New York City Employees' Retirement System Performance ... · In Large Cap, the Fuoutnd performed...

New York CityEmployees' Retirement SystemPerformance Overview as of December 31, 2016

Total Fund Overview

New York City Employees’ Retirement System 1Performance Overview as of December 31, 2016

New York CityEmployees' Retirement System

Consultant's Commentary & Performance Charts p.3

Appendix A - Consolidated Performance Report p.22

Appendix B - Public Markets Manager Performance Detail p.31

Appendix C - Alternative Assets Manager Performance Detail p.44

Appendix D - Footnote p.54

Table of Contents:


City of New York Employees’ Retirement System Fourth Quarter 2016 Summary

General Economic and Market Conditions: Last year turned out to be a tumultuous one, with two essentially non-economic events jolting the capital markets for reasons solely related to investor sentiment: the U.K. Brexit vote in June and the U.S. presidential election in November. In both instances, wild swings in sentiment and in confidence about the future moved markets around the globe without regard to the underlying economic data. Interest rates and the stock market were taken on a wild ride through the year, with stocks plunging through the summer and then surging following the U.S. election, and interest rates sliding while bonds rallied, only to see rates head back up in a hurry in November and December. This journey was driven almost entirely by sentiment rather than any sudden changes in economic fortune or financial fundamentals. Real GDP growth in the U.S. came in at a modest 1.9% in the fourth quarter, down from the 3.5% gain in the third quarter. Combined with the weak growth in the first two quarters, total GDP growth for the year was 1.6%, down from the 2.6% gain in 2015. A sustained inventory correction that began in 2015 hung a black cloud over business sentiment during the first half of 2016, and the lingering effect of the bust in energy-sector investment spurred by the collapse in oil prices in 2015 held back economic growth for much of the year. The dollar strengthened over the course of the year, raising the cost of U.S. exports. The stronger dollar combined with anemic growth in Europe and Japan and slowing growth in developing markets held back demand for U.S. exports, while suppressing the cost of imports and driving demand for them higher. Imports are a negative in the GDP calculation and weigh on the measure of total GDP growth. As a result, net exports (exports minus imports) subtracted a hefty 1.7% from GDP growth during the fourth quarter, a reduction equal to the 1.7% gain provided by growth in consumption, which accounts for 70% of total GDP. One bright spot in the fourth quarter GDP report was a rebound in fixed non-residential investment, which means capital spending: equipment, structures, and intellectual property. To give an idea of just how depressed the domestic oil and gas industry got, the drilling rig count published by Baker Hughes dropped to a 71-year low of 404 in May 2016; the count rebounded to more than 650 by the end of the year, as energy prices appear to have moved off of a bottom. The downward pressure on capital spending from energy has therefore abated, and capital spending was further aided in the third and fourth quarters by a rebound in aircraft investment. Consumption spending rose 2.5%, leading GDP gains, supported by gains in real disposable income and household net worth. As the year drew to a close, household finances appeared to be in great shape on an aggregate basis, helped by the post-election stock market rally, rising home prices, and almost a decade of restraint in consumer borrowing. Consumer sentiment indices took big hits in October as the U.S. election loomed, only to spike back up in November and December to levels last seen in 2004. The job market has

Consultant's Commentary

Through December 31, 2016


cooperated, showing a strong 204,000 gain in November after a weak October report, and adding another 156,000 in December. The unemployment rate is now 4.7%, near a nine-year low and well below any target once articulated by policymakers as sufficient to handle a rise in interest rates. With the economy at or near full employment, interest in inflation has perked up once again, although the measures of inflation remain relatively benign. The headline all-urban CPI was up 2.1% in December year-over-year, and core inflation (less food and energy) rose 2.2%, while the GDP deflator used by the Fed to target inflation was up 2.2%. Energy prices dragged down headline inflation until the second half of 2016, when the energy index increased for four consecutive months through December. Tight labor markets, confident consumers, and a potential for continued capital spending all point to the chance for inflation to move beyond the 1% to 2% range in which it has been bound for the past several years; countering this upward pressure is the strong U.S. dollar, which allows the U.S. to import deflationary pressure through falling import prices. Total Fund Performance: For the quarter ended December 31, 2016, the Fund returned +1.14%, twenty five basis points above the Policy Target return of +0.89%. Over the trailing year, NYCERS has earned a return of +9.57% versus the Policy Target return of +9.37%. Over three years, the total Fund has returned +5.50% annualized. Over the trailing five years, the Fund has gained 9.04% annualized. The trailing 10-year return is +5.55% annualized. Total Fund Assets: The Fund’s assets totaled $56.9 billion as of the end of the fourth quarter of 2016. U.S. Equity: The total domestic equity portion of the NYCERS Fund returned +4.94% for the quarter, above the +4.21% return of the Russell 3000 Index. For the trailing year, NYCERS outperformed the index, returning +14.34% versus +12.74% for the index. The Fund is below the benchmark over three, five, and seven years and above the benchmark over ten years. The active portfolio bested the passive one over the quarter as well as the one, five, seven, and ten year return periods. The passive portfolio performed better over the trailing three year return period. In Large Cap, the Fund outperformed the Russell 1000 Index, returning +4.17% versus the Russell 1000’s return of +3.83% during the fourth quarter. Over the past year, the Fund is above the benchmark by 72 basis points, returning +12.77% versus +12.05% for the index.




In Mid Cap, the Fund outperformed the index by 102 basis points for the quarter despite its strictly passive exposure. The Fund returned +8.44% versus the +7.42% return of the S&P Mid Cap Index. Over the past five years, the Fund’s +15.42% return closely mirrors the return of the index (+15.33%). In Small Cap, the Fund returned +9.54%, above the Russell 2000 return of +8.83% for the quarter. The Fund’s one year return of +25.30% outperformed the +21.31% return of the Index. Developed International: For the quarter, the Fund’s Non-U.S. Developed Equity composite returned -1.55% (excluding NYCERS’ non-U.S. Environmental and Activist managers), underperforming the MSCI EAFE Index by 84 basis points. The Fund returned +4.24% for the trailing one year period, above the return of the benchmark (+1.00%). The Fund is above the benchmark over the trailing three, five, seven, and ten year periods. Emerging Markets Equity: The Fund’s emerging markets equity composite returned -4.13% in the quarter, underperforming the -4.08% return of the FTSE NYCERS custom benchmark. The active portfolio outperformed the passive one for the quarter. The one year return for the emerging markets composite is +12.58%, underperforming the +13.66% return for the benchmark. The Fund is ahead of the benchmark over the trailing five, seven, and ten year periods and below the benchmark over the trailing three year period. Fixed Income: The composite of the Fund’s structured investment grade bond managers returned -3.27% during the quarter, while the NYCERS Core Plus Five Index returned -3.61%. For the past year, the structured composite has gained 3.87%, while the benchmark’s return is +3.20%. Over longer time periods, the composite is ahead of the benchmark, having beaten it over the trailing three, five, seven, and ten year periods. TIPS: The Fund’s TIPS composite delivered a -2.46% return in the quarter, slightly above the -2.41% return for the Bloomberg Barclays Capital US TIPS Index. Over the past year, the Fund’s TIPS managers have returned +4.74%, above the benchmark’s return of +4.68%. Over longer time periods, the composite is ahead of the benchmark, having beaten it over the trailing three, five, seven, and ten year periods. Enhanced Yield: In enhanced yield, the Fund’s managers returned +1.70% for the quarter, while the Citigroup BB&B Index posted a lower return of +1.56%. The Fund underperformed the benchmark over the past year, returning +15.32% as compared to the benchmark’s return of +15.48%. The Fund has beaten the benchmark over the trailing three, five, seven, and ten year periods.




Bank Loans: The NYCERS bank loan composite returned +2.18% in the fourth quarter, below the Credit Suisse Leveraged Loan Index’s return of +2.25%. The Fund underperformed the benchmark for the year returning +9.17% versus +9.88% for the benchmark. The Fund has outperformed relative to the benchmark over the trailing three year period. Convertibles: The convertible portfolio returned +0.51% in the quarter, below the +1.82% return of the NYCERS Custom Convertible Bond Index. Over the past year, the convertibles portfolio has returned +7.47%, underperforming the benchmark by 399 basis points. Over the trailing three, five, and seven year periods, the Fund has outperformed the custom benchmark. Opportunistic Fixed Income: The opportunistic fixed income composite returned +3.91% over the fourth quarter. For the past year, the Fund is below the 10% annual return target with a return of +8.75%. Over five years, the Fund’s +10.26% return is above the 10% annual return target. Over seven years, the Fund’s +10.11% return is also above the 10% annual return target. Alternatives: For the quarter, the Private Equity portfolio had approximately $4.2 billion in invested capital, representing roughly 7.4% of the Total Fund. The Real Assets portfolio had approximately $3.2 billion invested, accounting for roughly 5.7% of the Total Fund. Hedge Fund investments represented approximately $600 million, or 1.0%. Performance is reported separately by NYCERS’ Private Equity, Real Estate and Hedge Fund consultants.




TOTAL EMPLOYEES' - Gross TOTAL EMPLOYEES' - Net Mgr Employees Policy Benchmark

Trailing 3 Months FYTD Trailing 12 Months Trailing 3 Years Trailing 5 Years Trailing 10 Years Trailing 15 Years0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

11.00

Rat

e of

Ret

urn

1.14 1.09 0.95

5.02 4.904.56

9.579.33 9.44

5.505.23

5.84

9.04 9.17

5.55 5.75

6.51 6.65

TOTAL EMPLOYEES' - Gross TOTAL EMPLOYEES' - Net Mgr Employees Policy Benchmark

Trailing 3 Months FYTD Trailing 12 Months Trailing 3 Years Trailing 5 Years Trailing 10 Years Trailing 15 Years0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

9.00

10.00

11.00

Rat

e of

Ret

urn

1.14 1.09 0.95

5.02 4.904.56

9.579.33 9.44

5.505.23

5.84

9.04 9.17

5.55 5.75

6.51 6.65

Plan 3 Years Benchmark 3 Years Plan 5 Years Benchmark 5 Years Plan 10 Years Benchmark 10 YearsStandard Deviation

TOTAL EMPLOYEES' 6.1 5.9 9.0 6.1 10.0 10.9

Market Value (Billions)

TOTAL EMPLOYEES' $56.9

Total Portfolio Returns: December 31, 2016


Based on the Policy as of 5.24.2011

1.9%0.5%

2.1%

-0.1

-3.0%

0.4% 0.4%

-0.7%

-2.7%

-0.3% 0.0%0.0%

-2.3%-0.7%

2.4%

-8.0%-6.0%-4.0%-2.0%0.0%2.0%4.0%6.0%8.0%

$56.9B Under Management

Relative Mix to New Policy Weights

Domestic Equity

Note: Brackets represent rebalancing ranges versus policy.

Asset Allocation

Developed Markets Emerging Markets Private Equity Hedge Funds

$18.8 33.1%

$6.9 12.1%

$2.4 4.2% $9.3

16.3% $3.0 5.3%

$1.1 1.9%

$4.2 7.4%

$3.9 6.8%

$0.6 1.0%

$1.5 2.7%

$0.7 1.3%

$0.6 1.0%

$2.3 4.0%

$1.4 2.4%

$0.2 0.4%

Infrastructure

Enhanced Yield TIPS Conv. Bonds Opportunistic FI Core + 5 Bank Loans Private RE ETI Cash

Portfolio Asset Allocation: December 31, 2016


Based on the Policy as of 5.24.2011

$56.9B Under Management

Relative Mix to Adjusted New Policy Weights

Domestic Equity

0.0% 0.0% 0.0% 0.0% 0.0% 0.0%

-0.8%

1.8%

-0.1%

0.4%

-5.5%

-0.3%

0.8% 0.0%2.4%

-8.0%-6.0%-4.0%-2.0%0.0%2.0%4.0%6.0%8.0%

Note: Brackets represent rebalancing ranges versus policy.

Asset Allocation

Developed Markets Emerging Markets Private Equity Hedge Funds

Note: On December 30, 2016 NYCERS‘ combined Fixed Income and Cash portfolios have a duration of 5.3 years. The duration of the Barclays US Aggregate Index was 5.9 years on that date.

Infrastructure

Enhanced Yield TIPS Conv. Bonds Opportunistic FI Core + 5 Bank Loans Private RE ETI Cash

$18.8 33.1%

$6.9 12.1%

$2.4 4.2% $9.3

16.3% $3.0 5.3%

$1.1 1.9%

$4.2 7.4%

$3.9 6.8%

$0.6 1.0%

$1.5 2.7%

$0.7 1.3%

$0.6 1.0%

$2.3 4.0%

$1.4 2.4%

$0.2 0.4%

Portfolio Asset Allocation: December 31, 2016


1.09

0.95

0.14

0.07 0.07

0.00

0.50

1.00

1.50

Total Plan Return Policy Index Return Excess Return Allocation Effect Selection Effect

Performance Attribution: Total Plan - Quarter Ending: December 31, 2016


9.33 9.44

-0.11 -0.04 -0.07

-2.00

0.00

2.00

4.00

6.00

8.00

10.00


Performance Attribution: Total Plan - 12 Month Ending: December 31, 2016


5.23

5.84

-0.61

-0.06

-0.55

-2.00

0.00

2.00

4.00

6.00

8.00


Performance Attribution: Total Plan - 3 Years Ending: December 31, 2016


Quarter 12 Months 3 Years Benchmark TOTAL EMPLOYEES' 0.07 -0.04 -0.06 Employees Policy Benchmark

TOTAL DOMESTIC EQUITY -0.04 -0.07 -0.02 RUSSELL 3000TOTAL DEVELOPED EQUITY -0.09 -0.10 -0.04 MSCI EAFE IMI Net TOTAL EMERGING MARKETS -0.03 -0.08 -0.05 FTSE Custom NYCERS Emerging MarketsTOTAL HEDGE FUNDS -0.01 -0.01 0.00 HFRI Fund of Funds Composite Index plus 1% TOTAL PRIVATE EQUITY 0.04 0.07 0.05 Russell 3K + 300bpsTOTAL PRIVATE REAL ESTATE - CORE -0.01 -0.01 0.00 NCREIF ODCE netTOTAL PRIVATE REAL ESTATE - NON CORE 0.01 0.02 0.00 NCREIF ODCE net + 200bpsTOTAL INFRASTRUCTURE 0.00 0.00 0.00 CPI + 4%TOTAL US TREASURY SHORT TERM -0.01 -0.01 0.00 Citigroup USBIG Treasury 1-3 Y IndexTOTAL US TREASURY INTERMEDIATE LONG 0.17 0.20 0.06 NYC - Treasury Agency Plus FiveTOTAL INVESTMENT GRADE CREDIT -0.01 -0.01 0.00 NYC - Investment Grade CreditTOTAL MORTGAGES 0.01 0.01 0.00 CITIGROUP MORTGAGE INDEXTOTAL ETI 0.00 0.00 0.00 ETI Custom BenchmarkTOTAL CORE FIXED INCOME -0.01 -0.01 0.00 BBG BARC Agg TOTAL PROGRESS FIXED 0.00 0.00 0.00 BBG BARC AggTOTAL ENHANCED YIELD 0.00 0.02 -0.01 CITIGROUP BB&BTOTAL BANK LOANS 0.00 0.00 0.00 Credit Suisse Lev Loan IndexTOTAL TIPS MANAGERS 0.01 -0.02 0.02 Lehman U.S. TIPSTOTAL CONVERTIBLE BONDS 0.00 0.00 0.00 Merrill All US Converts TOTAL OPPORTUNISTIC FIXED 0.01 0.00 0.00 OFI - JPMGHY / CSFB 50/50 Blend Plus 300 TOTAL PRIVATE REAL ESTATE 0.03 0.03 0.02 NYC R3000 +3% LaggedTOTAL STRUCTURED 0.03 0.08 0.01 NYC - CORE PLUS FIVETOTAL CASH -0.01 -0.13 -0.08

Quarter 12 Months 3 Years Benchmark TOTAL EMPLOYEES' 0.07 -0.07 -0.55 Employees Policy Benchmark

TOTAL DOMESTIC EQUITY 0.22 0.51 -0.14 RUSSELL 3000TOTAL DEVELOPED EQUITY -0.08 0.33 0.09 MSCI EAFE IMI Net TOTAL EMERGING MARKETS -0.01 -0.10 -0.07 FTSE Custom NYCERS Emerging MarketsTOTAL HEDGE FUNDS 0.00 -0.09 -0.07 HFRI Fund of Funds Composite Index plus 1% TOTAL PRIVATE EQUITY -0.09 -0.74 -0.25 Russell 3K + 300bpsTOTAL PRIVATE REAL ESTATE - CORE -0.03 -0.03 -0.01 NCREIF ODCE netTOTAL PRIVATE REAL ESTATE - NON CORE -0.03 -0.03 -0.01 NCREIF ODCE net + 200bpsTOTAL INFRASTRUCTURE 0.00 0.01 0.01 CPI + 4%TOTAL US TREASURY SHORT TERM 0.00 0.00 0.00 Citigroup USBIG Treasury 1-3 Y IndexTOTAL US TREASURY INTERMEDIATE LONG 0.00 0.00 0.00 NYC - Treasury Agency Plus FiveTOTAL INVESTMENT GRADE CREDIT 0.01 0.01 0.00 NYC - Investment Grade CreditTOTAL MORTGAGES -0.01 -0.01 0.00 CITIGROUP MORTGAGE INDEXTOTAL ETI -0.01 -0.01 0.00 ETI Custom BenchmarkTOTAL CORE FIXED INCOME 0.00 0.00 0.00 BBG BARC Agg TOTAL PROGRESS FIXED 0.00 0.00 0.00 BBG BARC AggTOTAL ENHANCED YIELD 0.00 -0.02 -0.01 CITIGROUP BB&BTOTAL BANK LOANS 0.00 -0.02 0.00 Credit Suisse Lev Loan IndexTOTAL TIPS MANAGERS 0.00 0.00 0.00 Lehman U.S. TIPSTOTAL CONVERTIBLE BONDS -0.02 -0.05 -0.01 Merrill All US Converts TOTAL OPPORTUNISTIC FIXED 0.04 -0.04 -0.14 OFI - JPMGHY / CSFB 50/50 Blend Plus 300 TOTAL PRIVATE REAL ESTATE 0.03 0.11 0.04 NYC R3000 +3% LaggedTOTAL STRUCTURED 0.05 0.10 0.01 NYC - CORE PLUS FIVETOTAL CASH 0.00 0.01 0.01

Allocation Effect - Asset Class Breakdown

Selection Effect - Asset Class Breakdown

Total Plan: December 31, 2016


TOTAL SMALL CAP ACTIVETOTAL SMALL CAP PASSIVETOTAL MID CAPTOTAL RUSSELL 1000 ACTIVETOTAL RUSSELL 1000 PASSIVETOTAL RUSSELL 3000 PASSIVETOTAL S&P 500 PASSIVETOTAL FUND OF FUND MANAGERSTOTAL US ENVIRONMENTAL MANAGERS

2.1%

4.9%

26.6%

9.8%

7.8%

1.6%

4.7%

11.1%

31.4%

TOTAL SMALL CAP ACTIVETOTAL SMALL CAP PASSIVETOTAL MID CAPTOTAL RUSSELL 1000 ACTIVETOTAL RUSSELL 1000 PASSIVETOTAL RUSSELL 3000 PASSIVETOTAL S&P 500 PASSIVETOTAL FUND OF FUND MANAGERSTOTAL US ENVIRONMENTAL MANAGERS

2.1%

4.9%

26.6%

9.8%

7.8%

1.6%

4.7%

11.1%

31.4%

Market Value (Billions) % of Plan

TOTAL DOMESTIC EQUITY $18.8 33.1

Total Domestic Equity Asset Allocations: Quarter Ending December 31, 2016


TOTAL PASSIVE INTERNATIONAL EQUITYTOTAL ACTIVE INTERNATIONAL EQUITY

66.2%

33.8%

TOTAL PASSIVE INTERNATIONAL EQUITYTOTAL ACTIVE INTERNATIONAL EQUITY

66.2%

33.8%

Asset Class Weight

Quarterly Returns - Fund and Benchmarks

Fund Benchmark Excess

TOTAL DEVELOPED GROWTH 17.52 (4.88) (5.53) 0.65

TOTAL DEVELOPED VALUE 18.60 2.08 4.17 (2.09)

TOTAL DEVELOPED SMALL CAP ACTIVE 6.40 (2.57) (3.38) 0.82

TOTAL INTERNATIONAL FUND OF FUNDS 0.45 (2.00) (0.71) (1.29)

TOTAL DEVELOPED SMALL CAP PASSIVE 2.39 (2.89) (2.86) (0.03)

TOTAL DEVELOPED LARGE CAP PASSIVE 16.49 (0.76) (0.71) (0.04)

TOTAL NON-U.S. ENVIRONMENTAL 2.13 (2.43) 1.86 (4.29)

TOTAL ACTIVE EMERGING MARKET 21.05 (3.80) (4.08) 0.29

TOTAL PASSIVE EMERGING MARKETS 14.95 (4.59) (4.30) (0.29)

TOTAL INTERNATIONAL EQUITY 100.00 (2.52) (1.25) (1.27)


TOTAL INTERNATIONAL EQUITY $10.8 18.9

TOTAL DEVELOPED GROWTHTOTAL DEVELOPED VALUETOTAL DEVELOPED SMALL CAP ACTIVETOTAL INTERNATIONAL FUND OF FUNDSTOTAL DEVELOPED SMALL CAP PASSIVETOTAL DEVELOPED LARGE CAP PASSIVETOTAL NON-U.S. ENVIRONMENTALTOTAL ACTIVE EMERGING MARKETSTOTAL PASSIVE EMERGING MARKETS

14.9%

21.0%

2.1%

16.5%

17.5%

18.6%

6.4%

0.5%

2.4%

TOTAL DEVELOPED GROWTHTOTAL DEVELOPED VALUETOTAL DEVELOPED SMALL CAP ACTIVETOTAL INTERNATIONAL FUND OF FUNDSTOTAL DEVELOPED SMALL CAP PASSIVETOTAL DEVELOPED LARGE CAP PASSIVETOTAL NON-U.S. ENVIRONMENTALTOTAL ACTIVE EMERGING MARKETSTOTAL PASSIVE EMERGING MARKETS

14.9%

21.0%

2.1%

16.5%

17.5%

18.6%

6.4%

0.5%

2.4%

International Equity Asset Allocation: December 31, 2016

New York City Employees’ Retirement System 15Performance Overview as of December 31, 2016 Totals may not add due to rounding

TOTAL GOVERNMENTTOTAL MORTGAGETOTAL INVESTMENT GRADE CREDIT

45.2%

30.0%

24.8%

TOTAL GOVERNMENTTOTAL MORTGAGETOTAL INVESTMENT GRADE CREDIT

45.2%

30.0%

24.8%


TOTAL STRUCTURED + ETI $9.5 16.7

Structured Fixed Income Asset Allocation: December 31, 2016


City of New YorkPerformance Comparison

Total Returns of Master Trusts - Public : Plans > $10 Billion

Cumulative Periods Ending : December 31, 2016

Percentile Rankings 1 Qtr 2 Qtrs 3 Qtrs 1 Year 2 Years 3 Years 4 Years 5 Years 7 Years 10 Years5th 2.19 6.27 8.09 9.57 5.65 6.64 9.56 10.27 9.41 6.2225th 1.55 5.24 7.21 8.68 4.75 5.70 8.32 9.39 8.80 5.7350th 1.05 4.73 6.60 7.88 4.43 5.34 7.97 8.98 8.49 5.4575th 0.39 4.17 6.05 7.37 3.86 4.86 7.14 8.45 7.87 5.1995th -0.82 1.35 3.94 6.08 2.59 4.10 5.03 6.15 6.28 4.30

No. Of Obs 47 47 47 46 46 46 46 46 43 42

Total System - Employe 1.14 (43) 5.02 (35) 7.22 (23) 9.57 (5) 4.59 (43) 5.50 (38) 7.97 (50) 9.04 (47) 8.53 (45) 5.55 (45)Employees Policy Bench 0.95 (56) 4.56 (54) 6.77 (41) 9.44 (5) 4.70 (27) 5.84 (17) 8.14 (36) 9.17 (36) 8.78 (25) 5.75 (22)Public Mkt Equiv 25 1.05 (50) 5.07 (31) 6.53 (52) 7.01 (88) 3.62 (81) 4.37 (88) 8.29 (31) 9.36 (27) 8.23 (65) 4.93 (87)Public Mkt Equiv 35 0.62 (68) 4.10 (75) 5.77 (79) 6.73 (88) 3.55 (83) 4.46 (85) 7.66 (63) 8.61 (65) 7.88 (72) 5.09 (77)

Wilshire Trust Universe Comparison Service® (TUCS®)



City of New YorkPerformance Comparison

Total Returns of Master Trusts - Public : Plans > $10 Billion

Consecutive Time Periods: December 31, 2016

Percentile Rankings Dec 16 Sep 16 Jun 16 Mar 16 Dec 15 Dec 16 Dec 15 Dec 14 Dec 13 Dec 125th 2.19 4.53 3.22 3.56 3.72 9.57 2.69 9.47 19.74 14.8825th 1.55 3.93 2.04 1.72 2.96 8.68 1.74 8.11 17.24 14.2150th 1.05 3.54 1.79 1.35 2.34 7.88 0.64 7.55 15.87 13.4375th 0.39 3.34 1.60 1.05 2.02 7.37 0.09 6.58 14.42 12.6795th -0.82 2.44 1.40 0.52 1.44 6.08 -1.00 5.21 5.12 10.53

No. Of Obs 47 47 47 46 46 46 46 46 46 46

Total System - Employe 1.14 (43) 3.83 (35) 2.09 (21) 2.20 (7) 2.13 (63) 9.57 (5) -0.17 (83) 7.34 (52) 15.73 (59) 13.41 (52)Employees Policy Bench 0.95 (56) 3.58 (45) 2.11 (19) 2.50 (5) 2.12 (63) 9.44 (5) 0.17 (72) 8.15 (23) 15.33 (63) 13.39 (52)Public Mkt Equiv 25 1.05 (50) 3.98 (19) 1.40 (96) 0.44 (96) 4.15 (1) 7.01 (88) 0.35 (65) 5.88 (83) 20.94 (1) 13.75 (43)Public Mkt Equiv 35 0.62 (68) 3.46 (63) 1.60 (75) 0.91 (85) 3.56 (5) 6.73 (88) 0.46 (56) 6.31 (77) 17.86 (21) 12.47 (81)

Wilshire Trust Universe Comparison Service® (TUCS®)



INVESTMENT STYLE (EQUITIES) Avg MV 16

($MM)

Mgmt Fees

BPS

MV 11-30-16

($MM)

Mgmt Fees

BPS

US Equities 17,885 7.55 19,036 8.14

Small Cap Active 1,373 32.02 1,521 32.40

Small Cap Growth - - - -

Small Cap Value 280 52.32 312 50.67 Small Cap core 152 75.42 179 72.80

Small Cap Fundamental Index 941 18.96 1,030 19.84

Small/Mid Cap Active - - - -

Small/Mid Cap Growth - - - -

Mid Cap Active - - - -

Mid Cap Growth - - - -

Mid Cap Value - - - -

Mid Cap core - - - -

Russell 1000 Active 1,834 12.36 2,058 11.93

Russell 1000 Fundamental Index 1,834 12.36 2,058 11.93

Active Emerging Managers (U.S. Equities) 1,152 41.51 999 58.07

Total US Active Equities 4,359 26.25 4,578 28.80

Total US Passive Equities 13,196 0.43 14,081 0.49

Environmental US E. Strategies 331 45.13 377 43.16

International Equities 8,734 28.96 9,969 27.36

Active EAFE Equities 4,220 31.89 4,327 32.46 Growth 1,806 27.90 1,854 29.42

Value 1,753 29.37 1,800 29.34 Small Cap 662 49.45 673 49.22

Non-US Environmental Strategies 207 55.70 229 54.83

Active Emerging Markets 2,078 46.50 2,244 48.49

Total Int'l Active Equities 6,506 37.32 6,800 38.51

Total Int’l Passive Equities 2,228 4.57 3,168 3.44

Total Passive Developed Markets 799 2.75 1,573 1.24

Total Passive Emerging Markets 1,430 5.58 1,595 5.62

REITS Passive Index - - - -

Actual Estimates

NEW YORK CITY EMPLOYEE RETIREMENT SYSTEM

ACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2016 AND

ESTIMATED FEES FOR FY 2017 UPDATED THROUGH NOVEMBER 2016

2016 2017

Information provided by the New York City Comptroller

Actual and Estimated Fees


INVESTMENT STYLE (FIXED INCOME) Avg MV 16

($MM)

Mgmt Fees

BPS

MV 11-30-16

($MM)

Mgmt Fees

BPS

Fixed Income 16,642 13.25 17,476 13.28

Structured Program 9,097 7.50 8,519 8.03

Government Sector 1,148 4.32 1,488 3.99

SSGA Long Duration Treasury - - - -

Mortgage Sector 3,403 6.19 2,440 7.33

Investment Grade Credit Sector 4,545 9.29 4,591 9.71

Global Fixed Income 384 18.25 390 17.81

Progress Fixed Emerging Managers 134 28.68 115 37.50

TIPS 1,922 1.81 2,414 1.80

Active TIPS 469 5.87 592 5.76

Passive TIPS 1,453 0.50 1,822 0.51

Enhanced Yield 1,997 33.96 2,231 33.86

Bank Loans 1,000 33.01 1,060 32.70

Convertible Bonds 521 43.15 552 42.05

ETI - Access - RBC 116 21.79 162 17.78

ETI - AFL-CIO HIT 284 42.50 300 39.53

Total Public Markets (Externally managed) 42,073 14.46 44,747 14.75

Other ETI Programs 322 - 336 -

In-House Short Term 866 0.00 1,398 0.00

Total Public Markets 43,261 14.06 46,480 14.20

INVESTMENT STYLE (PRIVATE)

Hedge Funds 1,454 131.95 595 81.45

Private Equities 4,142 160.22 4,194 190.04 1

Real Assets 2,896 108.14 3,055 109.69

Private Real Estate 2,754 102.99 2,844 100.55

Infrastructure 142 207.89 211 232.85

Opportunistic Fixed Income 1,389 88.38 1,534 88.68

Total Private Markets 9,881 130.70 2 9,378 140.40

Total Overall 53,142 35.75 55,859 35.38

Footnotes

1 -Private Equity estimates for FY 2017 are based on partnership terms. For funds in the investment period, management fees are based

on the committed capital. For funds in the post-investment period, management fees are based on the Market Value as of 6/30/2016.

2 - Private Markets Investments exclude GP CARRY & Incentive Fees .

3 -The Incentive Fees paid for the NYCERS Fund in 2016 are 11.07 BPS.

2016 2017

NEW YORK CITY EMPLOYEE RETIREMENT SYSTEM

ACTUAL FEES FOR FISCAL YEAR ENDED JUNE 30, 2016 AND

ESTIMATED FEES FOR FY 2017 UPDATED THROUGH NOVEMBER 2016

Actual Estimates

Information provided by the New York City Comptroller

Actual and Estimated Fees


U. S. U. S. INTERNATIONALFIXED INCOME EQUITY EQUITY TOTAL

1989 - - - - 1990 256,000 - - 256,0001991 754,000 48,000 - 802,0001992 1,467,000 654,000 367,000 2,488,0001993 3,445,000 1,308,000 732,000 5,485,0001994 4,261,000 2,744,000 1,082,000 8,087,0001995 3,727,000 3,191,000 745,000 7,663,0001996 3,608,000 3,592,000 1,258,000 8,458,0001997 3,924,000 5,921,000 1,533,000 11,378,0001998 6,374,000 7,337,000 1,952,000 15,663,0001999 6,643,000 6,718,000 2,175,000 15,536,0002000 6,552,000 7,669,000 3,049,000 17,270,0002001 10,335,000 10,394,000 4,435,000 25,164,0002002 5,906,000 7,780,000 3,510,000 17,196,0002003 2,442,000 4,766,000 3,603,000 10,811,0002004 3,502,000 5,844,000 3,825,000 13,171,0002005 5,229,000 8,264,000 4,471,000 17,964,0002006 4,626,000 10,012,000 4,163,000 18,801,0002007 9,445,000 15,100,000 4,510,000 29,055,0002008 25,936,000 26,696,000 6,878,000 59,510,0002009 8,149,000 16,388,000 4,305,000 28,842,0002010 3,714,000 10,256,000 3,125,000 17,095,0002011 4,834,000 12,861,000 5,163,000 22,858,0002012 6,691,000 16,287,000 4,116,000 27,094,0002013 5,051,000 17,973,000 3,014,000 26,038,0002014 5,194,000 14,847,000 5,272,000 25,313,0002015 5,010,000 16,300,000 6,124,000 27,434,0002016 6,545,000 19,856,000 5,097,000 31,498,000

Since Inception 153,620,000 252,806,000 84,504,000 490,930,000

NYC EMPLOYEES' RETIREMENT SYSTEM SECURITIES LENDING INCOME

December 31, 2016

Securities Lending Income



Appendix A

Consolidated Performance Report



Market

Value

($MM) % of Total 3 Month FYTD CYTD 2015 2014 2013 2012 2011 3 Year 5 Year 10 Year ITD

Inception

Date

SYSTEM RETURN SUMMARY

5 NYCERS-TOTAL PORTFOLIO - GROSS 56,864 100.00 1.14 5.02 9.57 (0.17) 7.34 15.73 13.41 1.13 5.50 9.04 5.55 8.63 07/01/1987

ESTIMATED INVESTMENT FEES (0.06) (0.12) (0.24) (0.27) (0.27) (0.26)

EST MANAGEMENT FEES - PUBLIC MARKET (ACCRUAL) (0.03) (0.06) (0.12) (0.12) (0.13)

EST MANAGEMENT FEES - ALTERNATIVE MARKETS (CASH) (0.03) (0.06) (0.12) (0.15) (0.14)

EST INCENTIVE FEES

EST OTHER FEES

EST FEE OFFSETS

NYCERS-TOTAL PORTFOLIO - NET MGR 1.09 4.90 9.33 (0.44) 7.07 5.23

NYCERS POLICY BENCHMARK 0.95 4.56 9.44 0.17 8.15 15.33 13.39 2.14 5.84 9.17 5.75

EXCESS RETURN 0.14 0.34 (0.10) (0.61) (1.08) 0.40 0.02 (1.01) (0.60) (0.13) (0.20)

EQUITY RETURN DETAIL

18 NYCERS-TOTAL EQUITY (INCL PE & RA) - GROSS 37,609 66.14 2.47 7.45 11.39 (0.17) 7.85 22.95 16.08 (1.39) 6.24 11.35 5.34 7.12 04/01/2004


EST MANAGEMENT FEES (0.07) (0.15) (0.29) (0.35) (0.33)

EST INCENTIVE FEES

EST OTHER FEES

EST FEE OFFSETS

NYCERS-TOTAL EQUITY (INCL PE & RA) - NET MGR 2.40 7.30 11.10 (0.52) 7.52 5.92

26 NYCERS-TOTAL DOMESTIC EQUITY - GROSS 18,817 33.09 4.94 9.59 14.34 (0.67) 11.35 34.39 16.62 0.17 8.14 14.66 7.09 11.20 08/01/1979


NYCERS-TOTAL DOMESTIC EQUITY - NET MGR 4.92 9.55 14.24 (0.76) 11.24 8.04

RUSSELL 3000 (DAILY) 4.21 8.79 12.74 0.48 12.56 33.55 16.42 1.03 8.43 14.67 7.07 11.51

EXCESS RETURN 0.71 0.75 1.51 (1.24) (1.31) 0.84 0.21 (0.85) (0.39) (0.00) 0.02 (0.32)

36 NYCERS-TOTAL SMALL CAP - GROSS 1,766 3.11 9.54 18.40 25.30 (5.96) 4.40 41.99 17.81 (4.50) 7.15 15.53 7.91 8.72 04/01/2004


NYCERS-TOTAL SMALL CAP - NET MGR 9.48 18.26 24.97 (6.24) 4.09 6.85

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89 38.82 16.35 (4.18) 6.74 14.46 7.07 8.19

EXCESS RETURN 0.65 (0.42) 3.67 (1.82) (0.80) 3.17 1.46 (0.33) 0.10 1.07 0.84 0.54

46 NYCERS-TOTAL MID CAP - GROSS 884 1.55 8.44 12.85 21.41 (2.19) 9.98 33.13 17.81 9.31 15.42 12.19 02/01/2011


NYCERS-TOTAL MID CAP - NET MGR 8.42 12.79 21.35 (2.20) 9.97 9.28

S&P 400 MIDCAP INDEX (DAILY) 7.42 11.87 20.74 (2.18) 9.77 33.50 17.88 9.04 15.33 12.11

EXCESS RETURN 1.00 0.92 0.61 (0.02) 0.20 (0.37) (0.07) 0.24 0.09 0.08

56 NYCERS-TOTAL RUSSELL 1000 - GROSS 7,999 14.07 4.17 8.25 12.77 (0.27) 13.02 35.73 16.76 0.66 8.33 15.04 10.05 07/01/2008


NYCERS-TOTAL RUSSELL 1000 - NET MGR 4.16 8.24 12.73 (0.31) 12.95 8.27

RUSSELL 1000 (DAILY) 3.83 8.01 12.05 0.92 13.24 33.11 16.42 1.50 8.59 14.69 9.18

EXCESS RETURN 0.33 0.22 0.68 (1.23) (0.29) 2.62 0.33 (0.84) (0.32) 0.34 0.87




Market

Value


Inception

Date


68 NYCERS-TOTAL RUSSELL 3000 PASSIVE - GROSS 1,851 3.26 4.22 8.83 12.73 0.49 12.89 33.63 16.34 1.05 8.54 14.73 7.14 9.92 02/01/1990


NYCERS-TOTAL RUSSELL 3000 PASSIVE - NET MGR 4.22 8.82 12.72 0.48 12.88 8.53

RUSSELL 3000 (DAILY) 4.21 8.79 12.74 0.48 12.56 33.55 16.42 1.03 8.43 14.67 7.07 9.87

EXCESS RETURN 0.01 0.03 (0.01) (0.00) 0.32 0.08 (0.08) 0.02 0.10 0.07 0.07 0.04

78 NYCERS-TOTAL S&P 500 PASSIVE - GROSS 5,012 8.81 3.80 7.92 11.95 1.11 13.62 32.49 15.99 1.74 8.75 14.60 6.86 4.56 07/01/2000


NYCERS-TOTAL S&P 500 PASSIVE - NET MGR 3.80 7.92 11.94 1.11 13.62 8.75

S&P 500 INDEX (DAILY) 3.82 7.82 11.96 1.38 13.69 32.39 16.00 2.11 8.87 14.66 6.95 4.68

EXCESS RETURN (0.02) 0.09 (0.02) (0.27) (0.07) 0.10 (0.02) (0.37) (0.13) (0.06) (0.09) (0.11)

88 NYCERS-TOTAL FUND OF FUNDS - GROSS 914 1.61 4.49 9.20 9.28 (2.85) 8.19 37.19 16.17 (0.20) 4.73 12.85 6.68 8.63 07/01/1993


NYCERS-TOTAL FUND OF FUNDS - NET MGR 4.35 8.90 8.66 (3.41) 7.55 4.12

RUSSELL 3000 (DAILY) 4.21 8.79 12.74 0.48 12.56 33.55 16.42 1.03 8.43 14.67 7.07 9.25

EXCESS RETURN 0.14 0.10 (4.08) (3.89) (5.01) 3.63 (0.25) (1.23) (4.32) (1.81) (0.40) (0.62)




Market

Value


Inception

Date


100 NYCERS-TOTAL INTERNATIONAL EQUITY - GROSS 10,771 18.94 (2.52) 5.19 7.85 (7.90) (2.50) 12.45 18.06 (14.05) (1.06) 5.15 1.14 5.95 09/01/1990


NYCERS-TOTAL INTERNATIONAL EQUITY - NET MGR (2.58) 5.05 7.55 (8.17) (2.80) (1.35)

MSCI AC WORLD EX US (NET) (1.25) 5.57 4.50 (5.66) (3.87) 15.29 16.83 (13.71) (1.78) 5.00 0.96

EXCESS RETURN (1.33) (0.52) 3.05 (2.51) 1.06 (2.84) 1.23 (0.34) 0.42 0.15 0.18

110 NYCERS-TOTAL DEVELOPED GROWTH ACTIVE - GROSS 1,888 3.32 (4.88) 3.32 4.08 (1.94) (5.15) 20.21 20.02 (12.92) (1.08) 6.91 2.27 6.27 04/01/2004


NYCERS-TOTAL DEVELOPED GROWTH ACTIVE - NET MGR (4.95) 3.17 3.79 (2.22) (5.42) (1.36)

MSCI EAFE GROWTH (5.53) (0.84) (3.04) 4.09 (4.43) 22.55 16.86 (12.11) (1.20) 6.67 1.64 4.81

EXCESS RETURN 0.58 4.02 6.83 (6.31) (0.99) (2.34) 3.16 (0.80) (0.16) 0.24 0.63 1.46

120 NYCERS-TOTAL DEVELOPED VALUE ACTIVE - GROSS 2,004 3.52 2.08 9.95 6.30 (6.04) (3.85) 22.15 14.03 (11.01) (1.34) 5.99 0.45 5.07 04/01/2004


NYCERS-TOTAL DEVELOPED VALUE ACTIVE - NET MGR 2.01 9.80 6.00 (6.30) (4.11) (1.61)

MSCI EAFE VALUE NET (DAILY) 4.17 12.50 5.02 (5.68) (5.39) 22.95 17.69 (12.17) (2.14) 6.28 (0.22) 4.36

EXCESS RETURN (2.16) (2.71) 0.98 (0.62) 1.28 (0.80) (3.66) 1.16 0.53 (0.29) 0.68 0.72

130 NYCERS-TOTAL DEVELOPED SMALL CAP ACTIVE- GROSS 690 1.21 (2.57) 5.04 2.67 10.72 (3.78) 3.03 6.63 05/01/2013


NYCERS-TOTAL DEVELOPED SMALL CAP ACTIVE - NET MGR (2.69) 4.79 2.17 10.18 (4.26) 2.53

S&P EPAC SMALL CAP USD NET (3.38) 4.76 1.34 8.58 (3.43) 2.05 5.58

EXCESS RETURN 0.70 0.03 0.83 1.59 (0.83) 0.48 1.06

140 NYCERS-TOTAL INTERNATIONAL FUND OF FUNDS ACTIVE - GROSS 49 0.09 (2.00) 4.08 (1.58) 1.16 (4.89) 21.26 18.84 (13.33) (1.80) 6.42 (0.07) 12/01/2007

ESTIMATED INVESTMENT FEES 0.00 0.00 (0.36) (0.64) (0.65) (0.55)

NYCERS-TOTAL INTERNATIONAL FUND OF FUNDS ACTIVE - NET MGR (2.00) 4.08 (1.94) 0.52 (5.54) (2.35)

MSCI EAFE (0.71) 5.67 1.00 (0.81) (4.90) 22.78 17.32 (12.14) (1.60) 6.53 (0.59)

EXCESS RETURN (1.28) (1.59) (2.94) 1.33 (0.64) (1.52) 1.52 (1.19) (0.75) (0.12) 0.52

150 NYCERS-TOTAL DEVELOPED SMALLCAP PASSIVE - GROSS 257 0.45 (2.89) 5.54 2.53 9.99 3.17 02/01/2014

ESTIMATED INVESTMENT FEES (0.00) (0.01) (0.02) (0.02) (0.02)

NYCERS-TOTAL DEVELOPED SMALLCAP PASSIVE - NET MGR (2.89) 5.53 2.52 9.97 3.16

MSCI EAFE SMALL CAP NET (DAILY) (2.86) 5.54 2.18 9.59 2.71

EXCESS RETURN (0.04) (0.01) 0.33 0.39 0.45

160 NYCERS-TOTAL DEVELOPED LARGE CAP PASSIVE - GROSS 1,777 3.12 (0.76) 5.65 1.30 (0.41) (4.98) 23.02 17.60 (1.40) 6.76 3.07 02/01/2011


NYCERS-TOTAL DEVELOPED LARGE CAP PASSIVE - NET MGR (0.76) 5.64 1.28 (0.42) (5.00) (1.42)

MSCI EAFE (0.71) 5.67 1.00 (0.81) (4.90) 22.78 17.32 (1.60) 6.53 2.81

EXCESS RETURN (0.05) (0.03) 0.28 0.39 (0.10) 0.24 0.28 0.19 0.23 0.26




Market

Value


Inception

Date


172 NYCERS-TOTAL ACTIVE EMERGING MARKETS - GROSS 2,267 3.99 (3.80) 4.30 12.59 (17.85) 1.02 (0.20) 20.86 (18.86) (2.23) 2.42 3.60 6.83 11/01/2005


NYCERS-TOTAL ACTIVE EMERGING MARKETS - NET MGR (3.91) 4.06 12.07 (18.25) 0.52 (2.71)

FTSE CUSTOM NYCERS ALL EMERGING INDEX (4.08) 3.20 13.66 (16.80) (0.07) (4.22) 17.84 (18.20) (1.87) 1.30 2.73 6.16

EXCESS RETURN 0.18 0.86 (1.59) (1.45) 0.60 4.03 3.02 (0.67) (0.84) 1.13 0.87 0.67

182 NYCERS-TOTAL PASSIVE EMERGING MARKETS - GROSS 1,610 2.83 (4.59) 2.42 12.55 (17.87) (1.29) (4.24) 16.11 (3.01) 0.29 (3.39) 04/01/2011


NYCERS-TOTAL PASSIVE EMERGING MARKETS - NET MGR (4.60) 2.39 12.49 (17.92) (1.35) (3.06)

MSCI CUSTOM NYCERS EMERGING MARKETS (NET) (4.30) 2.66 12.68 (17.71)

EXCESS RETURN (0.30) (0.27) (0.19) (0.21)




Market

Value


Inception

Date


200 NYCERS-TOTAL HEDGE FUND - NET MGR 596 1.05 0.97 2.38 2.21 (1.57) 5.43 1.98 07/01/2011

HFRI FUND OF FUNDS COMPOSITE INDEX + 1% 1.15 3.73 1.56 0.73 4.40 2.22

EXCESS RETURN (0.18) (1.35) 0.66 (2.30) 1.03 (0.23)

210 NYCERS-TOTAL DIRECT HEDGE FUNDS - NET MGR 347 0.61 1.72 3.33 3.29 (1.45) 5.97 2.56 01/01/2012


EXCESS RETURN 0.57 (0.39) 1.73 (2.18) 1.57 0.34

220 NYCERS-TOTAL PERMAL HEDGE FUNDS - NET MGR 249 0.44 0.36 1.05 0.24 (2.15) 2.58 0.20 07/01/2011


EXCESS RETURN (0.79) (2.68) (1.32) (2.88) (1.82) (2.01)




Market

Value


Inception

Date


226 NYCERS-TOTAL PRIVATE EQUITY (TIME WEIGHTED) 4,208 7.40 4.49 7.37 10.84 10.61 13.99 8.08 12.74 13.78 11.80 11.23 8.87 11.76 04/01/2004

NYC R3000 +3% LAGGED 5.16 8.72 18.37 2.49 21.24 24.53 35.20 5.55 13.73 19.89 11.73 12.34

EXCESS RETURN (0.67) (1.35) (7.53) 8.11 (7.26) (16.45) (22.47) 8.23 (1.93) (8.66) (2.86) (0.58)

236 NYCERS-TOTAL PRIVATE REAL ESTATE (TIME WEIGHTED) 2,997 5.27 2.34 4.81 10.84 16.06 15.44 12.61 14.43 22.28 14.09 13.86 6.35 9.24 04/01/2004

NCREIF NFI-ODCE NET + 100 BP 2.13 4.26 8.86 15.08 12.56 14.02 10.88 16.09 12.14 12.26

EXCESS RETURN 0.20 0.54 1.98 0.98 2.88 (1.41) 3.55 6.19 1.95 1.60

246 NYCERS-TOTAL INFRASTRUCTURE (TIME WEIGHTED) 220 0.39 2.21 5.13 9.87 15.14 20.16 14.98 14.54 12/01/2013

CPI + 4% 1.84 3.31 6.18 4.72 4.70 5.20 5.26

EXCESS RETURN 0.37 1.82 3.69 10.42 15.45 9.78 9.28




Market

Value


Inception

Date

FIXED INCOME RETURN DETAIL

258 NYCERS-TOTAL FIXED INCOME (DOM & GLOBAL) - GROSS 19,236 33.83 (1.40) 0.42 6.00 (0.37) 6.18 1.19 8.31 6.77 3.89 4.21 5.71 8.42 02/01/1980


EST MANAGEMENT FEES (0.03) (0.07) (0.14) (0.13) (0.15)

EST INCENTIVE FEES

EST OTHER FEES

EST FEE OFFSETS

NYCERS-TOTAL FIXED INCOME (DOM & GLOBAL) - NET MGR (1.43) 0.35 5.86 (0.50) 6.03 3.75

266 NYCERS-TOTAL STRUCTURED FIXED INCOME - GROSS 8,765 15.41 (3.27) (2.20) 3.87 0.28 7.69 (1.73) 6.92 8.85 3.90 3.34 5.42 7.88 01/01/1985


NYCERS-TOTAL STRUCTURED FIXED INCOME - NET MGR (3.29) (2.23) 3.79 0.21 7.60 3.83

NYC - CORE PLUS FIVE (3.61) (2.95) 3.20 0.41 7.66 (2.79) 5.41 9.40 3.71 2.71 4.98

EXCESS RETURN 0.32 0.72 0.60 (0.20) (0.06) 1.06 1.51 (0.55) 0.11 0.63 0.44

276 NYCERS-TOTAL CORE FIXED INCOME - GROSS 391 0.69 (2.50) (1.49) 3.80 1.04 5.84 (1.54) 6.23 8.11 3.54 3.03 5.10 05/01/2009


NYCERS-TOTAL CORE FIXED INCOME - NET MGR (2.55) (1.58) 3.61 0.86 5.67 3.36

BBG BARC AGG (DLY) (2.98) (2.53) 2.65 0.55 5.97 (2.02) 4.21 7.84 3.03 2.23 4.00

EXCESS RETURN 0.43 0.95 0.96 0.31 (0.30) 0.49 2.02 0.27 0.33 0.80 1.10

286 NYCERS-TOTAL FIXED INCOME FUND OF FUNDS - GROSS 115 0.20 (2.73) (1.82) 2.87 0.90 6.18 (1.76) 5.51 8.39 3.30 2.70 4.78 5.93 01/01/1992


NYCERS-TOTAL FIXED INCOME FUND OF FUNDS - NET MGR (2.78) (1.95) 2.58 0.56 5.82 2.96

BBG BARC AGG (DLY) (2.98) (2.53) 2.65 0.55 5.97 (2.02) 4.21 7.84 3.03 2.23 4.34 5.63

EXCESS RETURN 0.20 0.59 (0.07) 0.01 (0.15) 0.26 1.29 0.55 (0.07) 0.47 0.43 0.30

296 NYCERS-TOTAL TIPS - GROSS 2,411 4.24 (2.46) (1.50) 4.74 (1.18) 3.50 (8.42) 7.25 13.50 2.32 1.02 4.51 4.00 06/01/2005


NYCERS-TOTAL TIPS - NET MGR (2.46) (1.51) 4.72 (1.21) 3.42 2.28

BBG BARC GBL INF-LK: US TIPS (DLY) (2.41) (1.47) 4.68 (1.44) 3.64 (8.61) 6.98 13.56 2.26 0.89 4.36 3.84

EXCESS RETURN (0.05) (0.04) 0.04 0.23 (0.21) 0.19 0.27 (0.06) 0.02 0.13 0.14 0.16

306 NYCERS-TOTAL ENHANCED YIELD - GROSS 2,272 4.00 1.70 6.99 15.32 (3.82) 2.94 8.31 14.56 5.73 4.52 7.22 7.34 7.92 10/01/1994


NYCERS-TOTAL ENHANCED YIELD - NET MGR 1.61 6.81 14.93 (4.15) 2.58 4.16

CITIGROUP BB & B 1.56 6.77 15.48 (4.21) 2.78 6.17 14.45 6.58 4.37 6.68 6.02 7.04

EXCESS RETURN 0.06 0.04 (0.55) 0.06 (0.20) 2.14 0.11 (0.85) (0.21) 0.54 1.32 0.88

316 NYCERS- TOTAL BANK LOANS - GROSS 1,072 1.88 2.18 5.02 9.17 1.18 2.58 6.41 4.25 4.79 12/01/2012


NYCERS-TOTAL BANK LOANS - NET MGR 2.10 4.85 8.81 0.85 2.24 3.91

CSFB LEVERAGED LOAN INDEX 2.25 5.42 9.88 (0.38) 2.06 6.15 3.76 4.45

EXCESS RETURN (0.16) (0.57) (1.06) 1.23 0.18 0.26 0.15 0.35




Market

Value


Inception

Date

FIXED INCOME RETURN DETAIL

328 NYCERS- TOTAL CONVERTIBLE BONDS - GROSS 556 0.98 0.51 4.57 7.47 (0.85) 8.42 16.33 11.66 (3.02) 4.93 8.45 5.99 06/01/2008


NYCERS-TOTAL CONVERTIBLE BONDS - NET MGR 0.40 4.35 7.01 (1.28) 7.95 4.48

BOFAML ALL CONVERTIBLE EX M AI (DAILY) 2.61 10.21 11.71 (2.75) 9.33 25.00 14.41 (3.42) 5.90 11.18 7.54

EXCESS RETURN (2.21) (5.86) (4.70) 1.47 (1.38) (8.68) (2.76) 0.39 (1.42) (2.72) (1.55)

338 NYCERS-TOTAL OPPORTUNISTIC FIXED INCOME 1,550 2.73 3.91 7.35 8.75 (2.18) 8.15 17.55 20.49 (4.40) 4.78 10.26 7.77 10/01/2007

10% ANNUAL RETURN 2.41 4.88 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00 10.00

EXCESS RETURN 1.50 2.46 (1.25) (12.18) (1.85) 7.55 10.49 (14.40) (5.22) 0.26 (2.23)

348 NYCERS-TOTAL TARGETED INVESTMENTS (NO CASH) 738 1.30 (4.21) (3.35) 2.97 4.33 8.26 2.35 6.18 6.66 5.16 4.79 5.94 8.13 12/01/1984

EMPLOYEES CUSTOM BENCHMARK (NO CASH) (2.18) (1.63) 2.38 1.42 6.03 (1.64) 3.41 7.66 3.26 2.29 4.48

EXCESS RETURN (2.03) (1.72) 0.59 2.91 2.22 3.98 2.77 (1.00) 1.90 2.50 1.46

CASH SUMMARY

360 EMPLOYEES' SHORT TERM - GROSS 1,366 2.40 0.15 0.26 0.76 0.31 0.36 0.19 0.56 0.92 0.48 0.44 1.36 04/01/1982

ESTIMATED INVESTMENT FEES 0.00 0.00 0.00 (0.00) 0.00 0.00 0.00 0.00 0.00 0.00 0.00

EMPLOYEES' SHORT TERM - NET MGR 0.15 0.26 0.76 0.31 0.36 0.19 0.56 0.92 0.48 0.44 1.36

364 C/D - FAIL FLOAT EARNINGS 3 0.01

366 SECURITY LENDING 16 0.03




Appendix B

Public Markets Manager Performance Detail



Market Value($MM)

%of Total 3 Month FYTD CYTD 2015 2014

EQUITY SUMMARY

US EQUITY

State Street Global Advisors R3000 1,851 3.26 4.21 8.82 12.69 0.39 12.87

RUSSELL 3000 (DAILY) 4.21 8.79 12.74 0.48 12.56

Excess 0.00 0.02 (0.04) (0.09) 0.31

Amalgamated Bank 5,012 8.81 3.80 7.92 11.94 1.11 13.62

S&P 500 INDEX (DAILY) 3.82 7.82 11.96 1.38 13.69

Excess (0.02) 0.09 (0.02) (0.27) (0.07)

Blackrock Inst R 2000 Growth 234 0.41 3.58 13.17 11.29 (1.54) 5.70

RUSSELL 2000 GROWTH DAILY 3.57 13.12 11.32 (1.38) 5.60

Excess 0.01 0.05 (0.03) (0.16) 0.10

Blackrock Inst R 2000 Value 71 0.12 14.00 24.15 31.61 (7.49) 4.90

RUSSELL 2000 VALUE DAILY 14.07 24.19 31.74 (7.47) 4.22

Excess (0.08) (0.04) (0.13) (0.02) 0.68

RAFI - SC Fundamental 961 1.69 11.87 21.29 27.57 (7.09) 4.56

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89

Excess 3.04 2.61 6.26 (2.68) (0.34)

Ceredex SCV 318 0.56 6.35 12.78 29.34 (4.74) 2.58

RUSSELL 2000 VALUE DAILY 14.07 24.19 31.74 (7.47) 4.22

Excess (7.72) (11.41) (2.40) 2.73 (1.64)

Wellington Small Core 182 0.32 7.93 15.70 19.25 (2.79) 9.89

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89

Excess (0.91) (2.98) (2.05) 1.63 4.99


Net Returns Through December 31, 2016


Market Value($MM)


State Street GA S&P 400 884 1.55 7.78 12.14 20.65 (2.31) 9.97

S&P 400 MIDCAP INDEX (DAILY) 7.42 11.87 20.74 (2.18) 9.77

Excess 0.36 0.27 (0.09) (0.13) 0.20

Blackrock Inst R 1000 Growth 2,947 5.18 0.98 5.64 7.04 5.58 12.90

RUSSELL 1000 GROWTH - DAILY 1.01 5.64 7.08 5.67 13.05

Excess (0.03) (0.00) (0.04) (0.09) (0.15)

Blackrock Inst R 1000 Value 2,959 5.20 6.71 10.47 17.36 (3.94) 13.51

RUSSELL 1000 VALUE (DAILY) 6.68 10.39 17.34 (3.83) 13.45

Excess 0.04 0.08 0.02 (0.11) 0.06

VTL S&P 500 Fundamental 526 0.92 5.25 8.41 12.68 (1.25) 13.81

S&P 500 INDEX (DAILY) 3.82 7.82 11.96 1.38 13.69

Excess 1.43 0.59 0.72 (2.63) 0.12

RAFI - LC Fundamental 1,568 2.76 5.29 9.05 15.71 (3.17) 12.15

RUSSELL 1000 (DAILY) 3.83 8.01 12.05 0.92 13.24

Excess 1.46 1.04 3.66 (4.09) (1.09)

FUND OF FUNDS

NYCERS-TOTAL FUND OF FUNDS 914 1.61 4.35 8.90 8.66 (3.41) 7.55

RUSSELL 3000 (DAILY) 4.21 8.79 12.74 0.48 12.56

Excess 0.14 0.10 (4.08) (3.89) (5.01)

NYCERS-TOTAL ATTUCKS 270 0.48 4.71 9.82 10.71 (3.63) 9.46

RUSSELL 3000 (DAILY) 4.21 8.79 12.74 0.48 12.56

Excess 0.50 1.03 (2.03) (4.10) (3.10)

NYCERS-TOTAL CAPITAL PROSPECTS 83 0.15 4.16 10.55 11.67 (2.40) 9.13

RUSSELL 3000 (DAILY) 4.21 8.79 12.74 0.48 12.56

Excess (0.05) 1.76 (1.06) (2.88) (3.42)




Market Value($MM)


NYCERS-TOTAL PROGRESS EQUITY 335 0.59 4.62 8.47 7.25 (4.66) 6.99

RUSSELL 3000 (DAILY) 4.21 8.79 12.74 0.48 12.56

Excess 0.41 (0.32) (5.48) (5.14) (5.57)

NYCERS-TOTAL F I S 225 0.40 3.62 7.99 7.66 (1.25) 5.52

RUSSELL 3000 (DAILY) 4.21 8.79 12.74 0.48 12.56

Excess (0.59) (0.80) (5.07) (1.73) (7.03)

U.S. ENVIRONMENTAL

Walden Asset Management (ENVRN) 390 0.69 9.14 14.39 24.18 (3.33) (0.34)

RUSSELL 2000 (DAILY) 8.83 18.68 21.31 (4.41) 4.89

Excess 0.31 (4.29) 2.88 1.08 (5.24)

NON - US EQUITY

Causeway 1,039 1.83 1.18 7.83 0.69 (2.41) (4.94)

MSCI EAFE VALUE NET (DAILY) 4.17 12.50 5.02 (5.68) (5.39)

Excess (3.00) (4.67) (4.33) 3.28 0.45

Sprucegrove 965 1.70 2.75 11.57 11.10 (9.77) (3.69)

MSCI EAFE VALUE NET (DAILY) 4.17 12.50 5.02 (5.68) (5.39)

Excess (1.42) (0.93) 6.08 (4.08) 1.70

Baillie Gifford MTA 871 1.53 (5.43) 5.27 2.12 (4.67) (6.81)

MSCI EAFE GROWTH (5.53) (0.84) (3.04) 4.09 (4.43)

Excess 0.10 6.12 5.16 (8.76) (2.38)

Walter Scott 1,017 1.79 (4.53) 1.44 5.26 0.04 (3.43)

MSCI EAFE GROWTH (5.53) (0.84) (3.04) 4.09 (4.43)

Excess 1.00 2.28 8.31 (4.05) 1.00

Acadian 354 0.62 (1.28) 6.26 5.15 8.71 (3.02)

S&P EPAC Small Cap USD NET (3.38) 4.76 1.34 8.58 (3.43)

Excess 2.10 1.50 3.82 0.13 0.41




Market Value($MM)


Pyramis 335 0.59 (4.13) 3.27 (0.81) 11.68 (5.51)

S&P EPAC Small Cap USD NET (3.38) 4.76 1.34 8.58 (3.43)

Excess (0.75) (1.49) (2.15) 3.09 (2.08)

SSGA MTA 121 1,777 3.12 (0.76) 5.64 1.28 (0.42) (5.00)

MSCI EAFE (0.71) 5.67 1.00 (0.81) (4.90)

Excess (0.05) (0.03) 0.28 0.39 (0.10)

SSGA MSCI EAFE Small Cap Index 257 0.45 (2.89) 5.53 2.52 9.97

MSCI EAFE SMALL CAP NET (DAILY) (2.86) 5.54 2.18 9.59

Excess (0.04) (0.01) 0.33 0.39

Generation GE MTA 230 0.40 (2.57) 5.69 9.93 7.04 11.39

MSCI World Index 1.86 6.81 7.51 (0.87) 4.94

Excess (4.42) (1.12) 2.42 7.91 6.45

INTERNATIONAL FUND OF FUNDS

NYCERS-TOTAL INTERNATIONAL FUND OF FUNDS 49 0.09 (2.00) 4.08 (1.94) 0.52 (5.54)

MSCI EAFE (0.71) 5.67 1.00 (0.81) (4.90)

Excess (1.28) (1.59) (2.94) 1.33 (0.64)

EMERGING MARKETS

BALLIE MTA 567 1.00 (7.66) 1.56 4.20 (13.67) 4.53

FTSE Custom NYCERS All Emerging Index (4.08) 3.20 13.66 (16.80) (0.07)

Excess (3.58) (1.64) (9.46) 3.14 4.60

Acadian / MTA 549 0.96 (2.69) 6.43 12.66 (18.25) 3.09


Excess 1.39 3.23 (1.00) (1.45) 3.16

PARAMETRIC EM 534 0.94 (3.96) 0.72 11.58 (19.39) (1.55)


Excess 0.12 (2.48) (2.09) (2.59) (1.48)




Market Value($MM)


DFA MTA 618 1.09 (1.27) 7.45 20.31 (22.06) (4.16)


Excess 2.81 4.24 6.65 (5.26) (4.09)

Blackrock EM 1,610 2.83 (4.60) 2.39 12.49 (17.92) (1.52)

MSCI CUSTOM NYCERS EMERGING MARKETS (NET) (4.30) 2.66 12.68 (17.71)

Excess (0.30) (0.27) (0.19) (0.21)

FIXED INCOME SUMMARY

STRUCTURED FIXED INCOME

Neuberger Berman - Mortgage 475 0.84 (2.01) (1.46) 1.50 1.42 6.99

CITIGROUP MORTGAGE INDEX (1.98) (1.43) 1.59 1.56 6.12

Excess (0.03) (0.03) (0.09) (0.14) 0.86

Blackrock - Mortgage 794 1.40 (1.77) (1.04) 2.17 1.67 6.75


Excess 0.21 0.38 0.58 0.11 0.62

Wellington - Mortgage 7 0.01 (2.96) (2.30) 0.87 1.35 6.77


Excess (0.98) (0.87) (0.72) (0.21) 0.65

Goldman Sachs - Mortgage 163 0.29 (2.39) (1.88) 0.95 1.60 6.24


Excess (0.41) (0.45) (0.63) 0.04 0.12

Amundi Smith Breeden - Mortgage 177 0.31 (1.71) (0.98) 2.06 1.73 6.36


Excess 0.27 0.44 0.47 0.16 0.23




Market Value($MM)


Prudential - Corp - Credit 895 1.57 (2.81) (1.53) 5.89 (0.32) 7.54

NYC - Investment Grade Credit (3.05) (1.72) 5.56 (0.65) 7.04

Excess 0.24 0.19 0.33 0.33 0.50

T. Rowe Price - Credit 887 1.56 (3.00) (1.40) 6.00 0.13 7.91


Excess 0.05 0.33 0.44 0.78 0.87

Blackrock - Credit 872 1.53 (3.00) (1.59) 5.50 (0.83) 7.48


Excess 0.05 0.13 (0.06) (0.18) 0.44

Taplin Canida Habacht - Credit 775 1.36 (2.13) 0.96 9.51 (4.37) 7.83


Excess 0.92 2.69 3.95 (3.73) 0.79

Barrow Hanley - Credit 668 1.18 (2.79) (1.35) 5.88 (0.09) 7.47


Excess 0.26 0.37 0.32 0.56 0.42

Prudential-Privest - Credit 200 0.35 (2.42) (0.78) 4.24 1.63 7.20


Excess 0.64 0.95 (1.32) 2.28 0.16

Blackrock - Gov't 588 1.03 (7.33) (7.63) 1.24 0.69 11.98

NYC - Treasury Agency Plus Five (7.32) (7.76) 1.21 0.72 12.38

Excess (0.01) 0.12 0.02 (0.03) (0.40)

State Street - Gov't 895 1.57 (7.25) (7.46) 1.57 0.46 12.10

NYC - Treasury Agency Plus Five (7.32) (7.76) 1.21 0.72 12.38

Excess 0.06 0.29 0.36 (0.26) (0.28)




Market Value($MM)


SSGA 1-3 Treasury Index 1,368 2.41

NYC - Treasury Agency Plus Five

Excess

ENHANCED YIELD

Loomis, Sayles - High Yield 459 0.81 2.63 9.53 21.61 (7.67) 4.89

NYC-Loomis (BoA MLMSTII 7-03/BB&B PRIOR) 1.88 7.47 17.49 (4.64) 2.50

Excess 0.75 2.06 4.13 (3.02) 2.38

Oaktree - High Yield 362 0.64 1.54 6.53 14.91 (4.77) 1.52

BofAML HYM CONSTRAINED (DAILY) 1.88 7.47 17.49 (4.61) 2.51

Excess (0.34) (0.95) (2.58) (0.16) (0.98)

NEUBERGER BERMAN - HIGH YIELD 385 0.68 1.06 6.26 14.70 (4.00) 2.14

BofAML HIGH YIELD MASTER II (DAILY) 1.88 7.47 17.49 (4.64) 2.50

Excess (0.82) (1.21) (2.79) 0.64 (0.36)

Stone Harbor - High Yield 221 0.39 1.52 6.19 12.98 (4.54) 0.97

BofAML HIGH YIELD MASTER II (DAILY) 1.88 7.47 17.49 (4.64) 2.50

Excess (0.37) (1.29) (4.51) 0.11 (1.54)

T. Rowe Price - Enhanced Yield 388 0.68 1.16 5.75 12.32 (1.28) 2.96

CITIGROUP BB & B 1.56 6.77 15.48 (4.21) 2.78

Excess (0.40) (1.02) (3.15) 2.93 0.18

Shenkman - High Yield 190 0.33 1.57 5.80 11.86 (2.24) 2.93

CITIGROUP BB & B 1.56 6.77 15.48 (4.21) 2.78

Excess 0.02 (0.97) (3.61) 1.97 0.14

Penn Capital Mgt 140 0.25 2.05 6.91 11.97 (1.26) 0.84

CITIGROUP BB & B 1.56 6.77 15.48 (4.21) 2.78

Excess 0.50 0.14 (3.51) 2.95 (1.95)




Market Value($MM)


Fort Washington 127 0.22 0.95 5.45 12.55 (4.43) 2.18

CITIGROUP BB & B 1.56 6.77 15.48 (4.21) 2.78

Excess (0.61) (1.32) (2.93) (0.22) (0.60)

BANK LOANS

Babson BL 291 0.51 2.11 5.00 8.46 0.12 1.99

CSFB LEVERAGED LOAN INDEX 2.25 5.42 9.88 (0.38) 2.06

Excess (0.14) (0.42) (1.42) 0.50 (0.07)

Credit Suisse BL 299 0.53 2.13 4.69 8.95 2.57 2.67


Excess (0.12) (0.73) (0.92) 2.96 0.61

Guggenheim BL 190 0.33 1.59 4.24 7.84 2.07 2.88


Excess (0.66) (1.18) (2.03) 2.45 0.83

Invesco BL 291 0.51 2.38 5.26 9.68 (0.91) 1.65


Excess 0.12 (0.16) (0.20) (0.53) (0.41)

TIPS

State Street TIPS MTA 1,820 3.20 (2.47) (1.52) 4.73 (1.35) 3.57

BBG BARC Gbl Inf-Lk: US TIPS (Dly) (2.41) (1.47) 4.68 (1.44) 3.64

Excess (0.06) (0.05) 0.04 0.09 (0.07)

Blackrock TIPS MTA 591 1.04 (2.43) (1.49) 4.71 (1.24) 3.74

BBG BARC Gbl Inf-Lk: US TIPS (Dly) (2.41) (1.47) 4.68 (1.44) 3.64

Excess (0.03) (0.02) 0.02 0.20 0.10




Market Value($MM)


CONVERTIBLE BONDS

Advent Conv Bonds 343 0.60 (0.43) 4.32 7.35 (1.92) 4.68

BofA ML U.S. Convertible Yield Alternative 0.47 5.90 9.96 (8.77) 2.75

Excess (0.90) (1.58) (2.61) 6.85 1.93

Victory - Conv Bonds 213 0.37 1.76 4.40 6.47 (0.24) 13.76

BofA Merrill Lynch US Investment Grade Convertible Bond Index 4.36 9.70 14.23 1.68 15.69

Excess (2.60) (5.29) (7.77) (1.92) (1.93)

FIXED INCOME FUND OF FUNDS

New Century Adv LLC (Core) 26 0.05 (2.89) (1.81) 1.98 (0.04) 6.09

BBG BARC Agg (Dly) (2.98) (2.53) 2.65 0.55 5.97

Excess 0.09 0.72 (0.67) (0.59) 0.12

Hillswick 10 0.02 (3.02) (3.36)

BBG BARC Agg (Dly) (2.98) (2.53)

Excess (0.04) (0.82)

Integrity 12 0.02 (2.84) (2.22)

BBG BARC Agg (Dly) (2.98) (2.53)

Excess 0.13 0.31

Pugh Capital Mgmt Inc (Core) 30 0.05 (2.98) (2.13) 3.13 0.69 6.05

BBG BARC Agg (Dly) (2.98) (2.53) 2.65 0.55 5.97

Excess (0.00) 0.40 0.49 0.14 0.08

Ramirez Asset 37 0.07 (2.46) (1.44) 3.47 0.94

BBG BARC Agg (Dly) (2.98) (2.53) 2.65 0.55

Excess 0.52 1.09 0.82 0.39




Market Value($MM)


CORE FIXED INCOME

LM Capital 288 0.51 (2.59) (1.65) 3.47 0.83 5.67

BBG BARC Agg (Dly) (2.98) (2.53) 2.65 0.55 5.97

Excess 0.38 0.88 0.82 0.28 (0.30)

GIA 103 0.18 (2.42) (1.39) 4.00

BBG BARC Agg (Dly) (2.98) (2.53) 2.65

Excess 0.55 1.15 1.35

ECONOMICALLY TARGETED INVESTMENTS

AFL-CIO HOUSING INV TRUST 299 0.53 (3.00) (2.47) 1.94 1.13 6.10

BBG BARC Agg (Dly) (2.98) (2.53) 2.65 0.55 5.97

Excess (0.02) 0.06 (0.71) 0.58 0.14

ACCESS RBC 103 0.18 (2.13) (1.72) 1.61 1.83 6.66

Access RBC Benchmark (2.04) (1.76) 1.52 1.40 5.08

Excess (0.09) 0.04 0.09 0.43 1.58

CPC CONST FACILITY 6 0.01 (2.82) (0.66) (3.95) 12.90

CPC CONST BENCHMARK 0.79 1.57 3.12 2.90

Excess (3.61) (2.23) (7.07) 10.00

BOA-PPAR (FNMA) 24 0.04 (8.23) (6.76) 4.07 42.03 13.31

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (6.28) (5.56) 1.69 39.53 6.19

BOA-PPAR (GNMA) 16 0.03 (7.15) (6.32) 3.13 8.04 15.61

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (5.75) (5.60) 0.85 6.03 8.96




Market Value($MM)


CCD-PPAR (FNMA) 10 0.02 (7.15) (5.74) 3.71 6.69 25.71

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (5.20) (4.54) 1.33 4.20 18.58

CCD-PPAR (GNMA) 7 0.01 (6.47) (5.69) 2.78 5.08 15.37

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (5.07) (4.98) 0.50 3.06 8.72

CFSB-PPAR (GNMA) 3 0.00 (6.43) (5.66) 3.21 5.90 15.34

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (5.03) (4.94) 0.93 3.88 8.69

CPC-PPAR (FNMA) 75 0.13 (6.10) (5.04) 6.15 8.96 13.91

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (4.15) (3.84) 3.77 6.46 6.78

CPC - PPAR (GNMA) 99 0.17 (5.16) (4.89) 2.86 5.08 8.41

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (3.76) (4.17) 0.58 3.07 1.76

JPMC-PPAR (FNMA) 47 0.08 (7.77) (2.85) 7.94 6.18 12.06

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (5.83) (1.65) 5.56 3.68 4.93

JPMC - PPAR (GNMA) 36 0.06 (4.52) (4.19) 2.99 6.04 13.75

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (3.12) (3.47) 0.72 4.03 7.10

LIIF-PPAR (FNMA) 7 0.01 (7.19) (12.14) 5.03 6.29 38.12

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (5.24) (10.94) 2.65 3.79 30.99




Market Value($MM)


LIIF-PPAR (GNMA) 3 0.01 (2.70) (2.78) 3.88 3.92 9.74

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (1.30) (2.06) 1.61 1.91 3.09

NCBCI PPAR (FNMA) 0 0.00 (5.34) (5.12) 3.46 4.97 14.93

FNMA Plus 85bps (1.95) (1.20) 2.38 2.50 7.13

Excess (3.39) (3.92) 1.07 2.47 7.81

NCBCI-PPAR (GNMA) 2 0.00 (5.99) (5.32) 3.51 5.53 16.66

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (4.59) (4.61) 1.23 3.52 10.01

NHS-PPAR (GNMA) 1 0.00 (4.54) (4.31) 3.58 4.90 13.73

GNMA Plus 65bps (1.40) (0.71) 2.28 2.02 6.65

Excess (3.14) (3.59) 1.30 2.89 7.08

WELLS FARGO-PPAR MTA 2013 (FNMA) 0 0.00

FNMA Plus 85bps

Excess

CASH

EMPLOYEES' SHORT TERM 1,366 2.40 0.15 0.26 0.76 0.31 0.36

91 DAY T-BILL 0.09 0.18 0.33 0.05 0.02

Excess 0.06 0.08 0.44 0.27 0.34

C/D - FAIL FLOAT EARNINGS 3 0.01

SECURITY LENDING 16 0.03




Appendix C

Alternative Assets Manager Performance Detail



Vintage Year

(Cash Flow) Commitments Contributions Distributions Market Value

Investment

Multiple ITD IRR%

TOTAL PRIVATE EQUITY 9,087,541,679 7,496,848,703 5,951,256,825 4,257,799,191 1.36 9.1%

TOTAL ACTIVE 8,568,151,043 6,908,396,954 5,248,811,166 4,257,799,191 1.38 9.4%

Cypress Merchant Banking Partners II, L.P. 1999 45,172,972 53,970,573 50,537,286 129,423 0.94 -1.2%

FdG Capital Partners LLC 1999 25,000,000 28,954,203 48,781,931 664,940 1.71 14.7%

Lincolnshire Equity Fund II, L.P. 1999 18,397,347 19,261,466 36,463,088 1,036,560 1.95 24.6%

Solera Partners, L.P. 2000 19,999,779 26,490,547 41,635,156 3,681,143 1.71 8.4%

SCP Private Equity Partners II, L.P. 2000 27,442,463 30,827,225 10,339,594 3,156,007 0.44 -10.9%

Apollo Investment Fund V, L.P. 2001 40,000,000 62,509,880 122,932,865 1,245,689 1.99 38.6%

RRE Ventures III, L.P. 2001 19,999,999 26,274,675 33,150,017 2,739,561 1.37 5.8%

Thomas, McNerney & Partners, L.P. 2002 20,000,000 20,000,000 7,003,139 3,988,434 0.55 -11.7%

BDCM Opportunity Fund, L.P. 2002 25,000,000 52,554,619 90,110,270 95,139 1.72 22.8%

Landmark Equity Partners XI, L.P. 2002 55,000,000 52,284,778 77,079,306 3,774,178 1.55 23.5%

FS Equity Partners V, L.P. 2003 25,000,000 21,399,076 41,752,123 2,294,132 2.06 15.6%

Blackstone Capital Partners IV, L.P. 2003 34,418,762 38,818,072 98,629,819 504,358 2.55 39.7%

Ares Corporate Opportunities Fund, L.P. 2003 45,000,000 53,984,770 78,961,930 4,688,857 1.55 13.6%

Markstone Capital Partners, LP 2004 40,000,000 46,899,103 19,822,611 1,955,927 0.46 -33.3%

FdG Capital Partners II LP 2004 35,000,000 37,624,231 42,499,038 2,466,730 1.20 3.6%

Paladin Homeland Security Fund (NY City), L.P. 2004 15,000,000 16,458,563 6,020,753 670,080 0.41 -13.0%

Lincolnshire Equity Fund III, L.P. 2004 55,000,000 54,200,779 69,467,169 26,839,829 1.78 29.7%

Yucaipa American Alliance Fund I, LP 2004 90,000,000 114,094,892 94,282,024 33,263,836 1.12 2.8%

New York/Fairview Emerging Managers Fund, L.P.-Tranche 1 2004 32,000,000 32,725,517 26,635,754 13,552,374 1.23 3.7%

Aurora Equity Partners III L.P. 2004 50,000,000 54,123,136 86,395,365 5,497,730 1.70 14.3%

Trilantic Capital Partners III L.P. 2004 45,088,848 40,126,836 59,174,224 1,099,585 1.50 12.4%

Celtic Pharmaceutical Holdings L.P. 2004 25,000,000 25,402,094 402,094 3,976,018 0.17 -18.3%

Palladium Equity Partners III, L.P. 2005 35,000,000 36,043,405 51,427,044 19,699,052 1.97 17.5%

New Mountain Partners II, L.P. 2005 46,451,615 41,780,816 80,867,650 684,282 1.95 13.7%

VSS Communications Partners IV, L.P. 2005 24,690,337 28,424,765 19,015,485 2,048,719 0.74 -5.2%

Prism Venture Partners V-A, L.P. 2005 30,000,000 30,762,722 16,713,788 4,211,447 0.68 -7.6%

NB New York City Growth Fund 2005 34,819,694 34,819,694 34,883,967 (795,887) 0.98 -0.7%

Quadrangle Capital Partners II LP 2005 59,042,060 62,417,514 78,575,742 4,787,714 1.34 5.9%

Snow Phipps Group, L.P. 2005 20,000,000 23,164,768 18,071,332 12,144,623 1.30 6.9%

GI Partners Fund II L.P. 2005 35,000,000 35,453,490 41,848,151 14,282,457 1.58 7.5%

Blackstone Mezzanine Partners II, L.P. 2005 25,000,000 23,478,551 31,496,847 502,419 1.36 8.0%

Psilos Group Partners III, L.P. 2005 35,000,000 37,205,819 17,948,760 26,977,435 1.21 3.6%

Information provided by the New York City Employees’ Retirement System Consultants


Through September 30, 2016

New York City Employees’ Retirement System 45Performance Overview as of September 30, 2016

Vintage Year


Investment

Multiple ITD IRR%

USPF II Institutional Fund, L.P. 2005 65,000,000 85,734,194 60,389,583 59,743,797 1.40 6.3%

JP Morgan Fleming (Tranche A) 2005 43,000,000 41,875,311 30,542,316 25,074,165 1.33 6.1%

Aisling Capital II, LP 2006 6,680,102 7,862,697 5,584,630 1,854,379 0.95 -1.2%

InterMedia Partners VII, L.P. 2006 25,000,000 29,124,516 18,081,039 24,782,548 1.47 5.7%

Terra Firma Capital Partners III, L.P. 2006 52,771,661 53,570,980 5,408,603 20,855,434 0.49 -10.6%

BDCM Opportunity Fund II, L.P. 2006 25,000,000 36,514,340 36,662,202 35,368,179 1.97 16.3%

Blackstone Capital Partners V, L.P. 2006 121,624,827 129,183,618 174,276,710 33,820,933 1.61 8.0%

Avista Capital Partners, L.P. 2006 45,000,000 58,957,901 53,377,922 22,438,251 1.29 5.5%

GSC Recovery III, L.P. 2006 25,000,000 28,176,914 29,697,283 2,636,847 1.15 3.6%

Apollo Investment Fund VI, L.P. 2006 90,000,000 115,838,240 145,311,271 25,975,350 1.48 8.8%

Landmark Equity Partners XIII, L.P. 2006 50,000,000 47,997,218 45,416,855 15,727,520 1.27 5.4%

Ares Corporate Opportunities Fund II, L.P. 2006 50,000,000 54,760,870 88,267,769 5,709,965 1.72 13.7%

Fairview Ventures Fund III, L.P. 2006 25,000,000 25,974,738 20,490,594 28,190,837 1.87 15.0%

Ampersand 2006 2006 25,000,000 25,000,000 37,163,838 19,778,095 2.28 15.4%

CCMP Capital Investors II, L.P. 2006 30,000,000 33,012,190 42,864,590 12,921,225 1.69 13.6%

CLP 2014 (fka Perseus Partners VII) 2006 30,000,000 35,015,446 12,762,236 394,559 0.38 -22.7%

Thomas, McNerney & Partners II, L.P. 2006 25,000,000 24,849,167 46,730,837 9,400,781 2.26 17.3%

Catterton Partners VI, L.P. 2006 45,000,000 50,211,052 62,363,059 31,098,961 1.86 12.8%

First Reserve Fund XI, L.P. 2006 45,000,000 47,820,682 27,007,104 4,673,787 0.66 -9.9%

Arsenal Capital Partners II, LP 2006 22,500,000 26,955,765 35,536,976 9,487,106 1.67 10.8%

RRE Ventures IV, L.P. 2006 35,000,000 43,543,836 21,044,903 45,116,726 1.52 7.7%

MidOcean Partners III, L.P. 2006 60,000,000 68,455,274 52,540,305 59,729,600 1.64 10.3%

GF Capital Private Equity Fund, L.P. 2006 20,000,000 20,626,154 22,565,552 13,740,620 1.76 14.1%

The Fourth Cinven Fund 2006 71,420,626 72,910,838 94,146,833 6,770,295 1.38 6.7%

Pegasus Partners IV, L.P. 2007 30,000,000 35,625,582 21,384,679 13,829,192 0.99 -0.3%

FTVentures III, LP 2007 24,201,990 26,787,896 37,150,196 17,259,286 2.03 16.3%

Co-Investment Partners Europe, L.P. 2007 39,923,730 42,075,924 36,705,145 17,030,982 1.28 5.0%

Montreux Equity Partners IV, L.P. 2007 20,000,000 20,000,000 11,044,696 17,589,179 1.43 7.1%

Quaker BioVentures II, L.P. 2007 20,000,000 18,058,740 11,438,605 12,786,723 1.34 7.3%

SCP Vitalife Partners II Fund 2007 20,000,000 20,099,698 1,579 12,649,435 0.63 -8.2%

Craton Equity Investors I, L.P. 2007 20,000,000 20,089,805 2,153,907 3,086,220 0.26 -20.2%

Nautic Partners VI, L.P. 2007 30,000,000 33,402,321 62,663,425 12,745,233 2.26 18.9%

Constellation Venture Capital III, L.P. 2007 25,000,000 27,160,015 5,676,045 14,854,251 0.76 -5.4%

United States Power Fund III, L.P. 2007 65,000,000 71,706,783 34,995,500 66,028,219 1.41 6.7%

Halyard Capital Fund II, L.P. 2007 25,000,000 21,352,216 22,365,079 8,881,401 1.46 7.4%

Carlyle Partners V, L.P. 2007 70,000,000 71,344,979 91,093,417 26,831,551 1.65 13.1%





Vintage Year


Investment

Multiple ITD IRR%

PCG Clean Energy & Technology Fund (East), LLC 2007 90,000,000 80,050,634 9,980,582 37,375,918 0.59 -9.3%

GSO Capital Opportunities Fund LP 2007 45,000,000 67,250,269 94,287,553 2,803,883 1.44 17.7%

StarVest Partners II, L.P. 2007 25,000,000 24,943,994 1,166,983 21,897,966 0.92 -1.7%

New Mountain Partners III, L.P. 2007 100,000,000 98,793,517 81,287,263 92,745,458 1.76 12.9%

Vista Equity Partners Fund III, L.P. 2007 30,000,000 31,896,996 67,873,088 14,131,248 2.57 28.2%

Trilantic Capital Partners IV L.P. 2007 69,028,637 71,533,562 97,265,247 13,207,848 1.54 13.8%

RLJ Equity Partners Fund I, L.P. 2007 20,000,000 21,179,584 10,049,279 24,681,277 1.64 13.2%

Pine Brook Capital Partners, L.P. 2007 30,000,000 31,715,339 18,521,031 19,100,300 1.19 5.5%

Paladin III (NY City), L.P. 2008 30,000,000 37,486,156 17,846,948 30,622,595 1.29 7.2%

Relativity Fund, L.P. 2008 10,877,829 10,773,614 2,302,071 3,421,548 0.53 -10.8%

Apollo Investment Fund VII, L.P. 2008 100,000,000 118,027,691 177,080,414 28,040,393 1.74 24.0%

NGN BioMed Opportunity II, L.P. 2008 20,000,000 19,151,821 3,946,209 9,747,318 0.71 -7.1%

Carpenter Community BancFund-A, L.P. 2008 20,000,000 19,519,654 11,658,453 19,151,491 1.58 8.1%

Riverstone/Carlyle Global Energy & Power Fund IV, L.P. 2008 45,000,000 49,659,172 33,807,446 21,484,205 1.11 3.6%

Yucaipa American Alliance Fund II, LP 2008 120,000,000 163,744,290 97,293,704 127,501,200 1.37 8.3%

Levine Leichtman Capital Partners IV, L.P. 2008 35,000,000 35,143,420 52,225,911 9,643,238 1.76 20.2%

Lee Equity Partners Fund, L.P. 2008 37,261,581 50,519,026 61,415,282 281,462 1.22 6.4%

New York/Fairview Emerging Managers Fund, L.P.-Tranche 2 2008 45,000,000 42,054,618 25,269,212 40,280,285 1.56 14.1%

Yucaipa Corporate Initiatives Fund II, LP 2008 42,092,788 41,024,582 12,669,673 24,896,699 0.92 -1.9%

Leeds Equity Partners V, L.P. 2008 60,000,000 57,703,251 51,223,650 42,885,450 1.63 15.8%

GI Partners Fund III L.P. 2008 45,000,000 48,282,135 49,182,384 21,621,636 1.47 12.5%

Ares Corporate Opportunities Fund III, L.P. 2008 75,000,000 89,695,829 96,261,041 66,671,395 1.82 20.7%

GCM Grosvenor NYCERS Emerging Manager Co-Investment Fund, L.P. 2008 12,875,950 14,664,776 26,323,595 55,115 1.80 14.2%

GCM Grosvenor NYCERS Emerging Manager Fund, L.P. 2008 116,737,374 126,881,353 84,835,380 84,507,986 1.33 11.0%

First Reserve Fund XII, L.P. 2008 45,000,000 49,160,016 21,512,848 14,170,838 0.73 -8.8%

Landmark Equity Partners XIV, L.P. 2008 109,120,000 102,329,392 86,130,939 46,184,637 1.29 11.0%

Crestview Partners II, L.P. 2008 50,000,000 54,583,186 45,549,772 39,788,250 1.56 13.7%

Avista Capital Partners II, L.P. 2008 75,000,000 92,312,447 118,236,679 49,830,969 1.82 17.4%

Blue Wolf Capital Fund II, L.P. 2008 25,000,000 27,167,904 12,501,194 20,634,136 1.22 6.0%

Bridgepoint Europe IV 2008 26,676,508 26,366,756 23,060,618 14,566,603 1.43 10.2%

Aisling Capital III, LP 2008 14,000,000 15,300,837 14,535,205 10,104,723 1.61 20.6%

Onex Partners III LP 2008 75,000,000 81,027,018 59,228,905 66,419,349 1.55 13.1%

Welsh, Carson, Anderson & Stowe XI, L.P. 2009 40,000,000 38,909,044 32,185,534 26,458,563 1.51 12.6%

FS Equity Partners VI, L.P. 2009 32,500,000 31,336,772 24,359,661 34,108,434 1.87 18.0%

Lincolnshire Equity Fund IV, L.P. 2009 27,500,000 28,255,832 9,638,864 26,206,724 1.27 8.2%

Lexington Capital Partners VII, L.P. 2009 50,000,000 42,668,825 40,686,793 22,935,936 1.49 15.0%

Snow Phipps II, L.P. 2010 30,000,000 30,356,882 14,320,384 31,584,908 1.51 17.1%

JP Morgan Fleming (Tranche B) 2010 35,000,000 32,807,036 12,659,265 34,027,440 1.42 11.2%





Vintage Year


Investment

Multiple ITD IRR%

Trident V, L.P. 2010 110,000,000 118,010,606 32,790,336 123,142,699 1.32 9.1%

Blackstone Capital Partners VI, L.P. 2011 120,000,000 115,643,611 27,059,820 117,353,946 1.25 10.6%

Ampersand 2011 2011 25,000,000 24,125,000 8,694,145 40,925,643 2.06 20.3%

BDCM Opportunity Fund III, L.P. 2011 45,000,000 57,406,306 20,728,277 46,840,177 1.18 7.6%

AXA Secondary Fund V B L.P. 2011 120,000,000 95,222,161 70,300,860 74,924,723 1.53 16.7%

Wellspring Capital Partners V, L.P. 2011 40,000,000 35,876,787 4,908,198 47,425,625 1.46 16.3%

EQT VI, L.P. 2011 106,068,636 104,311,838 13,714,498 115,406,700 1.24 8.5%

Pegasus Partners V, L.P. 2011 20,789,916 17,139,978 4,076,043 22,630,762 1.56 15.0%

BC European Capital IX 2011 132,205,792 117,569,092 47,427,287 103,996,378 1.29 10.6%

American Securities Partners VI, L.P. 2011 80,000,000 84,853,612 26,188,180 98,722,573 1.47 19.5%

Vista Equity Partners Fund IV, L.P. 2011 100,000,000 101,491,112 51,184,164 126,816,452 1.75 21.0%

Warburg Pincus Private Equity XI, L.P. 2012 110,000,000 103,283,488 21,385,210 110,892,123 1.28 12.7%

Trilantic Capital Partners V L.P. 2012 70,000,000 40,528,860 3,608,430 40,738,872 1.09 5.1%

Palladium Equity Partners IV, L.P. 2012 55,000,000 31,098,903 3,119,424 30,990,944 1.10 5.1%

Ares Corporate Opportunities Fund IV, L.P. 2012 125,000,000 102,421,053 19,352,001 109,782,456 1.26 12.7%

Green Equity Investors VI, L.P. 2012 120,000,000 119,994,290 16,516,512 126,604,219 1.19 11.5%

Platinum Equity Capital Partners III, L.P. 2012 100,000,000 72,217,028 56,525,456 62,918,220 1.65 47.5%

NYCERS - 2012 Emerging Manager Program 2012 150,000,000 88,191,929 10,250,852 92,757,871 1.17 11.1%

Carlyle Partners VI, L.P. 2013 75,000,000 39,029,229 8,763,194 36,016,318 1.15 8.8%

Carlyle Partners VI, L.P. (Side Car) 2014 4,567,000 4,475,155 - 4,175,744 0.93 -5.3%

Landmark Equity Partners XV, L.P. 2013 75,000,000 28,327,823 12,216,535 20,892,541 1.17 10.9%

Apollo Investment Fund VIII, L.P. 2013 140,000,000 78,922,592 6,160,344 81,867,850 1.12 12.0%

Landmark - NYC Fund I, L.P. 2013 25,000,000 11,451,108 4,262,748 10,389,940 1.28 15.9%

CVC Capital Partners VI, L.P. 2013 122,336,166 43,945,071 829,561 42,844,945 0.99 -0.5%

Crestview Partners III, L.P. 2013 66,000,000 15,112,145 249,535 13,940,439 0.94 NM

Crestview Partners III (Co-Investment B), L.P. 2013 22,000,000 7,374,875 301,332 7,304,989 1.03 NM

Olympus Growth Fund VI, L.P. 2014 75,000,000 38,177,361 5,784,184 44,712,832 1.32 35.1%

ASF VI B L.P. 2014 83,000,000 43,645,501 2,781,535 50,231,215 1.21 14.5%

ASF VI B NYC Co-Invest L.P. 2014 27,000,000 17,031,244 3,815,187 18,288,882 1.30 17.5%

Vista Equity Partners Fund V, L.P. 2014 125,000,000 121,482,171 22,063,910 113,158,722 1.11 9.7%

Lexington Capital Partners VIII, L.P. 2014 110,000,000 24,342,374 7,183,681 23,907,348 1.28 NM

Siris Partners III, L.P. 2015 31,000,000 13,407,926 23,901 12,897,480 0.96 NM

Centerbridge Capital Partners III, L.P. 2015 23,700,000 6,310,789 249,841 7,181,962 1.18 NM

Welsh, Carson, Anderson & Stowe XII, L.P. 2015 78,500,000 22,101,864 - 23,455,274 1.06 NM

Warburg Pincus Private Equity XII, L.P. 2015 205,500,000 22,741,672 - 19,895,066 0.87 NM

ASF VII B L.P. 2015 94,500,000 7,093,697 24,926 8,277,371 1.17 NM

ASF VII B NYC Co-Invest L.P. 2015 46,000,000 4,600 - 4,600 1.00 NM

EQT VII, L.P. 2015 160,409,363 29,926,094 - 26,187,591 0.88 NM





Vintage Year


Investment

Multiple ITD IRR%

American Securities Partners VII, L.P. 2015 80,000,000 6,522,088 - 6,122,182 0.94 NM

Bridgepoint Europe V L.P. 2015 60,837,721 17,012,619 - 17,245,311 1.01 NM

Bridgepoint Europe V Co-Invest 2015 17,673,802 3,479,493 - 3,467,259 1.00 NM

NYCERS - 2015 Emerging Manager Program 2015 180,000,000 4,908,095 62,396 4,813,171 0.99 NM

Vista Equity Partners Fund VI, L.P. 2016 158,000,000 33,696,009 - 33,991,583 1.01 NM

Apax IX USD, L.P. 2016 127,000,000 - - (843,652) - N/A

Ares Corporate Opportunities Fund V, L.P. 2017 95,000,000 - - - - N/A

BC European Capital X 2017 87,675,120 - - - - N/A

BCEC X Co-Investment 2017 35,070,048 - - - - N/A

Green Equity Investors VII, L.P. 2017 95,000,000 - - - - N/A

TOTAL LIQUIDATED 519,390,636 588,451,749 702,445,659 - 1.19 5.5%

AEA Investors 2006 Fund L.P. 2006 22,893,771 26,016,229 30,842,902 - 1.19 7.8%

Allegra Capital Partners IV, L.P. 2000 24,000,000 24,000,000 12,606,027 - 0.53 -7.4%

Carlyle Partners III, L.P. 2000 45,423,105 55,645,609 108,817,410 - 1.96 20.5%

Clayton, Dubilier & Rice Fund VII, L.P. 2005 41,067,427 46,598,100 52,419,668 - 1.12 2.5%

Clayton, Dubilier & Rice Fund VIII, L.P. 2009 29,243,725 35,195,073 40,239,167 - 1.14 6.2%

Emerald Infrastructure Development Fund 2008 996,804 996,804 5,607 - 0.01 -99.4%

Ethos US Dollar Fund V-B 2005 30,290,568 46,370,610 49,740,469 - 1.07 3.0%

HM 2006 Sector Performance Fund 2007 23,185,013 26,474,417 18,633,959 - 0.70 -12.0%

New Mountain Partners, L.P. 2001 18,141,933 17,123,622 24,909,949 - 1.45 12.3%

NewSpring Growth Capital II, L.P. 2006 14,400,000 14,561,753 21,528,849 - 1.48 11.7%

Ripplewood Partners II, L.P. 2001 20,000,000 22,522,260 24,307,937 - 1.08 1.8%

Silver Lake Partners II, L.P. 2004 46,469,062 53,190,565 75,839,352 - 1.43 9.1%

Silver Lake Partners III, L.P. 2007 37,822,673 45,707,472 63,369,258 - 1.39 17.0%

Tailwind Capital Partners, L.P. 2007 26,057,294 29,653,998 30,122,727 - 1.02 0.7%

Thomas H. Lee Equity Fund VI, L.P. 2006 34,418,261 39,074,789 35,813,300 - 0.92 -2.0%

VS&A Communications Partners III, L.P. 1998 50,000,000 50,248,403 69,062,415 - 1.37 6.3%

Vitruvian Investment Partnership I 2007 54,981,001 55,072,045 44,186,661 - 0.80 -7.7%





Vintage Year Style Sector

Original

Commitment

Total

Contributions

Total

Distrubutions Market Value

Total Value

Multiple Net IRR%

TOTAL REAL ASSETS 4,424,806,713 3,735,909,611 1,968,756,156 3,135,152,135 1.37 7.8%

TOTAL PRIVATE REAL ESTATE 3,955,806,713 3,537,621,951 1,960,301,906 2,925,087,136 1.38 7.6%

TOTAL LIQUIDATED PRIVATE REAL ESTATE 171,360,625 132,620,501 332,970,852 -

TOTAL INFRASTRUCTURE 469,000,000 198,287,660 8,454,250 210,064,999 1.10 9.6%

TOTAL PRIVATE REAL ESTATE

PRISA SA 2006 Core / Core Plus Portfolio 86,000,000 92,514,113 24,411,224 112,142,015 1.48 4.3%

Prologis Targeted U.S. Logistics Fund 2006 Core / Core Plus Portfolio 25,000,000 32,697,211 7,987,272 32,225,731 1.23 2.7%

RREEF America REIT II 2006 Core / Core Plus Portfolio 86,000,000 113,537,802 49,993,010 112,834,865 1.43 4.9%

UBS Trumbull Property Fund 2006 Core / Core Plus Portfolio 156,000,000 219,606,066 50,946,592 271,203,754 1.47 6.5%

Colony Realty Partners II 2007 Core / Core Plus Portfolio 20,000,000 21,420,211 666,108 4,444,500 0.24 -15.5%

Heitman HART 2007 Core / Core Plus Portfolio 115,000,000 161,944,540 46,944,540 217,459,685 1.63 8.3%

JP Morgan Special Situation Property Fund 2007 Core / Core Plus Portfolio 90,000,000 103,306,883 27,346,648 113,906,272 1.37 3.9%

JP Morgan Strategic Property Fund 2007 Core / Core Plus Portfolio 136,000,000 149,929,663 - 260,372,347 1.74 7.1%

PRISA II 2007 Core / Core Plus Portfolio 141,518,761 149,597,017 32,600,605 190,657,705 1.49 5.4%

RREEF America REIT III - 1410 2007 Core / Core Plus Portfolio 90,000,000 90,000,000 50,554,304 651,259 0.57 -7.6%

LaSalle Property Fund 2010 Core / Core Plus Portfolio 50,000,000 50,000,000 11,027,538 68,212,833 1.58 12.2%

NYC Asset Investor #2 LLC 2013 Core / Core Plus Portfolio 75,000,000 68,408,974 9,668,620 74,456,582 1.23 13.6%

MetLife Core Property Fund 2014 Core / Core Plus Portfolio 50,000,000 50,000,000 4,075,735 57,327,831 N/A N/A

Almanac Realty Securities VII 2015 Core / Core Plus Portfolio 65,000,000 18,050,578 519,458 19,157,107 N/A N/A

Almanac Realty Securities VII (Sidecar IV) 2016 Core / Core Plus Portfolio 20,000,000 3,151,212 - 3,499,234 N/A N/A

Exeter Industrial Core Club Fund II 2016 Core / Core Plus Portfolio 28,000,000 4,732,982 - 4,820,084 N/A N/A

Jamestown Premier Property Fund 2016 Core / Core Plus Portfolio 39,000,000 39,687,953 3,168,772 37,903,873 N/A N/A

NYCRS Artemis Co-Investment 2016 Core / Core Plus Portfolio 53,000,000 5,857,864 - 7,997,634 N/A N/A

USAA Eagle Real Estate Fund 2016 Core / Core Plus Portfolio 60,000,000 39,419,617 - 43,033,651 N/A N/A

Blackstone Fund IV 2004 Non-Core Portfolio 30,000,000 38,440,704 47,521,581 6,285,258 1.40 10.5%

The City Investment Fund I 2004 Non-Core Portfolio 225,000,000 221,883,300 224,092,986 666,374 1.01 0.3%

Canyon Johnson Urban Fund II 2005 Non-Core Portfolio 40,000,000 35,954,818 15,285,276 716,824 0.45 -10.5%

AREA Real Estate Investment Fund V, LP 2006 Non-Core Portfolio 25,000,000 25,000,001 13,090,222 11,026,752 0.96 -0.5%

Blackstone Real Estate Partners VI 2007 Non-Core Portfolio 110,000,000 122,246,031 177,346,224 54,645,947 1.90 13.1%

Carlyle Realty Partners V 2007 Non-Core Portfolio 20,000,000 25,044,057 28,314,182 6,273,234 1.38 8.5%

Metropolitan Workforce Housing Fund 2007 Non-Core Portfolio 14,000,000 14,013,027 12,165,282 5,021,785 1.23 4.2%

UrbanAmerica II 2007 Non-Core Portfolio 25,000,000 23,222,735 2,551,754 25,239 0.11 -25.3%

American Value Partners Fund I 2008 Non-Core Portfolio 55,000,000 39,320,163 33,142,223 14,087,892 1.20 4.2%

AREA European Real Estate Fund III, LP 2008 Non-Core Portfolio 30,000,000 30,487,500 30,737,500 5,504,558 1.19 4.4%

Capri Urban Investors 2008 Non-Core Portfolio 60,000,000 59,980,707 15,777,250 38,674,855 0.91 -1.6%

PRISA III 2008 Non-Core Portfolio 50,000,000 58,042,816 - 128,394,495 2.21 13.2%

Silverpeak Legacy Partners III 2008 Non-Core Portfolio 50,000,000 22,168,479 3,121,878 5,680,295 0.40 -12.0%

Stockbridge Real Estate Fund III 2008 Non-Core Portfolio 27,000,000 26,998,145 16,829,753 16,888,211 1.25 3.9%

Westbrook Real Estate Fund VII 2008 Non-Core Portfolio 40,000,000 43,518,689 38,472,731 13,859,881 1.20 3.5%

Thor Urban Property Fund II 2009 Non-Core Portfolio 40,000,000 51,756,666 54,781,251 23,374,091 1.51 12.4%

Walton Street Real Estate Fund VI 2009 Non-Core Portfolio 50,000,000 44,323,933 42,449,174 23,171,958 1.48 9.4%

Blackstone Real Estate Partners Europe III (USD Vehicle) 2010 Non-Core Portfolio 50,000,000 51,275,261 36,725,223 34,189,935 1.38 11.1%

Canyon Johnson Urban Fund III 2010 Non-Core Portfolio 30,000,000 29,586,980 39,586,665 763,993 1.36 12.2%





Vintage Year Style Sector

Original

Commitment

Total

Contributions

Total

Distrubutions Market Value

Total Value

Multiple Net IRR%

Westbrook Real Estate Fund VIII 2010 Non-Core Portfolio 50,000,000 59,326,162 67,801,514 9,905,957 1.31 12.3%

Carlyle Realty Partners VI 2011 Non-Core Portfolio 70,000,000 65,518,219 74,007,299 37,231,656 1.70 28.4%

H/2 Special Opportunities Fund II 2011 Non-Core Portfolio 40,000,000 39,999,999 28,306,142 29,312,580 1.44 15.5%

Blackstone Real Estate Partners VII 2012 Non-Core Portfolio 170,000,000 200,015,308 139,148,423 163,559,368 1.51 20.7%

Brookfield Strategic Real Estate Partners 2012 Non-Core Portfolio 100,000,000 103,710,668 33,954,690 114,052,119 1.43 17.5%

Taconic New York City Investment Fund LP 2012 Non-Core Portfolio 70,000,000 28,954,546 22,113,636 26,441,079 1.68 16.3%

KTR Industrial Fund III 2013 Non-Core Portfolio 40,000,000 17,479,475 27,587,374 75,374 1.58 40.5%

NYC Asset Investor #1 LLC 2013 Non-Core Portfolio 50,000,000 53,596,712 6,974,671 59,890,467 1.25 14.0%

NYC Asset Investor #3 LLC 2013 Non-Core Portfolio 50,000,000 20,787,983 195,673 20,928,093 1.02 1.2%

Blackstone Real Estate Partners Europe IV (USD Vehicle) 2014 Non-Core Portfolio 169,000,000 149,381,022 21,985,747 144,496,890 N/A N/A

Carlyle Realty Partners VII 2014 Non-Core Portfolio 80,000,000 39,138,578 280,548 43,914,720 N/A N/A

Divco West Fund IV 2014 Non-Core Portfolio 23,000,000 22,334,462 10,886,169 23,557,335 N/A N/A

Lone Star Real Estate Fund III 2014 Non-Core Portfolio 100,000,000 92,771,894 34,967,635 83,204,491 N/A N/A

Avanath Affordable Housing Fund II 2015 Non-Core Portfolio 8,000,000 7,806,663 - 11,571,871 N/A N/A

Blackstone Real Estate Partners VIII 2015 Non-Core Portfolio 151,000,000 59,536,019 4,933,440 63,819,801 N/A N/A

H/2 Special Opportunities Fund III 2015 Non-Core Portfolio 65,000,000 48,247,765 1,089,360 53,972,801 N/A N/A

Divco West Fund V 2016 Non-Core Portfolio 60,000,000 - - (299,324) N/A N/A

European Property Investors Special Opportunities IV (EPISO IV) 2016 Non-Core Portfolio 49,178,496 7,202,075 1,197,152 6,242,926 N/A N/A

PW Real Estate Fund III LP 2016 Non-Core Portfolio 46,748,831 10,172,465 - 9,672,523 N/A N/A

Westbrook Real Estate Fund X 2016 Non-Core Portfolio 36,000,000 1,894,737 - 1,977,870 N/A N/A

TOTAL LIQUIDATED PRIVATE REAL ESTATE

Canyon Johnson Urban Fund 2003 Non-Core Portfolio 15,000,000 13,590,364 15,874,432 - 1.17 10.2%

Tishman Speyer Separate Account (ERS) 2004 Non-Core Portfolio 100,000,000 71,066,452 259,755,306 - 3.66 63.2%

Carbon Capital III 2009 Non-Core Portfolio 40,000,000 43,757,162 53,134,591 - 1.21 8.5%

JP Morgan Urban Renaissance Property Fund 2009 Non-Core Portfolio 16,360,625 4,206,523 4,206,523 - 1.00 0.0%

TOTAL INFRASTRUCTURE INVESTMENTS

Brookfield Infrastructure Fund II 2013 75,000,000 57,821,037 5,698,326 64,427,550 1.21 0.2%

IFM Global Infrastructure Fund 2014 75,000,000 76,754,164 1,754,164 82,664,561 N/A N/A

First Reserve Energy Infrastructure Fund II, L.P. 2014 45,000,000 10,335,112 365,962 10,687,455 N/A N/A

KKR Global Infrastructure Investors II L.P. 2014 77,000,000 19,452,921 399,563 19,073,930 N/A N/A

Global Infrastructure Partners III-A/B, L.P. 2016 106,000,000 20,087,938 218 18,040,013 N/A N/A

Brookfield Infrastructure Fund III, L.P. 2016 91,000,000 13,836,488 236,017 15,171,490 N/A N/A





Information provided by Alpha FrontierAbove data is not final and subject to change

Vintage YearCommitment - Closing (Base)

Contributions Cumulative (Local)

Distributions Cumulative

Final Market Value

3 Month Base%

Inception IRR%

TOTAL OPPORTUNISTIC FIXED INCOME 2,049,884,078 1,906,784,820 784,456,094 1,506,908,214 3.30% 7.43%Avenue Special Situations Fund V, L.P. 2007 75,784,973 76,951,175 99,724,647 829,340 0.00% NMAvenue Europe Special Sit. Fund, L.P 2008 30,901,612 27,839,090 53,462,641 254,359 1.16% NMPIMCO DiSCO Fund, L.P. 2008 150,000,000 150,427,750 204,457,599 - 11.23%Alliance Bernstein PPIP Fund, L.P 2009 41,697,493 41,697,493 57,295,571 - 15.51%AG GECC PPIP Fund, L.P. 2010 27,000,000 27,052,129 41,724,862 - 20.19%Avenue Special Situations Fund VI L.P. 2011 70,000,000 71,766,544 45,401,394 30,770,713 0.00% 1.54%Golden Tree 2011 140,000,000 131,253,192 - 182,252,141 3.12% 8.21%Marathon Centre Street Partnership, L.P. 2011 218,750,000 229,250,000 26,250,000 256,937,981 3.15% 6.49%AG Centre Street Partnership, L.P. 2012 180,000,000 142,200,000 24,226,130 148,959,339 3.89% 6.15%Apollo Centre Street Partnership, L.P 2012 268,750,000 235,888,211 77,129,065 168,333,554 4.48% 1.77%FCO MA Centre Street L.P. 2012 140,000,000 174,500,303 63,515,770 135,768,991 0.00% 7.94%OHA Centre Street Partnership, L.P. 2012 175,000,000 170,722,628 25,600,677 175,771,453 6.31% 6.13%Contrarian Partnership, L.P 2013 90,000,000 72,000,000 - 77,117,912 7.78% 3.52%Lone Star Fund VIII(U.S.), L.P. 2013 100,000,000 87,065,530 61,997,396 51,392,957 0.00% 21.80%Oaktree Opportunities Fund IX, L.P. 2013 100,000,000 100,000,000 - 99,022,812 3.43% -0.41%Ares Centre Street LP 2014 140,000,000 128,117,072 - 141,157,678 1.37% 9.40%Brightwood Capital Fund III, L.P. 2015 35,000,000 26,653,806 3,670,342 24,096,727 0.00% 3.27%Torchlight Debt Opportunity Fund V, LP 2015 67,000,000 13,399,897 - 14,242,259 9.03% 8.92%





Market Value MTD

Return% 3 Month Return%

24 Month Return%

FYTD Return%

YTD Return%

1 Year Return%

3 Year Return%

ITD Return%

ITD Cumulative Return%

TOTAL HEDGE FUNDS 596,915,056 0.42% 1.05% 0.19% 2.18% 2.22% 2.22% 1.95% 2.77% 16.20% TOTAL DIRECT HEDGE FUNDS 347,503,989 0.61% 1.49% 0.61% 2.80% 2.75% 2.75% 2.38% 4.13% 22.43% FUND OF FUNDS HEDGE FUNDS 249,411,067 0.16% 0.46% -1.02% 1.00% 1.55% 1.55% 0.34% 1.84% 10.52%

TOTAL DIRECT HEDGE FUNDS Brevan Howard LP 132,837,740 0.26% 6.49% 1.33% 4.37% 3.68% 3.68% 0.88% 1.65% 8.38%CCP Quantitative Fund Onshore (Euler 20% Class) 79,503,283 1.39% -9.15% -5.69% -12.61% -6.65% -6.65% 7.68% -2.80% -10.54%Tactical Trading 212,341,023 0.68% 0.22% 1.32% -0.95% 2.34% 2.34% 4.43% 1.51% 7.63%

Fir Tree Value Fund LP 93,667,679 1.22% 2.77% -3.90% 5.01% 1.02% 1.02% -3.21% 1.04% 4.12%Perry Partners LP 28,178,874 -0.93% 11.13% -3.28% 11.05% 7.92% 7.92% -3.61% -1.28% -4.51%Luxor Capital Partners LP (excl side pockets) 8,367,769 -2.06% -6.45% -17.84% -9.96% -16.97% -16.97% -17.92% -17.92% -39.97%Event Driven 130,214,322 0.53% 3.80% -4.15% 6.72% 3.95% 3.95% -3.67% 1.65% 7.95%

Manager Receivables 4,948,644 0.04% 0.04% 0.03% 0.04% 0.04% 0.04% 0.03% 0.03% 0.05%Cash 4,948,644 0.04% 0.04% 0.03% 0.04% 0.04% 0.04% 0.03% 0.03% 0.05%

FUND OF FUNDS HEDGE FUNDS Fund of Funds Hedge Funds 249,411,067 0.16% 0.46% -1.02% 1.00% 1.55% 1.55% 0.34% 1.84% 10.52%




Appendix D

Footnotes



• The Barclays Capital Aggregate (then known as the Lehman Brothers Aggregate) was used prior to 1/1/89. Effective 1/1/89, in the Government Sector, maturities of less than 5 years were dropped from the Salomon and Lehman indices. From that date until 7/1/99 the benchmark was the NYC Core + 5, from Lehman.

• Effective 7/1/94, the NYC Core + 5 Index includes BBB rated securities.

• Effective 7/1/99, the basis of the NYC Index was changed from Lehman Brothers to Salomon. Also effective 7/1/99, only Salomon indices have been used to compare all fixed income managers.

• Effective 4/1/03, the name of the benchmark provider was changed from Salomon to Citigroup.

• Effective 7/1/03 the “NYC-Loomis” benchmark index for the Loomis Sayles Enhanced Yield portfolio reflects a change from the Citigroup BB&B Index to the more appropriate Merrill Lynch High Yield Master II Index.

• Effective 7/1/09, the Core+5 program was restructured.

•The U.S. Gov’t sector benchmark Index was changed from the Citigroup Core+5 Treasury/Gov’t Sponsored Index to the Citigroup Core+5 Treasury/Agency Index. •The Corporate and Yankee sectors were combined to form the new Investment Grade Credit sector. The benchmark for the new combined sector is the customized Citigroup Credit Index. For historical performance purposes, the old Corporate sector Index is linked to the new Credit sector Index.

•There were no changes to the Mortgage sector Index.

•The total Core+5 results and benchmark returns combine the three sectors. Historical total Core+5 returns continue to include the old Corporate and Yankee sector returns.

• Effective 11/1/10 The NCREIF NPI policy index was replaced with the NCREIF NFI ODEC net Index retroactively.

• Effective 6/1/11 The Opportunistic Fixed NYC-CORE PLUS 5 + 200BPS policy index was replaced with the NYC-10% ANNUAL

RETURN primary and JP MORGAN GLOBAL HIGH YIELD PLUS 3% secondary indices retroactively.

• Effective 8/1/11 The Hedge Funds Primary benchmark is the 1 YEAR TREASURY BILL YIELD + 4% and the secondary

benchmark is the HFRI FUND OF FUNDS COMPOSITE INDEX + 1%.

Footnotes



General Notes • Estimated management fees for public market investments are calculated on an accrual basis without adjustment for management fee

caps. Alternative investment fees are recorded on a cash basis. Since not all alternative managers currently provide detailed fee disclosure, the alternative investment fees noted here are not comprehensive.

• Public Market returns are Net of Manager Fees for periods after January 2014 and Gross of investment advisory fees for other periods unless otherwise indicated.

• Public market excess returns for periods prior to 2014 are based on Gross performance. Page Specific Pages 8 & 9 - Portfolio Asset Allocation

• Rebalancing Ranges: the minimum and maximum weights that actual Asset Allocation may reach before rebalancing between Asset Classes is necessary.

Pages 10 -12 - Performance Attribution: Total Plan • Plan Return at Policy Weights: the return of the Total Plan assuming actual Asset Class results were maintained at target (Adjusted

Policy) weights. Figure = (Return of Asset Class 1* Target Weight) plus (Return Of Asset Class 2* Target Weight) plus (……)

• Allocation Effect = Total Plan Return minus Plan Return At Adjusted Policy Weights. Allocation is the Contribution to Performance resulting from an overweight or underweight to an asset class. E.g. an underweight to an Asset Class that under-performs results in a positive Allocation Effect and vice versa.

• Selection Effect = Equal to the Custom Benchmark (Adjusted Policy Index) Return minus Plan Return at Adjusted Policy Weights. This illustrates how the Managers have added or removed value based on their Security Selection decisions, e.g., If the manager’s Actual Returns are higher than the Implied Return there will be a positive Selection Effect.

• Policy Index = Custom Benchmark The “policy index” is a custom benchmark representing the weighted average return of the weighted benchmark indexes for each major investment program. Weights may reflect an adjustment of actual policy for outstanding commitments for new or revised programs, such as for private market programs, which are invested gradually, or for any new or updated program requiring the completion of RFPs and contracts. The policy index/custom benchmark is calculated monthly based on adjusted policy weights at the beginning of each month.

Glossary of Terms


New York City Employees’ Retirement System 56Performance Overview as of December 31, 201603/08/2017 06:15:55 PM

The indexes and most recent policy weights are as follows:

U.S. Equity: Russell 3000 * 30.90%

International Developed (EAFE) Markets: MSCI EAFE IMI Net * 13.29%

Emerging Markets: FTSE Custom NYCRS Emerging Markets * 7.08%

REITs: Dow Jones Real Estate Securities * 0.00%

Private Equity: Russell 3000 + 300 b.p. per annum * 7.00%

Private Real Estate – Core: NFI - ODCE Net * 5.34%

Private Real Estate – Non Core: NFI - ODCE Net * 0.00%

Infrastructure: CPI + 4% * 0.38%

Hedge Funds: HFRI Fund of Funds Composite Index plus 1% * 0.00%

US Treasury Short Term: Citigroup USBIG Treasury 1-3Y * 0.00%

US Treasury Intermediate Long: NYC Treasury Agency + 5 * 10.75%

US Treasury Long Duration: Citigroup Treasury 20+ * 0.00%

Core Fixed Income: BBG Barc Agg * 0.00%

Progress Fixed: BBG Barc Agg * 0.00%

Mortgage: Citigroup Mortgage Index * 3.67%

ETI: ETI Custom Benchmark * 1.32%

Investment Grade Credit: NYC – Investment Grade Credit * 4.99%

Enhanced Yield: Citigroup BB&B * 6.13%

Bank Loans: Credit Suisse Leveraged Loan * 2.00%

Glossary of Terms



TIPS: Lehman U.S. TIPS * 4.41%

Convertible Bonds: BofAML All Convertibles Ex Mandatory * 0.00%

Opportunistic Fixed: OFI - JPMGHY / CSFB 50/50 Blend Plus 300 b.p. per annum * 2.74%

Page 13 – Allocation and Selection Effects - Asset Class Breakdown • This chart aims to break down the Allocation and Selection Effects shown on the Performance Attribution pages. The aim of the Page is

to show the asset classes where Managers are either out performing or under performing their benchmark and to show the basis point effect that this is having on Plan performance.

Glossary of Terms



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