 17.8% 12.1% 5.7%2012 Palladium Equity Partners IV, L.P. 10/10/2012 35,000,000 32,606,082 16,505,110 30,275,353 1.43x 12.4% 12.8% (0.4%)2012 Ares Corporate Opportunities Fund IV, L.P. 11/5/2012 50,000,000 52,737,867 28,658,392 49,516,157 1.48x 12.2% 10.9% 1.4%2012 Green Equity Investors VI, L.P. 11/30/2012 55,000,000 59,299,122 41,301,169 60,957,070 1.72x 16.1% 11.8% 4.3%2012 Platinum Equity Capital Partners III, L.P. 1/14/2013 50,000,000 41,260,795 58,416,978 19,806,484 1.90x 35.6% 12.9% 22.7%2012 Neuberger Berman Strategic Co-Investment II LP 3/20/2013 60,000,000 56,775,727 55,285,248 25,837,150 1.43x 12.4% 11.5% 0.9%2013 Carlyle Partners VI, L.P. 7/3/2013 60,000,000 63,282,086 27,075,731 55,443,334 1.30x 10.1% 10.9% (0.8%)2014 Carlyle Partners VI, L.P. (Side Car) 9/23/2014 6,600,000 4,798,257 276,667 4,407,668 0.98x (0.7%) 11.3% (11.9%)2013 Landmark Equity Partners XV, L.P. 10/30/2013 67,000,000 48,736,257 35,212,744 28,185,039 1.30x 13.1% 11.1% 2.0%2013 Landmark - NYC Fund I, L.P. 12/24/2013 23,000,000 19,141,342 12,856,351 14,776,678 1.44x 15.1% 9.8% 5.3%2013 Apollo Investment Fund VIII, L.P. 12/11/2013 100,000,000 92,222,528 32,042,822 92,768,933 1.35x 11.8% 11.5% 0.4%2014 CVC Capital Partners VI, L.P. 2/18/2014 88,030,397 85,905,719 37,979,305 87,247,448 1.46x 15.8% 11.2% 4.6%2013 Crestview Partners III, L.P. 3/3/2015 45,000,000 31,375,992 6,728,587 33,751,346 1.29x 12.0% 11.1% 0.9%2013 Crestview Partners III (Co-Investment B), L.P. 12/17/2015 15,000,000 14,778,543 740,414 16,800,361 1.19x 7.3% 12.6% (5.3%)2014 Olympus Growth Fund VI, L.P. 1/21/2014 35,000,000 29,307,573 11,865,779 27,343,555 1.34x 12.9% 12.5% 0.4%2014 ASF VI B L.P. 5/9/2014 60,000,000 46,431,687 29,227,391 36,942,735 1.43x 13.0% 11.1% 1.9%2014 ASF VI B NYC Co-Invest L.P. 5/9/2014 20,000,000 16,050,653 13,516,616 9,283,089 1.42x 13.0% 9.0% 4.0%2014 Vista Equity Partners Fund V, L.P. 9/8/2014 85,000,000 98,735,725 76,710,012 107,577,627 1.87x 22.3% 11.0% 11.2%2014 Lexington Capital Partners VIII, L.P. 1/8/2015 80,000,000 69,548,071 32,406,091 59,643,964 1.32x 18.6% 11.7% 6.9%2015 Siris Partners III, L.P. 5/4/2015 15,000,000 13,533,137 7,106,423 10,213,400 1.28x 13.3% 11.1% 2.2%2015 Centerbridge Capital Partners III, L.P. 5/21/2015 11,100,000 7,144,883 2,288,761 7,841,435 1.42x 15.9% 11.0% 4.9%2015 Welsh, Carson, Anderson & Stowe XII, L.P. 8/26/2015 37,000,000 31,166,142 13,696,638 34,375,005 1.54x 23.8% 12.0% 11.9%2015 Warburg Pincus Private Equity XII, L.P. 12/21/2015 97,000,000 87,143,389 7,651,197 100,779,679 1.24x 13.5% 11.0% 2.5%2015 ASF VII B L.P. 12/29/2015 44,500,000 16,620,563 3,436,729 18,584,522 1.32x 16.1% 10.8% 5.3%2015 ASF VII B NYC Co-Invest L.P. 12/29/2015 22,000,000 12,750,758 1,824,784 18,733,980 1.61x 34.6% 9.2% 25.4%2015 EQT VII, L.P. 1/8/2016 76,957,179 74,843,009 34,385,018 68,731,041 1.38x 18.0% 11.4% 6.6%2015 American Securities Partners VII, L.P. 1/19/2016 37,000,000 29,966,918 4,491,819 24,885,622 0.98x (1.1%) 12.2% (13.3%)2015 Bridgepoint Europe V L.P. 2/8/2016 29,665,764 28,507,037 5,997,914 28,836,434 1.22x 10.9% 11.4% (0.6%)2015 Bridgepoint Europe V Co-Invest 8/16/2016 8,128,972 7,563,632 1,949,564 11,153,802 1.73x 30.6% 10.5% 20.1%2015 NYCPPF - 2015 Emerging Manager Program5 2/22/2016 59,750,000 26,211,831 896,585 33,087,327 1.30x 28.8% 10.8% 18.0%2016 Vista Equity Partners Fund VI, L.P. 6/28/2016 75,000,000 81,437,707 18,719,365 89,710,578 1.33x 16.0% 12.0% 4.0%2016 Platinum Equity Capital Partners IV, L.P. 3/21/2017 52,500,000 40,980,009 10,900,679 44,483,548 1.35x 26.6% 9.6% 17.0%2018 Platinum Equity Capital Partners IV Co-Investment, L.P. 9/7/2018 7,500,000 5,250,000 - 6,412,385 1.22x NM NM N/A2016 Apax IX USD, L.P. 5/12/2017 60,000,000 34,619,720 1,577,762 49,608,402 1.48x 27.6% 9.2% 18.4%2017 Green Equity Investors VII, L.P. 5/12/2017 44,000,000 30,699,705 174,234 35,292,829 1.16x 11.6% 8.8% 2.8%2017 Ares Corporate Opportunities Fund V, L.P. 6/22/2017 44,000,000 34,989,102 2,512,919 35,630,893 1.09x 8.9% 8.5% 0.5%2017 KKR Americas Fund XII, L.P. 10/31/2017 75,000,000 33,545,760 494,426 37,078,684 1.12x NM NM N/A2017 BC European Capital X 12/14/2017 41,625,587 27,058,394 546,034 29,035,728 1.09x NM NM N/A2017 BCEC X Co-Investment 3/24/2017 16,893,845 11,970,859 - 15,011,534 1.25x 17.5% 8.6% 8.9%2017 Warburg Pincus Financial Sector, L.P. 1/5/2018 62,000,000 31,136,612 3,162,000 27,907,879 1.00x NM NM N/A2018 Platinum Equity Small Cap Fund, L.P. 6/27/2018 28,500,000 2,624,823 - 1,250,764 0.48x NM NM N/A2018 EQT VIII, L.P. 8/10/2018 75,495,135 33,860,064 944,475 32,493,203 0.99x NM NM N/A2018 EQT VIII Co-Investment 11/2/2018 27,506,165 15,194,041 - 15,596,064 1.03x NM NM N/A2018 CVC Capital Partners VII, L.P. 12/4/2018 90,024,384 14,702,454 386,364 17,659,868 1.23x NM NM N/A2017 Palladium Equity Partners V, L.P. 2/11/2019 23,333,333 3,957,085 61,606 2,713,250 0.70x NM NM N/A2018 Vista Equity Partners Fund VII, L.P. 2/13/2019 124,500,000 22,027,337 59,794 21,201,907 0.97x NM NM N/A2019 Welsh, Carson, Anderson & Stowe XIII, L.P. 3/14/2019 62,000,000 454,788 - (508,865) (1.12x) NM NM N/A2018 Siris Partners IV, L.P. 3/15/2019 62,000,000 18,766,385 - 19,268,483 1.03x NM NM N/A2018 Apollo Investment Fund IX, L.P. 3/15/2019 154,000,000 14,066,936 1,595 11,548,978 0.82x NM NM N/A2019 ASF VIII B L.P. 3/15/2019 111,000,000 11,100 - 899,506 81.04x NM NM N/A2019 ASF VIII B NYC Co-Invest L.P. 3/15/2019 55,500,000 5,550 - (5,457) (0.98x) NM NM N/A2018 Warburg Pincus Global Growth, L.P. 3/26/2019 80,000,000 4,787,068 - 3,790,187 0.79x NM NM N/A2018 Bridgepoint Europe VI 4/1/2019 81,431,931 11,219,414 - 9,524,606 0.85x NM NM N/A2018 Bridgepoint Europe VI Co-Invest 5/7/2019 20,407,990 3,461,035 - 3,372,233 0.97x NM NM N/A2019 Trilantic Capital Partners VI (North America) L.P. 8/8/2019 40,000,000 10,481,381 - 9,216,385 0.88x NM N/A N/A2019 NYCPPF - 2019 Emerging Manager Program6 9/25/2019 75,250,000 3,303,589 - 3,165,607 0.96x NM N/A N/A2019 Apax X USD L.P. N/A 66,500,000 - - - - N/A N/A N/A2019 Blackstone Capital Partners VIII L.P. N/A 69,500,000 - - - - N/A N/A N/A2019 Crestview Partners IV, L.P. N/A 50,000,000 - - (143,334) - N/A N/A N/A2019 Crestview Partners IV (Co-Investment), L.P. N/A 16,666,667 - - (47,776) - N/A N/A N/A2019 KKR European Fund V (USD) N/A 50,150,000 - - (340,185) - N/A N/A N/A2019 Lexington Capital Partners IX N/A 74,625,000 - - 4,935,695 - NM NM N/A2019 Lexington IX Co-Invest N/A 24,875,000 - - (27,914) - N/A N/A N/A2019 Lindsay Goldberg V N/A 55,000,000 - - - - N/A N/A N/A2019 Platinum Equity Capital Partners V, L.P. N/A 119,000,000 - - - - N/A N/A N/ATotal Portfolio7 6,873,772,368$ 5,408,294,553$ 5,339,489,750$ 2,645,036,573$ 1.48x 10.7% 10.1% 0.7%

Vintage Year


CapitalContributed

CapitalDistributed



Commitments Closed Subsequent to as of Date2019 Green Equity Investors VIII, L.P. N/A 69,500,000$ -$ -$ -$ N/A N/A N/A N/A2019 Platinum Equity Capital Partners V Co-Investment, L.P. N/A 29,750,000 - - - N/A N/A N/A N/A2019 Vistria Fund III, L.P. N/A 6,000,000 - - - N/A N/A N/A N/A2019 GEI VIII Coinvest N, L.P. N/A 23,200,000 - - - N/A N/A N/A N/ATotal Commitments Closed Subsequent to as of Date 128,450,000$ -$ -$ -$ N/A N/A N/A N/A

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 isliquidated, typically over 10 to 12 years, the IRR is only an interim estimated return. The IRR calculated in early years of a fund is not meaningful given the J-curve effect. The actual IRR performance of any fund is not known until all capital contributed and earnings have been distributed tothe investor. The IRRs contained in this report are calculated by StepStone Group LP (“StepStone”), a consultant to the New York City Police Pension Fund, Subchapter 2, based on information provided by the general partners (e.g. cash flows and valuations). The IRR calculations andother 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.

6 NYCPPF - 2019 Emerging Manager Program commitment amount totals $75.3 million, which includes the Program’s original $72.0 million commitment and the $3.3 million reallocation from the NYCPPF - 2015 Emerging Manager Program. As of September 30, 2019, $9.0 million has been committed. 7 Total Portfolio includes liquidated investments.Past performance is not necessarily indicative of future results and there can be no assurance that the fund will achieve comparable results or avoid substantial losses.

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

1 Performance for funds with less than eight (8) quarters of activity is not meaningful.2 Russell 3000 PME+ or Long-Nickels PME for investments with no distributed capital as of quarter-end.3 PME Spread is calculated as IRR minus PME Return.4 NYCPPF - 2012 Emerging Manager Program includes the total commitment amount of $47.0 million. The Program’s original commitment amount of $50.0 million was subsequently revised to $47.0 million, all of which has been committed as of September 30, 2019. The remaining $3.0million was reallocated to the NYCPPF - 2015 Emerging Manager Program.5 NYCPPF - 2015 Emerging Manager Program includes the total commitment amount of $63.0 million. The Program’s original commitment amount of $63.0 million, which included the original $60.0 million commitment and the $3.0 million reallocation from the NYCPPF - 2012 Emerging

Manager Program, was subsequently revised to $59.8 million. As of September 30, 2019, all $59.8 million has been committed, and the remaining $3.3 million was reallocated to the NYCPPF - 2019 Emerging Manager Program.

35

-$100.0

-$75.0

-$50.0

-$25.0

$0.0

$25.0

$50.0

$75.0

$100.0

$125.0

$150.0

$175.0

($ m

m)

NYC Police Monthly PE Cash Flow Summary(as of December 31, 2019)

Contributions Distributions Net Cash Flow

36

Third Quarter 2019

Vintage Year Fund Name Style Sector Geographic Play irst Draw DowCapital Committed Contributions Distributions Market Value uity Multi Net IRR

2012 Almanac Realty Securities VI Core / Core Plus Portfolio Developed Americas 6/6/2012 50,000,000 33,444,956 -31,933,313 13,626,540 1.4 11.7

2012 Almanac Realty Securities VI (Sidecar II) Core / Core Plus Portfolio Developed Americas 7/31/2012 15,000,000 5,829,583 -3,366,971 5,695,146 1.6 15.0

2015 Almanac Realty Securities VII Core / Core Plus Portfolio Developed Americas 4/24/2015 50,000,000 38,845,588 -28,380,218 22,776,275 1.3 13.3

2016 Almanac Realty Securities VII (Sidecar II) Core / Core Plus Portfolio Developed Americas 12/9/2015 20,000,000 10,142,088 -7,576,706 7,114,166 1.4 17.0

2019 Almanac Realty Securities VIII Core / Core Plus Portfolio Developed Americas 12/21/2018 42,000,000 2,313,611 0 1,850,020 0.8 -44.1

2019 Almanac Realty Securities VIII (Sidecar II) Core / Core Plus Portfolio Developed Americas 12/21/2018 28,000,000 1,471,688 0 1,553,267 1.1 13.4

2019 Artemis Real Estate Partners Income and Growth Fund Core / Core Plus Portfolio Developed Americas 18,000,000 0 0 -160,020 n/a n/a

2017 Brookfield Premier Real Estate Partners Core / Core Plus Portfolio Developed Americas 11/22/2016 61,000,000 67,568,835 -7,406,181 80,584,729 1.3 11.5

2017 Carlyle Property Investors Core / Core Plus Portfolio Developed Americas 7/3/2017 61,000,000 65,895,403 -5,620,723 70,292,040 1.2 8.0

2007 Colony Realty Partners II Core / Core Plus Portfolio Developed Americas 12/20/2006 20,000,000 21,420,211 -5,540,084 0 n/a n/a

2016 Exeter Industrial Core Club Fund II Core / Core Plus Portfolio Developed Americas 5/20/2016 19,000,000 16,748,500 -2,164,800 18,245,786 1.2 12.6

2019 Harrison Street Core Property Fund, L.P. Core / Core Plus Portfolio Developed Americas 20,000,000 0 0 0 n/a n/a

2019 Heitman Core Real Estate Debt Income Trust Core / Core Plus Portfolio Developed Americas 11/2/2018 28,000,000 29,113,551 -1,692,835 29,034,220 1.1 7.7

2007 Heitman HART Core / Core Plus Portfolio Developed Americas 3/29/2007 28,000,000 45,682,634 -17,682,634 63,262,969 1.8 7.7

2019 HSRE-Centre Street Core Co-Investment, L.P. Core / Core Plus Portfolio Developed Americas 5/31/2019 10,000,000 4,413,063 0 4,498,401 1.0 5.9

2016 Jamestown Premier Property Fund Core / Core Plus Portfolio Developed Americas 2/4/2016 26,000,000 31,120,570 -13,706,585 24,254,142 1.2 8.6

2007 JP Morgan Special Situation Property Fund Core / Core Plus Portfolio Developed Americas 1/2/2007 15,000,000 17,613,742 -6,405,472 22,101,996 1.6 4.7

2007 JP Morgan Strategic Property Fund Core / Core Plus Portfolio Developed Americas 12/4/2006 56,000,000 62,422,616 -953,639 128,887,983 2.1 7.6

2010 LaSalle Property Fund Core / Core Plus Portfolio Developed Americas 7/1/2010 115,000,000 77,128,280 -20,110,591 101,348,248 1.6 10.3

2017 Lion Industrial Trust - 2007 Core / Core Plus Portfolio Developed Americas 1/1/2017 110,000,000 86,103,036 -5,310,224 102,822,932 1.3 15.0

2014 MetLife Core Property Fund Core / Core Plus Portfolio Developed Americas 7/1/2014 99,000,000 73,072,488 -9,914,982 84,527,770 1.3 10.0

2013 NYC Asset Investor #2 LLC Core / Core Plus Portfolio Developed Americas 7/9/2013 60,000,000 60,259,071 -25,136,824 44,340,308 1.2 3.9

2016 NYCRS Artemis Co-Investment (SEM) Core / Core Plus Portfolio Developed Americas 2/24/2016 35,000,000 35,929,025 -15,422,552 28,547,915 1.2 16.1

2007 PRISA II Core / Core Plus Portfolio Developed Americas 6/30/2007 60,278,867 63,729,327 -21,939,028 92,186,685 1.8 5.9

2006 PRISA SA Core / Core Plus Portfolio Developed Americas 9/29/2006 21,000,000 22,590,656 -9,065,088 30,163,539 1.7 4.9

2006 Prologis Targeted U.S. Logistics Fund Core / Core Plus Portfolio Developed Americas 10/1/2006 10,000,000 13,594,865 -4,841,167 20,020,768 1.8 6.0

2006 RREEF America REIT II Core / Core Plus Portfolio Developed Americas 10/1/2006 21,000,000 27,724,347 -15,042,984 30,704,833 1.7 5.3

2006 UBS Trumbull Property Fund Core / Core Plus Portfolio Developed Americas 9/28/2006 61,000,000 93,937,236 -90,026,672 53,768,611 1.5 6.4

2016 USAA Eagle Real Estate Fund Core / Core Plus Portfolio Developed Americas 12/1/2015 75,000,000 67,422,538 0 79,392,948 1.2 7.7

Core / Core Plus Portfolio 1,234,278,867 1,075,537,508 -349,240,273 1,161,442,217 1.4 6.6

2019 AERMONT Real Estate Fund IV Non-Core Portfolio Developed Europe 4/18/2019 19,401,963 1,567,955 0 1,474,468 0.9 -12.7

2008 AG Realty Fund VII Non-Core Portfolio Developed Americas 5/20/2008 25,000,000 23,454,500 -34,815,911 653,286 1.5 12.6

2008 American Value Partners Fund I (SEM) Non-Core Portfolio Developed Americas 10/18/2007 15,000,000 11,355,858 -10,239,833 1,358,615 1.0 0.4

2006 AREA Real Estate Investment Fund V, LP Non-Core Portfolio Developed Americas 6/15/2006 5,000,000 5,000,004 -1,650,713 4,065,793 1.1 1.6

2008 Ares European Real Estate Fund III, LP Non-Core Portfolio Developed Europe 5/6/2008 30,000,000 30,487,500 -33,237,500 536,576 1.1 2.6

2015 Avanath Affordable Housing Fund II (SEM) Non-Core Portfolio Developed Americas 7/14/2015 5,000,000 4,861,193 -1,335,542 6,320,796 1.6 12.1

2018 Basis Investment Group Fund I (SEM) Non-Core Portfolio Developed Americas 11/16/2017 9,500,000 4,243,163 -332,429 4,560,059 1.2 12.7

2004 Blackstone Fund IV Non-Core Portfolio Developed Americas 5/10/2004 15,000,000 19,220,353 -26,622,022 809,675 1.4 10.4

2010 Blackstone Real Estate Partners Europe III (USD Vehicle) Non-Core Portfolio Developed Europe 10/24/2008 35,000,000 36,462,828 -48,258,174 5,646,393 1.5 10.8

2014 Blackstone Real Estate Partners Europe IV (USD Vehicle) Non-Core Portfolio Unidentified 12/23/2013 97,500,000 94,309,568 -93,853,405 49,734,906 1.5 15.0

2019 Blackstone Real Estate Partners IX Non-Core Portfolio Global 9/23/2019 101,000,000 7,065,222 0 7,051,902 1.0 -9.4

2007 Blackstone Real Estate Partners VI Non-Core Portfolio Developed Americas 9/27/2007 40,000,000 44,681,307 -85,997,133 3,307,123 2.0 13.3

2012 Blackstone Real Estate Partners VII Non-Core Portfolio Global 3/31/2012 100,000,000 123,572,292 -152,603,583 55,006,167 1.7 17.3

2015 Blackstone Real Estate Partners VIII Non-Core Portfolio Global 8/18/2015 101,000,000 102,520,093 -33,256,005 100,184,903 1.3 15.7

2012 Brookfield Strategic Real Estate Partners Non-Core Portfolio Global 9/20/2012 60,000,000 67,867,886 -91,345,033 44,097,223 2.0 20.6

2019 Brookfield Strategic Real Estate Partners III Non-Core Portfolio Global 4/12/2019 95,000,000 23,341,732 -7,600 24,078,984 1.0 8.0

2005 Canyon Johnson Urban Fund II Non-Core Portfolio Developed Americas 5/11/2005 20,000,000 17,977,405 -7,949,305 66,327 0.4 -10.4

2010 Canyon Johnson Urban Fund III Non-Core Portfolio Developed Americas 3/29/2010 15,000,000 14,793,490 -19,993,672 0 1.4 11.9

2007 Carlyle Realty Partners V Non-Core Portfolio Developed Americas 8/27/2007 20,000,000 25,309,039 -32,544,782 4,346,826 1.5 8.7

2011 Carlyle Realty Partners VI Non-Core Portfolio Developed Americas 9/14/2011 40,000,000 38,443,439 -61,534,649 4,781,421 1.7 25.1

2014 Carlyle Realty Partners VII Non-Core Portfolio Developed Americas 6/30/2014 60,000,000 53,173,338 -44,494,766 32,407,758 1.4 16.3

2007 Colony Investors VIII Non-Core Portfolio Global 9/18/2007 20,000,000 21,249,679 -9,077,487 400,701 0.4 -11.5

2012 Divco West Fund III Non-Core Portfolio Developed Americas 12/30/2011 70,000,000 68,667,971 -117,545,079 1,172,176 1.7 23.9

2014 Divco West Fund IV Non-Core Portfolio Developed Americas 1/15/2014 70,000,000 69,301,157 -103,743,127 12,154,416 1.7 25.7

2017 Divco West Fund V Non-Core Portfolio Developed Americas 12/21/2016 40,000,000 21,344,526 0 23,410,905 1.1 5.6

2017 DRA Growth and Income Fund IX Non-Core Portfolio Developed Americas 3/9/2017 27,000,000 25,503,104 -5,546,394 24,213,986 1.2 16.4

2016 European Property Investors Special Opportunities IV (EPISO IV) Non-Core Portfolio Developed Europe 12/18/2015 32,413,099 26,735,872 -2,202,546 28,481,700 1.1 8.3

2017 Exeter Industrial Value Fund IV Non-Core Portfolio Developed Americas 9/20/2017 16,000,000 10,400,000 0 11,882,372 1.1 11.1

2011 H/2 Special Opportunities Fund II Non-Core Portfolio Developed Americas 1/31/2011 25,000,000 25,000,000 -36,205,385 1,909,806 1.5 14.1

2015 H/2 Special Opportunities Fund III Non-Core Portfolio Developed Americas 12/29/2014 40,000,000 40,000,000 -30,293,411 22,519,778 1.3 11.6

2017 H/2 Special Opportunities Fund IV Non-Core Portfolio Developed Americas 11/15/2016 61,000,000 18,261,479 0 20,112,790 1.1 7.9

2017 KKR CMBS B-Piece SMA* Non-Core Portfolio Developed Americas 9/27/2017 81,000,000 72,262,600 -8,107,640 73,385,061 1.1 11.3

2018 KKR Real Estate Partners Americas II* Non-Core Portfolio Developed Americas 2/9/2018 65,850,000 29,025,915 -3,564,990 31,709,708 1.3 36.1

2014 Lone Star Real Estate Fund III Non-Core Portfolio Global 5/20/2014 75,000,000 70,306,161 -85,997,529 9,876,251 1.4 14.9

2017 Lone Star Real Estate Fund V Non-Core Portfolio Global 9/26/2017 92,700,000 13,673,023 -3,936,167 8,537,920 0.9 -6.8

2007 Metropolitan Workforce Housing Fund (SEM) Non-Core Portfolio Developed Americas 7/13/2007 7,000,000 7,006,513 -8,372,246 128,779 1.2 3.9

2013 NYC Asset Investor #1 LLC Non-Core Portfolio Developed Americas 6/25/2013 30,000,000 32,981,286 -15,278,554 26,678,171 1.3 6.2

2013 NYC Asset Investor #3 LLC Non-Core Portfolio Developed Americas 9/20/2013 40,000,000 26,125,956 -4,409,973 25,668,227 1.2 4.6

2017 Pramerica Real Estate Capital VI (PRECap VI) Non-Core Portfolio Developed Europe 4/21/2017 32,630,522 23,243,421 -13,738,818 13,143,022 1.2 15.9

2008 PRISA III Non-Core Portfolio Developed Americas 9/30/2008 30,000,000 35,657,776 0 99,624,383 2.8 11.7

2016 PW Real Estate Fund III LP Non-Core Portfolio Developed Europe 10/7/2016 30,811,730 21,357,229 -2,427,186 31,466,154 1.6 28.8

2008 Silverpeak Legacy Partners III Non-Core Portfolio Global 5/28/2008 30,000,000 13,301,089 -2,649,052 2,299,374 0.4 -10.3


37

Third Quarter 2019

Vintage Year Fund Name Style Sector Geographic Play irst Draw DowCapital Committed Contributions Distributions Market Value uity Multi Net IRR


2008 Stockbridge Real Estate Fund III Non-Core Portfolio Developed Americas 9/9/2008 27,000,000 26,998,145 -16,829,753 14,690,822 1.2 2.2

2012 Taconic New York City Investment Fund LP Non-Core Portfolio Developed Americas 7/5/2012 40,000,000 16,727,272 -26,792,073 2,633,247 1.8 15.7

2004 The City Investment Fund I Non-Core Portfolio Developed Americas 3/16/2004 70,000,000 69,030,360 -69,808,600 127,805 1.0 0.3

2009 Thor Urban Property Fund II Non-Core Portfolio Developed Americas 10/30/2008 20,000,000 27,398,054 -27,390,625 6,142,884 1.2 5.9

2009 Walton Street Real Estate Fund VI Non-Core Portfolio Global 4/27/2009 30,000,000 26,594,360 -29,654,788 11,307,653 1.5 8.6

2008 Westbrook Real Estate Fund VII Non-Core Portfolio Global 12/3/2007 10,000,000 11,209,244 -10,557,579 2,799,352 1.2 3.02010 Westbrook Real Estate Fund VIII Non-Core Portfolio Global 12/28/2009 35,000,000 41,750,537 -48,229,691 6,747,063 1.3 11.2

2016 Westbrook Real Estate Fund X Non-Core Portfolio Global 7/18/2016 24,000,000 17,851,036 -3,764,208 17,124,684 1.2 13.5

Non-Core Portfolio 2,080,807,314 1,658,671,930 -1,466,194,958 880,838,391 1.4 10.4

Small Emerging Manager 71,500,000 63,395,753 -35,702,603 40,916,164 1.2 6.4

New York City Police Pension Fund 3,315,086,181 2,734,209,438 -1,815,435,231 2,042,280,608 1.4 8.6

Additional Funds Closed Core / Core Plus Portfolio

2019 Kayne Anderson Core Real Estate 30,000,000 2019 Exeter Industrial Core III 63,600,000

Core / Core Plus Portfolio Subtotal 93,600,000

Non-Core Portfolio2019 Blackstone Europe VI 70,000,000 2019 Westbrook Real Estate Fund XI 25,000,000

Non-Core Portfolio Subtotal 95,000,000 Additional Funds Closed to Date Grand Total 188,600,000

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, 2019. Note: At the direction of the Bureau of Asset Management ("BAM"), all fees related to KKR CMBS B-Piece SMA and KKR Real Estate Partners Americas II are input by TTG each quarter as the fees for the KKR funds are calculated at the strategic partnership level for the New York City Retirement Systems. Therefore, the fees are not input by the Manager, rather they are provided to TTG by the client.

38

-$120,000,000

-$100,000,000

-$80,000,000

-$60,000,000

-$40,000,000

-$20,000,000

$0

$20,000,000

$40,000,000

$60,000,000

$80,000,000

Amou

ntPolice Monthly Real Estate Cash Flow Summary

(as of December 31, 2019)


39

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 $60,000,000 $49,558,109 $16,824,928 $58,891,582 1.5x 11.9%2014 IFM Global Infrastructure Fund 1/2/2014 $60,000,000 $80,109,292 $29,685,136 $88,332,663 1.5x 12.1%2014 Global Energy & Power Infrastructure Fund II 4/16/2014 $40,000,000 $38,750,130 $22,144,965 $33,482,651 1.4x 32.2%2016 Global Infrastructure Partners III-A/B, L.P. 1/29/2016 $71,000,000 $58,066,810 $5,098,182 $60,322,936 1.1x 7.5%2016 Brookfield Infrastructure Fund III, L.P. 4/15/2016 $61,000,000 $33,231,039 $3,174,031 $34,595,058 1.1x 8.5%2016 Actis Energy 4 12/16/2016 $39,600,000 $26,245,988 $3,760,146 $29,141,608 1.3x 20.9%2017 EQT Infrastructure III (No.2) SCSp 2/18/2017 $34,505,550 $31,969,729 $3,135,058 $33,962,279 1.2x 13.8%2017 ASF VII Infrastructure L.P. 4/24/2017 $42,000,000 $15,221,787 $1,814,803 $15,716,755 1.2x 22.1%2017 Axium Infrastructure North America 8/14/2017 $42,662,239 $43,178,397 $2,914,375 $43,532,781 1.1x 8.7%2017 NYCRS EIG Energy Partners, L.P. 8/14/2017 $42,350,000 $8,743,807 $824,345 $8,785,956 1.1x 9.5%2018 NYCRS EIG Energy Partners Co-Investment, L.P. 1/12/2018 $10,590,000 - - - NM NM2018 KKR Global Infrastructure Investors III L.P. 3/29/2018 $54,700,000 $11,108,072 $98,332 $11,113,196 NM NM2018 Global Energy & Power Infrastructure Fund III, L.P. 7/3/2018 $54,700,000 $5,395,912 $3,044 $6,380,010 NM NM2018 Cardinal NR Sidecar Holdings L.P. 10/5/2018 $6,560,000 $6,560,000 - $7,357,939 NM NM2019 EQT Infrastructure IV (No.2) USD SCSp 12/20/2018 $63,500,000 $7,312,736 - $6,309,226 NM NM2019 Ardian Infrastructure Fund V B 3/4/2019 $44,710,359 $1,006,346 $2 $781,257 NM NM2019 Global Infrastructure Partners IV-A/B, L.P. 3/11/2019 $72,100,000 $743,041 - ($19,631) NM NM2019 Brookfield Infrastructure Fund IV, L.P. 5/10/2019 $62,000,000 $7,499,867 - $7,535,149 NM NMTotal $861,978,148 $424,701,061 $89,477,347 $446,221,415 1.3x 12.7%

New York City Police Pension Fund, Subchapter 2Infrastructure Portfolio

As of September 30, 2019

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

40

($45,000,000)

($40,000,000)

($35,000,000)

($30,000,000)

($25,000,000)

($20,000,000)

($15,000,000)

($10,000,000)

($5,000,000)

$0

$5,000,000

$10,000,000

$15,000,000

Amou

nt

POLICE Monthly Infrastructure Cash Flow Summary(as of December 31, 2019)


41

Monthly Performance Review December 2019 · 2020-03-19 · Monthly Performance Review December 2019...

Documents

Transcript of Monthly Performance Review December 2019 · 2020-03-19 · Monthly Performance Review December 2019...